As filed with the Securities and Exchange Commission on July 23, 1999
Securities Act File No. 33-_____
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-14
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 [X]
Pre-Effective Amendment No.
Post-Effective Amendment No.
MORGAN GRENFELL INVESTMENT TRUST
(Exact Name of Registrant as Specified in Charter)
885 Third Avenue, New York, New York 10022
(Address of Principal Executive Office)
Registrant's Telephone Number, including Area Code: (212) 230-2600
Name and Address of Agent for Service: Copies to:
Joan A. Binstock Ernest V. Klein, Esq.
Morgan Grenfell Inc. Hale and Dorr LLP
885 Third Avenue 60 State Street
New York, New York 10022 Boston Massachusetts 02109
Title of Securities Being Registered:
Shares of beneficial interest, par value $.001 per share
No filing fee is due because an indefinite number of shares has previously been
registered pursuant to Rule 24f-2 under the Investment Company Act of 1940.
This Registration Statement relates to shares previously registered on Form N-1A
(File Nos. 33-68704, 811-8006).
Approximate Date of Proposed Public Offering:
As soon as practicable after this Registration Statement becomes effective.
It is proposed that this filing will become effective on August 21, 1999.
<PAGE>
BT GLOBAL EMERGING MARKETS EQUITY FUND
(A SERIES OF BT INVESTMENT FUNDS)
ONE SOUTH STREET
BALTIMORE, MD 21202
NOTICE OF MEETING OF SHAREHOLDERS
SCHEDULED FOR SEPTEMBER 29, 1999
THIS IS THE FORMAL AGENDA FOR A MEETING OF SHAREHOLDERS OF YOUR MUTUAL FUND. IT
TELLS YOU WHAT MATTERS WILL BE VOTED ON AND, IN CASE YOU WANT TO ATTEND THIS
MEETING IN PERSON, THE TIME AND PLACE OF THE MEETING.
To the shareholders of BT Global Emerging Markets Equity Fund ("BT Fund"):
A meeting of BT Fund shareholders will be held at One South Street, Baltimore,
MD 21202 on Wednesday, September 29, 1999 at 10:00 a.m., Eastern time, to
consider the following:
1. A proposal to approve an Agreement and Plan of Reorganization between
BT Fund and Morgan Grenfell Emerging Markets Equity Fund ("MG Fund").
Under this Agreement BT Fund would transfer all of its assets to MG
Fund in exchange for Institutional shares of MG Fund. These shares
would be distributed proportionately to you and the other shareholders
of BT Fund. MG Fund would also assume BT Fund's liabilities. YOUR BOARD
OF TRUSTEES RECOMMENDS THAT YOU VOTE FOR THIS PROPOSAL.
2. Any other business that may properly come before the meeting.
Shareholders of record as of the close of business on July 22, 1999 are entitled
to vote at the meeting and any related follow-up meetings.
WHETHER OR NOT YOU EXPECT TO ATTEND THE MEETING, PLEASE COMPLETE AND RETURN THE
ENCLOSED PROXY CARD. IF SHAREHOLDERS DO NOT RETURN THEIR PROXIES IN SUFFICIENT
NUMBERS, BANKERS TRUST COMPANY WILL INCUR ADDITIONAL COSTS TO SOLICIT PROXIES.
Daniel O. Hirsch
Secretary
August 21, 1999
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PROXY STATEMENT OF
BT GLOBAL EMERGING MARKETS EQUITY FUND
(A SERIES OF BT INVESTMENT FUNDS)
PROSPECTUS FOR
INSTITUTIONAL SHARES OF
MORGAN GRENFELL EMERGING MARKETS EQUITY FUND
(A SERIES OF MORGAN GRENFELL INVESTMENT TRUST)
This proxy statement and prospectus contains the information you should know
before voting on the proposed reorganization of BT Global Emerging Markets
Equity Fund, One South Street, Baltimore, MD 21202 ("BT Fund") into Morgan
Grenfell Emerging Markets Equity Fund, 885 Third Avenue, New York, NY 10022 ("MG
Fund"). Please read it carefully and retain it for future reference.
Both MG Fund and BT Fund are open end mutual funds investing in equity
securities of companies located in emerging market countries. MG Fund's
investment objective is capital appreciation and BT Fund's investment objective
is long-term capital growth.
HOW THE REORGANIZATION WILL WORK
(box) BT Fund will transfer all of its assets to MG Fund. MG Fund will assume
BT Fund's liabilities.
(box) MG Fund will issue Institutional shares to BT Fund in an amount equal
to the value of the assets it receives, less the liabilities it
assumes, in the reorganization. These Institutional shares will be
distributed to BT Fund's shareholders in proportion to their holdings
in BT Fund on the reorganization date.
(box) The reorganization will be tax-free for federal income tax purposes.
(box) BT Fund will be liquidated and terminated and you will be a shareholder
of MG Fund.
AN INVESTMENT IN MG FUND IS NOT A BANK DEPOSIT AND IS NOT INSURED OR GUARANTEED
BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
THE SECURITIES AND EXCHANGE COMMISSION HAS NOT APPROVED OR DISAPPROVED SHARES OF
MG FUND OR DETERMINED WHETHER THIS PROSPECTUS IS ACCURATE OR COMPLETE. ANY
STATEMENT TO THE CONTRARY IS A CRIME.
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WHERE TO GET MORE INFORMATION
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Prospectus of MG Fund dated 3/1/99. In the same envelope as this proxy statement and
Prospectus of BT Fund dated 1/31/99. prospectus. Incorporated by reference into this proxy
statement and prospectus.
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MG Fund's annual and semi-annual reports to shareholders.
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BT Fund's annual and semi-annual reports to shareholders. On file with the Securities and Exchange Commission
- ----------------------------------------------------------- ("SEC") and available at no charge by calling
A statement of additional information dated 8/16/99. It 1-800-368-4031 or writing to us at the address shown below.
contains additional information about both MG Fund and Incorporated by reference into this proxy statement and
BT Fund. prospectus.
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To ask questions about this proxy statement and Call our toll-free telephone number: 1-800-225-5291 or
prospectus. write to us at BT Service Center, P.O. Box 419210,
Kansas City, MO 64141-6210.
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The date of this proxy statement and prospectus is August 21, 1999.
<PAGE>
TABLE OF CONTENTS
PAGE
----
INTRODUCTION 1
SUMMARY 1
THE REORGANIZATION 6
CAPITALIZATION 10
COMPARISON OF BUSINESS TRUSTS UNDER
DELAWARE AND MASSACHUSETTS LAW 11
ADDITIONAL INFORMATION ABOUT
THE FUNDS' BUSINESSES 12
BOARDS' EVALUATION AND RECOMMENDATION 13
VOTING RIGHTS AND REQUIRED VOTE 13
INFORMATION CONCERNING THE MEETING 14
OWNERSHIP OF SHARES OF THE FUNDS 15
EXPERTS 16
AVAILABLE INFORMATION 16
EXHIBITS
A. Agreement and Plan of Reorganization between Morgan Grenfell Emerging Markets
Equity Fund and BT Global Emerging Markets Equity Fund (attached to this
proxy statement and prospectus)
B. Financial Highlights dated March 31, 1999 of BT Global Emerging Markets
Equity Fund (attached to this proxy statement and prospectus)
C. Annual report to shareholders dated October 31, 1998 and semiannual
report to shareholders dated April 30, 1999 of Morgan Grenfell Emerging
Markets Equity Fund
D. Prospectus dated March 1, 1999 of Morgan Grenfell Emerging Markets Equity
Fund
E. Prospectus dated January 31, 1999 of BT Global Emerging Markets Equity Fund
<PAGE>
INTRODUCTION
This proxy statement and prospectus is being used by the board of trustees of BT
Fund to solicit proxies to be voted at a special meeting of shareholders of BT
Fund. This meeting will be held at One South Street, Baltimore, MD 21202 on
Wednesday, September 29, 1999 at 10:00 a.m., Eastern time. The purpose of the
meeting is to consider a proposal to approve an Agreement and Plan of
Reorganization providing for the reorganization of BT Fund into MG Fund. This
proxy statement and prospectus is being mailed to BT Fund's shareholders on or
about August 21, 1999.
WHO IS ELIGIBLE TO VOTE?
BT Fund shareholders of record on July 22, 1999 are entitled to attend and vote
at the meeting or any adjourned meeting. Each share of BT Fund outstanding on
July 22, 1999 is entitled to one vote. Shares represented by properly executed
proxies, unless revoked before or at the meeting, will be voted according to
shareholders' instructions. If you sign a proxy card, but do not fill in a vote,
your shares will be voted to approve the Agreement and Plan of Reorganization.
If any other business comes before the meeting, your shares will be voted at the
discretion of the persons named as proxies.
SUMMARY
The following is a summary. More complete information appears later in this
proxy statement. You should read the entire proxy statement and the enclosed
exhibits carefully because they contain details that are not in the summary. The
materials in the exhibits and the statement of additional information dated
August 21, 1999 for MG Fund and BT Fund are hereby incorporated by reference
into this proxy statement and prospectus.
COMPARISON OF MG FUND TO BT FUND
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MG Fund BT Fund
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GENERAL A diversified series of Morgan Grenfell A diversified series of BT Investment
Investment Trust ("MG Trust"). MG Trust Funds ("BT Trust"). BT Trust is an
is an open-end management investment open-end management investment company
company organized as a Delaware business organized as a Massachusetts business
trust. trust.
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INVESTMENT MG Fund invests directly in securities, BT Fund is a feeder fund in a master-
STRUCTURE as described below. feeder structure, which means that it
invests all of its assets in Global
Emerging Markets Equity Portfolio ("BT
Portfolio"), a series of BT Investment
Portfolios. BT Portfolio has the same
investment objective as BT Fund. All
references to the BT Fund in this proxy
statement include BT Portfolio where
appropriate.
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NET ASSETS AS OF JULY 22, $ $
1999
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT Morgan Grenfell Investment Services Ltd. Bankers Trust Company ("BT") is the
ADVISERS ("MGIS") is MG Fund's investment investment adviser of the BT Portfolio in
adviser. It is a subsidiary of Morgan which the BT Fund invests.
Grenfell Asset Management, Ltd.
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1
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MG Fund BT Fund
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CONTROL OF MGIS and BT are indirect wholly owned subsidiaries of Deutsche Bank AG, an
INVESTMENT ADVISERS international commercial and investment banking group.
AND SUBADVISERS
- --------------------------------------------------------------------------------------------------------------------
PORTFOLIO MANAGERS A portfolio management committee made up Neil Jenkins, director of Morgan Grenfell
of professionals and analysts makes all Investment Services Limited, and Julie
of MG Fund's investment decisions. Wang, principal of Bankers Trust, are the
portfolio managers for BT Fund.
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INVESTMENT OBJECTIVES AND POLICIES
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INVESTMENT Capital appreciation. Long-term capital growth.
OBJECTIVES
- --------------------------------------------------------------------------------------------------------------------
PRINCIPAL MG Fund invests at least 65% of its total BT Fund invests at least 65% of its total
INVESTMENTS assets in the equity securities of assets in stocks and other equity securities
growth-oriented companies located in of companies in the world's emerging
emerging markets. markets.
An emerging market is defined as a An emerging market is defined as one that
smaller, less experienced securities has experienced comparatively little
market typically located in Latin industrialization.
America, Europe, the Middle East, Africa
and Asia.
MG Fund may invest more than 25% of its BT Fund normally does not invest more
assets in securities of companies than 25% of its assets in securities of
located in each of Mexico and Brazil. companies located in any single country.
MG Fund may invest up to 35% of its total BT Fund may invest up to 35% of its
assets in cash, short-term securities and assets in emerging market bonds and other
equity securities traded in developed debt securities.
markets (including the U.S.)
- --------------------------------------------------------------------------------------------------------------------
EQUITY SECURITIES Each fund may invest in equity and equity related securities, including common stock,
preferred stock, rights and warrants, convertible securities and sponsored or
unsponsored ADRs, EDRs, GDRs and IDRs.
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PRINCIPAL STRATEGIES MG Fund's portfolio management team BT Fund invests for the long term and
generally uses a "bottom-up" approach to employs a strategy of growth at a
picking stocks. This approach focuses on reasonable price. The portfolio manager
individual stock selection rather than seeks to identify companies in emerging
country selection. MG Fund focuses on markets that combine strong potential for
undervalued stocks of companies with earnings growth with reasonable
fast-growing earnings and superior investment value. These companies
near-to-intermediate term performance typically exhibit increasing rates of
potential. profitability and cash flow, yet their
share prices compare favorably to those
of other stocks in a given market and of
their global peers.
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2
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MG Fund BT Fund
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The team uses an active process which In evaluating stocks, BT Fund's portfolio
emphasizes fundamental company research manager considers factors such as sales,
through financial analysis and company earnings, cash flow and enterprise
visits. The team also uses a value. Enterprise value is a company's
risk-controlled asset allocation process market capitalization plus the value of
and attempts to add value at the regional its net debt as well as other quantitative
level. factors. These indicators of growth and value
may identify companies with improving
growth prospects before the market in
general has taken notice.
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OTHER INVESTMENTS Each fund may invest in debt securities, bond and other debt instruments,
DEBT SECURITIES including sovereign and supranational debt obligations.
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MINIMUM CREDIT MG Fund's investments in debt securities BT Fund will invest only in debt
QUALITY are not subject to any minimum credit securities that have earned a rating of C
rating requirements. Thus, MG Fund can or better from S&P or Moody's or, if
invest up to 35% of its assets in unrated, determined to be of comparable
securities rated below the top four quality. The fund will not invest more
long-term rating categories of a rating than 5% of its assets in bonds or other
organization or determined by MGIS to be debt securities rated BBB or lower by S&P
of comparable quality. These below or Baa or lower by Moody's.
investment grade securities are commonly
known as "junk bonds."
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BRADY BONDS Each fund may invest in Brady Bonds that have been issued by Argentina,
Brazil, Costa Rica, Mexico, Nigeria, the Philippines, Uruguay and Venezuela.
---------------------------------------------------------------------------------------
MG Fund may also invest in Brady Bonds
issued by the governments of Bulgaria,
the Dominican Republic, Ecuador, Jordan,
Panama and Poland.
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ILLIQUID SECURITIES Each fund may invest up to 15% of its net assets in illiquid securities.
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT Each fund may invest in other investment companies to the extent permitted by the
COMPANIES Investment Company Act of 1940.
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DERIVATIVES Each fund may:
(box) Purchase and sell (write) put and call options on securities, securities
indices and currencies. These options may be traded on exchanges or over-the-
counter.
(box) Enter into futures contracts on securities, securities indices and
currencies, and may purchase and write put and call options on these futures
contracts.
(box) Enter into forward contracts on currencies.
- --------------------------------------------------------------------------------------------------------------------
DERIVATIVES MG Fund may also: BT Fund may purchase options on any type
(box) Purchase and write yield curve of security that it may invest in, but
options. may write securities options only if they
(box) Enter into currency swaps and are based on stocks.
interest rate swaps, caps and
floors.
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3
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MG Fund BT Fund
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MG Fund may engage in any of the above BT Fund may purchase and write securities
derivatives transactions for both hedging and index options for both hedging
and non-hedging purposes. purposes and non-hedging purposes, but
may enter into other options, futures
and forward contracts only for hedging
purposes.
- --------------------------------------------------------------------------------------------------------------------
TEMPORARY DEFENSIVE Each fund may depart from its principal investment strategies in order to take a
POSITIONS temporary defensive position by investing up to 100% of its assets in U.S. or foreign
government money market instruments or other short term debt securities.
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PRINCIPAL INVESTMENT RISKS
- --------------------------------------------------------------------------------------------------------------------
GENERAL You could lose money on your investment in either fund. There is no guarantee that
either fund will achieve its investment objective.
- --------------------------------------------------------------------------------------------------------------------
MANAGEMENT RISK The value of each fund's shares depends in part on the ability of its adviser to
assess economic conditions and investment opportunities. If the adviser's judgment
about the attractiveness of various investments proves to be incorrect, a fund may
underperform its stated benchmark or competing investments.
- --------------------------------------------------------------------------------------------------------------------
STOCK MARKET RISK As with any equity growth fund, the value of your investment in either fund will
fluctuate in response to stock market movements. An adverse event, such as an
unfavorable earnings report, may depress the value of a particular company's stock.
- --------------------------------------------------------------------------------------------------------------------
FOREIGN COUNTRY RISKS Foreign investing involves higher risks than investing in U.S. markets because the
value of each fund's investments depends in part upon currency exchange rates,
political and regulatory environments and overall economic factors in the countries in
which the fund invests. In addition:
(box) Foreign governments could expropriate or nationalize assets, impose
withholding or other taxes on dividend or interest payments or capital gains and
prohibit transactions in the country's currency.
(box) Foreign companies may not be subject to the same accounting, auditing and
financial reporting standards and requirements as U.S. companies.
(box) Foreign brokerage commissions and custodian fees are generally higher than
those in the United States.
(box) Foreign countries' securities markets may be less liquid, more volatile and
subject to less government regulation than U.S. securities markets.
- --------------------------------------------------------------------------------------------------------------------
CURRENCY Each fund invests in foreign securities denominated in foreign currencies. A decline
RISK in the value of foreign currencies relative to the U.S. dollar will reduce the value
of a fund's securities denominated in those currencies.
- --------------------------------------------------------------------------------------------------------------------
EMERGING Emerging markets generally have less mature economic structures and less stable
MARKET RISKS political systems than more developed markets. Emerging markets may have high
inflation and rapidly changing interest and currency exchange rates. Regulators in
emerging market countries are more likely than those in developed countries to impose
capital controls. Securities markets in these
countries tend to be more volatile and less liquid
than in developed countries.
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COUNTRY Since MG Fund may invest more than 25% BT Fund does not concentrate
CONCENTRATION RISK of its investments in Brazil and Mexico, its investments in any one country.
it could be particularly susceptible to
adverse political and economic
developments in those countries.
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MG Fund BT Fund
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RISKS ASSOCIATED The value of bonds and other fixed income securities held by a fund will normally
WITH FIXED INCOME decline when interest rates rise. The longer a fixed income security's duration and
SECURITIES the lower its credit quality, the more its value typically falls. The value of a fixed
income security will also go down in value if the issuer defaults on its principal and
interest payment obligations or has its credit rating downgraded.
- --------------------------------------------------------------------------------------------------------------------
BELOW INVESTMENT GRADE Investments in below investment grade securities are subject to a greater risk of
SECURITIES issuer default than higher rated securities. These securities are riskier because
they are issued by companies and government entities that are not as financially
secure as issuers of higher rated securities and are more sensitive to increases in
interest rates, economic downturns and adverse market conditions.
- --------------------------------------------------------------------------------------------------------------------
DERIVATIVES RISKS Derivatives used for hedging may not fully offset the underlying positions.
Derivatives transactions may not have the intended effects and may result in losses
or missed opportunities. Derivatives that involve leverage may magnify losses from
adverse market developments. In addition, there is the risk that a counterparty will
fail to honor a contract's terms, which would deprive a fund of the hedging and other
benefits of the contract. Some derivatives, especially those not traded on an
exchange, may become illiquid and difficult to value accurately.
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YEAR 2000 RISK Many computer systems today cannot distinguish the year 2000 from the year 1900
because of the way dates are encoded and calculated. Each fund's investment adviser
is taking steps designed to address the year 2000 problem and to obtain reasonable
assurances that comparable steps are being taken by the fund's other major service
providers. Although there can be no assurance that these systems will be properly
adapted in time for the year 2000, the advisers expect that they will be. If an
issuer of securities in either fund's portfolio is unable to resolve its year 2000
problems at a reasonable cost, these securities may go down in value. If the adviser
or its service providers do not succeed, it could materially affect shareholder
services.
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BUYING, EXCHANGING AND REDEEMING SHARES
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE Each fund calculates its net asset value per share (NAV) at the close of regular
trading on the New York Stock Exchange (NYSE) (normally 4:00 p.m. Eastern time) on
each business day. Each fund's portfolio securities are valued either based on
market quotations or if market quotations are unavailable, at fair
value, which involves estimating a security's value based on information other than
market quotations.
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CLASSES OF SHARES MG Fund offers two classes of shares: BT Fund has only one class of shares,
Institutional shares and Service shares. which is offered without a sales charge.
Both Institutional and Service shares are
offered to the public without a sales
charge. Only Institutional shares are being
offered to BT Fund shareholders in this
proxy statement and prospectus.
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RULE 12B-1 AND Institutional shares are not subject to BT Fund shares are not subject to any
SERVICE FEES any Rule 12b-1 or service fee. Rule 12b-1 or service fee.
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BUYING AND SELLING SHARES Institutional shares: Institutions and Investors may purchase or redeem
other investors may purchase and shares either from authorized brokers or
redeem shares through brokers or by directly from BT Fund.
dealing directly with MG Fund.
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MG Fund BT Fund
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Minimum investment Institutional shares: $250,000 Initial: $2,500
amounts Subsequent: $250
- --------------------------------------------------------------------------------------------------------------------
Exchanging shares Institutional shares may be exchanged BT Fund shares may be exchanged for
for institutional shares of any other shares of another BT mutual fund up to
Morgan Grenfell fund in amounts as low four times a year without charge.
as $50,000.
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MG Fund will waive the minimum investment amount for any BT Fund account that,
after the reorganization, contains less than the minimum investment amount
required for MG Fund.
FEES AND EXPENSES
This table describes the fees and expenses that you may pay if you buy and hold
Institutional shares of MG Fund or shares of BT Fund. The table also shows pro
forma expenses of Institutional shares of MG Fund following the proposed
reorganization.
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FOR THE YEAR ENDED [OCTOBER 31, 1998] MG FUND MG FUND BT FUND
(PRO FORMA) INSTITUTIONAL SHARES
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SHAREHOLDER FEES None None None
(fees paid directly from your investment)
- -------------------------------------------------------------------------------------------------------------
ANNUAL FUND OPERATING EXPENSES BEFORE
EXPENSE LIMITATION(1)
(expenses deducted from fund assets)
- -------------------------------------------------------------------------------------------------------------
Management fees 1.00% 1.00% 1.10%
- -------------------------------------------------------------------------------------------------------------
Distribution (12b-1) and/or service fees None None None
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Other expenses 0.52% 0.52% 9.61%
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TOTAL ANNUAL FUND OPERATING EXPENSES(1) 1.52% 1.52% 10.71%
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(1) MG Fund has an expense limitation which is voluntary and may be revoked at
any time by MGIS, the fund's investment adviser. BT has agreed contractually for
the 16-month period ending January 31, 2000 to waive its own fees and reimburse
other BT Fund expenses so that the BT Fund's expenses will not exceed 1.90%.
MGIS has agreed to waive for an indefinite period its own fees and reimburse
other MG Fund expenses so that the MG Fund's expenses will not exceed 1.25% for
Institutional shares.
THE REORGANIZATION
TERMS OF THE REORGANIZATION
The funds' trustees have approved an Agreement and Plan of Reorganization, a
copy of which is attached as Exhibit A. The Agreement provides for a
reorganization on the following terms:
(box) The reorganization is scheduled to occur at 5:00 p.m., Eastern time, on
September 30, 1999, but may occur on any later date before December 31,
2000.
(box) Prior to the reorganization BT Fund will redeem its entire interest in
BT Portfolio in exchange for a pro rata share of the portfolio
securities and other assets of BT Portfolio. In the reorganization, BT
Fund will transfer all of its assets to MG Fund, and in exchange MG Fund
will assume BT Fund's liabilities and issue shares as described below.
(box) MG Fund will issue Institutional shares to BT Fund in an amount equal to
the value of the assets received by MG Fund, less the liabilities
assumed by MG Fund, in the transaction. These shares will immediately be
distributed by BT Fund to BT Fund's shareholders in proportion to their
holdings in BT Fund on the reorganization date. As a result,
shareholders of BT Fund will become Institutional shareholders of MG
Fund.
6
<PAGE>
(box) The net asset value of both funds will be computed as of 4:00 p.m.,
Eastern time, on the reorganization date.
(box) After the reorganization is over, BT Fund will be terminated.
The following diagram shows how the reorganization will be carried out.
- ------------------------- ----------------------
BT Fund transfers its MG Fund receives
assets and liabilities to assets from and
MG Fund assumes liabilities of
BT Fund
- ------------------------- ----------------------
BT Fund shareholders BT Fund receives MG Fund
receive MG Fund these shares and Institutional shares
Institutional shares distributes them to its are issued
shareholders
- ----------------------- ----------------------
TAX STATUS OF THE REORGANIZATION
The reorganization will be tax-free for federal income tax purposes and will not
take place unless BT Fund and MG Fund receive from the law firm of Hale and Dorr
LLP, a satisfactory opinion substantially to the effect that:
(box) The transfer of BT Fund's assets to MG Fund in exchange for
Institutional shares of MG Fund and the assumption of BT Fund's
liabilities, followed by the distribution of such shares to BT Fund's
shareholders and the termination of BT Fund, will be a "reorganization"
within the meaning of Section 368(a)(1) of the Internal Revenue Code of
1986 (the "Code"), and each fund will be "a party to a reorganization"
within the meaning of Section 368(b) of the Code;
(box) No gain or loss will be recognized by BT Fund upon (1) the transfer of
all of its assets to MG Fund as described above or (2) the distribution
by BT Fund of MG Fund Institutional shares to BT Fund's shareholders;
(box) No gain or loss will be recognized by MG Fund upon the receipt of BT
Fund's assets solely in exchange for the issuance of MG Fund
Institutional shares to BT Fund and the assumption of all of BT Fund's
liabilities by MG Fund;
(box) The basis of the assets of BT Fund acquired by MG Fund will be, in each
instance, the same as the basis of those assets in the hands of BT Fund
immediately before the transfer;
(box) The tax holding period of the assets of BT Fund in the hands of MG Fund
will include BT Fund's tax holding period for those assets;
(box) The shareholders of BT Fund will not recognize gain or loss upon the
exchange of all their shares of BT Fund solely for MG Fund
Institutional shares as part of the reorganization;
(box) The basis of MG Fund Institutional shares received by BT Fund's
shareholders in the reorganization will be the same as the basis of the
shares of BT Fund surrendered in exchange; and
(box) The tax holding period of the MG Fund Institutional shares received by
BT Fund's shareholders will include, for each shareholder, the tax
holding period of the shares of BT Fund surrendered in exchange,
provided that the MG Fund Institutional shares were held as capital
assets on the date of the exchange.
7
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REASONS FOR THE PROPOSED REORGANIZATION
The board of trustees of BT Fund believes that the proposed reorganization will
be advantageous to the shareholders of BT Fund for several reasons. The board of
trustees considered the following matters, among others, in approving the
reorganization in a meeting held on June 9, 1999.
OVERLAPPING INVESTMENT STRATEGY AND MARKET NICHE. BT Fund and MG Fund both have
essentially identical investment objectives and invest primarily in the equity
securities of companies in emerging markets. This is a highly specialized asset
class appealing to a relatively narrow group of investors. U.S. mutual funds
investing in emerging market equities accounted for less than __% of new sales
of mutual fund shares in 1998. Due to the acquisition of BT by Deutsche Bank AG
on June 4, 1999, both funds are now being marketed by the same sales force.
Because offering each fund hinders the other fund's potential for asset growth,
it is not advantageous to operate and market BT Fund separately from MG Fund.
GREATER DIVERSIFICATION. As described further below, the MG Fund is
significantly larger than the BT Fund. Shareholders of both funds may be better
served by a combined fund offering greater diversification. To the extent that
combining the funds' assets into a single portfolio creates a larger asset base,
MG Fund's investment portfolio can achieve greater diversification after the
reorganization than is currently possible for either fund and particularly the
significantly smaller BT Fund. Greater diversification is expected to benefit
the shareholders of both funds because it may reduce the negative effect that
the adverse performance of any one security may have on the performance of the
entire portfolio.
INVESTMENT PERFORMANCE. MG Fund Institutional shares received in the
reorganization will provide BT Fund's shareholders with substantially the same
investment advantages as they currently have at a comparable level of risk. The
BT Fund board of trustees also considered the performance history of each fund,
which is shown in the table below. Although BT Fund outperformed MG Fund for the
one-year period ended June 30, 1999, the trustees noted that BT Fund had only
existed for one year and that market conditions during the one year period were
extremely volatile. The trustees noted that the portfolio manager for BT Fund
who had played an important role in achieving that performance record left and
that the BT Fund's current portfolio manager had been with the BT Fund for less
than six months. From January 1, 1999 through July 20, 1999, the difference in
the two funds' performance narrowed. During this time period, MG Fund's
performance was 37.16% and BT Fund's performance was 42.98%. The trustees
considered the possibility that, in light of BT Fund's small asset size, BT
Fund's initial one year performance record does not provide a sufficient period
to adequately evaluate its performance in comparison with other emerging market
funds. The trustees further noted that due to the overlapping investment
strategy, market niche and the similar marketing channels of these funds, all
shareholders may benefit by the greater diversification and the possibility of
reduced expenses due to the combination of the funds.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
MG FUND BT FUND
INSTITUTIONAL SHARES
(INCEPTION 2/1/94) (INCEPTION 6/30/98)
- --------------------------------------------------------------------------------
1 year ended 6/30/99 12.85% 29.90%
- --------------------------------------------------------------------------------
5 years ended 6/30/99 (1.67)% N/A
- --------------------------------------------------------------------------------
Inception through 6/30/99 (3.72)% 29.90%
- --------------------------------------------------------------------------------
Year to date (7/20/99) 37.16% 42.98%
- --------------------------------------------------------------------------------
POSSIBILITY OF REDUCED EXPENSES. A combined fund offers economies of scale that
may lead to better control over expenses than is currently possible,
particularly for BT Fund. Both funds incur substantial costs for accounting,
legal, transfer agency services, insurance, and custodial and administrative
services. As shown in the fee table in the Summary, the investment management
fee rate and expense ratio of MG Fund Institutional shares are lower than those
of BT Fund, both on a gross basis and after taking into account current fee
waivers and expense reimbursements.
BENEFITS TO MG FUND. The board of trustees of MG Fund considered that the
reorganization presents an excellent opportunity for MG Fund to acquire
investment assets without the obligation to pay commissions or other transaction
costs that are normally associated with the purchase of portfolio securities.
This opportunity provides an economic benefit to MG Fund and its shareholders.
BENEFITS TO ADVISERS AND OTHER SERVICE PROVIDERS. The boards of trustees of both
funds considered that the funds' advisers, administrators and distributors will
also benefit from the reorganization. For example, the advisers and
administrators might realize time savings from a consolidated portfolio
management
8
<PAGE>
effort and from the need to prepare fewer prospectuses, reports and regulatory
filings. The trustees believe, however, that these savings will not amount to a
significant economic benefit.
9
<PAGE>
ADDITIONAL TERMS OF AGREEMENT AND PLAN OF REORGANIZATION
SURRENDER OF SHARE CERTIFICATES. Shareholders of BT Fund whose shares are
represented by one or more share certificates should, before the reorganization
date, either surrender their certificates to BT Fund or deliver to BT Fund a
lost certificate affidavit, in the form and accompanied by any surety bonds that
BT Fund may require (collectively, an "Affidavit"). On the reorganization date,
all certificates that have not been surrendered will be cancelled, will no
longer evidence ownership of BT Fund's shares and will evidence ownership of MG
Fund Institutional shares. Shareholders may not redeem or transfer the MG Fund
Institutional shares received in the reorganization until they have surrendered
their MG Fund share certificates or delivered an Affidavit. MG Fund will not
issue share certificates in the reorganization.
CONDITIONS TO CLOSING THE REORGANIZATION. The obligation of BT Fund to
consummate the reorganization is subject to the satisfaction of certain
conditions, including the performance by MG Fund of all its obligations under
the Agreement and the receipt of an officers' certificate and an opinion of
counsel from MG Fund (see Agreement, paragraph 6).
The obligation of MG Fund to consummate the reorganization is subject to the
satisfaction of certain conditions, including BT Fund's performance of all of
its obligations under the Agreement and the receipt of certain financial and tax
information, an officers' certificate and an opinion of counsel from BT Fund
(see Agreement, paragraph 7).
The obligations of both funds are subject to the approval of the Agreement by
the necessary vote of the outstanding shares of BT Fund, in accordance with the
provisions of BT Fund's declaration of trust and by-laws. The funds' obligations
are also subject to several other conditions, including the receipt of all
consents, orders and permits necessary to consummate the reorganization and the
receipt of a favorable opinion of counsel to each fund as to the federal income
tax consequences of the reorganization. (see Agreement, paragraph 8).
TERMINATION OF AGREEMENT. BT Fund or MG Fund may mutually agree to terminate the
Agreement (even if the shareholders of BT Fund have already approved it) at any
time before the reorganization date. Either fund may also terminate the
Agreement if the other fund has breached any representation, warranty or
agreement contained in the Agreement or if any condition to closing the
reorganization cannot or will not be met.
EXPENSES OF THE REORGANIZATION. Bankers Trust Company has informed the funds
that it will bear all costs of the reorganization except that BT Fund will bear
the fees and expenses incurred in connection with its liquidation and
termination. These liquidation and termination fees are expected to be
approximately $5,000.
CAPITALIZATION
The following table sets forth the capitalization of each fund as of April 30,
1999, and the PRO FORMA combined capitalization of both funds as if the
reorganization had occurred on that date. The table reflects PRO FORMA exchange
ratios of approximately 1.90 MG Fund Institutional shares being issued for each
share of BT Fund. If the reorganization is consummated, the actual exchange
ratios on the reorganization date may vary from the exchange ratios indicated
due to changes in any of the following:
(box) The market value of the portfolio securities of both MG Fund and BT
Fund between April 30, 1999 and the reorganization date.
(box) Changes in the amount of undistributed net investment income and net
realized capital gains of MG Fund and BT Fund during that period
resulting from income and distributions.
(box) Changes in the accrued liabilities of MG Fund and BT Fund during the
same period.
10
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
CAPITALIZATION AS MG FUND
OF APRIL 30, 1999 BT FUND MG FUND PRO FORMA COMBINED(1)
------- ------- ---------------------
INSTITUTIONAL SERVICE INSTITUTIONAL SERVICE
------------- ------- ------------- -------
<S><C>
NET ASSETS $3,330,622 $133,694,604 N/A $137,025,226 N/A
NET ASSET VALUE PER SHARE $12.03 $6.34 N/A 6.34 N/A
SHARES OUTSTANDING 276,807 21,083,984 N/A 21,609,319 N/A
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) If the reorganization had taken place on April 30, 1999, BT Fund would have
received 525,335 Institutional shares of MG Fund, which would have been
available for distribution to the shareholders of BT Fund.
It is impossible to predict how many Institutional shares of MG Fund will
actually be received and distributed by BT Fund on the reorganization date. The
table should not be relied upon to determine the amount of MG Fund Institutional
shares that will actually be received and distributed.
COMPARISON OF BUSINESS TRUSTS UNDER DELAWARE AND MASSACHUSETTS LAW
BT Fund is organized as a Massachusetts business trust. MG Fund is organized as
a Delaware business trust. The following is a comparison of the laws of
Massachusetts and Delaware applicable to business trusts.
LIMITATION OF SHAREHOLDERS' AND FUNDS' LIABILITY. Delaware law provides that the
shareholders of a Delaware business trust shall not be subject to liability for
the debts or obligations of the trust. Under Massachusetts law, shareholders of
a Massachusetts business trust (such as BT Fund) may, under certain
circumstances, be liable for the debts and obligations of that trust. Although
the risk of liability of shareholders of a Massachusetts business trust who do
not participate in the management of the trust may be remote, Delaware statutory
law may be considered to afford greater protection against potential shareholder
liability. Similarly, Delaware law provides that, to the extent that a Delaware
business trust issues multiple series of shares, each series shall not be liable
for the debts or obligations of any other series, another potential, although
remote, risk in the case of multiple series of a Massachusetts business trust.
While it is frequently assumed that a Massachusetts business trust will only be
liable for its own obligations, there is no direct statutory or judicial support
for that position.
LIMITATION OF TRUSTEE LIABILITY. Delaware law provides that, except to the
extent otherwise provided in a trust's declaration of trust or by-laws, trustees
will not be personally liable to any person (other than the business trust or a
shareholder thereof) for any act, omission or obligation of the business trust
or any trustee thereof. Delaware law also provides that a trustee's actions
under a Delaware business trust's declaration of trust or by-laws will not
subject the trustee to liability to the business trust or its shareholders if
the trustee takes such action in good faith reliance on the provisions of the
business trust's declaration of trust or by-laws. The declaration of trust of a
Massachusetts business trust may limit the liability of a trustee who is not
also an officer of the trust for breach of fiduciary duty except for, among
other things, any act or omission not in good faith which involves intentional
misconduct or a knowing violation of law or any transaction from which such
trustee derives an improper direct or indirect financial benefit. These
limitations on liability under Delaware law are generally consistent with those
applicable to directors of a corporation under Delaware law and may be
beneficial in attracting and retaining qualified persons to act as trustees.
SHAREHOLDER VOTING. Delaware law provides that a Delaware business trust's
declaration of trust or by-laws may set forth provisions related to voting in
any manner. This provision appears to permit shareholder voting through computer
or electronic media. For an investment company with a significant number of
shareholders with access to computer or electronic networks, the use of such
voting methods could significantly reduce the costs of shareholder voting.
11
<PAGE>
DECLARATIONS OF TRUST. Although neither a Delaware business trust nor a
Massachusetts business trust is required to hold annual shareholder meetings,
Delaware law affords to the trustees the ability to adapt the Delaware business
trust to future contingencies without the necessity of holding a special
shareholder meeting. The trustees of a Delaware business trust may have the
power to amend the business trust's governing instrument to create a class or
series of shares of beneficial interest that was not previously outstanding; to
dissolve the business trust; to incorporate the Delaware business trust; to
merge or consolidate with another entity; to sell, lease, exchange, transfer,
pledge or otherwise dispose of all or any part of the business trust's assets;
to cause any series to become a separate trust; and to change the Delaware
business trust's domicile -- all without shareholder vote. Any exercise of
authority by the trustees will be subject to applicable state and federal law.
The flexibility of Delaware business trusts should help to assure that a
Delaware business trust operates under the most advantageous form of
organization and is intended to reduce the expense and frequency of future
shareholder meetings for non-investment-related operational issues.
ADDITIONAL INFORMATION ABOUT THE FUNDS' BUSINESSES
The following table shows where in each fund's prospectus you can find
additional information about the business of the fund.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
TYPE OF INFORMATION HEADINGS IN PROSPECTUSES
- -------------------------------------------------------------------------------------------------------------------
MG FUND BT FUND
- -------------------------------------------------------------------------------------------------------------------
<S><C>
RISK/RETURN SUMMARY Fund Descriptions: Emerging Markets Overview of the Institutional
Equity Global Emerging Markets Equity Fund
- -------------------------------------------------------------------------------------------------------------------
Investment objectives/goals Investment Objective and Strategy Goal
- -------------------------------------------------------------------------------------------------------------------
Principal investment strategies Investment Objective and Strategy, Core Strategy, Investment Policies
Principal Holdings and Strategies
- -------------------------------------------------------------------------------------------------------------------
Principal risks of investing in the Investment Risks, Who May Want to Principal Risks of Investing in the
funds: narrative disclosure Invest Fund, Who Should Consider Investing
in the Fund
- -------------------------------------------------------------------------------------------------------------------
Principal risks of investing in the Fund Performance Total Returns, After Fees and
funds: risk/return bar chart and table Expenses
- -------------------------------------------------------------------------------------------------------------------
Fee table Shareholder Expenses Annual Fund Operating Expenses
- -------------------------------------------------------------------------------------------------------------------
BODY OF PROSPECTUS A Detailed Look at the
Institutional Global Emerging
Markets Equity Fund
- -------------------------------------------------------------------------------------------------------------------
Investment objectives, principal More About Risk Objective, The Case for Emerging
investment strategies and related Markets, Strategy, Principal
risks Investments, Investment Process,
Risks
- -------------------------------------------------------------------------------------------------------------------
Management: investment Investment Adviser Management of the Fund
adviser and portfolio manager
- -------------------------------------------------------------------------------------------------------------------
Shareholder information: Managing Your Investment: Buying Calculating the Fund's Share Price
pricing of fund shares and Selling Shares: How Shares are
Priced
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
TYPE OF INFORMATION HEADINGS IN PROSPECTUSES
- -------------------------------------------------------------------------------------------------------------------
MG FUND BT FUND
- -------------------------------------------------------------------------------------------------------------------
<S><C>
Shareholder information: Managing Your Investment: Buying and Selling Fund Shares
purchase of fund shares Buying and Selling Shares:
Buying and Selling Shares
Through a Plan, Buying and
Selling Shares Through a Broker,
Buying and Selling Shares
Directly, Payment of
Redemption Proceeds
- ---------------------------------------
Shareholder information:
redemption of fund shares
- -------------------------------------------------------------------------------------------------------------------
Shareholder information: Managing Your Investment: Holding Dividends and Distributions, Tax
dividends and distributions; tax Shares: Dividends and Considerations
consequences Distributions, Tax Considerations
- -------------------------------------------------------------------------------------------------------------------
Financial highlights Financial Highlights Financial Highlights
information
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
BOARDS' EVALUATION AND RECOMMENDATION
For the reasons described above, the board of trustees of BT Fund, including the
trustees who are not "interested persons" of either fund or any of their
advisers ("independent trustees"), approved the reorganization at a meeting held
on June 9, 1999. In particular, the board determined that the reorganization was
in the best interests of BT Fund and that the interests of BT Fund's
shareholders would not be diluted as a result of the reorganization. Similarly,
the board of trustees of MG Fund, including the independent trustees, approved
the reorganization at a meeting held on June 9, 1999. The board also determined
that the reorganization was in the best interests of MG Fund and that the
interests of MG Fund's shareholders would not be diluted as a result of the
reorganization.
----------------------------------------------------------------------------
THE BOARD OF TRUSTEES OF BT FUND RECOMMENDS THAT THE SHAREHOLDERS OF BT FUND
VOTE FOR THE PROPOSAL TO APPROVE THE AGREEMENT AND PLAN OF REORGANIZATION.
----------------------------------------------------------------------------
VOTING RIGHTS AND REQUIRED VOTE
Each share of BT Fund outstanding on the record date is entitled to one vote.
Approval of the above proposal requires the affirmative vote of a majority of
the shares of BT Fund outstanding and entitled to vote. For this purpose, a
majority of the outstanding shares of BT Fund means the vote of the lesser of:
(1) 67% or more of the shares present at the meeting, if the holders of more
than 50% of the shares of the BT Fund are present or represented by proxy, or
(2) more than 50% of the outstanding shares of the BT Fund.
Shares of BT Fund represented in person or by proxy, including shares which
abstain or do not vote on the proposal, will be counted for purposes of
determining whether there is a quorum at the meeting. These include proxies
submitted by a broker or nominee holding shares in "street name" who indicates
on the proxy card that it does not have discretionary authority to vote on the
proposal. Accordingly, an abstention from voting or a "broker non-vote" has the
same effect as a vote against the proposal.
13
<PAGE>
If the required approval of shareholders is not obtained, BT Fund will continue
to engage in business as a separate mutual fund and the board of trustees will
consider what further action may be appropriate.
INFORMATION CONCERNING THE MEETING
SOLICITATION OF PROXIES
In addition to the mailing of these proxy materials, proxies may be solicited by
telephone, by fax, through the Internet or in person by the trustees, officers
and employees of BT Fund or by personnel of BT or ICC Distributors, Inc., the
distributor of BT Fund's shares. Shareholder Communications, a third party
solicitation firm, has agreed to provide proxy solicitation services to BT Fund
at a cost of approximately $_______, all of which will be borne by BT. [If BT
Fund records votes through the Internet, it will use procedures designed to
authenticate shareholders' identities, to allow shareholders to authorize the
voting of their shares in accordance with their instructions, and to confirm
that their instructions have been properly recorded. Proxies voted through the
Internet may be revoked at any time before they are voted in the same manner
that proxies voted by mail may be revoked.]
REVOKING PROXIES
A BT Fund shareholder signing and returning a proxy has the power to revoke it
at any time before it is exercised:
(box) By filing a written notice of revocation with BT Fund's transfer agent, or
(box) By returning before the time of the meeting a duly executed proxy with
a later date than the proxy being revoked, or
(box) If a shareholder has executed a proxy but is present at the meeting and
wishes to vote in person, by notifying the secretary of BT Fund at the
meeting at any time before it is voted.
Being present at the meeting alone will NOT revoke a previously executed and
returned proxy.
OUTSTANDING SHARES AND QUORUM
As of July 22, 1999, _______shares of BT Fund were outstanding. Only
shareholders of record on July 22, 1999 (the "record date") are entitled to
notice of and to vote at the meeting. A majority of the outstanding shares of BT
Fund that are entitled to vote will be considered a quorum for the transaction
of business.
OTHER BUSINESS
BT Fund's board of trustees knows of no business to be presented for
consideration at the meeting other than the proposal. If other business is
properly brought before the meeting, proxies will be voted according to the best
judgment of the persons named as proxies.
14
<PAGE>
ADJOURNMENTS
If a quorum is not present in person or by proxy at the time any session of the
meeting is called to order, the persons named as proxies may vote those proxies
that have been received to adjourn the meeting to a later date. If a quorum is
present but there are not sufficient votes in favor of the proposal, the persons
named as proxies may propose one or more adjournments of the meeting to permit
further solicitation of proxies concerning the proposal. Any adjournment will
require the affirmative vote of a majority of BT Fund's shares present at the
session of the meeting to be adjourned. If an adjournment of the meeting is
proposed because there are not sufficient votes in favor of the proposal, the
persons named as proxies will vote those proxies favoring the proposal in favor
of adjournment, and will vote those proxies against the reorganization against
adjournment.
TELEPHONE VOTING
In addition to soliciting proxies by mail, by fax or in person, BT Fund may also
arrange to have votes recorded by telephone by officers and employees of BT Fund
or by personnel of BT or ICC Distributors, Inc.
OWNERSHIP OF SHARES OF THE FUNDS
To the knowledge of the funds, as of July 22, 1999, the following persons owned,
of record or beneficially, 5% or more of the outstanding shares of BT Fund and
MG Fund (before the reorganization) and would own, (after the reorganization),
5% or more of the shares of the MG Fund.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
NAMES AND ADDRESSES OF OWNERS BT FUND MG FUND MG FUND
OF MORE THAN 5% OF SHARES (BEFORE REORGANIZATION) (AFTER REORGANIZATION)
---------------- ----------------- ---------------- -----------------
Institutional Service Institutional Service
- -------------------------------------------------------------------------------------------------------------------
<S><C>
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE>
[Identify separately any control persons (25% or greater)]
[As of July 22, 1999, the trustees and officers of BT Fund and MG Fund, each as
a group, owned in the aggregate less than 1% of the outstanding shares of their
respective funds.]
EXPERTS
The financial statements and the financial highlights of BT Fund as of September
30, 1998 and for the period then ended and of MG Fund as of October 31, 1998 and
for the period/years in the period then ended are incorporated by reference into
this proxy statement and prospectus. These financial statements and highlights
for each of BT Fund and MG Fund have been audited by PricewaterhouseCoopers LLP,
independent accountants for each fund, as stated in the reports appearing in the
respective Annual Report to shareholders which is incorporated by reference in
the statement of additional information. These financial statements and
highlights are included in reliance upon the reports given upon the authority of
such firm as an expert in accounting and auditing.
AVAILABLE INFORMATION
Each fund is subject to the informational requirements of the Securities
Exchange Act of 1934 and the Investment Company Act of 1940 and files reports,
proxy statements and other information with the SEC. These reports, proxy
statements and other information filed by the funds can be inspected and copied
(at prescribed rates) at the public reference facilities of the SEC at 450 Fifth
Street, N.W., Washington, D.C., and at the following regional offices: Chicago
(500 West Madison Street, Suite 1400, Chicago, Illinois); and New York (7 World
Trade Center, Suite 1300, New York, New York). Copies of such material can also
be obtained by mail from the Public Reference Section of the SEC at 450 Fifth
Street, N.W., Washington, D.C. 20549, at prescribed rates. In addition, copies
of these documents may be viewed on-screen or downloaded from the SEC's Internet
site at http://www.sec.gov.
16
<PAGE>
Form of Proxy Card
BT INVESTMENT FUNDS
BT GLOBAL EMERGING MARKETS EQUITY FUND
One South Street, Baltimore, Maryland
PROXY FOR THE SPECIAL MEETING OF STOCKHOLDERS
10:00 a.m., Eastern time, on Wednesday, September 29, 1999
The undersigned hereby appoints [___________________],
[_____________________] and {__________________], and each of them, with full
power of substitution as proxies of the undersigned to vote all shares of stock
that the undersigned is entitled in any capacity to vote at the above-stated
special meeting, and at any and all adjournments or postponements thereof (the
"Special Meeting"), on the matters set forth on this Proxy Card, and, in their
discretion, upon all matters incident to the conduct of the Special Meeting and
upon such other matters as may properly be brought before the Special Meeting.
This proxy revokes all prior proxies given by the undersigned.
All properly executed proxies will be voted as directed. If no
instructions are indicated on a properly executed proxy, the proxy will be voted
FOR approval of Proposal I. All ABSTAIN votes will be counted only in
determining the existence of a quorum at the Special Meeting.
THIS PROXY IS SOLICITED ON BEHALF OF THE BOARD OF TRUSTEES WITH
RESPECT TO THE BT GLOBAL EMERGING MARKETS EQUITY FUND. THE BOARD OF
TRUSTEES RECOMMENDS A VOTE FOR PROPOSAL I.
The appointed proxies will vote on any other business as may properly come
before the Special Meeting or any adjournment thereof.
Receipt of the notice and the Proxy Statement, dated August 21, 1999 (the
"Proxy Statement"), is hereby acknowledged.
To vote by Telephone
1) Read the Proxy Statement and have the Proxy card below at hand.
2) Call 1-800-690-6903
3) Enter the 12-digit control number set forth on the Proxy card and follow
the simple instructions.
To vote by Internet
1) Read the Proxy Statement and have the Proxy card below at hand.
2) Of to the Website www.proxyvote.com
3) Enter the 12-digit control number set forth on the Proxy card and follow
the simple instructions.
<PAGE>
Please mark boxes in blue or black ink.
I. Approval of agreement and plan of reorganization between BT Global
Emerging Markets Equity Fund and Morgan Grenfell Emerging Markets
Equity Fund ("MG Fund"), pursuant to which: (a) BT Fund would transfer
all of its assets to MG Fund in exchange for MG Fund's assumption of BT
Fund's liabilities and the issuance of Institutional shares of MG Fund
to be distributed pro rata to BT Fund shareholders, and (b) BT Fund
would be terminated.
FOR [ ] AGAINST [ ] ABSTAIN [ ]
- --------------------------------------------------------------------------------
PLEASE SIGN AND DATE BELOW AND MAIL THIS PROXY CARD PROMPTLY USING THE ENCLOSED
ENVELOPE.
------------------------------------------------
(Title or Authority)
------------------------------------------------
(Signature)
------------------------------------------------
(Signature)
Dated: [_________________________________], 1999
(Joint owners should EACH sign. Please sign
EXACTLY as your name(s) appears on this card.
When signing as attorney, trustee, executor,
administrator, guardian or corporate officer,
please give your FULL title below).
- --------------------------------------------------------------------------------
YOUR VOTE IS IMPORTANT, PLEASE SIGN, DATE AND MAIL THIS PROXY CARD PROMPTLY
USING THE ENCLOSED ENVELOPE.
<PAGE>
BT GLOBAL EMERGING MARKETS EQUITY FUND
One South Street
Baltimore, MD 21202
August __, 1999
Dear Fellow Shareowner,
I am writing to let you know that a meeting will be held September 29, 1999 for
shareowners to vote on an important proposal for BT Global Emerging Markets
Equity Fund (the "Fund"). As a shareowner in the Fund, you have the opportunity
to voice your opinion on this matter.
This package contains information about the proposal, along with a proxy card
for you to vote by mail. Please take a moment to read the enclosed materials and
cast your vote using the proxy card. Your prompt vote will help save money. If a
majority of shareowners have not voted prior to the meeting, we must try to
obtain more votes with additional mailings or phone solicitations. Both of these
are costly processes.
[SIDE: VOTING YOUR SHARES BY MAIL IS QUICK AND EASY. EVERYTHING YOU NEED IS
ENCLOSED.]
The proposal has been reviewed by the Fund's Board of Trustees, whose primary
role is to protect your interests as a shareowner. In the Trustees' opinion, the
proposal is fair and reasonable. The Trustees recommend that you vote FOR the
proposal. HERE IS WHAT A VOTE FOR THE PROPOSAL MEANS.
[SIDE: THE BOARD OF TRUSTEES RECOMMENDS THAT YOU VOTE FOR THE PROPOSAL.]
[SIDE: THE PROPOSAL:]
APPROVE AN AGREEMENT AND PLAN OF REORGANIZATION BETWEEN THE FUND AND MORGAN
GRENFELL EMERGING MARKETS EQUITY FUND ("MG Fund"), allowing the Fund to transfer
all of its assets and liabilities to MG Fund in exchange for Institutional
shares of MG Fund.
If the Proposal is approved, shareowners of the Fund will receive Institutional
shares of MG Fund, of the same total value. The Trustees believe the proposed
changes will help current shareowners by offering them a more diversified
investment in a larger fund with a lower expense ratio. The reorganization will
be tax-free for shareowners and the Funds.
The Funds have similar investment objectives: both seek capital appreciation
from investments in equity securities of companies located in emerging market
countries. The Trustees expect that Fund shareowners will receive the same
investment advantages as they currently have, yet with the potential for higher
returns given MG Fund's larger more diversified portfolio and lower expenses.
[SIDE: PLEASE VOTE! YOUR VOTE IS EXTREMELY IMPORTANT, NO MATTER HOW MANY
SHARES YOU OWN.]
[SIDE: CAST YOUR VOTE BY COMPLETING AND SIGNING THE PROXY CARD. PLEASE MAIL
YOUR COMPLETED AND SIGNED PROXY AS QUICKLY AS POSSIBLE, USING THE POSTAGE-PAID
ENVELOPE PROVIDED.]
Please feel free to call Bankers Trust Company at 1-800-___-____ if you have any
questions about the proposal or the process for voting your shares. Thank you
for your prompt response.
Sincerely,
/s/ John Y. Keffer
John Y. Keffer
President and Chief Executive Officer
<PAGE>
Exhibit A
H&D Draft 7/19/99
AGREEMENT AND PLAN OF REORGANIZATION
THIS AGREEMENT AND PLAN OF REORGANIZATION (the "Agreement") is made as of
this ____th day of __________, 1999, among (i) Morgan Grenfell Investment Trust
(the "Morgan Grenfell Trust"), a business trust organized under the laws of the
State of Delaware with its principal place of business at 885 Third Avenue, New
York, New York 10022, on behalf of Morgan Grenfell Emerging Markets Equity Fund
(the "Acquiring Fund"), a series of the Morgan Grenfell Trust , and (ii) BT
Investment Funds (the "BT Trust"), a business trust organized under the laws of
The Commonwealth of Massachusetts with its principal place of business at One
South Street, Baltimore, Maryland 21202, on behalf of Global Emerging Markets
Equity Fund (the "Acquired Fund"), series of the BT Trust.
This Agreement is intended to be and is adopted as a plan of
reorganization within the meaning of Section 368(a)(1) of the United States
Internal Revenue Code of 1986, as amended (the "Code"). The reorganization (the
"Reorganization") will consist of (i) the transfer of all of the assets of the
Acquired Fund to the Acquiring Fund in exchange for (a) the issuance of
Institutional Class shares of beneficial interest of the Acquiring Fund
(collectively, the "Acquiring Fund Shares" and each, an "Acquiring Fund Share")
to the Acquired Fund, and (b) the assumption by the Acquiring Fund of certain
scheduled liabilities of the Acquired Fund, and (ii) the distribution by the
Acquired Fund, on the Closing Date herein referred to or as soon thereafter as
conveniently practicable, of the Acquiring Fund Shares to the shareholders of
the Acquired Fund in liquidation of the Acquired Fund and the termination of the
Acquired Fund, all upon the terms and conditions hereinafter set forth in this
Agreement.
WHEREAS, the Morgan Grenfell Trust and the BT Trust are each registered
investment companies of the management type and the Acquired Fund owns
securities that generally are assets of the character in which the Acquiring
Fund is permitted to invest;
WHEREAS, the Acquiring Fund is authorized to issue shares of beneficial
interest;
WHEREAS, the Board of Trustees of the Morgan Grenfell Trust has determined
that the exchange of all of the assets and certain of the liabilities of the
Acquired Fund for Acquiring Fund Shares is in the best interests of the
Acquiring Fund shareholders and that the interests of the existing shareholders
of the Acquiring Fund would not be diluted as a result of this transaction;
WHEREAS, the Board of Trustees of the BT Trust has determined that the
exchange of all of the assets and certain of the liabilities of the Acquired
Fund for Acquiring Fund Shares and the assumption of such liabilities by the
Acquired Fund is in the best interests of the Acquiring Fund shareholders and
that the interests of the existing shareholders of the Acquired Fund would not
be diluted as a result of this transaction.
NOW, THEREFORE, in consideration of the promises and of the covenants and
agreements hereinafter set forth, the parties hereto covenant and agree as
follows:
1. TRANSFER OF ASSETS OF THE ACQUIRED FUND IN EXCHANGE FOR THE ACQUIRING FUND
SHARES AND ASSUMPTION OF THE ACQUIRED FUND'S SCHEDULED LIABILITIES AND
LIQUIDATION AND TERMINATION OF THE ACQUIRED FUND.
1.1. Subject to the terms and conditions herein set forth and on the basis
of the representations and warranties contained herein, the Acquired Fund agrees
to transfer its assets transferred to Acquiring Fund as set forth in paragraph
1.2 to the Acquiring Fund free and clear of all liens and encumbrances, and the
Acquiring Fund agrees in exchange therefor: (i) to issue and deliver to the
Acquired Fund the number of Acquiring Fund Shares, including fractional
Acquiring Fund Shares, determined by dividing the value
Page 1
<PAGE>
H&D Draft 7/19/99
of the Acquired Fund's net assets transferred to Acquiring Fund, computed in the
manner and as of the time and date set forth in paragraph 2.1, by the net asset
value of one Acquiring Fund Share, computed in the manner as of the time and
date set forth in paragraph 2.2; and (ii) to assume certain scheduled
liabilities of the Acquired Fund, as set forth in paragraph 1.3. Such
transactions shall take place at the closing provided for in paragraph 3.1 (the
"Closing").
1.2. (a) The assets of the Acquired Fund to be acquired by the Acquiring
Fund shall consist of all of its property, including, without limitation, all
good will, all interests in the name of the Acquired Fund, all other intangible
property and all books and records of the Acquired Fund.
(b) The Acquired Fund has provided the Acquiring Fund with a list of
all of the Acquired Fund's assets as of the date of execution of this Agreement.
The Acquired Fund reserves the right to sell any of these securities (except to
the extent sales may be limited by representations made in connection with
issuance of the tax opinion described in paragraph 8.6 hereof) but will not,
without the prior approval of the Acquiring Fund, acquire any additional
securities other than securities of the type in which the Acquiring Fund is
permitted to invest.
1.3. The Acquired Fund will endeavor to discharge all the Acquired Fund's
known liabilities and obligations prior to the Closing Date. The Acquiring Fund
shall assume all liabilities, expenses, costs, charges and reserves reflected on
an unaudited Statement of Assets and Liabilities of the Acquired Fund prepared
by Bankers Trust Company, as administrator of the Acquired Fund, as of the
Valuation Date, in accordance with generally accepted accounting principles
consistently applied from the prior audited period. The Acquiring Fund shall
assume only those liabilities of the Acquired Fund reflected in that unaudited
Statement of Assets and Liabilities and shall not assume any other liabilities,
whether absolute or contingent, not reflected thereon.
1.4. On the Closing Date or as soon thereafter as is conveniently
practicable (the "Liquidation Date"), the Acquired Fund will liquidate and
distribute pro rata to the Acquired Fund's shareholders of record determined as
of the close of business on the Closing Date (the "Acquired Fund Shareholders"),
the Acquiring Fund Shares it receives pursuant to paragraph 1.1. Such
liquidation and distribution will be accomplished by the transfer of the
Acquiring Fund Shares then credited to the account of the Acquired Fund on the
books of the Acquiring Fund to open accounts on the share records of the
Acquiring Fund in the name of the Acquired Fund's shareholders and representing
the respective pro rata number of the Acquiring Fund Shares due such
shareholders. All issued and outstanding shares of the Acquired Fund will
simultaneously be cancelled on the books of the Acquired Fund, although share
certificates representing interests in the Acquired Fund will represent a number
of Acquiring Fund Shares after the Closing Date as determined in accordance with
paragraph 1.1. The Acquiring Fund shall not issue certificates representing the
Acquiring Fund Shares in connection with such exchange.
1.5. Ownership of Acquiring Fund Shares will be shown on the books of the
Acquiring Fund's transfer agent. Acquiring Fund Shares will be issued in the
manner described in the Acquiring Fund's current prospectus and statement of
additional information.
1.6. Any transfer taxes payable upon issuance of the Acquiring Fund Shares
in a name other than the registered holder of the Acquired Fund shares on the
books of the Acquired Fund as of that time shall, as a condition of such
issuance and transfer, be paid by the person to whom such Acquiring Fund Shares
are to be issued and transferred.
1.7. Any reporting responsibility of the Acquired Fund is and shall remain
the responsibility of the Acquired Fund up to and including the Closing Date and
such later date on which the Acquired Fund is terminated.
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1.8. The Acquired Fund shall, following the Closing Date and the making of
all distributions pursuant to paragraph 1.4, be terminated under the laws of The
Commonwealth of Massachusetts and in accordance with its governing documents.
2. VALUATION
2.1. The value of the assets of the Acquired Fund to be transferred, and
liabilities of the Acquired Fund to be assumed, hereunder shall be the value of
such assets computed as of the close of regular trading on the New York Stock
Exchange, Inc. (the "NYSE") on the Closing Date (such time and date being
hereinafter called the "Valuation Date"), using the valuation procedures set
forth in the then current prospectus or statement of additional information of
the Acquired Fund.
2.2. The net asset value of the Acquiring Fund Shares shall be the value
computed as of the close of regular trading on the NYSE on the Valuation Date,
using the valuation procedures set forth in the then current prospectus or
statement of additional information of the Acquiring Fund.
2.3. All computations of value shall be made by Brown Brothers Harriman &
Co. in accordance with its regular practice as pricing agent for the Acquiring
Fund.
3. CLOSING AND CLOSING DATE
3.1. The Closing Date shall be September 30, 1999, or such later date as
the parties may agree to in writing. All acts taking place at the Closing shall
be deemed to take place simultaneously as of the close of business on the
Closing Date unless otherwise provided. The Closing shall be held as of 5:00
p.m. at the offices of Bankers Trust Company, One South Street, Baltimore,
Maryland 21202, or at such other time and/or place as the parties may agree.
3.2. The custodian for the Acquired Fund (the "Custodian") shall deliver
at the Closing a certificate of an authorized officer stating that: (a) the
Acquired Fund's assets have been delivered in proper form to the Acquiring Fund
on the Closing Date and (b) all necessary transfer taxes including all
applicable federal and state stock transfer stamps, if any, shall have been
paid, or provision for payment shall have been made, in conjunction with the
delivery of portfolio securities.
3.3. In the event that on the Valuation Date (a) the NYSE or another
primary trading market for portfolio securities of the BT Investment Portfolios
shall be closed to trading or trading thereon shall be restricted or (b) trading
or the reporting of trading on the NYSE or elsewhere shall be disrupted so that
accurate appraisal of the value of the net assets of the parties hereto is
impracticable, the Closing Date shall be postponed until the first business day
after the day when trading shall have been fully resumed and reporting shall
have been restored.
3.4. The Acquired Fund shall deliver to the Acquiring Fund at the Closing
a list of the names, addresses, taxpayer identification numbers and backup
withholding and nonresident alien withholding status of the Acquired Fund
Shareholders and the number and percentage ownership of outstanding shares owned
by each such shareholder immediately prior to the Closing, certified on behalf
of the Acquired Fund by the President or a Vice President of the BT Trust. The
Acquiring Fund shall issue and deliver a confirmation evidencing the Acquiring
Fund Shares to be credited to the Acquired Fund's account on the Closing Date to
the Secretary of the BT Trust on behalf of the Acquired Fund, or provide
evidence satisfactory to the Acquired Fund that such Acquiring Fund Shares have
been credited to the Acquired Fund's account on the books of the Acquiring Fund.
At the Closing, each party shall deliver to the other such bills of sale,
checks, assignments, share certificates, if any, receipts or other documents as
such other party or its counsel may reasonably request.
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4. REPRESENTATIONS AND WARRANTIES
4.1. The BT Trust and the Acquired Fund represent and warrant to the
Morgan Grenfell Trust and the Acquiring Fund as follows:
(a) The Acquired Fund is a series of the BT Trust, which is a business
trust, validly existing and in good standing under the laws of The Commonwealth
of Massachusetts and has the power to own all of its properties and assets and,
subject to approval by the shareholders of the Acquired Fund, to perform its
obligations under this Agreement. The Acquired Fund is not required to qualify
to do business in any jurisdiction in which it is not so qualified or where
failure to qualify would not subject it to any material liability or disability.
The Acquired Fund has all necessary federal, state and local authorizations to
own all of its properties and assets and to carry on its business as now being
conducted;
(b) The BT Trust is a registered investment company classified as a
management company of the open-end type, and its registration with the
Securities and Exchange Commission (the "Commission") as an investment company
under the Investment Company Act of 1940 (the "Investment Company Act") is in
full force and effect;
(c) The BT Trust is not, and the execution, delivery and performance of
this Agreement in respect of the Acquired Fund will not result, in a material
violation of its Declaration of Trust or By-laws or of any agreement, indenture,
instrument, contract, lease or other undertaking with respect to the Acquired
Fund to which the BT Trust is a party or by which it is bound;
(d) The BT Trust has no material contracts or other commitments (other
than this Agreement) with respect to the Acquired Fund which will be terminated
with liability to the BT Trust or to the Acquired Fund prior to the Closing
Date;
(e) No material litigation or administrative proceeding or investigation
of or before any court or governmental body is presently pending or to its
knowledge threatened against the BT Trust with respect to the Acquired Fund or
any of the Acquired Fund's properties or assets, except as previously disclosed
in writing to, and acknowledged in writing by, the Acquiring Fund. The BT Trust
and the Acquired Fund know of no facts which might form the basis for the
institution of such proceedings and neither the BT Trust nor the Acquired Fund
is a party to or subject to the provisions of any order, decree or judgment of
any court or governmental body which materially and adversely affects the
Acquired Fund's business or the BT Trust's ability to consummate the
transactions herein contemplated;
(f) The Statement of Assets and Liabilities of the Acquired Fund as of
September 30, 1998, has been audited by PricewaterhouseCoopers LLP, independent
certified public accountants, and is in accordance with generally accepted
accounting principles consistently applied, and such statement (copies of which
have been furnished to each of the other parties hereto) fairly reflects the
financial condition of the Acquired Fund as of such date, and there are no known
contingent liabilities of the Acquired Fund as of such date not disclosed
therein;
(g) Since September 30, 1998, there has not been any material adverse
change in the Acquired Fund's financial condition, assets, liabilities or
business other than changes occurring in the ordinary course of business, or any
incurrence by the Acquired Fund of indebtedness maturing more than one year from
the date that such indebtedness was incurred, except as otherwise disclosed to
and accepted by each of the other parties hereto. For the purposes of this
subparagraph (g), a decline in net asset value per share of the Acquired Fund
shall not constitute a material adverse change;
(h) At the Closing Date, all federal and other tax returns and reports of
the Acquired Fund required by law then to have been filed by such dates shall
have been filed, and all federal and other taxes shown as due on such returns
shall have been paid so far as due, or provision shall have been made for the
payment thereof and, to the best of the Acquired Fund's knowledge, no such
return is currently under audit and no assessment has been asserted with respect
to such returns;
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(i) For each taxable year of its operation, the Acquired Fund has met the
requirements of Subchapter M of the Code for qualification and treatment as a
regulated investment company and has elected to be treated as such and will
qualify as such for its final taxable year ending on the Closing Date;
(j) All issued and outstanding shares of the Acquired Fund are, and at the
Closing Date will be, duly and validly issued and outstanding, fully paid and
non-assessable. All of the issued and outstanding shares of the Acquired Fund
will, at the time of Closing, be held by the persons and in the amounts set
forth in the records of the transfer agent as provided in paragraph 3.4. The
Acquired Fund does not have outstanding any options, warrants or other rights to
subscribe for or purchase any shares of the Acquired Fund, nor is there
outstanding any security convertible into any shares of the Acquired Fund;
(k) At the Closing Date, the BT Trust in respect of the Acquired Fund will
have good and marketable title to the assets to be transferred to the Acquiring
Fund pursuant to paragraph 1.1 and full right, power and authority to sell,
assign, transfer and deliver such assets hereunder and, upon delivery and
payment for such assets, the Acquiring Fund will acquire good and marketable
title thereto, subject to no restrictions on the full transfer thereof,
including such restrictions as might arise under the Securities Act of 1933 (the
"Securities Act"), other than as disclosed in writing to, and acknowledged in
writing by, the Acquiring Fund;
(1) The execution, delivery and performance of this Agreement has been
duly authorized by all necessary action on the part of the BT Trust's Board of
Trustees on behalf of the Acquired Fund, and, subject to the approval of the
Acquired Fund shareholders, assuming due authorization, execution and delivery
by the Morgan Grenfell Trust on behalf of the Acquiring Fund, this Agreement
will constitute a valid and binding obligation of the BT Trust in respect of the
Acquired Fund, enforceable in accordance with its terms, subject as to
enforcement, to bankruptcy, insolvency, reorganization, moratorium and other
laws relating to or affecting creditors' rights and to general equity
principles;
(m) The information to be furnished by the Acquired Fund for use in
no-action letters, applications for exemptive orders, registration statements,
proxy materials and other documents which may be necessary in connection with
the transactions contemplated hereby shall be accurate and complete in all
material respects and shall comply in all material respects with federal
securities and other laws and regulations thereunder applicable thereto;
(n) The proxy statement of the Acquired Fund (the "Proxy Statement") to be
included in the registration statement on Form N-14 of the Acquiring Fund (the
"Registration Statement") (other than information therein that relates to the
Acquiring Fund and supplied in writing by the Acquiring Fund for inclusion
therein) will, on the effective date of the Registration Statement and on the
Closing Date, not contain any untrue statement of a material fact or omit to
state a material fact required to be stated therein or necessary to make the
statements therein, in light of the circumstances under which such statements
were made, not materially misleading;
(o) No consent, approval, authorization or order of any court or
governmental authority is required for the consummation by the Acquired Fund of
the transactions contemplated by this Agreement;
(p) All of the issued and outstanding shares of beneficial interest of the
Acquired Fund have been offered for sale and sold in conformity with all
applicable federal and state securities laws, except as may have been previously
disclosed in writing to the Acquiring Fund; and
(q) The prospectus of the Acquired Fund dated January 31, 1999, and any
amendments or supplements thereto, previously furnished to the Acquiring Fund,
does not contain any untrue statements of a material fact or omit to state a
material fact required to be stated therein or necessary to make the statements
therein, in light of the circumstances under which such statements were made,
not misleading.
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4.2. The Morgan Grenfell Trust and the Acquiring Fund represent and
warrant to each of the other parties hereto as follows:
(a) The Acquiring Fund is a series of the Morgan Grenfell Trust, which is
a business trust, validly existing and in good standing under the laws of the
State of Delaware and has the power to own all of its properties and assets and
to perform its obligations under this Agreement. The Acquiring Fund is not
required to qualify to do business in any jurisdiction in which it is not so
qualified or where failure to qualify would not subject it to any material
liability or disability. The Acquiring Fund has all necessary federal, state and
local authorizations to own all of its properties and assets and to carry on its
business as now being conducted;
(b) The Morgan Grenfell Trust is a registered investment company
classified as a management company of the open-end type, and its registration
with the Commission as an investment company under the Investment Company Act is
in full force and effect;
(c) The current prospectus of and statement of additional information of
the Morgan Grenfell Trust conform in all material respects to the applicable
requirements of the 1933 Act and the 1940 Act and the rules and regulations of
the Commission thereunder and do not include any untrue statement of a material
fact or omit to state any material fact required to be stated therein or
necessary to make the statements therein, in light of the circumstances under
which they were made, not misleading;
(d) At the Closing Date, the Morgan Grenfell Trust will have good and
marketable title to the Acquiring Fund's assets;
(e) The Morgan Grenfell Trust is not, and the execution, delivery and
performance of this Agreement on behalf of the Acquiring Fund will not result,
in a material violation of its Declaration of Trust or By-laws or of any
agreement, indenture, instrument, contract, lease or other undertaking with
respect to the Acquiring Fund to which the Morgan Grenfell Trust is a party or
by which it is bound;
(f) No material litigation or administrative proceeding or investigation
of or before any court or governmental body is presently pending or threatened
against the Morgan Grenfell Trust with respect to the Acquiring Fund or any of
the Acquiring Fund's properties or assets, except as previously disclosed in
writing to, and acknowledged in writing by, the Acquired Fund. The Morgan
Grenfell Trust and the Acquiring Fund know of no facts which might form the
basis for the institution of such proceedings and neither the Morgan Grenfell
Trust nor the Acquiring Fund is a party to or subject to the provisions of any
order, decree or judgment of any court or governmental body which materially and
adversely affects the Acquiring Fund's business or the Morgan Grenfell Trust's
ability on behalf of the Acquiring Fund to consummate the transactions
contemplated herein;
(g) The Statement of Assets and Liabilities of the Acquiring Fund as of
October 31, 1998 has been audited by PricewaterhouseCoopers LLP, independent
accountants, and is in accordance with generally accepted accounting principles
consistently applied, and such statement (copies of which have been furnished to
each of the other parties hereto) fairly reflects the financial condition of the
Acquiring Fund as of such date, and there are no known contingent liabilities of
the Acquiring Fund as of such date not disclosed therein;
(h) Since October 31, 1998, there has not been any material adverse change
in the Acquiring Fund's financial condition, assets, liabilities or business
other than changes occurring in the ordinary course of business, or any
incurrence by the Acquiring Fund of indebtedness maturing more than one year
from the date that such indebtedness was incurred, except as otherwise disclosed
to and accepted by the Acquired Fund. For the purposes of this subparagraph (h),
a decline in net asset value per share of the Acquiring Fund shall not
constitute a material adverse change;
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(i) At the Closing Date, all federal and other tax returns and reports of
the Acquiring Fund required by law then to have been filed by such dates shall
have been filed, and all federal and other taxes shown as due on said returns
and reports shall have been paid so far as due, or provision shall have been
made for the payment thereof and, to the best of the Acquiring Fund's knowledge,
no such return is currently under audit and no assessment has been asserted with
respect to such returns;
(j) For each taxable year of its operations, the Acquiring Fund has met
the requirements of Subchapter M of the Code for qualification and treatment as
a regulated investment company and has elected to be treated as such and will
qualify as such on the Closing Date;
(k) At the date hereof, all issued and outstanding shares of the Acquiring
Fund are, and at the Closing Date will be, duly and validly issued and
outstanding, fully paid and non-assessable. The Acquiring Fund does not have
outstanding any options, warrants or other rights to subscribe for or purchase
any shares of the Acquiring Fund, nor is there outstanding any security
convertible into shares of the Acquiring Fund;
(1) The execution, delivery and performance of this Agreement has been
duly authorized by all necessary action, if any, on the part of the Morgan
Grenfell Trust's Board of Trustees on behalf of the Acquiring Fund, and,
assuming due authorization, execution and delivery by the BT Trust on behalf of
the Acquired Fund, this Agreement will constitute a valid and binding obligation
of the Morgan Grenfell Trust on behalf of the Acquiring Fund, enforceable in
accordance with its terms, subject as to enforcement, to bankruptcy, insolvency,
reorganization, moratorium and other laws relating to or affecting creditors'
rights and to general equity principles;
(m) The Acquiring Fund Shares to be issued and delivered to the Acquired
Fund, for the account of the Acquired Fund shareholders, pursuant to the terms
of this Agreement, will at the Closing Date have been duly authorized and, when
so issued and delivered, will be duly and validly issued Acquiring Fund Shares
and will be fully paid and non-assessable;
(n) The information to be furnished by the Acquiring Fund for use in
no-action letters, applications for exemptive orders, registration statements,
proxy materials and other documents which may be necessary in connection with
the transactions contemplated hereby shall be accurate and complete in all
material respects and shall comply in all material respects with federal
securities and other laws and regulations applicable thereto;
(o) The information contained in the Proxy Statement to be included in the
Registration Statement (only insofar as it relates to the Acquiring Fund) will,
on the effective date of the Registration Statement and on the Closing Date, not
contain any untrue statement of a material fact or omit to state a material fact
required to be stated therein or necessary to make the statements therein, in
light of the circumstances under which such statements were made, not
misleading; and
(p) The Morgan Grenfell Trust, on behalf of the Acquiring Fund, agrees to
use all reasonable efforts to obtain the approvals and authorizations required
by the Securities Act, the Investment Company Act and such of the state Blue Sky
or securities laws as it may deem appropriate in order to continue the Acquiring
Fund's operations after the Closing Date.
5. COVENANTS OF EACH OF THE PARTIES
5.1. The BT Trust, on behalf of the Acquired Fund, will operate its
business in the ordinary course between the date hereof and the Closing Date. It
is understood that such ordinary course of business will include the declaration
and payment of customary dividends and distributions and any other dividends and
distributions necessary or advisable (except to the extent distributions that
are not customary may be limited by representations made in connection with the
issuance of the tax opinion described in paragraph 8.6 hereof), in each case
payable either in cash or in additional shares.
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5.2. The Morgan Grenfell Trust, on behalf of the Acquiring Fund, will
operate its business in the ordinary course between the date hereof and the
Closing Date. It is understood that such ordinary course of business will
include the declaration and payment of customary dividends and distributions and
any other dividends and distributions necessary or advisable, in each case
payable either in cash or in additional shares.
5.3. The BT Trust will call a meeting of the Acquired Fund's shareholders
to consider and act upon this Agreement and to take all other action necessary
to obtain approval of the transactions contemplated herein.
5.4. The Acquired Fund covenants that the Acquiring Fund Shares to be
issued hereunder are not being acquired for the purpose of making any
distribution thereof other than in accordance with the terms of this Agreement.
5.5. The Acquired Fund will assist the Acquiring Fund in obtaining such
information as the Acquiring Fund reasonably requests concerning the beneficial
ownership of the Acquired Fund's shares.
5.6. Subject to the provisions of this Agreement, the BT Trust, on behalf
of the Acquired Fund, and the Morgan Grenfell Trust, on behalf of the Acquiring
Fund, each will take, or cause to be taken, all action, and do or cause to be
done, all things reasonably necessary, proper or advisable to consummate and
make effective the transactions contemplated by this Agreement.
5.7. The Acquired Fund shall furnish to the Acquiring Fund on the Closing
Date the Statement of Assets and Liabilities of the Acquired Fund as of the
Closing Date, which statement shall be prepared in accordance with generally
accepted accounting principles consistently applied and shall be certified by
the BT Trust's Treasurer or Assistant Treasurer. As promptly as practicable, but
in any case within 60 days after the Closing Date, the Acquired Fund shall
furnish to the Acquiring Fund, in such form as is reasonably satisfactory to the
Acquiring Fund, a statement of the earnings and profits of the Acquired Fund for
federal income tax purposes, and of any capital loss carryovers and other items
that will be carried over to the Acquiring Fund as a result of Section 381 of
the Code, and which statement will be certified by the President of the BT
Trust.
5.8. The Acquired Fund will provide the Acquiring Fund with information
reasonably necessary for the preparation of a prospectus (the "Prospectus"),
which will include the Proxy Statement, referred to in paragraph 4.1(n), all to
be included in the Registration Statement, in compliance with the Securities
Act, the Securities Exchange Act of 1934 (the "Exchange Act"), and the
Investment Company Act in connection with the meeting of the Acquired Fund's
shareholders to consider approval of this Agreement and the transactions
contemplated herein.
6. CONDITIONS PRECEDENT TO OBLIGATIONS OF THE ACQUIRED FUND
The obligations of the Acquired Fund to consummate the transactions
provided for herein shall be subject, at its election, to the performance by the
Acquiring Fund of all of the obligations to be performed by it hereunder on or
before the Closing Date and, in addition thereto, the following further
conditions:
6.1. All representations and warranties made in this Agreement by or on
behalf of the Acquiring Fund shall be true and correct in all material respects
as of the date hereof and, except as they may be affected by the transactions
contemplated by this Agreement, as of the Closing Date with the same force and
effect as if made on and as of the Closing Date;
6.2. The Morgan Grenfell Trust on behalf of the Acquiring Fund shall have
delivered to the Acquired Fund a certificate executed in its name by its
President or Vice President and its Treasurer or Assistant Treasurer, in form
and substance reasonably satisfactory to the Acquired Fund and dated as of the
Closing Date, to the effect that the representations and warranties made in this
Agreement by or on
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behalf of the Acquiring Fund are true and correct at and as of the Closing Date,
except as they may be affected by the transactions contemplated by this
Agreement; and
6.3. The Acquired Fund shall have received on the Closing Date a favorable
opinion from Hale and Dorr LLP, counsel to the Acquiring Fund, dated as of the
Closing Date, in a form reasonably satisfactory to Daniel O. Hirsch, Secretary
of the Acquired Fund, covering the following points: That
(i) the Acquiring Fund is a series of the Morgan Grenfell Trust, which is
a business trust validly existing and in good standing under the laws of the
State of Delaware and has the power, under its Declaration of Trust, to own all
of its properties and assets and to carry on its business as described in its
current prospectus and statement of additonal information;
(ii) this Agreement has been duly authorized, executed and delivered by
the Morgan Grenfell Trust on behalf of the Acquiring Fund and, assuming that the
Prospectus, Registration Statement and Proxy Statement comply with the
Securities Act, the Exchange Act and the Investment Company Act and the rules
and regulations thereunder and, assuming due authorization, execution and
delivery of the Agreement by the BT Trust on behalf of the Acquired Fund, is a
valid and binding obligation of the Morgan Grenfell Trust enforceable against
the Morgan Grenfell Trust in accordance with its terms, subject as to
enforcement, to bankruptcy, insolvency, reorganization, moratorium and other
laws relating to or affecting creditors' rights generally and to general equity
principles;
(iii) the Acquiring Fund Shares to be issued to the Acquired Fund and
delivered to the Acquired Fund shareholders as provided by this Agreement are
duly authorized and upon such delivery will be validly issued and outstanding
and fully paid and non-assessable, and no shareholder of the Acquiring Fund has
any preemptive rights to subscription or purchase in respect thereof;
(iv) the execution and delivery of this Agreement did not, and the
consummation of the transactions contemplated hereby will not, result in a
material violation of The Declaration of Trust or By-laws of the Morgan Grenfell
Trust; and
(v) to the knowledge of such counsel, no consent, approval, authorization
or order of any court or governmental authority of the United States or the
State of Delaware is required for the consummation by the Morgan Grenfell Trust
on behalf of the Acquiring Fund of the transactions contemplated herein, except
such as have been obtained under the Securities Act, the Exchange Act and the
Investment Company Act, and such as may be required under state securities law.
Such counsel may rely, as to matters governed by the laws of the State of
Delaware, on an opinion of Delaware counsel. Such opinion also shall include
such other matters incident to the transaction contemplated hereby as the BT
Trust on the behalf of the Acquired Fund may reasonably request. Finally, such
opinion need not opine with respect to the applicability of Section 17(a) under
the Investment Company Act or Rule 17a-8 thereunder.
7. CONDITIONS PRECEDENT TO OBLIGATIONS OF THE ACQUIRING FUND
The obligations of the Acquiring Fund to consummate the transactions
provided for herein shall be subject, at its election, to the performance by the
Acquired Fund of all the obligations to be performed by it hereunder on or
before the Closing Date and, in addition thereto, the following further
conditions:
7.1. All representations and warranties made in this Agreement by or on
behalf of the Acquired Fund contained in this Agreement shall be true and
correct in all material respects as of the date hereof and, except as they may
be affected by the transactions contemplated by this Agreement, as of the
Closing Date with the same force and effect as if made on and as of the Closing
Date;
7.2. The Acquired Fund shall have delivered to the Acquiring Fund a
statement of the Acquired Fund's assets and liabilities showing the federal tax
bases and holding periods as of the Closing Date, certified by the BT Trust's
Treasurer or Assistant Treasurer on behalf of the Acquired Fund; and
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7.3. The BT Trust, on behalf of the Acquired Fund, shall have delivered to
the Acquiring Fund on the Closing Date a certificate executed in its name by its
President or Vice President and Treasurer or Assistant Treasurer, in form and
substance satisfactory to the Acquiring Fund and dated as of the Closing Date,
to the effect that the representations and warranties made in this Agreement by
or on behalf of the Acquired Fund are true and correct at and as of the Closing
Date, except as they may be affected by the transactions contemplated by this
Agreement; and
7.4. The Acquiring Fund shall have received on the Closing Date a
favorable opinion of Willkie Farr & Gallagher, counsel to the Acquired Fund, in
a form satisfactory to Joan A. Binstock, Secretary of the Acquiring Fund,
covering the following points: That
(i) the Acquired Fund is a series of the BT Trust, which is a business
trust validly existing and in good standing under the laws of The Commonwealth
of Massachusetts [and has the power, under its Declaration of Trust, to own all
of its properties and assets and to carry on its business as described in its
current prospectus and statement of additional information];
(ii) this Agreement has been duly authorized, executed and delivered by
the BT Trust on behalf of the Acquired Fund and, assuming that the Prospectus,
the Registration Statement and the Proxy Statement comply with the Securities
Act, the Exchange Act and the Investment Company Act and the rules and
regulations thereunder and, assuming due authorization, execution and delivery
of the Agreement by the Morgan Grenfell Trust on behalf of the Acquiring Fund,
is a valid and binding obligation of the BT Trust enforceable against the BT
Trust in accordance with its terms, subject as to enforcement to bankruptcy,
insolvency, reorganization, moratorium and other laws relating to or affecting
creditors' rights generally and to general equity principles;
(iii) the execution and delivery of this Agreement did not, and the
consummation of the transactions contemplated hereby will not, result in a
material violation of the Declaration of Trust or By-laws of the BT Trust; and
(iv) to the knowledge of such counsel, no consent, approval, authorization
or order of any court or governmental authority of the United States or The
Commonwealth of Massachusetts is required for the consummation by the BT Trust
of the transactions contemplated herein, except such as have been obtained under
the Securities Act, the Exchange Act and the Investment Company Act, and such as
may be required under state securities laws.
Such counsel may rely, as to matters governed by the laws of The Commonwealth of
Massachusetts, on an opinion of Massachusetts counsel. [Such opinion also shall
include such other matters incident to the transaction contemplated hereby as
the Morgan Grenfell Trust on the behalf of the Acquiring Fund may reasonably
request.] Finally, such opinion need not opine with respect to the applicability
of Section 17(a) under the 1940 Act or Rule 17a-8 thereunder.
8. FURTHER CONDITIONS PRECEDENT TO OBLIGATIONS OF EACH OF THE PARTIES
If any of the conditions set forth below do not exist on or before the
Closing Date with respect to either party hereto, the other party to this
Agreement shall, at its option, not be required to consummate the transactions
contemplated by this Agreement:
8.1. This Agreement and the transactions contemplated herein shall have
been approved by the requisite vote of the holders of the outstanding shares of
the Acquired Fund in accordance with the provisions of the BT Trust's
Declaration of Trust and By-laws and certified copies of the votes evidencing
such approval shall have been delivered to the Acquiring Fund. Notwithstanding
anything herein to the contrary, no party hereto may waive the conditions set
forth in this paragraph 8.1;
8.2. On the Closing Date, no action, suit or other proceeding shall be
pending before any court or governmental agency in which it is sought to
restrain or prohibit, or obtain damages or other relief in connection with, this
Agreement or the transactions contemplated herein;
8.3. All consents of other parties and all other consents, orders and
permits of federal, state and local regulatory authorities (including those of
the Commission and of state Blue Sky and securities authorities, including
"no-action" positions of and exemptive orders from such federal and state
authorities) deemed necessary by either party hereto to permit consummation, in
all material respects, of the transactions contemplated hereby shall have been
obtained, except where failure to obtain any such consent, order or permit would
not involve a risk of a material adverse effect on the assets or properties of
any party hereto, provided that any party may for itself waive any of such
conditions;
8.4. The Registration Statement shall have become effective under the
Securities Act and no stop orders suspending the effectiveness thereof shall
have been issued and, to the best knowledge of the parties hereto, no
investigation or proceeding for that purpose shall have been instituted or be
pending, threatened or contemplated under the Securities Act;
8.5. The Acquired Fund shall have distributed to its shareholders all of
its investment company taxable income, as defined in Section 852(b)(2) of the
Code (prior to reduction by any dividends paid deduction), and all of its net
capital gain, as such term is used in Section 852(b)(3)(C) of the Code, after
reduction by any capital loss carryforward, and all of the excess of (1) its
interest income excludable from gross income under Section 103(a) of the Code
over (2) the deductions disallowed under Sections 265 and 171(a)(2) of the Code,
in each case for its taxable year ending on the Closing Date.
8.6. The parties shall have received a favorable opinion of Hale and Dorr
LLP, addressed to the Morgan Grenfell Trust in respect of the Acquiring Fund and
addressed to the BT Trust in respect of the Acquired Fund and satisfactory to
Joan A. Binstock and Daniel O. Hirsch, as Secretary of each of the parties,
respectively, substantially to the effect that for federal income tax purposes:
(a) The acquisition by the Acquiring Fund of all of the assets of the
Acquired Fund solely in exchange for the issuance of Acquiring Fund Shares to
the Acquired Fund and the assumption of certain scheduled Acquired Fund
liabilities by the Acquiring Fund, followed by the distribution by the Acquired
Fund, in liquidation of the Acquired Fund, of Acquiring Fund Shares to the
shareholders of the Acquired Fund in exchange for their Acquired Fund shares of
beneficial interest and the
Page 10
<PAGE>
H&D Draft 7/19/99
termination of the Acquired Fund, will constitute a reorganization within the
meaning of Section 368(a)(1) of the Code, and the Acquired Fund and the
Acquiring Fund will each be "a party to a reorganization" within the meaning of
Section 368(b) of the Code;
(b) No gain or loss will be recognized by the Acquired Fund upon (i) the
transfer of all of its assets to the Acquiring Fund solely in exchange for the
issuance of Acquiring Fund Shares to the Acquired Fund and the assumption of
certain scheduled Acquired Fund liabilities by the Acquiring Fund and (ii) the
distribution by the Acquired Fund of such Acquiring Fund Shares to the
shareholders of the Acquired Fund;
(c) No gain or loss will be recognized by the Acquiring Fund upon the
receipt of the assets of the Acquired Fund solely in exchange for the issuance
of Acquiring Fund Shares to the Acquired Fund and the assumption of certain
scheduled Acquired Fund liabilities by the Acquiring Fund;
(d) The basis of the assets of the Acquired Fund acquired by the Acquiring
Fund will be, in each instance, the same as the basis of those assets in the
hands of the Acquired Fund immediately prior to the transfer;
(e) The tax holding period of the assets of the Acquired Fund in the hands
of the Acquiring Fund will, in each instance, include Acquired Fund's tax
holding period for those assets;
(f) The shareholders of the Acquired Fund will not recognize gain or loss
upon the exchange of all of their shares of beneficial interest of the Acquired
Fund solely for Acquiring Fund Shares as part of the transaction;
(g) The basis of the Acquiring Fund Shares received by the Acquired Fund
shareholders in the transaction will be the same as the basis of the shares of
beneficial interest of the Acquired Fund surrendered in exchange therefor; and
(h) The tax holding period of the Acquiring Fund Shares received by the
Acquired Fund shareholders will include, for each shareholder, the tax holding
period for the shares of beneficial interest of the Acquired Fund surrendered in
exchange therefor, provided that the Acquired Fund shares were held as capital
assets on the date of the exchange.
Notwithstanding anything herein to the contrary, no party hereto may waive
in any material respect the conditions set forth in this paragraph 8.6.
8.7 Each of the Acquiring Fund and the Acquired Fund agrees to make and
provide representations with respect to itself that are reasonably necessary to
enable Hale and Dorr LLP to deliver an opinion substantially as set forth in
this paragraph 8.7.
9. BROKERAGE FEES AND EXPENSES
9.1. Each party hereto represents and warrants to each other party hereto,
that there are no brokers or finders entitled to receive any payments in
connection with the transactions provided for herein.
9.2. The parties have been informed by Bankers Trust Company that Bankers
Trust Company will pay for all expenses incurred in connection with the
Reorganization except that the Acquired Fund shall be liable for its fees and
expenses incurred in connection with its liquidation and termination.
10. ENTIRE AGREEMENT; SURVIVAL OF WARRANTIES
10.1. The parties hereto agree that no party has made any representation,
warranty or covenant not set forth herein or referred to in paragraph 8.7 hereof
and that this Agreement constitutes
Page 11
<PAGE>
H&D Draft 7/19/99
the entire agreement between the parties.
10.2. The representations, warranties and covenants contained in this
Agreement or in any document delivered pursuant hereto or in connection herewith
shall survive the consummation of the transactions contemplated hereunder.
11. TERMINATION
11.1. This Agreement may be terminated at any time prior to the Closing
Date by: (i) the mutual agreement of the BT Trust on behalf of the Acquired Fund
and the Morgan Grenfell Trust on behalf of the Acquiring Fund; (ii) any party in
the event that the other party hereto shall materially breach any
representation, warranty or agreement contained herein to be performed at or
prior to the Closing Date; or (iii) a condition herein expressed to be precedent
to the obligations of the terminating party has not been met and it reasonably
appears that it will not or cannot be met.
11.2. In the event of any such termination, there shall be no liability
for damages on the part of any party hereto or their respective Trustees or
officers to any other party, but each shall bear the expenses incurred by it
incidental to the preparation and carrying out of this Agreement.
12. AMENDMENTS
This Agreement may be amended, modified or supplemented in such manner as
may be mutually agreed upon in writing by the authorized officers of the BT
Trust on behalf of the Acquired Fund and the Morgan Grenfell Trust on behalf of
the Acquiring Fund; provided, however, that following the meeting of the
Acquired Fund shareholders called by the BT Trust pursuant to paragraph 5.3 of
this Agreement, no such amendment may have the effect of changing the provisions
for determining the number of the Acquiring Fund Shares to be issued to the
Acquired Fund shareholders under this Agreement to the detriment of such
shareholders without their further approval.
13. NOTICES
Any notice, report, statement or demand required or permitted by any
provisions of this Agreement shall be in writing and shall be given by prepaid
telegraph, telecopy or certified mail addressed to the BT Trust on behalf of the
Acquired Fund and the Morgan Grenfell Trust on behalf of the Acquiring Fund at
885 Third Avenue, New York, New York 10022.
14. HEADINGS; COUNTERPARTS; GOVERNING LAW; ASSIGNMENT; LIMITATION OF LIABILITY
14.1. The article and paragraph headings contained in this Agreement are
for reference purposes only and shall not affect in any way the meaning or
interpretation of this Agreement.
14.2. This Agreement may be executed in any number of counterparts, each
of which shall be deemed an original.
14.3. This Agreement shall be governed by and construed in accordance with
the laws of The Commonwealth of Massachusetts.
14.4. This Agreement shall bind and inure to the benefit of the parties
hereto and their respective successors and assigns, but no assignment or
transfer hereof or of any rights or obligations hereunder shall be made by any
party without the written consent of the other parties hereto. Nothing herein
expressed or implied is intended or shall be construed to confer upon or give
any person, firm, corporation or other entity, other than the parties hereto and
their respective successors and assigns, any rights or remedies under or by
reason of this Agreement.
14.5. It is expressly agreed that the obligations of the Morgan Grenfell
Trust and the BT Trust shall not be binding upon any of their respective
Trustees, shareholders, nominees, officers,
Page 12
<PAGE>
H&D Draft 7/19/99
agents or employees personally, but bind only the trust property of the Morgan
Grenfell Trust or the BT Trust, as the case may be, as provided in the trust
instruments of the Morgan Grenfell Trust and the BT Trust, respectively. The
execution and delivery of this Agreement have been authorized by the Trustees of
each of the Morgan Grenfell Trust and the BT Trust, and this Agreement has been
executed by authorized officers of the Morgan Grenfell Trust and the BT Trust on
behalf of the Acquired Fund and the Acquiring Fund, respectively, acting as
such, and neither such authorization by such Trustees nor such execution and
delivery by such officers shall be deemed to have been made by any of them
individually or to impose any liability on any of them personally, but shall
bind only the trust property of the Morgan Grenfell Trust and the BT Trust, as
the case may be, as provided in the Declaration of Trust of the Morgan Grenfell
Trust and the BT Trust, respectively.
Page 13
<PAGE>
H&D Draft 7/19/99
IN WITNESS WHEREOF, each of the parties hereto has caused this Agreement
to be executed by its President or Vice President and attested by its Secretary
or Assistant Secretary.
Attest: BT INVESTMENT FUNDS on behalf of
GLOBAL EMERGING MARKETS EQUITY FUND
By: __________________________ By: __________________________
Name: Daniel O. Hirsch Name: __________________________
Title: Secretary Title:__________________________
Attest: MORGAN GRENFELL INVESTMENT TRUST
on behalf of
MORGAN GRENFELL EMERGING MARKETS
EQUITY FUND
By: __________________________ By: __________________________
Name: Joan A. Binstock Name: __________________________
Title: Secretary Title:__________________________
Page 14
<PAGE>
- --------------------------------------------------------------------------------
Global Emerging Markets Equity Fund Exhibit B
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the period
indicated for the Global Emerging Markets Equity Fund. The information for the
period ended September 30, 1998 has been audited by PricewaterhouseCoopers LLP,
whose report, along with the Fund's financial statements, is included in the
Fund's Annual Report.
<TABLE>
<CAPTION>
For the period
For the six June 30, 1998(3)
months ended through
March 31, 1999(1) September 30, 1998
----------------- ------------------
<S> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period ............................. $ 8.04 $ 10.00
------- -------
Income from Investment Operations
Net Investment Income ......................................... 0.03 0.03
Net Realized and Unrealized Gain (Loss) on Investment,
Foreign Currency, and Forward Foreign Currency Contracts .... 2.53 (1.99)
------- -------
Total Gain (Loss) from Investment Operations ..................... 2.56 (1.96)
------- -------
Net Asset Value, End of Period ................................... $ 10.60 $ 8.04
======= =======
Total Investment Return .......................................... 31.84% (19.60)%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) ...................... $ 2,701 $ 1,937
Ratios to Average Net Assets:
Net Investment Income ...................................... 0.75%(2) 1.67%(2)
Expenses, Including Expenses of the
Global Emerging Markets Portfolio ........................ 1.90%(2) 1.90%(2)
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust ............... 4.08%(2) 10.64%(2)
</TABLE>
- -------------
(1) Unaudited
(2) Annualized
(3) Commencement of operations
<PAGE>
EXHIBIT C
- --------------------------------------------------------------------------------
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
- --------------------------------------------------------------------------------
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
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
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.
----------------------------------------------
MUNICIPAL BOND FUND,
INSTITUTIONAL SHARES
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year 5 Year Inception
Return Return Return to Date
Municipal Bond,
Institutional Shares* 6.58% 6.99% 6.29% 8.38%
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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year Inception
Return to Date
Municipal Bond, Service Shares* 6.42% 6.11%
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
MORGAN GRENFELL LIPPER INT
MUNICIPAL BOND FUND, LEHMAN 5 YEAR MUNICIPAL DEBT
SERVICE SHARES G.O. INDEX FUND INDEX
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
*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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
Short-Term Municipal Bond,
Institutional Shares* 5.51% 6.12% 6.24%
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>
- --------------------------------------------------------------------------------
----------------------------------------------
SHORT-TERM MUNICIPAL BOND FUND, SERVICE SHARES
----------------------------------------------
TOTAL RETURN
Inception
to Date
Short-Term
Municipal Bond,
Service Shares* 4.81%
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
MORGAN GRENFELL SHORT IBC ALL LIPPER SHORT
TERM MUNICIPAL BOND TAX-FREE AVERAGE TERM MUNICIPAL
FUND, SERVICE SHARES DEBT FUND INDEX
12/31/97 $250,000 $250,000 $250,000
10/98 $260,329 $256,129 $259,925
*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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year 5 Year Inception
Return Return Return to Date
Fixed Income,
Institutional Shares* 8.25% 7.92% 7.01% 8.45%
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
LIPPER INTERMEDIATE
MORGAN GRENFELL LEHMAN INVESTMENT
FIXED INCOME AGGREGATE GRADE BOND
FUND, INSTITUTIONAL SHARES BOND INDEX FUND INDEX
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
*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
----------------------------------------------
TOTAL RETURN
Inception
to Date
Fixed Income,
Service Shares* 5.28%
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
MORGAN GRENFELL LEHMAN AGGREGATE LIPPER INTERMEDIATE
FIXED INCOME, BOND INDEX INVESTMENT
SERVICE SHARES GRADE BOND INDEX
2/28/98 $250,000 $250,000 $250,000
10/98 $263,627 $266,146 $264,075
*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>
- --------------------------------------------------------------------------------
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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
Short-Term Fixed Income* 6.85% 6.53% 6.45%
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>
<S> <C>
MORGAN GRENFELL SHORT MERRILL LYNCH 6 LIPPER SHORT INVESTMENT
TERM FIXED INCOME FUND MONTH T-BILL INDEX GRADE DEBT FUNDS INDEX
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
----------------------------------------------
TOTAL RETURN
Inception
to Date
High Yield Bond,
Institutional
Shares* -7.84%
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
MORGAN GRENFELL CSFB HIGH LIPPER HIGH
HIGH YIELD BOND FUND, YIELD INDEX YIELD BOND
INSTITUTIONAL SHARES FUND INDEX
3/16/98 $250,000 $250,000 $250,000
10/98 $230,394 $232,686 $228,587
*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
----------------------------------------------
TOTAL RETURN
Inception
to Date
High Yield Bond,
Service Shares* 0.27%
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
MORGAN GRENFELL CSFB HIGH LIPPER HIGH
HIGH YIELD BOND YIELD INDEX YIELD BOND
FUND, SERVICE SHARES FUND INDEX
9/30/98 $250,000 $250,000 $250,000
10/98 $247,050 $245,025 $244,325
*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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
Smaller Companies,
Institutional Shares* -13.54% 9.92% 10.62%
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
MORGAN GRENFELL SMALLER S&P 600 INDEX LIPPER SMALL
COMPANIES FUND, CAP FUNDS
INSTITUTIONAL SHARES INDEX
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
*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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year Inception
Return to Date
Smaller
Companies,
Service
Shares* -13.79% -5.68%
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
MORGAN GRENFELL S&P 600 INDEX LIPPER SMALL
SMALLER COMPANIES CAP FUND
FUND, SERVICE SHARES INDEX
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
*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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year Inception
Return to Date
Microcap,
Institutional
Shares* -18.16% 1.74%
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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year Inception
Return to Date
Microcap,
Service
Shares* -18.33% -12.87%
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL MICROCAP FUND, SERVICE SHARES, VERSUS THE FRANK RUSSELL 2000 INDEX AND
THE LIPPER MICROCAP FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MORGAN GRENFELL
MICROCAP FUND, RUSSELL LIPPER MICROCAP
SERVICE SHARES 2000 INDEX FUND INDEX
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
*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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
International
Equity* 9.28% 8.52% 10.19%
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
MORGAN GRENFELL MORGAN STANLEY
INTERNATIONAL CAPITAL INTERNATIONAL LIPPER INTERNATIONAL
EQUITY FUND EAFE EQUITY FUNDS INDEX
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
*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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year Inception
Return to Date
European Equity Growth* 15.36% 20.57%
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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
International Small Cap
Equity* 1.81% -0.98% -1.32%
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
MORGAN GRENFELL NATWEST MARKETS
INTERNATIONAL SMALL EURO/PACIFIC
CAP EQUITY FUND EQUITY INDEX
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
*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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
European Small Cap
Equity* 14.65% 7.53% 9.51%
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
MORGAN GRENFELL NATWEST MARKETS LIPPER EUROPEAN
EUROPEAN SMALL EUROPEAN SMALL REGION
CAP EQUITY FUND CAP EQUITY INDEX FUNDS INDEX
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 $456,656
*COMMENCED OPERATIONS ON NOVEMBER 1, 1994. PERFORMANCE BEGINS ON OCTOBER 31,
1994 FOR COMPARATIVE DATA.
NOTE:PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
EMERGING MARKETS EQUITY FUND
During the third financial quarter (the three months ending September 30),
the MSCI EMF Index fell 22.0% in US$ 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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
Emerging Markets
Equity* -32.66% -12.74% -10.92%
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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
Global Fixed Income* 10.58% 6.80% 6.68%
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
MORGAN GRENFELL SALOMON
GLOBAL FIXED WORLD GOVERNMENT LIPPER GLOBAL
INCOME FUND BOND INDEX INCOME FUNDS INDEX
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
*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
----------------------------------------------
TOTAL RETURN
Inception
to Date
Core Global Fixed Income* 9.70%
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
MORGAN GRENFELL CORE SALOMON WORLD
GLOBAL FIXED INCOME GOVERNMENT BOND INDEX
5/31/98 $250,000 $250,000
10/98 $272,886 $279,248
*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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
International Fixed
Income* 11.87% 6.41% 7.08%
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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year 3 Year Inception
Return Return to Date
Emerging Markets Debt,
Institutional
Shares* -30.35% 2.60% 3.43%
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
----------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year Inception
Return to Date
Emerging Markets Debt, Service
Shares* -30.35% -38.87%
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
MORGAN GRENFELL
EMERGING MARKETS JP MORGAN LIPPER
DEBT FUND, EMERGING MARKETS EMERGING MARKETS
SERVICE SHARES BOND INDEX DEBT AVERAGE
10/31/97 $250,000 $250,000 $250,000
10/98 $174,116 $224,725 $202,775
*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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
-------------
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
-------------
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
-------------
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
-------------
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
-------------
SHARES
-----------
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>
(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
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
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
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
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
---------------
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
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
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
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
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
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
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
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
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
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
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
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>
(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
Short-Term
Municipal Bond Fund
<TABLE>
<CAPTION>
MUNICIPAL BONDS -- 91.02%
ALABAMA -- 0.09%
<S> <C> <C>
Birmingham Medical Clinic Board, Baptist Medical Centers, RB, ETM
8.125%, 07/01/99 $ 25,000 $ 25,445
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
------------
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
------------
SHARES
------------
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>
(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.
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
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
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
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
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>
(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
- -------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------
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>
<CAPTION>
High Yield
Bond Fund
CORPORATE BONDS -- 97.63%
CABLE -- 8.63%
<S> <C> <C>
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
------------
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
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
------------
------------
</TABLE>
(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.
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
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
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
-----------
-----------
* NON-INCOME PRODUCING SECURITY.
Microcap Fund
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
------------
- --------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------------------------------
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
------------
------------
* NON-INCOME PRODUCING SECURITY.
International
Equity Fund
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
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
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
- ---------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------------------------------
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.
<TABLE>
<CAPTION>
International Small
Cap Equity Fund
<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
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
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
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
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>
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED
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
-----------
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
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>
* NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
Emerging Markets
Equity Fund
<TABLE>
<CAPTION>
<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
------------
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
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
------------
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
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
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- ----------------------------------------------------------------------------------------------------------------
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>
* 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.
(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>
<CAPTION>
FOREIGN BONDS -- 49.7%
GERMANY -- 18.3%
<S> <C> <C>
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
------------
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
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>
(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
Core Global Fixed
Income Fund
<TABLE>
<CAPTION>
<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
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
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>
(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
International Fixed
Income Fund
<TABLE>
<CAPTION>
<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
------------
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
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>
(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
Emerging Markets
Debt Fund
<TABLE>
<CAPTION>
FOREIGN BONDS -- 82.4%
ARGENTINA -- 18.9%
<S> <C> <C>
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>
<S> <C>
- -------------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -------------------------------------------------------------------------------------------------------------------
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
------------
- -------------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -------------------------------------------------------------------------------------------------------------------
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>
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.
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>
<S> <C>
-------------- -------------- ------------ ------------ ------------ -----------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED HIGH YIELD SMALLER
BOND INCOME BOND INCOME BOND COMPANIES
FUND FUND FUND FUND FUND FUND
-------------- -------------- ------------ ------------ ------------ -----------
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
-------------- -------------- ------------ ------------ ------------ -----------
-------------- -------------- ------------ ------------ ------------ -----------
</TABLE>
(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
(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>
<S> <C>
------------ -------------- ------------- ------------- ------------
INTERNATIONAL EUROPEAN
INTERNATIONAL EUROPEAN SMALL CAP SMALL CAP
MICROCAP EQUITY EQUITY GROWTH EQUITY EQUITY
FUND FUND FUND FUND FUND
------------ -------------- ------------- ------------- ------------
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
------------ -------------- ------------- ------------- ------------
------------ -------------- ------------- ------------- ------------
-------------- ------------ ------------ ------------- ------------
EMERGING GLOBAL CORE INTERNATIONAL EMERGING
MARKETS FIXED GLOBAL FIXED FIXED MARKETS
EQUITY INCOME INCOME INCOME DEBT
FUND FUND FUND FUND FUND
-------------- ------------ ------------ ------------- ------------
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>
<S> <C>
------------ ------------ ----------- ----------- ------------- ------------ ------------
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
------------ ------------ ----------- ----------- ------------- ------------ ------------
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>
<S> <C>
------------- ----------- ------------- ------------ ------------- -----------
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
------------- ----------- ------------- ------------ ------------- -----------
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
------------- ----------- ------------- ------------ ------------- -----------
------------- ----------- ------------- ------------ ------------- -----------
</TABLE>
------------ ------------- -------------
CORE INTERNATIONAL EMERGING
GLOBAL FIXED FIXED MARKETS
INCOME INCOME DEBT
FUND (2) FUND FUND
------------ ------------- -------------
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)
------------ ------------- -------------
------------ ------------- -------------
83
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEAR/PERIOD ENDED OCTOBER 31,
<TABLE>
<CAPTION>
<S> <C>
-------------------------- -----------------------------
MUNICIPAL FIXED
BOND INCOME
FUND FUND
-------------------------- -----------------------------
1997 1997
1998 (000) 1998 (000)
-------------- --------- --------------- -----------
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 --
-------------- --------- --------------- -----------
-------------- --------- --------------- -----------
------------------------ ------------------------ -------------
SHORT-TERM SHORT-TERM HIGH
MUNICIPAL FIXED YIELD
BOND INCOME BOND
FUND FUND FUND (1)
------------------------ ------------------------ -------------
1997 1997
1998 (000) 1998 (000) 1998
------------ --------- ------------- -------- -------------
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>
<S> <C>
---------------------- ---------------------- --------------------- ----------------------
EUROPEAN
SMALLER INTERNATIONAL EQUITY
COMPANIES MICROCAP EQUITY GROWTH
FUND FUND FUND FUND
---------------------- ---------------------- --------------------- ----------------------
1997 1997 1997 1997
1998 (000) 1998 (000) 1998 (000) 1998 (000)
------------ ------- ------------ ------- ----------- ------- ----------- --------
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 -- -- -- --
------------ ------- ------------ ------- ----------- ------- ----------- --------
------------ ------- ------------ ------- ----------- ------- ----------- --------
------------------------- ---------------------- -------------------------
INTERNATIONAL EUROPEAN EMERGING
SMALL CAP SMALL CAP MARKETS
EQUITY EQUITY EQUITY
FUND FUND FUND
------------------------- ---------------------- -------------------------
1997 1997 1997
1998 (000) 1998 (000) 1998 (000)
------------- --------- ------------ ------- ------------- ---------
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>
<S> <C>
------------------------- ------------- ------------------------ ---------------------------
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)
------------- --------- ------------- ------------- -------- -------------- ----------
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>
<S> <C>
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
- --------------------------------------------------------------------------------------------------------------------------------
- -----------------------
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+
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
- -------------------------------- ------------------------------------------------------------------------------------
- -----------------------
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>
<S> <C>
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
- ----------------------------------------------------------------------------------------------------------------------------------
- ---------------------------
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)+
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
- ----------------------------------- ------------------------------------------------------------------------------------
- ---------------------------
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:
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
FUND INCOME (LOSS) GAINS (LOSSES) CAPITAL
- ------------------------- ---------------- --------------- ---------
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) --
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
FUND INCOME (LOSS) GAINS (LOSSES) CAPITAL
- ------------------------- ---------------- --------------- ---------
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) --
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:
INSTITUTIONAL SERVICE
SHARES SHARES
----------------- -------------
Municipal Bond Fund 0.55% 0.80%
Fixed Income Fund 0.55% 0.80%
Short-Term Municipal Bond Fund 0.55% 0.80%
Short-Term Fixed Income Fund 0.55% 0.80%
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%
(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:
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- -------------------- ------------ --------------
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)
--------------
--------------
93
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1998
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- -------------------- ------------ --------------
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
--------------
--------------
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- -------------------- ------------ --------------
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
--------------
--------------
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:
PURCHASES SALES
-------------- --------------
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
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:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
------------- ------------- ---------------
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
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
------------- ------------- ---------------
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)
At October 31, 1998 the following Funds had available realized capital losses to
offset future net capital gains:
EXPIRATION
DATE
-----------------
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
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>
<S> <C> <C> <C> <C>
------------- ------------- ------------- -------------
NEW JAPANESE
TOTAL GLOBAL ASIA SMALL CAP
RETURN BOND EQUITY EQUITY EQUITY
FUND FUND FUND FUND
------------- ------------- ------------- -------------
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:
Annual
Fund Fees
---- ------
Total Return Bond Fund 0.12%
Global Equity Fund 0.30%
New Asia Equity Fund 0.30%
Japanese Small Cap Equity Fund 0.30%
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:
Total Return Bond Fund 0.45%
Global Equity Fund 0.70%
New Asia Equity Fund 0.70%
Japanese Small Cap Equity Fund 1.00%
<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:
Total Return Bond Fund 0.60%
Global Equity Fund 0.90%
New Asia Equity Fund 0.90%
Japanese Small Cap Equity Fund 1.25%
Certain officers and/or Trustees of the Trust are affiliated with the
Administrator or 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
<PAGE>
- --------------------------------------------------------------------------------
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 Morningstar-TM- has recognized several of the
Funds for their strong investment processes and performance(1). Most notably,
our fixed income offerings received excellent ratings.
As of April 30, 1999,
- The Morgan Grenfell Fixed Income Fund was rated 4 stars out of 1,534 fixed
income funds.
- The Morgan Grenfell Municipal Bond Fund was rated 5 stars out of 1,579
municipal bond funds.
- The Morgan Grenfell Short-Term Fixed Income Fund was rated 5 stars out of
1,534 fixed income funds.
- The Morgan Grenfell Short-Term Municipal Bond Fund was rated 5 stars out
of 1,579 municipal bond funds.
In addition, our International Select Equity Fund climbed in the ranks. As of
April 30, 1999,
- The Morgan Grenfell International Select Equity Fund was rated 4 stars out
of 1,144 international equity funds.
We discuss the recent strategic improvements that contributed to the
International Select Equity Fund's success in the Management's Discussion and
Analysis section of this report.
Our continuing goal is to provide you with high-quality investment management
services 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 performance of the Funds and are followed by detailed
financial statements for the six month period ending April 30, 1999.
We appreciate 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
- --------------------------------------------------------------------------------
Management's Discussion and Analysis of Fund
Performance......................................... 1
Schedule of Investments................................. 24
Statement of Assets and Liabilities..................... 84
Statement of Operations................................. 86
Statement of Changes in Net Assets...................... 88
Financial Highlights.................................... 92
Notes to Financial Statements........................... 94
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
TAX-EXEMPT FIXED INCOME FUNDS
- - MUNICIPAL BOND FUND
- - SHORT-TERM MUNICIPAL BOND FUND
MARKET REVIEW
Municipal bonds have performed relatively well during the six-month period
ending April 30, 1999, despite a significant rise in interest rates in the US
Treasury bond market.
As a result of persistent strong growth in the US economy and the
accompanying increased demand for money, US Treasury bond yields rose nearly 50
basis points in the five-to ten-year maturity range. The rise in municipal bond
yields, however, was more muted on the order of 10 to 15 basis points higher. As
a result, municipal bond prices decreased less than comparable US Treasury bond
prices.
Six months ago, we highlighted the relative attractiveness of municipal
bonds to US Treasury bonds. We noted then that high global demand for the
superior credit quality of US Treasury bonds amidst unsettled economic
environments in Asia, Russia and Latin America spurred a rally in the US
Treasury bond market. The municipal bond market did not participate in this
rally due to a period of excess supply of new issues.
That imbalance led us to increase the maturity of our municipal bond
portfolios to take advantage of the historically high ratio of municipal yields
to US Treasury yields. We did not believe that we were incurring additional
maturity or duration risk, because an eventual return to the normal tax-exempt/
taxable yield relationship would not have an impact on municipal bond prices,
even if US Treasury yields rose. Additionally, if the normal yield relationship
was restored while US Treasury yields were stable, the portfolio would have
benefited from the catch-up in rising municipal bond prices.
Since November, US Treasury bond prices have fallen as yields have steadily
risen. The rise in US Treasury yields has not only prevented municipal yields
from declining, but, surprisingly, has initiated some price weakening of
municipal bonds. Although the relative value of municipal bonds compared to US
Treasury bonds has decreased from the prior period's extreme undervaluation, it
nonetheless remains attractive on an historical basis.
- - 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. We continue to believe that bonds with sinking fund
retirements and mortgage prepayment calls offer attractive investment
opportunities.
As described in the Market Review above, we slightly extended the duration
of the Fund in 1998 to take advantage of the extreme undervaluation of municipal
bonds relative to US Treasuries. We brought the duration back to its normal
level as the yield ratio returned to its historic relationship.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
----------------------------------------------
MUNICIPAL BOND FUND,
INSTITUTIONAL SHARES
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized Annualized Annualized
6 Months 1 Year 3 Year 5 Year Inception
Return Return Return Return to Date
Municipal
Bond,
Institutional
Shares* 1.72% 5.42% 6.74% 7.05% 8.03%
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>
<S> <C>
Morgan Grenfell Lehman 5 year Lipper Intermediate
Municipal Bond Fund, G.O. Index Municipal Debt Funds Index
Institutional Shares
12/13/91 $250,000 $250,000 $250,000
4/92 $259,653 $256,278 $252,400
4/93 $295,239 $281,839 $279,583
4/94 $269,033 $263,672 $257,928
4/95 $289,017 $277,336 $271,237
4/96 $310,946 $297,273 $288,867
4/97 $331,148 $311,588 $304,004
4/98 $358,768 $332,940 $326,500
4/99 $378,198 $354,600 $346,025
</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.
----------------------------------------------
MUNICIPAL BOND FUND, SERVICE SHARES
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
Municipal Bond, Service
Shares* 1.60% 5.15% 5.29%
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 FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MORGAN GRENFELL LIPPER INTERMEDIATE
MUNICIPAL BOND FUND, LEHMAN 5 YEAR MUNICIPAL DEBT
SERVICE SHARES G.O. INDEX FUNDS INDEX
7/30/97 $250,000 $250,000 $250,000
4/98 $260,204 $257,289 $257,374
4/99 $273,611 $274,027 $272,765
*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 seek to achieve
relative stability of principal in the Fund by investing in bonds with
short-term maturities and anticipated early redemptions.
During the semi-annual period, we continued to add value through individual
selection of attractively priced bonds. The Fund has benefited from investments
in bonds with sinking fund retirements and mortgage prepayment calls, and we
continue to invest in these securities.
2
<PAGE>
- --------------------------------------------------------------------------------
----------------------------------------------
SHORT-TERM MUNICIPAL BOND FUND, INSTITUTIONAL SHARES
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized Annualized
6 Months 1 Year 3 Year Inception
Return Return Return to Date
Short-Term
Municipal Bond,
Institutional
Shares* 1.70% 4.96% 5.86% 5.90%
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>
<S> <C>
Morgan Grenfell Short Term IBC Financial All Lipper Short Term
Municipal Bond Fund, Institutional Shares Tax-Free Average Municipal Debt Fund Index
3/6/95 $250,000 $250,000 $250,000
4/95 $253,070 $251,435 $252,204
4/96 $267,428 $259,485 $264,057
4/97 $283,911 $267,140 $275,121
4/98 $302,241 $275,429 $288,630
4/99 $317,221 $283,037 $302,022
</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.
----------------------------------------------
SHORT-TERM MUNICIPAL BOND FUND, SERVICE SHARES
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
Short-Term Municipal
Bond, Service Shares* 1.47% 4.58% 4.48%
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
Morgan Grenfell Short IBC Financial All Lipper Short
Term Municipal Bond Tax-Free Average Term Municipal
Fund, Service Shares Debt Fund Index
12/3/97 $250,000 $250,000 $250,000
4/98 $254,234 $252,401 $252,675
4/99 $265,881 $259,373 $264,399
*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 municipal bonds remain moderately undervalued at current US
Treasury bond yield levels. We expect the yield ratio between Treasury and
municipal bonds to continue to trend downward until falling back in line with
its historical relationship.
The relative lack of supply, especially if municipalities cannot refund due
to rising interest rates, should drive municipal market conditions. We will
continue to focus on the purchase of high-quality issues, such as
government-backed bonds, as investors are seldom rewarded for purchasing
lower-rated issues.
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
TAXABLE FIXED INCOME FUNDS:
INVESTMENT GRADE
- - FIXED INCOME FUND
- - SHORT-TERM FIXED INCOME FUND
MARKET REVIEW
The six months ended April 30, 1999 witnessed a 180-degree turn in investor
sentiment regarding fixed income securities. As the period began, the global
economic landscape was still rumbling from the tremors in Southeast Asia and
Russia and increasingly threatening pre-quake readings in Brazil.
With the outcome as uncertain as ever, the forecasters projected these
global shocks would combine with a slower growing Europe to drag down the US
economy. The obvious result would be still lower Treasury yields and limited
upside in US spread sectors. By the end of the period, however, Treasury yields
were significantly higher across the curve; spread sectors uniformly
outperformed duration-matched Treasuries; and the US economic expansion
continued unabated.
For the benchmark indices, much of the price appreciation resulting from
outperformance in spread sectors was offset by the negative price effect of
higher Treasury yields. The bellwether 30-year Treasury yield rose 43 basis
points to finish the semi-annual period at 5.66%, while the 2-year Treasury
yield rose 80 basis points to finish at 5.06%. Consequently, the Lehman
Aggregate Bond Index returned just 0.69% for the six months ending April 30,
1999, while the Lehman Government/Corporate Index (which does not include
Mortgages) returned -0.12%.
- - FIXED INCOME FUND
The Morgan Grenfell Fixed Income Fund posted strong returns relative to the
benchmark index for the six months ended April 30, 1999. The Fund's guiding
principle is that, regardless of the direction of interest rates, a focused
approach to determining fundamental value in individual issues provides superior
risk-adjusted returns over the long term. Adherence to that relative value
discipline through a late-1998 period marked by fear and forced liquidations was
rewarded as liquidity returned to the fixed income markets in 1999.
The Fund benefited from its higher allocation to spread sectors relative to
the index. The high quality, short-duration nature of the Asset-Backed
securities owned in the Fund made these bonds particularly strong performers for
the period.
Mortgages benefited from slowing prepayments and declining volatility later
in the period, while Corporates owed their strong performance to the dissipation
of global angst and the consequent return of liquidity to the asset class.
Taxable Municipal securities provided the Fund with a liquid trading vehicle
during the "crisis" period, allowing us to capitalize on significant relative
value opportunities when much of the debt market trading had ground to a halt.
These spread sector successes were partially offset on a nominal basis by
increasing interest rates across the maturity spectrum.
4
<PAGE>
- --------------------------------------------------------------------------------
----------------------------------------------
FIXED INCOME FUND,
INSTITUTIONAL SHARES
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized Annualized Annualized
6 Months 1 Year 3 Year 5 Year Inception
Return Return Return Return to Date
Fixed Income,
Institutional
Shares* 1.15% 5.96% 8.05% 8.08% 7.98%
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 BOND FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Lipper Intermediate
Morgan Grenfell Lehman Investment
Fixed Income, Aggregate Grade Bond
Institutional Shares Bond Index Fund Index
9/18/92 $250,000 $250,000 $250,000
4/93 $271,891 $263,254 $263,043
4/94 $281,607 $265,492 $265,147
4/95 $302,562 $284,899 $281,772
4/96 $329,243 $309,515 $304,342
4/97 $354,910 $331,428 $325,037
4/98 $392,009 $367,587 $357,769
4/99 $415,379 $390,635 $378,018
*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
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
Fixed Income, Service
Shares* 1.06% 5.73% 5.23%
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 BOND FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Morgan Grenfell Lehman Aggregate Lipper Intermediate
Fixed Income, Bond Index Investment Grade
Service Shares Bond Fund Index
2/11/98 $250,000 $250,000 $250,000
4/98 $251,565 $252,154 $252,104
4/99 $265,970 $267,965 $266,373
*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.
- - 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 Short-Term Fixed Income Fund generated strong investment performance
relative to its benchmark, the Merrill Lynch 6-month Treasury Bill Index. The
Fund's higher yield and significant allocation to the top-performing spread
sectors contributed positively to performance.
Short-duration, high-quality taxable municipal securities were one of the
stronger performers through the tumultuous market environment of the late '98,
early '99 period.
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
The Fund's heavy allocation to this asset class was a strong contributor to
performance. Offsetting strong spread sector performance was the Fund's longer
duration relative to the benchmark in a rising rate environment.
----------------------------------------------
SHORT-TERM FIXED INCOME FUND
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized Annualized
6 Months 1 Year 3 Year Inception
Return Return Return to Date
Short-Term Fixed
Income* 2.24% 6.44% 6.45% 6.25%
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>
<S> <C>
Morgan Grenfell Short Merrill Lynch 6 - Month Lipper Short Investment
Term Fixed Income Fund Treasury Bill Index Grade Debt Funds Index
3/13/95 $250,000 $250,000 $250,000
4/95 $251,755 $252,131 $253,411
4/96 $266,231 $266,821 $270,491
4/97 $283,115 $281,441 $287,532
4/98 $301,732 $297,293 $307,400
4/99 $321,157 $312,722 $323,231
</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 portfolio management team continues to find dislocations between
individual issues throughout the fixed income market. These dislocations have
become tactically easier to capitalize on given the return of liquidity to the
markets. Credit spreads, having retraced much of the widening of the "crisis"
period, still appear cheap in an historical context. However, we anticipate a
more gradual narrowing of spreads going forward, owing to the higher risk
premium in the market as a result of the events of 1998.
TAXABLE FIXED INCOME FUNDS:
HIGH YIELD
- - HIGH YIELD BOND FUND
MARKET REVIEW
The first quarter of 1999 continued where the last quarter of 1998 left off.
The rebound in riskier asset classes, which began with multiple Federal Reserve
interest rate cuts, continued and gained momentum as confidence in financial
markets returned and investors perceived that the feared global financial
collapse had been avoided.
We expected a strong quarter with the potential of hitting our six-month
target in the first three months of the year, and that is exactly what happened.
However, based on continued improvement in emerging market countries and
continued strong US growth, we do not believe the market is acting
inappropriately.
As previously mentioned, we expected defaults to increase, and they have.
Defaults have climbed to roughly 4% on a trailing twelve-month basis, which is
the highest rate of defaults seen since November of 1992. This is not
necessarily alarming, as spreads remain attractive and appear to adequately
compensate investors for the risks. We believe the Fund's continued focus on the
fundamentals of the companies in which we invest should help us avoid such
pitfalls. To date, there have been no defaults in the history of the Fund.
6
<PAGE>
- --------------------------------------------------------------------------------
- - HIGH YIELD BOND FUND
Previously, we expected the Fund to underperform its benchmark in the month
of December. The market had become soft prior to year-end, and we decided to use
the weakness in the market (as we did in August and September 1998) to position
the fund for stronger future performance. The Fund did in fact underperform in
the month of December but has greatly outperformed in each of the last three
months partly as a result of those changes made to the portfolio in December.
We expect to see this strategy continue. We believe that when markets become
weaker and investors move in the same direction, it is often a good time to be a
contrarian and take advantage of cheaper prices which fundamental credit
analysis suggestions are unwarranted. It is this fundamental long-term focus
that we believe gives the Fund an advantage over short-term oriented investors
who are typically late to the party and late to exit.
The Fund's strong performance during the beginning of 1999 continued to be
largely the result of the fundamental, issuer-specific, credit analysis we
performed last fall during the crisis. At that time we focused on strong
companies that would be survivors through a downturn and would be the most
enviable assets when a recovery emerged.
We were also rewarded for continuing to exploit the theme of globalization,
particularly in the Telecommunications and Media sectors. Our focus on
globalization and companies with strong credit fundamentals, in fact, resulted
in several credit specific "homeruns", such as Global Crossings and Metronet.
----------------------------------------------
HIGH YIELD BOND FUND,
INSTITUTIONAL SHARES
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
High Yield Bond,
Institutional Shares* 16.54% 6.04% 6.56%
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
Morgan Grenfell CSFB High Lipper High
High Yield Bond Fund, Yield Index Yield Bond
Institutional Shares Fund Index
3/16/98 $250,000 $250,000 $250,000
4/98 $253,210 $251,674 $252,806
4/99 $268,494 $253,414 $255,360
*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
----------------------------------------------
AVERAGE TOTAL RETURN
6 Months Inception
Return to Date
High Yield Bond, Service Shares* 16.23% 16.53%
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
Morgan Grenfell Lipper High
High Yield Bond CSFB High Yield Bond
Fund, Service Shares Yield Index Fund Index
9/15/98 $250,000 $250,000 $250,000
4/99 $291,330 $266,853 $272,949
*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.
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
MARKET OUTLOOK
For several reasons, we have improved (tightened) our spread targets for
securities in the Fund. The bifurcation in high yield credit spreads, which
could prevent a further rally in index spreads, has begun to show signs of
dissipating. Investors have begun venturing back into cyclical and weaker
CCC-rated credits. Insurance and pension money managers are returning to the
market, and there is massive demand from CBOs coming to market. In combination,
demand has thus far continued to exceed supply from the investment banks.
We do not expect the bifurcation in the market to disappear completely in
1999 as defaults are increasing and investors need a little more time to forget
the near meltdown of last fall. While it is our belief that the rapid price
appreciation seen in the last six months is largely over for this year, we do
believe that a strong yield story remains.
Provided there is no backsliding in the global situation and the outlook for
the US and Europe remains sound, high yield could continue to rally to a more
historical average spread over Treasuries. In addition, if interest rates remain
low, we believe investors will likely continue seeking higher yielding
opportunities in order to maintain dividend levels.
As always, there are a number of risks that could result in a reversal of
the high yield rally. US and European growth could slow more than anticipated;
stock markets could start to correct from historically high valuations; and
back-sliding in what appears to be a fundamentally improving global and emerging
market environment.
However, on a risk-return basis, we believe the asset class and the outlook
for our holdings remain attractive.
SMALL CAPITALIZATION EQUITY FUNDS
- - SMALLER COMPANIES FUND
- - MICROCAP FUND
MARKET REVIEW
Investor sentiment surrounding the US equity market has changed dramatically
over the six months ended April 30, 1999.
At the beginning of this period, stocks were coming off a fairly severe
correction ignited by fears associated with the collapse of the high-profile
Long Term Capital Management hedge fund and the default of Russian bonds.
Investors perceived that economic weakness in Asia, Latin America and Eastern
Europe was spreading to Western Europe and the United States and that the
long-running US economic expansion was finally coming to an end.
Six months later, with the global economy somewhat stabilized, investors now
fear that inflation in the United States will derail the economic expansion and
take the stock market down with it. There is concern that the Federal Reserve
will increase interest rates to stave off inflation and/or that rates will rise
to reflect the increasing demand for capital.
In general, small capitalization stocks continued to underperform their
larger counterparts during this period. Though volatile, the large cap market
continued to appreciate, with the Dow Jones Industrial Average of 30 large cap
stocks exceeding the psychologically important 10,000-point mark. The S&P 500
Index of large capitalization stocks appreciated 22.30% during this period,
outperforming the Russell 2000 (15.20%) and the S&P 600 (9.00%) small stock
benchmarks.
8
<PAGE>
- --------------------------------------------------------------------------------
- - SMALLER COMPANIES FUND
The Morgan Grenfell Smaller Companies Fund performed well during this
semi-annual period. The Fund outperformed the S&P 600 Small Cap Index, returning
18.33% vs. the benchmark's return of 9.0%.
The Fund is broadly diversified across the main sectors of the US economy.
There are 79 holdings in nine sectors. Four sectors have weightings in excess of
10%: Consumer (23%), Technology (22%), Credit Sensitive (15%) and Health Care
(14%). The Fund's weighted average market cap is $1.2 billion.
We continue to seek 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
US smaller companies.
----------------------------------------------
SMALLER COMPANIES FUND,
INSTITUTIONAL SHARES
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized Annualized
6 Months 1 Year 3 Year Inception
Return Return Return to Date
Smaller
Companies,
Institutional
Shares* 18.33% -6.70% 8.21% 14.09%
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
Morgan Grenfell Smaller S&P 600 Small Lipper Small
Companies Fund, Cap Index Cap Funds
Institutional Shares Index
6/30/95 $250,000 $250,000 $250,000
4/96 $327,087 $333,980 $345,146
4/97 $312,640 $346,538 $310,839
4/98 $444,199 $508,545 $442,510
4/99 $414,437 $435,823 $397,728
*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
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
Smaller Companies,
Service Shares* 18.10% -7.02% 5.11%
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 FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Morgan Grenfell Lipper Small
Smaller Companies S&P 600 Small Cap Funds
Fund, Service Shares Cap Index Index
7/11/97 $250,000 $250,000 $250,000
4/98 $294,152 $307,200 $293,719
4/99 $273,516 $263,270 $263,994
*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 performed well during this semi-annual
period. The Fund outperformed the Russell 2000 Index, returning 38.59% vs. the
benchmark's return of 15.16%.
The Fund is broadly diversified across the main sectors of the US economy.
There are 65 holdings in nine sectors. Four sectors have weightings in excess of
10%: Consumer (28%), Technology (20%), Credit Sensitive (14%) and Health Care
(14%). The Fund's weighted average market cap is $275 million.
We continue to seek 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
very small US companies.
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
----------------------------------------------
MICROCAP FUND, INSTITUTIONAL SHARES
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
Microcap, Institutional
Shares* 38.59% -1.72% 16.38%
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>
<S> <C>
Morgan Grenfell Russell Lipper Microcap
Microcap Fund, Institutional Shares 2000 Index Fund Index
12/18/96 $250,000 $250,000 $250,000
4/97 $231,250 $244,165 $233,494
4/98 $364,080 $347,691 $341,088
4/99 $357,821 $315,530 $292,824
</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
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
Microcap, Service
Shares* 38.56% -1.79% 10.03%
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
Morgan Grenfell
Microcap Fund, Russell Lipper Microcap
Service Shares 2000 Index Fund Index
8/21/97 $250,000 $250,000 $250,000
4/98 $299,225 $286,939 $282,712
4/99 $293,859 $260,397 $242,708
*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.
MARKET OUTLOOK
We are pleased with both the absolute and benchmark-relative returns of the
Funds, and we see many opportunities for the Fund's success to continue. With
more than 6,000 publicly traded small and micro cap companies on the market
today, 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.
INTERNATIONAL EQUITY FUNDS
- - INTERNATIONAL SELECT EQUITY FUND
- - EUROPEAN EQUITY GROWTH FUND
- - INTERNATIONAL SMALL CAP EQUITY FUND
- - EUROPEAN SMALL CAP EQUITY FUND
- - EMERGING MARKETS EQUITY FUND
MARKET REVIEW
Performance from international equity markets during the sixth months under
review was positive overall, benefiting from an improving growth outlook and
signs of recovery in some emerging economies.
Equity markets worldwide recovered strongly in late 1998, regaining some of
the ground lost during the sharp market falls in August and September. Positive
performance continued into 1999 as falling interest rates in emerging economies
together with rate cuts in the US, UK and Europe helped to improve the outlook
for global economic growth.
Although the devaluation of the Brazilian Real early in 1999 reawakened
concerns about the stability of emerging markets, signs that the economic crisis
in Southeast Asia might be bottoming were received positively by foreign
investors, resulting in strong outperformance by emerging markets in the region.
10
<PAGE>
- --------------------------------------------------------------------------------
In developed markets, the more positive outlook for the global economy
together with a stronger oil price resulted in a strong shift away from
traditional "growth" and "defensive" stocks towards heavily cyclical sectors
such as Oil, Steel and Basic Materials.
- - INTERNATIONAL SELECT EQUITY FUND
(FORMERLY THE INTERNATIONAL EQUITY FUND)
During the period under review, the MSCI EAFE index returned 15.44%. The
International Select Equity Fund produced a return of 35.08% in the same period,
more than double the index return.
The International Select Equity Fund selects high quality growth companies
with visible earnings streams and above-average, sustainable return on capital.
During the fourth quarter of 1998 the managers decided to focus the Fund on
a smaller number of holdings, a move that has significantly enhanced the
relative performance of the Fund. The stock selection process remains unchanged,
with stocks selected on a 'bottom-up' basis. Portfolio construction is now
driven entirely by the stock selection process. Hedging continues to be carried
out on a centralized basis.
In the period under review, the more positive outlook for the global economy
resulted in marked outperformance by stocks and sectors demonstrating strong and
visible earnings growth, such as those in Telecommunications. The Fund's
overweight position in this sector, and specific holdings such as Equant
(Netherlands), Nokia Oyj (Finland) and Colt Telecom Group Plc (UK) had a
positive impact on performance over the period.
Signs of recovery in the Far East bolstered Consumer Cyclical companies such
as Philips Electronics (Electronics), Gucci (Luxury Goods) and Compagnie
Financiere Richemont (Luxury Goods and Tobacco). More recently, the increased
interest in internet-related themes led to dramatic outperformance by stocks
such as ConSors Discount Broker AG (Germany), a small online broker in Germany.
The Fund benefited from the recovery in UK-Asian banks such as HSBC and
Standard Chartered. Performance of the Fund's Japanese stocks was weaker,
largely due to the "defensive" nature of our holdings in Tokyo Electric Power
and Secom in particular. These stocks suffered as investor sentiment became more
positive on the outlook for the domestic economy.
The Fund's positioning remains entirely determined by our views on specific
companies, analyzed at a sectoral level. Value creation continues to be most
prevalent in the growth areas of Telecommunications, Technology, Business
Services and Retail/Leisure.
In regional terms, our focus remains on the developed markets (from a
shareholder value perspective) of the UK and Continental Europe, where we are
continuing to find new opportunities in a number of sectors. Examples of these
are UPC, a cable TV operator expanding in broadband services; Benckiser, a
producer of specialized detergent products; Lagardere S.C.A., a defense and
media conglomerate with an important share in the Airbus consortium; and GEC, a
traditional electronics and power company metamorphosing into an internet
infrastructure company. Our exposure to Japan and Asia remains highly stock
specific.
11
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
----------------------------------------------
INTERNATIONAL SELECT EQUITY FUND
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized Annualized
6 Months 1 Year 3 Year Inception
Return Return Return to Date
International
Select Equity 35.08% 27.35% 14.89% 17.44%
COMPARISON OF CHANGE IN THE VALUE OF $250,000 INVESTMENT IN THE MORGAN GRENFELL
INTERNATIONAL SELECT EQUITY FUND, INSTITUTIONAL SHARES, VERSUS THE MORGAN
STANLEY CAPITAL INTERNATIONAL EAFE INDEX AND THE LIPPER INTERNATIONAL EQUITY
FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
<S> <C>
Morgan Grenfell Morgan Stanley
International Select Capital International Lipper International
Equity Fund EAFE Index Equity Funds Index
5/15/95 $250,000 $250,000 $250,000
4/96 $311,631 $282,334 $290,964
4/97 $314,951 $280,640 $317,850
4/98 $371,136 $334,607 $386,187
4/99 $472,636 $367,432 $395,533
</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
The European equity markets in the period under review produced a positive
return, with the MSCI Europe Index returning 10.98% and the Fund 11.29%.
The six months under review saw some shift in the pattern of performance
with continental markets outperforming the UK in the final two months of 1998.
They then enjoyed an explosive start to the new year, rising 10% in the first
week of January in a euphoric response to the advent of the euro. In the absence
of any resoundingly positive economic news, much of this rise was later unwound.
Subsequent to this period, returns in Continental Europe have been more
muted, especially in US dollar terms. Finland has been the strongest market in
local currency terms. In particular, stocks such as Nokia Oyj, driven by strong
growth and favorable comparisons with Ericsson Lm Series B, outperformed
markedly.
Norway, a long-term underperformer in the past, also outperformed as the
recovery in the oil price took most people by surprise. Oil stock helped France
to outperform the European average as both Elf and Total rallied sharply. Not
being part of the euro-eleven helped the UK returns, given that the euro started
life with less strength than central bankers had expected. The Fund raised its
exposure to the UK during the first quarter of 1999. Germany featured
prominently among the underperformers, dogged by macroeconomic weakness and
political uncertainty.
Our view is that the outlook for economic growth in Europe is positive, and
that it is not subject to much change for the moment. Optimism that the global
economy will recover has recently allowed some of the cyclical areas of the
market to rise sharply, but we continue to believe that earnings disappointments
are not necessarily behind us. The supply/demand equations for many of the basic
products whose stocks have led the rally remain unconvincing, and pricing power
remains elusive across wide swaths of industry.
Corporate activity across the entire market will remain a major feature.
Companies such as Vodafone with Airtouch, Total/Petrofina, Astra/Zeneca,
Hoechst/Rhone-Poulenc, Sanofi/Synthelabo, Daimler/Chrysler, Societe
Generale/Paribas have announced agreed deals while BNP and Olivetti are involved
in hostile proposals.
It is clear that, in a lower growth environment which allows little pricing
power or top-line growth, companies are seeking economies of scale and the cost
cutting opportunities
12
<PAGE>
- --------------------------------------------------------------------------------
which size allows. Otherwise, they face being squeezed over time. This process,
when properly implemented, should bring beneficial effects for shareholders. We
are positive on the outlook for Vodafone, BP Amoco, Total and DaimlerChrysler.
Such corporate activity is likely to continue and should ensure that interest in
equity markets remains keen.
This leaves quoted Europe as a whole in an environment of modest growth,
both in the economy and on the top line of profit and loss accounts. While we
believe that there will be earnings growth this year, we think it will result
largely from cost-reduction programs that have already been implemented, the
burgeoning in M&A activity, and from a narrower band of genuine growth
industries.
The Fund keeps its focus on visible growth. We have retained our overweight
stance on the Telecommunications, Broadcasting and Business Services sectors.
Given our skepticism about the prospects for wholesale upgrades in the more
cyclical sectors, we have avoided large increases in weightings there. However,
we have added selectively where we believe visibility is reasonable, prospects
are good, and valuations are attractive.
During 1999, the Fund has purchased Usinor, Billiton, BP Amoco and Valeo and
increased its positions in DaimlerChrysler and S.G.E. These have been partially
funded by reductions in the Pharmaceutical sector, where, in contrast to the
USA, growth is proving elusive for some of the major European companies.
The Fund is now overweighted in the UK relative to Continental Europe.
Within the latter region, we favor the non-euro countries as opposed to those in
the euro-zone. The most notable underweight is Germany, although this stance is
less strong than it has been in the past, since we are beginning to see greater
commitment to shareholders at companies such as Siemens, a recent purchase.
----------------------------------------------
EUROPEAN EQUITY GROWTH FUND
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
European Equity Growth* 11.29% 2.34% 21.22%
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 CAPITAL INTERNATIONAL EUROPE INDEX AND THE LIPPER EUROPEAN REGION FUNDS
INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
<S> <C>
Morgan Grenfell Morgan Stanley Lipper European
European Equity Capital International Europe Region Funds
Growth Fund Index Index
9/3/96 $250,000 $250,000 $250,000
4/97 $297,702 $294,171 $287,047
4/98 $407,145 $429,284 $406,890
4/99 $416,684 $454,912 $415,312
</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 Equity Fund underperformed the benchmark during
the last quarter of 1998 by 439 basis points. This was due to the strong rebound
in stock markets after the September 1998 sell-off. Stock selection contribution
was still positive while the effects of currency hedging were the main
contributors to negative performance.
During the first quarter of 1999, however, the Fund outperformed the
benchmark by 249 basis points. This was driven by very strong stock selection in
Japan.
The best performing small capitalization equity market during the six-month
period was Indonesia (+131.8%). The Asian region in
13
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
general performed better than the other regions. The strongest European market
was Italy, which returned +31.0% during the period. The period started with a
sharp recovery in the first quarter to December 1998, while the first quarter of
1999 had lower volatility.
The Fund was sharply ahead of benchmark in Continental Europe and Japan.
Continental Europe performed very well during the fourth quarter of 1998,
resulting in an overall performance 16.4% ahead of the index. Japan was ahead of
benchmark by 16.7% in the 6-month period, mainly due to outperformance in the
first quarter of 1999.
Overall, small stocks outperformed large stocks during the period as the
valuation gap between large caps and small caps is now evident. We believe the
valuation gap between large and smaller companies remains and that small stocks
should keep outperforming large stocks in the near term.
The Fund focuses 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.
----------------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized Annualized Annualized
6 Months 1 Year 3 Year 5 Year Inception
Return Return Return Return to Date
International
Small Cap
Equity* 20.77% 11.81% 0.62% 1.45% 2.37%
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
Morgan Grenfell NatWest Markets
International Small Euro/Pacific
Cap Equity Fund Small Cap Index
1/3/94 $250,000 $250,000
4/94 $263,500 $291,663
4/95 $226,085 $292,020
4/96 $277,932 $328,187
4/97 $236,322 $285,673
4/98 $253,268 $295,988
4/99 $283,173 $315,615
*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 small capitalization equity markets have been very exciting in the
last six months. The last three months of 1998, in particular, showed strong
returns. This was driven by recovery of cyclical stocks which were oversold
during the stock market correction in the previous quarter.
The next three months showed a different picture. Weaker markets in the
beginning of 1999 were driven by the low probability of further interest cuts in
Europe. When interest rates were indeed cut, cyclical stocks outperformed again.
The Fund outperformed strongly in January, and underperformed slightly in the
next two months.
Our outlook on European small capitalization stocks remains positive. With
low and stable interest rates in Europe, the perception
14
<PAGE>
- --------------------------------------------------------------------------------
that European domestic economies would continue to grow in 1998 and 1999
remains. There are also indications that the US economy remains strong, while
companies we invest in are confirming signs that Asian economies have bottomed
out.
In this environment, small cap stocks outperformed large caps in 1999. Large
companies now show evident relative overvaluation compared to their smaller
counterparts. Europe has had low interest rates for some time, and this is
beginning to affect the returns on capital employed of large companies because
of lower hurdle rates for investments.
We continue to favor small caps where growth is driven by innovation,
product leadership, and pricing power.
----------------------------------------------
EUROPEAN SMALL CAP EQUITY FUND
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized Annualized
6 Months 1 Year 3 Year Inception
Return Return Return to Date
European Small Cap
Equity* 11.17% 6.20% 6.77% 11.00%
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
Morgan Grenfell NatWest Markets Lipper European
European Small European Small Region
Cap Equity Fund Cap Index Funds Index
11/1/94 $250,000 $250,000 $250,000
4/95 $261,873 $267,323 $255,000
4/96 $328,413 $305,424 $299,804
4/97 $312,795 $334,309 $355,807
4/98 $376,330 $445,963 $504,356
4/99 $399,680 $446,662 $514,796
*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
Emerging markets generally enjoyed a period of strong performance during the
six months ending April 30, 1999, with the MSCI EMF Index up 34.87% in US dollar
terms. With this return, emerging markets outperformed the world's major
developed markets. After the turmoil of 1997 and 1998, we have now seen two
successive quarters in which the asset class has recorded strong positive gains.
The main focus for investors during the period was Brazil, where the
authorities were finally forced to drop the Real's link to the US dollar. The
currency fell swiftly before strengthening around the BRL/US$1.80 level.
The decision to float the Brazilian Real in January sent shock-waves
throughout Latin America. However, prospects have improved following the
signature of a revised IMF agreement, the appointment of a credible Central Bank
President, final approval of tax measures, pledges from commercial banks to
maintain credit lines, and an improving trade position. This increased level of
confidence has allowed the exchange rate to stabilize and should allow interest
rates to fall from their present levels of around 45%.
The risks are still considerable, however. High interest rates worsen the
fiscal deficit, severe fiscal adjustments must still be agreed by the states,
and inflation is still a risk. As a result, the economy is likely to contract
this year.
Unlike previous problems in emerging markets, such as the round of currency
devaluations in Asia in 1997 and the Russian debt crisis in August 1998, market
reaction has been positive. The Brazilian equity market has rebounded strongly,
and returns have more
15
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
than compensated for currency losses. Perhaps even more importantly, sentiment
in the region has also remained strong, with the Mexican peso actually
strengthening as interest rates have been allowed to fall in the context of
improving inflationary expectations. The "contagion" effects of the previous two
years were, therefore, little in evidence during the period.
The Mexican market performed well, managing to de-couple from Brazil by
virtue of its well-managed economy, a positive outlook for both domestic and US
growth, lower than forecast inflation, a stronger peso and steeply falling local
interest rates.
Excitement in Argentina and Chile has largely centered around a few stocks
which have been the focus of foreign take-over activity, coupled with interest
rate falls and better news on commodity prices, particularly oil. The smaller
Andean markets continued to underperform largely due to lack of liquidity and
poor earnings prospects for 1999.
The European emerging markets saw strong returns, driven by two key markets,
Turkey and Russia. In Southern Europe, investor sentiment in Turkey improved in
the run up to elections in April. Turkey reported a strong current account
surplus in 1998, combined with pleasing inflation figures.
Performance of the Central European markets was a little disappointing.
Investors became concerned as to the impact of a slowing EU economy on the
region, despite the attractive valuation of many stocks. In Poland, in
particular, companies' heavy investment programs are depressing earnings growth.
In Russia, the market rallied strongly, initially on speculation that
proceeds from GKO restructuring would be channeled into the equity market, then
as a result of the rising oil price and expectations of a further IMF package.
The economic environment in Russia remains extremely difficult, and major
structural reforms required by the economy will be difficult to implement ahead
of parliamentary and presidential elections in 1999 and 2000.
The Greek market continued its positive performance, supported by strong
earnings growth. Retail interest in the market is tremendously strong, and has
pushed valuations of a number of stocks to extreme levels. Israel, too, showed a
strong performance in the first quarter--rapidly falling inflation has permitted
the central bank to cut interest rates twice so far this year.
Asian markets had a strong start at the turn of the year but soon entered
into a consolidation phase due to renewed concerns over Renmimbi devaluation and
negative implications of a weaker Yen. Further evidence that the economies in
the region have bottomed out and subsequent stability in the Yen enabled the
markets to regain their upward bias toward the end of the period.
Despite a less supportive outlook for US interest rates, we expect that Asia
will continue to offer attractive returns to investors over the medium term.
There are clear indications that the worst of the Asian economic crisis is over,
and in economies which were first to restructure such as Korea and Thailand, we
are beginning to see early signs of recovery. A sustained and durable economic
recovery is necessary for stronger corporate performance, which will form the
basis for Asia's further rerating. We have seen good progress in the Banking
sector problems
16
<PAGE>
- --------------------------------------------------------------------------------
across the region, particularly in Korea, which is in the process of disposing
restructured banks to foreign buyers.
India performed well, as budget measures that resolved the equity overhang
from UTI, the largest domestic mutual fund, resulted in an upward rerating of
the market. The Taiwan market also performed well after recovering sharply from
its lows in early February on the back of measures announced by the government
aimed at shoring up the financial system and easing the burden on the Banking
sector.
South Africa performed strongly, due to falling interest rates and the
perception that the market equity risk premium should be lower. This has lead to
a strong rally in the Consumer sector.
Although we would not be complacent about challenges facing emerging
markets, we are heartened by the recovery in most markets over the last two
quarters. We are now also more positive on the attractions of the asset class in
comparison with developed markets.
The recovery in some commodity prices will generally boost emerging
economies, and a reversal of the significant investor outflows of last year may
also be supportive of emerging equity markets over the coming months.
----------------------------------------------
EMERGING MARKETS EQUITY FUND
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized Annualized Annualized
6 Months 1 Year 3 Year 5 Year Inception
Return Return Return Return to Date
Emerging
Markets
Equity* 28.86% -19.75% -8.57% -3.60% -5.48%
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 CAPITAL INTERNATIONAL EMERGING MARKETS FREE INDEX AND THE LIPPER
EMERGING MARKETS EQUITY FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
<S> <C>
Morgan Grenfell Morgan Stanley
Emerging Markets Capital International Lipper Emerging Markets
Equity Fund Emerging Markets Free Index Equity Funds Index
2/1/94 $250,000 $250,000 $250,000
4/94 $223,500 $215,385 $213,664
4/95 $215,923 $205,025 $194,798
4/96 $243,386 $234,508 $223,336
4/97 $255,935 $244,568 $241,917
4/98 $231,809 $209,032 $211,097
4/99 $186,034 $187,732 $179,707
</TABLE>
*COMMENCED OPERATIONS ON FEBRUARY 1, 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.
MARKET OUTLOOK
The outlook for international equities as a whole has broadly improved over
the last six months. This has been driven by the ongoing recovery in emerging
markets and the apparent buoyancy of the US economy. Emerging economies show
signs of bottoming, and we believe falling interest rates in the region are
likely to provide support to corporate earnings now that many companies have cut
costs.
We also believe that increased demand in Asia should feed through to higher
export demand and lower price competition for manufacturers in developed
markets, supporting estimates of corporate earnings and economic growth.
We are still concerned about the outlook for Japan, however. Despite
government action to rescue the Financial sector and a series of restructuring
announcements from large
17
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
corporations, recovery in the domestic economy has so far failed to materialize.
The outlook for corporate earnings remains uncertain and the market looks
expensive based on earnings and cashflow multiples. Consequently, the Fund is
underweighted in Japan while we focus on high-quality stocks with high earnings
visibility.
World equity market performance in the near term is likely to depend on the
health of the US economy and interest rate environment. US consumer demand has
remained resilient during the last six months, and inflation, helped by lower
commodity prices, has been stable at low levels. While this continues, the
outlook for equity markets worldwide is likely to remain positive.
On the other hand, bond markets are beginning to reflect a more realistic
outlook for inflation and are discounting short-term interest rate rises. A rise
in US interest rates could undermine global growth forecasts and, consequently,
equity markets.
Valuations of most equity markets worldwide have now recovered to
historically high levels, supported by the low inflation environment and
historically low bond yields. The MSCI EAFE index is currently trading on
forward multiples of 30x earnings and 2.7x book value, so on an absolute basis
markets look vulnerable to a change in sentiment. We are concerned about the
possibility of a correction in the near term but we believe the Fund is well
positioned over the medium term.
INTERNATIONAL FIXED INCOME FUNDS
- - CORE GLOBAL FIXED INCOME FUND
- - GLOBAL FIXED INCOME
- - INTERNATIONAL FIXED INCOME FUND
- - EMERGING MARKETS DEBT FUND
MARKET REVIEW
Bond markets, with the exception of the US, posted solid returns in the six
months to April 1999. European markets were the best performing as rates were
cut given the slowing economy. Emerging markets rallied considerably, despite
the Brazilian devaluation.
The US economy was buoyant but inflation was remarkably benign. However,
with the improving outlook for emerging markets, the bond market began to favor
a reversal of the last easing made by the Federal Reserve in the fourth quarter
of 1998. Thus the bond market, having traded in a range at the end of the year,
sold off in 1999. Canada and Australia benefited from an improved inflation
outlook and ensuing rate cuts and outperformed the US.
In Europe, growth remained subdued given the poor performance of the
manufacturing sector. Inflation continued to fall to new lows. Central banks
reduced rates at the end of 1998, as did the newly created European Central Bank
in the first quarter of 1999. Bond markets performed extremely well in this
supportive environment. The best performing markets in Europe were the
prospective EMU entrants of Denmark, Sweden, and Greece. In the UK, evidence of
a soft landing became more apparent in the early part of 1999. The bond market
reversed the strong performance demonstrated at the end of 1998.
The Japanese economy continued to deteriorate in spite of continued attempts
to stimulate activity by the government. Yields
18
<PAGE>
- --------------------------------------------------------------------------------
rose dramatically at the end of 1998 as expectation of a negative demand/supply
imbalance weighed on the market. However, this move was reversed due to renewed
official support for the market.
The US dollar traded in a range against the Japanese Yen following the sharp
appreciation of the latter in early October 1998, although a weakening trend for
the Yen re-emerged in 1999. The euro depreciated steadily against the US dollar
since its inception. This was driven by the continuing divergence of growth
expectations in the two economies. Commodity based currencies, such as the
Australian and Canadian dollars, benefited from the upward revision of global
growth forecasts.
Emerging debt markets posted solid returns into the end of 1998 and the
start of 1999. Market focus at the end of last year was placed on President
Cardoso's ability to pass reforms to reduce fiscal expenditure in Brazil; his
success led to a re-emergence of positive sentiment for the asset class as a
whole.
Early in January the Brazilian authorities finally abandoned the Real peg.
The initial reaction was a dramatic sell-off in assets of all emerging
countries. Rates across Latin America were raised significantly to curtail the
level of capital outflows. Fears grew of excessively high Real rates resulting
in a marked contraction in the continent's economy, creating negative sentiment
for emerging debt in the short run. This was quickly reversed as Arminio Fraga
was appointed head of the Central Bank in Brazil and skillful downward
manipulation of rates recaptured investor interest for the asset class.
- - GLOBAL FIXED INCOME
- - CORE GLOBAL FIXED INCOME FUND
In the US market we moved to an underweight position through shortening of
duration and sale of US bonds to Europe. This benefited performance as the US
market fell.
We maintained our preference for European bond markets and the move from the
euro market into Swedish, Danish, and Greek bonds boosted performance.
Having increased the Japanese weighting to neutral and benefited from the
strong performance of the market, late in the quarter we again moved to an
underweight position. This move was a little early and detracted from
performance.
Having been neutral on the major currencies, towards the end of the period
we took a slight underweight position in the Japanese Yen against the US dollar.
Inside currency blocs, we were overweight minor currencies. Within Europe, we
preferred the Greek drachma and the Swedish and Danish krona. Within the dollar
bloc, we preferred the Australian and Canadian dollars. These positions all
added value.
The Global Fixed Income Fund invested a further 6% in emerging debt over the
period, which investments performed very well.
19
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
----------------------------------------------
GLOBAL FIXED INCOME FUND
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized Annualized Annualized
6 Months 1 Year 3 Year 5 Year Inception
Return Return Return Return to Date
Global Fixed
Income* -3.31% 5.41% 5.35% 6.05% 5.37%
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
Morgan Grenfell Salomon
Global Fixed World Government Lipper Global
Income Fund Bond Index Income Funds Index
1/4/94 $250,000 $250,000 $250,000
4/94 $246,250 $250,336 $235,024
4/95 $272,020 $289,138 $247,434
4/96 $282,485 $297,726 $273,983
4/97 $288,976 $299,959 $295,244
4/98 $313,340 $323,986 $320,163
4/99 $330,286 $350,617 $328,743
*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.
----------------------------------------------
CORE GLOBAL FIXED INCOME FUND
----------------------------------------------
AVERAGE TOTAL RETURN
6 Months Inception
Return to Date
Core Global Fixed Income* -3.16% 6.13%
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
Morgan Grenfell Core Salomon World
Global Fixed Income Government Bond Index
5/4/98 $250,000 $250,000
4/99 $265,318 $269,893
*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 FUND
Disliking dollar bloc markets in the early part of the period due to their
close correlation to the US market, we established a neutral position in Canada
towards the end of the period.
We maintained our preference for European bond markets, and the move from
the euro market into Swedish, Danish, and Greek bonds boosted performance.
Having increased the Japanese weighting to neutral and benefited from the
strong performance of the market, late in the quarter we again moved to an
underweight position. This move was a little early and detracted from
performance.
Having been neutral on the major currencies, toward the end of the period we
took a slight underweight position in the Japanese yen against the US dollar.
Inside currency blocs, we were overweight minor currencies. Within Europe, we
preferred the Greek drachma and the Swedish and Danish krona. Within the dollar
bloc, we preferred the Australian and Canadian dollars. These positions all
added value.
20
<PAGE>
- --------------------------------------------------------------------------------
----------------------------------------------
INTERNATIONAL FIXED INCOME FUND
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized Annualized Annualized
6 Months 1 Year 3 Year 5 Year Inception
Return Return Return Return to Date
International
Fixed
Income* -3.62% 7.79% 4.84% 5.85% 5.64%
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>
<S> <C>
Morgan Grenfell International Salomon World Government Lipper International
Fixed Income Bond Index - Non-US Income Funds Index
3/15/94 250,000 250,000 250,000
4/94 249,250 254,695 245,321
4/95 272,873 307,519 264,677
4/96 287,406 308,564 288,816
4/97 286,319 302,177 303,170
4/98 307,235 321,637 330,970
4/99 331,176 350,777 354,569
</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 MARKET DEBT FUND
The Fund's strategy was to maintain an underweight in Latin American
countries into the end of 1998 and the start of 1999. We reversed this position
gradually in early 1999 as Central Bank head, Arminio Fraga injected confidence
back into the Brazilian market. Throughout the period we held a neutral position
in Russia and reduced our overweight position in Bulgaria due to a declining
economic outlook. We maintained our overweight position to exotics with
improving fundamentals such as Ivory Coast, Nigeria and Morocco.
----------------------------------------------
EMERGING MARKETS DEBT FUND,
INSTITUTIONAL SHARES
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized Annualized
6 Months 1 Year 3 Year Inception
Return Return Return to Date
Emerging Markets
Debt,
Institutional
Shares* 11.99% -28.44% 0.35% 5.63%
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>
<S> <C>
Morgan Grenfell JP Morgan
Emerging Markets Debt Fund, Emerging Markets Lipper Emerging
Institutional Shares Bond Index Plus Markets Debt Average
8/4/94 $250,000 $250,000 $250,000
4/95 $239,766 $239,240 $241,644
4/96 $320,747 $339,784 $327,210
4/97 $410,378 $447,939 $438,592
4/98 $453,035 $514,545 $500,697
4/99 $324,170 $469,012 $423,689
</TABLE>
*COMMENCED OPERATIONS ON AUGUST 4, 1994. PERFORMANCE BEGINS ON AUGUST 31, 1994
FOR COMPARATIVE DATA.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
21
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
----------------------------------------------
EMERGING MARKETS DEBT FUND,
SERVICE SHARES
----------------------------------------------
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
Emerging Markets Debt,
Service Shares* 12.33% -28.40% -22.52%
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
Morgan Grenfell
Emerging Markets JP Morgan Lipper
Debt Fund, Emerging Markets Emerging Markets
Service Shares Bond Index Plus Debt Average
10/22/97 $250,000 $250,000 $250,000
4/98 $236,867 $250,003 $250,021
4/99 $169,604 $227,880 $211,568
*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
Given the upward revision in global growth forecasts in the recent months,
we have scaled back our positive outlook for bond markets. However, we still
expect modest returns supported by the benign inflationary environment.
In the US, we expect a perpetuation of the strong growth and subdued
inflation environment. Until inflation pressure becomes a concern, there is
little justification for a rise in interest rates by the Federal Reserve,
although given the strength of the economy we do anticipate a tightening in the
future. Against this backdrop, we expect the bond market to continue trading in
its recent range. The rally in commodity based currencies and the recent rate
cut by the Bank of Canada gives us confidence in the outlook for other dollar
bloc markets.
In Europe, we anticipate a gradual recovery in the underlying economy to be
driven by a recovery in the manufacturing sector boosted by exports. It may be
that the ECB will effect one further rate cut to aid this process and this
expectation will support the market within its current trading range. We believe
the steady progress towards EMU entry will continue to drive peripheral European
markets. We do not expect concerns over the proximity of Kosovo to hamper
significantly the performance of the Greek market. In the UK, we believe that
the trough in rates has been reached, and we have an optimistic outlook for
economic recovery later this year and a benign outlook on the market.
In Japan, we expect the Bank of Japan will have to recourse to monetization
over the next year, however, they will have to be forced into this by a further
deterioration of economic conditions. The prospect of a further fiscal package
will be countered by good official demand for bonds, and yields will remain
around current levels in the short term before monetization triggers a weakening
on a longer-term horizon.
We continue to favor the South African market given the improved fiscal
background, falling inflation numbers and a more encouraging outlook for the
currency.
We believe the US dollar will maintain its recent strength against the euro
until signs of European economic recovery become more apparent later in the
year. As the prospect of monetization looms, we hold a negative long-term view
of the yen. Given the recent
22
<PAGE>
- --------------------------------------------------------------------------------
strength in commodities, we are optimistic on the outlook for the Canadian and
Australian dollars.
The outlook for emerging markets into the second half of 1999 is dominated
by two factors. The first factor is the rate profile in the US. Monetary easing
in the second half of 1998 was supportive for emerging debt, and a reversal of
the cuts would be detrimental. The second factor is the market focus on Brazil,
including maintenance of the downward path for interest rates and the
continuation of structural reform. Successful implementation of reform should
boost growth prospects throughout Latin America providing support for the asset
class.
23
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS -- 93.38%
ALABAMA -- 1.07%
Birmingham, Medical Clinic Board, Baptist Medical Centers,
RB, ETM 8.250% 07/01/05 $ 30,000 $ 33,989
Birmingham, Private Education Building, Tuition-Miles
College, RB, ACA 5.500% 05/01/28 390,000 390,956
Birmingham, Special Care Facilities Financing Authority,
Methodist Home for Aging, RB, LOC 5.000% 03/01/14 4,300,000 4,286,326
Housing Finance Authority, Multi-Family Mortgage, The Club
Apartments, RB, Series I 5.650% 06/01/08 2,335,000 2,391,694
Lauderdale & Florence Counties, Public Hospital, RB, ETM 7.000% 07/01/07 300,000 331,488
-------------
7,434,453
-------------
ARIZONA -- 1.54%
Coconino County, Unified School District, GO, AMBAC 4.875% 07/01/01 935,000 951,587
Maricopa County, Hospital Revenue Authority, Phoenix
Baptist Hospital & Medical Center, RB, ETM 7.125% 10/01/02 90,000 94,995
Maricopa County, Industrial Development Authority, John C
Lincoln Hospital, RB, FSA 7.000% 12/01/00 500,000 518,910
Maricopa County, Industrial Development Authority, Pines
at Camelback Apartments Project, RB, Series A, Asset
Guaranty 4.900% 05/01/06 145,000 145,563
Maricopa County, Industrial Development Authority, Pines
at Camelback Apartments Project, RB, Series A, Asset
Guaranty 5.000% 05/01/07 155,000 155,710
Maricopa County, Industrial Development Authority, Pines
at Camelback Apartments Project, RB, Series A, Asset
Guaranty 5.300% 05/01/13 380,000 387,946
Maricopa County, Samaritan Health Service, RB, ETM 6.750% 01/01/04 50,000 52,932
Pinal County, Community College, Pledge Obligation, RB,
AMBAC 5.250% 07/01/05 490,000 519,591
Pinal County, Community College, Pledge Obligation, RB,
AMBAC 5.250% 07/01/06 835,000 887,146
Pinal County, Community College, Pledge Obligation, RB,
AMBAC 5.250% 07/01/07 885,000 940,472
Pinal County, Community College, Pledge Obligation, RB,
AMBAC 5.250% 07/01/08 930,000 989,780
Pinal County, Community College, Pledge Obligation, RB,
AMBAC 4.800% 07/01/09 650,000 666,270
Pinal County, Community College, RB, AMBAC 5.400% 07/01/05 360,000 384,613
Pinal County, Community College, RB, AMBAC 5.300% 07/01/06 380,000 404,898
Pinal County, Community College, RB, AMBAC 5.200% 07/01/07 375,000 397,226
Pinal County, Community College, RB, AMBAC 4.750% 07/01/09 350,000 357,342
Santa Cruz County, Industrial Development Authority,
Citizens Utility Company Project, RB (C) 4.750% 08/01/20 1,050,000 1,062,085
Yuma, Industrial Development Authority, Multi-Family
Mortgage, Regency Apartments, RB, Series A, GNMA 5.400% 12/20/17 1,765,000 1,790,540
-------------
10,707,606
-------------
ARKANSAS -- 1.70%
Drew County, Public Facilities Board, Single Family
Mortgage, RB, Series A-2, FNMA 7.900% 08/01/11 225,696 242,512
Fayeteville, Public Facilities Board, Single Family
Mortgage, RB 7.250% 04/01/11 675,000 735,838
Jefferson County, Health Care Facility, 1978 Conventional
Series, RB, ETM, FSA 7.400% 12/01/10 130,000 153,485
Lonoke County, Residential Housing, RB, Series B 7.375% 04/01/11 156,517 169,226
Mississippi County, Public Facilities Board, RB, Series 1 7.200% 07/15/10 575,000 642,804
North Little Rock, Residential Housing Facilities, Capital
Appreciation, RB (A) 0.000% 12/01/10 4,525,000 2,048,106
Rogers County, Sales & Use Tax Redevelopment, RB 5.350% 11/01/11 2,335,000 2,394,846
Saline County, Residential Housing Facilities, Single
Family Mortgage, RB 7.875% 03/01/11 470,000 500,738
State Development Finance Authority, Multi-Family Housing,
RB, Series A, MBIA 5.450% 07/01/24 4,675,000 4,727,594
Stuttgart, Public Facilities Board, Single Family
Mortgage, RB, Series B 7.750% 09/01/11 189,061 206,837
-------------
11,821,986
-------------
</TABLE>
24
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
CALIFORNIA -- 4.69%
Abag, Finance Authority for Nonprofit Corporations,
American Baptist Homes, COP, Series A 5.500% 10/01/07 $ 400,000 $ 413,060
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.500% 06/01/99 50,000 50,083
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.500% 06/01/00 100,000 101,909
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.500% 06/01/01 60,000 61,676
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.500% 06/01/02 55,000 57,064
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.500% 06/01/03 65,000 67,941
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.500% 06/01/04 65,000 68,134
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.500% 06/01/05 70,000 73,536
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 4.900% 06/01/06 75,000 76,254
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.000% 06/01/07 80,000 81,488
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.050% 06/01/08 75,000 76,364
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.100% 06/01/09 85,000 86,404
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.150% 06/01/10 90,000 91,149
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.200% 06/01/11 100,000 100,851
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.300% 06/01/12 105,000 106,242
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.300% 06/01/13 105,000 105,572
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.300% 06/01/14 110,000 110,013
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.400% 06/01/15 115,000 115,604
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.400% 06/01/16 125,000 124,910
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.400% 06/01/17 130,000 129,163
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.400% 06/01/18 135,000 133,504
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.500% 06/01/19 145,000 144,993
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.500% 06/01/20 155,000 154,227
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.500% 06/01/21 165,000 163,492
Atwater, Redevelopment Agency, Downtown Redevelopment
Project, Tax Allocation Bond, Series A, ACA 5.500% 06/01/22 175,000 173,231
Bellevue, Unified School District, COP, MBIA (A) 0.000% 09/01/19 295,000 272,804
Contra Costa County, Multi-Family Housing, Bollinger Crest
Apartments, RB, Series C, FNMA 4.850% 05/01/11 500,000 499,550
</TABLE>
25
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
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COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Delta County, California Home Mortgage Finance, Pacific
Mortgage Backed Securities, RB, Series A, MBIA/GNMA (C) 6.700% 06/01/24 $ 935,000 $ 1,027,920
Emeryville, Redevelopment Agency, Residential Mortgage,
RB, ETM 7.500% 09/01/11 205,000 242,894
Fairfield, COP, Pre-Refunded @ 100 (D) 10.750% 08/01/00 100,000 108,142
Fresno, Multi-Family Housing Authority, Central Valley
Coalition Projects, RB, Series A, FNMA 5.150% 08/01/07 310,000 319,430
Fresno, Multi-Family Housing Authority, Central Valley
Coalition Projects, RB, Series B, FNMA 5.150% 08/01/07 160,000 164,867
Fresno, Multi-Family Housing Authority, Woodlands
Apartments Projects, RB, Series A, GNMA 6.650% 05/20/08 465,000 507,222
Home Finance Authority, Mortgage Backed Securities
Program, RB, Series B, GNMA/FNMA 6.900% 10/01/24 170,000 178,175
Los Angeles, Community Redevelopment Agency, Angelus Plaza
Project, RB, Series A, FNMA 7.400% 06/15/10 3,450,000 3,957,564
Los Angeles, Community Redevelopment Authority, Monterey
Hill Project, RB, Series B 8.650% 12/01/22 310,000 358,202
Los Angeles, Multi-Family Housing, Earthquake
Rehabilitation, RB, Series A, AMT, FNMA 5.700% 12/01/27 1,425,000 1,516,157
Los Angeles, Multi-Family Housing, Earthquake
Rehabilitation, RB, Series B, FNMA 5.850% 12/01/27 4,350,000 4,741,022
Los Angeles, Multi-Family Housing, Earthquake
Rehabilitation, RB, Series C, FNMA 4.850% 07/01/02 3,305,000 3,319,079
Los Angeles, Regional Airports Lease, RB 10.000% 01/01/01 160,000 168,614
Napa, Housing Facility, Napa Park Apartments A-10, RB,
GNMA 7.500% 06/20/00 218,061 218,333
Pleasant Hill, Multi-Family Housing, Ellinswood Apartments
Project, RB, Series A, Mandatory Put @ 100, FNMA (B) 5.300% 12/01/05 2,960,000 3,067,270
Sacramento, Municipal Utility District, RB, Series M, ETM 8.750% 04/01/03 95,000 106,120
San Jose, Multi-Family Housing, Almaden Lake Village
Apartments, Series B, AMT, Mandatory Put @ 100 (B) 5.150% 03/01/32 2,000,000 2,011,560
Santa Clara County, RB 5.080% 06/20/00 263,901 263,901
Statewide Community Housing Development, Cudahy Gardens
Project, RB, Series I, LOC 5.100% 10/01/12 1,225,000 1,229,974
Statewide Community Housing Development, Cudahy Gardens
Project, RB, Series I, Mandatory Put @ 100, AMT, LOC (B) 5.600% 04/01/16 1,155,000 1,172,348
Statewide Community Housing Development, Riverside Gardens
Project, RB, Series J, LOC 5.100% 10/01/12 1,065,000 1,069,271
Vista, Multi-Family Housing, Pepperwood Apartments
Project, RB, Series A, Mandatory Put @ 100, FNMA (B) 5.700% 06/01/25 2,970,000 3,127,084
-------------
32,514,367
-------------
COLORADO -- 2.15%
Arvada, Industrial Development Authority, Wanco
Incorporated Project, RB, LOC 5.600% 12/01/12 305,000 306,778
Arvada, Industrial Development Authority, Wanco
Incorporated Project, RB, LOC 5.800% 12/01/17 445,000 447,572
Aurora, Centretech Metropolitan District, GO, Series C,
Mandatory Put @ 100, LOC (B) 4.875% 12/01/08 1,590,000 1,589,396
Boulder County, Community Hospital Project, RB, ETM 7.000% 07/01/09 80,000 90,518
Castle Rock Ranch, Public Improvements Authority, RB 5.900% 12/01/03 935,000 997,673
Commerce City, Single Family Mortgage, RB, Series A 6.875% 03/01/12 305,000 317,645
Denver, Buerger Brothers Project, RB, Series A, FHA 5.100% 11/01/07 250,000 256,238
Denver, Multi-Family Mortgage, Garden Court Community, RB,
FH 4.700% 07/01/08 485,000 486,765
Housing Finance Authority, Multi-Family Insured Mortgage,
RB, Series C-3, FHA 5.700% 10/01/21 1,805,000 1,854,638
Housing Finance Authority, Single Family Program, RB 5.750% 11/01/04 150,000 153,401
</TABLE>
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COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Housing Finance Authority, Single Family Program, RB,
Series A 4.750% 11/01/05 $ 235,000 $ 236,699
Housing Finance Authority, Single Family Program, RB,
Series A-3 6.500% 05/01/16 935,000 1,033,577
Housing Finance Authority, Single Family Program, RB,
Series B-2, AMT 6.400% 11/01/24 935,000 1,026,284
Housing Finance Authority, Single Family Program, RB,
Series B-3, 6.550% 05/01/25 1,400,000 1,557,472
Housing Finance Authority, Single Family Program, RB,
Series C 5.000% 05/01/05 235,000 238,772
Housing Finance Authority, Single Family Program, RB,
Series D-1, AMT 5.200% 12/01/05 895,000 918,932
Student Obligation Board Authority, RB, Series C 7.150% 09/01/06 880,000 938,661
Vail, Single Family Mortgage, RB, Series A 8.125% 06/01/10 240,000 257,638
Westminster, Multi-Family Housing, Semper Village
Apartments, RB, Mandatory Put @ 100 (B) 5.950% 09/01/06 2,080,000 2,193,567
-------------
14,902,226
-------------
CONNECTICUT -- 0.63%
State Development Revenue Authority, Life Care Facility -
Seabury Project, RB, Asset Guaranty 5.000% 09/01/15 500,000 487,435
Waterbury, Housing Mortgage Authority, RB, Series A, AMBAC
/ FHA 4.850% 07/01/09 1,920,000 1,937,069
Waterbury, Housing Mortgage Authority, RB, Series C, AMBAC
/ FHA 4.850% 07/01/09 1,965,000 1,981,015
-------------
4,405,519
-------------
DELAWARE -- 0.28%
State Economic Development Authority RB, Pennsula United,
Series A 6.000% 05/01/09 35,000 37,829
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/00 50,000 50,263
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/01 55,000 55,548
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/02 60,000 60,696
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/03 60,000 60,759
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/04 65,000 65,691
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/05 70,000 70,471
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/06 75,000 75,011
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/07 80,000 79,714
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/08 85,000 84,147
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/09 90,000 88,371
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/10 95,000 92,433
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/11 100,000 96,173
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/12 110,000 104,746
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/13 115,000 108,366
State Housing Authority, Multi-Family Mortgage, RB, HUD 6.600% 07/01/01 60,000 62,128
State Housing Authority, Residential Mortgage, RB, Series
A, FHA 8.750% 06/01/17 775,000 778,417
-------------
1,970,763
-------------
DISTRICT OF COLUMBIA -- 0.47%
District Housing Finance Agency, Single Family Mortgage,
RB, Series A, FNMA / GNMA 6.250% 12/01/28 2,185,000 2,325,801
District of Columbia, Housing Finance Agency, Mayfair
Mansions Apartments, RB, FHA 5.000% 02/01/08 930,000 936,483
-------------
3,262,284
-------------
FLORIDA -- 2.63%
Dade County, Government Leasing Corporation, COP, Series B 8.500% 04/01/07 45,000 47,112
Dade County, Government Leasing Corporation, COP, Series C 9.000% 04/01/20 300,000 312,633
Dade County, Housing Finance Authority, Multi-Family
Mortgage, Midway Point Phase I, RB, Series A, Mandatory
Put @ 100, AMT, FNMA (B) 5.900% 06/01/06 980,000 1,043,543
Duval County, Housing Finance Authority, GNMA Mortgage
Backed Securities Program, RB, Series C, FGIC/GNMA 7.650% 09/01/10 100,000 104,967
Health Facilities Authority, Saint Vincent Medical Center
Incorporated, RB, ETM 9.125% 01/01/03 405,000 442,762
</TABLE>
27
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SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
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COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Housing Finance Agency, Multi-Family Revenue, RB, Series
I, Mandatory Put @ 100, LOC (B) 4.850% 12/01/99 $ 1,960,000 $ 1,962,822
Housing Finance Agency, Multi-Family Revenue, RB, Series
J, Mandatory Put @ 100, LOC (B) 4.100% 12/01/99 2,215,000 2,218,190
Housing Finance Agency, Multi-Family Revenue, RB, Series
K, Mandatory Put @ 100, LOC (B) 4.850% 12/01/99 1,800,000 1,802,592
Jacksonville, Health Facility Authority, Saint Catherine
Laboure Manor Incorporated, RB, ETM 9.125% 01/01/03 225,000 246,008
Miami, Fernando Apartments 9.750% 10/01/11 704,227 772,889
Miami-Dade County, Housing Finance Authority, RB, AMT,
FNMA / GNMA 5.900% 06/01/25 2,315,000 2,437,880
Miami Beach, Housing Authority, Section 8, RB, HUD 6.625% 01/15/09 1,120,000 1,198,333
Miramar Water Improvement Assessment, GTD 5.125% 10/01/20 3,375,000 3,386,003
Palm Beach County, Airport Systems, RB, MBIA 7.500% 10/01/00 320,000 336,640
Pinellas County, Housing Finance Authority, Single Family
Mortgage Program, RB, Series A, AMT, GNMA 6.850% 03/01/29 1,180,000 1,271,391
St. John's County, Industrial Development Authority, RB,
Series A, MBIA 5.500% 03/01/17 235,000 244,990
State Board University System, COP, Asset Guaranty 5.000% 05/01/18 400,000 391,832
-------------
18,220,587
-------------
GEORGIA -- 1.32%
Augusta, Housing Rehabilitation, Multi-Family Housing, Bon
Air, RB, Series C, HUD 7.000% 09/01/05 935,000 1,000,207
Clayton County, Multi-Family Housing Authority, Pointe
South Apartments Projects, RB, FNMA 5.750% 01/01/13 100,000 106,078
Fulton County, Housing Authority, Single Family Mortgage,
RB, AMT, GNMA 6.200% 03/01/13 320,000 329,379
Gwinnett County, Multi-Family Housing Authority,
Singleton-Oxford Association, Series A, RB, Mandatory
Put @ 100, FNMA (B) 5.500% 04/01/06 955,000 1,003,676
Housing Authority, Multi-Family Housing, Ridge Point
Apartments Project, RB, Series A, FNMA 5.700% 06/01/25 2,465,000 2,587,412
Housing Authority, Multi-Family Mortgage, RB, Series A,
FNMA (C) 6.000% 06/01/07 935,000 936,533
Houston County, Development Housing Authority, Emerald
Coast Housing, RB, Series A 7.000% 08/01/28 2,500,000 2,468,975
St. Marys, Housing Authority, Multi-Family Mortgage,
Cumberland Oaks Apartments, RB, Series A, FHA 7.250% 09/01/05 475,000 496,166
St. Marys, Housing Authority, Multi-Family Mortgage, Pines
Apartments, RB, Series C, FHA 7.250% 10/01/05 195,000 202,151
-------------
9,130,577
-------------
HAWAII -- 0.40%
Honolulu, Housing Authority, Multi-Family Mortgage,
Waipahu Towers Project, RB, Series A, GNMA 6.900% 06/20/05 280,000 297,172
State Housing Finance & Development Corporation, Single
Family Mortgage, Series A, RB, AMT, FNMA 5.200% 07/01/12 2,445,000 2,459,230
-------------
2,756,402
-------------
IDAHO -- 0.81%
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 4.600% 11/01/00 45,000 45,558
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 4.750% 11/01/01 185,000 188,053
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 4.850% 11/01/02 65,000 66,342
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 4.950% 11/01/03 300,000 307,782
</TABLE>
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COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 5.050% 11/01/04 $ 320,000 $ 329,437
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 5.150% 11/01/05 335,000 344,688
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 5.200% 11/01/06 360,000 369,515
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 5.300% 11/01/07 385,000 395,149
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 5.400% 11/01/08 405,000 415,607
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 5.500% 11/01/09 435,000 446,401
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 5.600% 11/01/10 80,000 82,207
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 5.700% 11/01/11 85,000 87,610
Bingham County, Industrial Development Company, Supreme
Potatoes Incorporated Project, LOC 5.800% 11/01/12 90,000 93,033
Housing & Finance Association, Single Family Mortgage, RB,
Series B, AMT 5.650% 07/01/09 425,000 440,338
Housing & Finance Association, Single Family Mortgage, RB,
Series C-2, FHA 5.250% 07/01/11 325,000 329,803
Housing & Finance Association, Single Family Mortgage, RB,
Series F-2, FHA 5.100% 07/01/12 665,000 670,360
Housing Agency, Single Family Mortgage, RB, Series C-1,
FHA 7.650% 07/01/10 195,000 201,054
Housing Agency, Single Family Mortgage, RB, Series F, FHA 5.800% 07/01/07 750,000 783,637
-------------
5,596,574
-------------
ILLINOIS -- 8.19%
Alton, Hospital Facility, Alton Memorial Hospital Project,
RB, ETM 7.000% 07/01/05 530,000 581,484
Bethany, Home & Hospital Facility, Methodist Church,
Pre-Refunded @ 100 (D) 7.750% 04/01/00 235,000 243,317
Bolingbrook, Capital Appreciation, RB, Series 1 (A) 0.000% 01/01/11 3,100,000 1,333,093
Buffalo Grove, Economic Development Authority, RB 5.450% 08/15/02 975,000 969,794
Chicago, Multi-Family Mortgage, Bryne Mawr/ Belle Project,
RB, GNMA 4.950% 06/01/05 140,000 142,481
Chicago, Multi-Family Mortgage, Bryne Mawr/ Belle Project,
RB, GNMA 5.250% 06/01/08 165,000 168,701
Chicago, Multi-Family Mortgage, Bryne Mawr/ Belle Project,
RB, GNMA 5.350% 06/01/09 165,000 170,833
Chicago, Multi-Family Mortgage, Bryne Mawr/ Belle Project,
RB, GNMA 5.450% 06/01/10 175,000 186,078
Chicago, Multi-Family Mortgage, Bryne Mawr/ Belle Project,
RB, GNMA 5.500% 06/01/11 180,000 191,275
Chicago, Multi-Family Mortgage, Bryne Mawr/ Belle Project,
RB, GNMA 5.550% 06/01/12 185,000 195,687
Des Plaines, Hospital Facility, Holy Family Hospital, RB,
ETM 7.000% 01/01/07 185,000 204,765
Des Plaines, Hospital Facility, Holy Family Hospital, RB,
ETM, FGIC 7.000% 01/01/07 165,000 182,629
Des Plaines, Hospital Facility, Holy Family Hospital, RB,
ETM, MBIA 7.000% 01/01/07 190,000 210,300
Development Finance Authority, Catholic Health, RB, Series
A, Connie Lee Insured 5.150% 02/15/06 945,000 989,547
Development Finance Authority, Community Rehabilitation
Providers, RB, Series A 5.375% 07/01/09 800,000 801,368
Development Finance Authority, Community Rehabilitation
Providers, RB, Series A 5.600% 07/01/19 2,000,000 1,995,040
Development Finance Authority, Debt Restructure East Saint
Louis, GO 6.050% 11/15/99 325,000 328,676
Development Finance Authority, Debt Restructure East Saint
Louis, GO 6.875% 11/15/05 875,000 968,433
Development Finance Authority, Fund For Child Project, RB,
Series A 7.400% 09/01/04 1,945,000 2,052,734
Development Finance Authority, Section 8, RB, Series A,
FHA / MBIA 5.200% 07/01/08 160,000 167,472
Du Page County, Community High School District, GO, FSA 5.500% 12/01/14 1,655,000 1,743,178
Fairfield, Economic Development Authority, Wayne County
Center Project, RB 6.000% 12/15/05 510,000 544,048
Glenview, Multi-Family Housing Revenue, Valley Towers II
Project, RB, Mandatory Put @ 100, FNMA (B) 5.200% 12/01/07 440,000 457,204
Grayslake, Multi-Family Housing, Country Squire Apartments
Project, RB, Series A, FHA 6.000% 06/01/05 985,000 1,046,700
</TABLE>
29
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SCHEDULE OF INVESTMENTS
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
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COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Greater Peoria, Airport Authority, GO, AMBAC 6.500% 12/01/05 $ 95,000 $ 105,525
Greater Peoria, Airport Authority, GO, AMBAC 6.600% 12/01/06 540,000 599,654
Greater Peoria, Airport Authority, GO, AMBAC 6.700% 12/01/07 235,000 264,344
Health Facilities Authority, Michael Reese Hospital &
Medical Center, RB, ETM 6.750% 12/01/08 345,000 386,814
Health Facilities Authority, Midwest Group, RB, ACA 5.375% 11/15/08 335,000 354,226
Health Facilities Authority, Northwestern Memorial
Hospital Project, RB, ETM 6.375% 05/01/03 180,000 188,980
Health Facility Authority, Lutheran Social Services, RB 6.125% 08/15/10 795,000 819,979
Health Facility Authority, Sydney R. Forkosh Memorial
Hospital, RB, Pre-Refunded @ 100 (D) 7.000% 07/01/02 410,000 441,615
Health Facility Authority, Northwestern Medical Facility
Foundation, RB, MBIA 5.125% 11/15/28 1,735,000 1,682,325
Lake County, Community United School District, GO, Series
A, FSA 5.375% 12/01/12 1,675,000 1,758,398
Lake County, Community United School District, GO, Series
A, FSA (A) 0.000% 12/01/17 8,430,000 3,240,914
Lake County, Community United School District, GO, Series
C, FSA 4.300% 12/15/10 1,005,000 976,981
Palatine, Tax Increment Revenue, Dundee Road Redevelopment
Project, Tax Allocation, AMBAC 5.000% 01/01/15 11,220,000 11,219,215
Quincy, Single Family Mortgage, RB 6.875% 03/01/10 370,000 393,121
Rockford, Faust Landmark Apartments, RB, Series A, MBIA 5.625% 01/01/07 460,000 486,496
Rockford-Concord Commons, Housing Facility, Concord
Commons Project, RB, Series A, FHA 6.150% 11/01/22 1,725,000 1,820,186
Rockford-Concord Commons, Housing Facility, Concord
Commons Project, RB, Series A, FHA 5.550% 11/01/06 480,000 504,307
Silvas, Mortgage Revenue, RB, FHA 4.900% 08/01/11 2,000,000 1,992,200
Silvas, Mortgage Revenue, RB, FHA 5.200% 08/01/17 1,550,000 1,539,042
Silvas, Mortgage Revenue, RB, FHA 5.400% 08/01/39 7,500,000 7,438,650
Southwestern Development Authority, Wood River Township
Hospital Project, RB, ETM 6.875% 08/01/03 185,000 197,210
Upper River Valley Development Authority, Waste Recovery
Illinois Project, RB 5.900% 02/01/14 2,815,000 2,811,960
Woodridge, Multi-Family Revenue, Hawthorn Ridge Housing,
Series A, RB, GNMA 5.650% 12/20/32 1,675,000 1,719,451
-------------
56,816,430
-------------
INDIANA -- 2.09%
Bond Book Special Program Waste Water Treatment, RB,
Series 1997C 5.200% 08/01/07 95,000 99,535
Bond Book Special Program Waste Water Treatment, RB,
Series 1997C 5.300% 08/01/08 270,000 284,718
Bond Book Special Program Waste Water Treatment, RB,
Series 1997C 5.400% 08/01/09 240,000 254,126
Fort Wayne, Hospital Revenue Authority, Parkview Memorial
Hospital, RB, ETM 6.500% 01/01/05 830,000 890,407
Gary, Mortgage Redevelopment, Willow On Clark Apartments,
RB, Series A 4.750% 08/20/08 270,000 269,579
Gary, Mortgage Redevelopment, Willow On Clark Apartments,
RB, Series A 5.150% 08/20/13 350,000 350,270
Gary, Mortgage Redevelopment, Willow On Clark Apartments,
RB, Series A 5.400% 08/20/38 690,000 686,591
Health Facilities Finance Authority, Kings Daughters
Hospital, RB, Asset Guaranty 5.000% 08/15/05 245,000 253,394
Health Facilities Finance Authority, Kings Daughters
Hospital, RB, Asset Guaranty 5.100% 02/15/06 360,000 373,136
Health Facilities Finance Authority, Kings Daughters
Hospital, RB, Asset Guaranty 5.100% 08/15/06 370,000 384,345
Health Facilities Finance Authority, Kings Daughters
Hospital, RB, Asset Guaranty 5.250% 02/15/08 375,000 391,335
Health Facilities Finance Authority, Kings Daughters
Hospital, RB, Asset Guaranty 5.350% 08/15/09 410,000 430,152
Health Facility Authority, Floyd Memorial Hospital, RB 4.850% 02/15/06 625,000 636,175
Indianapolis, Industrial Economic Development Authority,
Knob in the Woods Project, RB, Mandatory Put @ 100, AMT,
FNMA (B) 6.375% 12/01/04 3,175,000 3,495,612
Indianopolis, Economic Development Authority, RB, GNMA 5.350% 04/20/17 1,590,000 1,604,962
</TABLE>
30
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COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Lawrence, Multi-Family Housing, Pinnacle Apartments
Project, RB, Mandatory Put @ 100, FNMA (B) 5.150% 01/01/08 $ 2,005,000 $ 2,062,744
Monroe County, Hospital Authority, Bloomington Hospital
Inc. Project, RB, MBIA 4.750% 05/01/06 935,000 959,076
State Health Facility, Floyd Memorial Hospital, RB 4.800% 02/15/07 325,000 328,325
State Health Facility, Floyd Memorial Hospital, RB 4.850% 02/15/08 315,000 317,221
State Health Facility, Floyd Memorial Hospital, RB 4.950% 02/15/09 305,000 307,333
Vigo County, Hospital Authority, RB, ETM 6.875% 04/01/04 90,000 96,683
-------------
14,475,719
-------------
IOWA -- 0.44%
Des Moines, Fairview Community-Iowa Lutheran Hospital, RB,
ETM, MBIA 9.500% 11/15/02 1,365,000 1,509,499
Financial Authority, Small Business, Terrace Center
Association LP Project, RB 7.500% 03/01/22 1,450,000 1,570,625
-------------
3,080,124
-------------
KANSAS -- 0.52%
Labette & Cowley County, Single Family Mortgage, RB,
Series A-2, GNMA 7.650% 12/01/11 295,000 320,110
Manhattan, Central Business District Redevelopment, Tax
Allocation, Series A, Asset Guaranty 5.200% 12/01/03 465,000 480,471
Reno County, Single Family Mortgage, RB, Series B 8.700% 09/01/11 215,000 231,669
Saline County, Residential Housing Facilities, RB, Series
A 9.500% 10/01/11 75,000 78,995
Sedgwick & Shawnee Counties, Mortgage Backed Securities
Program, RB, Series A-1, GNMA 4.700% 12/01/08 1,000,000 1,003,950
State Development Finance Authority, Multi-Family Housing,
Four Seasons Apartment Project, RB, LOC 5.300% 10/01/07 330,000 336,676
State Development Finance Authority, Multi-Family Housing,
Four Seasons Apartment Project, RB, Mandatory Put @ 100,
AMT, LOC (B) 5.600% 10/01/07 970,000 992,892
Wichita, Single Family Mortgage, RB, Series A 7.100% 09/01/09 165,000 174,752
-------------
3,619,515
-------------
KENTUCKY -- 0.89%
Ashland, Environmental Import, Allied Chemical Corporation
Project, RB, ETM 5.800% 03/01/03 935,000 981,675
Greater Housing Assistance Corporation, Section 8 Assisted
Project, RB, Series A, MBIA 7.625% 01/01/25 395,000 408,493
Greater Kentucky, Housing Assistance Corporation, Section
8, RB, Series C, FHA / MBIA 5.350% 07/01/07 505,000 511,595
Jefferson County, Multi-Family Housing, Kentucky Towers
Project, RB, Series A, GNMA 5.650% 08/20/34 2,985,000 3,082,759
Lakeland, Wesley Village Housing Incorporated, Section 8
Assisted Project, RB, FHA 7.125% 11/01/02 215,000 224,535
Owensboro, Electric Light & Power, RB, ETM 10.500% 01/01/04 310,000 342,969
State Turnpike Authority, RB, ETM 6.125% 07/01/07 332,000 358,998
State Turnpike Authority, RB, ETM 6.625% 07/01/08 245,000 271,171
-------------
6,182,195
-------------
LOUISIANA -- 1.87%
Housing Finance Agency, Malta Square Project, RB, AMT GNMA 6.450% 09/01/27 590,000 644,953
Housing Finance Agency, Malta Square Project, RB, AMT,
GNMA 6.500% 09/01/38 1,510,000 1,650,294
Housing Finance Agency, Single Family Housing, RB, Series
A-1, GNMA 4.625% 06/01/09 530,000 537,669
Iberia, Single Family Mortgage, RB 7.375% 01/01/11 715,000 770,370
Jefferson Parish, Hospital Services District, RB, ETM 7.125% 01/01/02 190,000 197,986
Public Facilities Authority, Multi-Family Housing,
Oakleigh Apartments Project, RB, AXA 5.750% 03/15/03 275,000 282,557
Public Facilities Authority, Multi-Family Housing,
Oakleigh Apartments Project, RB, AXA 5.850% 03/15/04 295,000 301,487
</TABLE>
31
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- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Public Facilities Authority, Multi-Family Housing,
Oakleigh Apartments Project, RB, AXA 5.950% 03/15/05 $ 310,000 $ 314,808
Public Facilities Authority, Multi Family Housing,
Edgewood Apartments, RB, Mandatory Put @ 100, FNMA (B) 5.800% 06/01/05 4,820,000 5,059,409
Public Facilities Authority, Public Health & Education,
RB, Series A-1, AMBAC 5.000% 12/01/15 1,495,000 1,536,202
Public Facilities Authority, Multi-Family Housing, Beau
Terre Project, RB, Mandatory Put @ 100, FNMA 5.800% 06/01/05 700,000 734,769
Public Facilities Authority, Single Family Mortgage, RB,
Series A 7.375% 10/01/12 400,000 421,752
Public Facilities Authority, Single Family Mortgage, RB,
Series C, FHA 8.450% 12/01/12 508,839 537,191
-------------
12,989,447
-------------
MAINE -- 0.02%
Health & Higher Educational Facilities, Cedar Nursing, RB,
Pre-Refunded @ 102, FHA (D) 7.900% 02/01/00 120,000 126,354
-------------
MARYLAND -- 1.76%
Annapolis, Economic Development, Saint John's College
Facility, RB 4.700% 10/01/03 180,000 182,936
Annapolis, Economic Development, Saint John's College
Facility, RB 4.800% 10/01/04 100,000 101,762
Annapolis, Economic Development, Saint John's College
Facility, RB 5.000% 10/01/06 210,000 214,691
Annapolis, Economic Development, Saint John's College
Facility, RB 5.000% 10/01/07 220,000 223,925
Annapolis, Economic Development, Saint John's College
Facility, RB 5.000% 10/01/08 235,000 237,808
Baltimore County, Mortgage Revenue, Three Garden Village
Project, RB, Series A, FHLMC 4.800% 01/01/13 560,000 557,743
Cecil County, Economic Development Authority, Northeast
Plaza Association, Series A 6.875% 01/15/08 1,615,000 1,725,127
Cecil County, Economic Development Authority, Northeast
Plaza Association, Series B 6.875% 01/15/10 480,000 510,854
Frederick County, Economic Redevelopment Authority,
Northhampton, RB, Series A, FHA 5.900% 02/01/05 265,000 285,127
Montgomery County, Multi-Family Housing Opportunity
Commission, Oakwood Housing, Series A FHLMC (C) 4.000% 11/01/07 5,500,000 5,500,000
State Economic Development Corporation, Crescent Cities
Project, RB, Series A, GNMA 5.400% 12/20/27 1,055,000 1,073,178
State Economic Development Corporation, Crescent Cities
Project, RB, Series A, GNMA 5.450% 12/20/37 1,545,000 1,575,591
-------------
12,188,742
-------------
MASSACHUSETTS -- 2.67%
Boston, Deutsches Altenheim, RB, Series A, FHA 5.950% 10/01/18 740,000 793,443
Boston, Industrial Development Finance Authority, North
End Community, RB. Series A, FHA 6.450% 08/01/37 1,870,000 2,070,819
Dartmouth, Housing Development Corporation, CrossRoads
Apartments, RB, Series A, MBIA 4.850% 07/01/09 610,000 614,538
Educational Loan Authority, RB, Series A, MBIA 7.250% 01/01/09 620,000 658,347
State Development Finance Agency, Seven Hills Foundation &
Affiliate, RB, Asset Guaranty 5.100% 09/01/18 1,705,000 1,663,534
State Health & Education Authority, Beth Israel Hospital,
RB, ETM 5.750% 07/01/06 85,000 90,170
State Health & Educational Facilities Authority, Nichols
College, RB, Series C 6.000% 10/01/17 2,700,000 2,646,837
State Health & Educational Facilities Authority, RB 8.000% 07/01/00 40,000 41,056
State Housing Finance Agency, RB, Series A, MBIA 6.125% 12/01/11 215,000 222,918
State Industrial Finance Agency, Draper Place Project, RB,
GNMA 5.400% 08/20/12 395,000 409,801
State Industrial Finance Agency, Draper Place Project, RB,
GNMA 6.450% 08/20/39 6,695,000 7,249,346
State Industrial Finance Agency, Higher Education,
Hampshire College Project, RB 5.800% 10/01/17 2,055,000 2,098,381
-------------
18,559,190
-------------
</TABLE>
32
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<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
MICHIGAN -- 0.79%
Battle Creek, Economic Development Authority, Kellogg
Company Project, RB 5.125% 02/01/09 $ 425,000 $ 440,041
Dickinson County, Economic Development Authority, Champion
International Corporation, RB 6.550% 03/01/07 700,000 734,650
Grand Rapids Charter Township, Porter Hills Obligated
Group, RB 5.200% 07/01/14 1,100,000 1,098,548
Novi, Water Supply & Sewer Disposal System, RB, MBIA 5.000% 07/01/19 1,000,000 986,180
Petoskey, Hospital Finance Authority, RB, ETM 6.700% 03/01/07 500,000 549,525
Saginaw, Hospital Finance Authority, Saint Luke Hospital,
RB, ETM 7.500% 11/01/10 245,000 287,753
State Building Authority, RB, Series II, MBIA 7.400% 04/01/01 30,000 30,738
State Hospital Finance Authority, Saint Joseph Mercy
Hospital Project, RB, ETM 7.000% 07/01/05 480,000 526,627
State Hospital Finance Authority, William Beaumont
Hospital Project, RB, ETM 6.200% 01/01/03 100,000 103,944
State Housing Development Authority, RB, Series D, AMT,
AMBAC 5.150% 12/01/08 95,000 97,424
State Housing Development Authority, RB, Series D, AMT,
AMBAC 5.250% 12/01/09 95,000 97,519
State Housing Development Authority, RB, Series D, AMT,
AMBAC 5.350% 12/01/10 95,000 98,066
State Housing Development Authority, RB, Series D, AMT,
AMBAC 5.050% 12/01/07 95,000 97,370
State Strategic Fund Obligation, The Oxford Institute, RB,
Series A, ETM 7.875% 08/15/05 320,000 361,687
-------------
5,510,072
-------------
MINNESOTA -- 0.25%
Cambridge, Mortgage Revenue, Health Care Center, RB,
Series A, GNMA 5.400% 11/20/05 505,000 533,179
Dakota County, Housing & Redevelopment Authority, RB, FNMA
/ GNMA 5.550% 10/01/02 110,000 113,605
Dakota County, Housing & Redevelopment Authority, RB, FNMA
/ GNMA 5.750% 10/01/04 130,000 135,827
Monticello, Pollution Control Authority, Northern States
Power Company, RB 5.375% 02/01/03 400,000 401,251
Rochester, Saint Mary's Hospital, RB, ETM 5.750% 10/01/07 500,000 534,060
-------------
1,717,922
-------------
MISSISSIPPI -- 1.83%
Business Finance Corporation, Landau Uniforms Project, RB,
LOC 5.450% 09/01/01 265,000 271,985
Business Finance Corporation, Landau Uniforms Project, RB,
LOC 5.600% 09/01/02 285,000 295,397
Business Finance Corporation, Landau Uniforms Project, RB,
LOC 5.800% 09/01/04 320,000 336,496
Business Finance Corporation, Landau Uniforms Project, RB,
LOC 5.900% 09/01/05 335,000 352,206
Business Finance Corporation, Millsaps College Project,
Series B 5.000% 11/01/19 1,090,000 1,074,871
Corinth & Alcorn County, Magnolia Regional Health Center,
RB, Series A 5.000% 10/01/08 1,585,000 1,579,056
Corinth & Alcorn County, Magnolia Regional Health Center,
RB, Series B 5.125% 10/01/10 1,110,000 1,083,260
Health Facilities Finance Authority, Kings Daughters
Hospital, RB, Asset Guaranty 5.500% 04/01/18 1,600,000 1,634,176
Home Corporation, Single Family Mortgage, Access Program,
RB, Series A, GNMA 5.000% 06/01/04 340,000 348,259
Home Corporation, Single Family Mortgage, RB, Series A,
AMT, GNMA 5.125% 12/01/17 880,000 891,933
Home Corporation, Single Family Mortgage, RB, Series I,
AMT, GNMA 7.375% 06/01/28 2,805,000 3,150,127
Perry County, Pollution Control Revenue, Leaf River Forest
Project, RB 5.200% 10/01/12 1,700,000 1,693,421
-------------
12,711,187
-------------
MISSOURI -- 4.45%
Boone County, Industrial Development Authority, Otscon
Incorporated Project, RB, LOC 5.125% 05/01/18 2,315,000 2,365,583
Joplin, Industrial Development, Tri State Osteopathic
Hospital 8.250% 12/15/14 7,590,000 8,545,202
Kansas City, Industrial Development Authority, Coves North
Duplexs Project, RB, Mandatory Put @ 100, FNMA (B) 5.600% 09/01/05 4,190,000 4,408,341
Kansas City, Industrial Development Authority, Royal Woods
Apartment Project, RB, Mandatory Put @ 100, FNMA (B) 5.600% 01/01/10 7,125,000 7,561,335
Pacific & Franklin Counties, Industrial Development
Authority, Clayton Corporation Project, RB, LOC 5.450% 05/01/02 630,000 651,710
Pacific & Franklin Counties, Industrial Development
Authority, Clayton Corporation Project, RB, LOC 5.950% 05/01/07 900,000 969,291
</TABLE>
33
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SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Pacific & Franklin Counties, Industrial Development
Authority, Clayton Corporation Project, RB, LOC 6.200% 05/01/12 $ 900,000 $ 964,998
Pacific & Franklin Counties, Industrial Development
Authority, Clayton Corporation Project, RB, LOC 6.450% 05/01/17 900,000 959,544
St Louis County, Regional Convention & Sports Center RB,
Series B 6.500% 08/15/01 725,000 762,961
St. Charles County, Industrial Development Authority,
Health Care Facilities Revenue, Garden View Care Center
Project, RB, LOC 5.400% 11/15/16 1,840,000 1,825,538
St. Louis, Land Clearance Redevelopment Authority,
Westmisters Place Apartments, RB, Series A, Mandatory
Put @ 100, FNMA (B) 5.950% 04/01/07 560,000 606,972
State Developmet Finance Board, Greater St. Louis Project,
RB, LOC 4.900% 09/01/10 855,000 854,940
State Housing Development Community, Single Family
Mortgage, RB, AMT, GNMA 6.625% 12/01/17 375,000 394,897
-------------
30,871,312
-------------
MONTANA -- 0.58%
Great Falls, Multi-Family Housing, Autumn Run Apartments
Project, RB, Mandatory Put @ 100, LOC (B) 4.900% 01/02/08 3,485,000 3,521,557
Missoula County, Community Hospital 7.125% 06/01/07 418,000 469,013
-------------
3,990,570
-------------
NEBRASKA -- 0.88%
Clay County, Industrial Development Revenue, Hybrids
Cooperative Project, RB, AMT LOC 5.250% 03/15/14 2,000,000 1,967,460
Fillmore County, Industrial Development Revenue, O'Malley
Grain Incorporated Project, RB, AMT, LOC 5.000% 12/01/10 45,000 44,763
Fillmore County, Industrial Development Revenue, O'Malley
Grain Incorporated Project, RB, AMT, LOC 5.000% 12/01/11 220,000 216,762
Fillmore County, Industrial Development Revenue, O'Malley
Grain Incorporated Project, RB, AMT, LOC 5.100% 12/01/12 135,000 133,650
Fillmore County, Industrial Development Revenue, O'Malley
Grain Incorporated Project, RB, AMT, LOC 5.200% 12/01/13 245,000 242,550
Investment Finance Authority, Multi-Family Housing, Cheney
Apartments, RB, Series A, Mandatory Put @ 100, FNMA (B) 5.500% 12/01/05 1,870,000 1,954,898
Investment Finance Authority, Multi-Family Housing, Tara
Hills Villa, RB, FNMA 4.875% 01/01/08 680,000 686,902
Woolworth, Housing Mortgage Development Corporation,
Section 8 Assisted Project, RB, MBIA 5.350% 07/01/21 860,000 862,537
-------------
6,109,522
-------------
NEVADA -- 0.99%
Housing Division, Multi-Unit Housing, RB, Series A, AMT,
LOC 5.550% 10/01/28 3,660,000 3,602,465
Housing Division, Single Family Mortgage, RB, Series B-1,
FHA / VA 4.950% 04/01/12 575,000 573,350
Nevada, Multi Unit Housing, Saratoga Palms, RB, FNMA 5.900% 04/01/06 595,000 635,650
State Housing Division, Austin Crest Project, RB, FNMA, 5.500% 10/01/09 450,000 470,687
State Housing Division, Single Family Mortgage, RB, Series
B, FHA 6.450% 10/01/07 650,000 685,724
State Housing Division, Single Family Mortgage, RB, Series
C-1, FHA 5.450% 04/01/10 455,000 467,972
State Housing Division, Single Family Mortgage, RB, Series
E, FHA 6.000% 10/01/09 445,000 457,869
-------------
6,893,717
-------------
NEW HAMPSHIRE -- 0.87%
Higher Education & Health Authority, River College 4.650% 01/01/04 155,000 156,350
Higher Education & Health Authority, River College 4.750% 01/01/05 160,000 161,574
Higher Education & Health Authority, River College 4.850% 01/01/07 130,000 130,819
Higher Education & Health Authority, River College 4.900% 01/01/08 185,000 185,636
Higher Education & Health Facility, Crotched Mountain
Rehabilitation Center, RB, Pre-Refunded @ 102 (D) 7.500% 01/01/00 105,000 109,951
Higher Education & Health Facility, Kendal at Hanover
Issue, RB, LOC 5.200% 10/01/06 775,000 789,865
</TABLE>
34
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<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Higher Education & Health Facility, Kendal at Hanover
Issue, RB, LOC 5.300% 10/01/07 $ 585,000 $ 596,203
Higher Educational & Health Authority, Franklin Pierce
College, RB 4.900% 10/01/08 620,000 632,164
Higher Educational & Health Authority, Franklin Pierce
College, RB, ACA 5.000% 10/01/09 465,000 474,835
Higher Educational & Health Authority, Franklin Pierce
College, RB, ACA 5.100% 10/01/10 790,000 807,230
New Hampshire, Higher Educational & Health Facilities
Authority, Saint Anselm College, RB, AMBAC 5.150% 07/01/29 2,000,000 1,969,740
-------------
6,014,367
-------------
NEW JERSEY -- 1.31%
Church Street Corporation, Keansburg Elderly Housing,
Series 1994, HUD Section 8 Assistance 5.000% 03/01/01 110,000 111,242
Deptford Township, GO 5.600% 10/15/06 180,000 195,007
Deptford Township, GO 5.850% 10/15/07 185,000 204,157
Economic Development Authority, Cadbury Corporation
Project, RB Series A, ACA 4.750% 07/01/03 290,000 294,805
Economic Development Authority, Cadbury Corporation
Project, RB Series A, ACA 4.850% 07/01/04 325,000 331,074
Economic Development Authority, Cadbury Corporation
Project, RB, Series A, ACA 4.600% 07/01/02 200,000 202,282
Economic Development Authority, RB, Series H-2, LOC 5.000% 10/01/05 570,000 588,633
Essex County, Utilities Authority, Solid Waste Revenue,
RB, Series A, FSA 4.800% 04/01/14 1,000,000 999,120
Gloucester County, Import Authority, Electric Mobility
Project, RB, County Guaranteed 4.250% 11/01/01 260,000 262,600
Gloucester County, Import Authority, Electric Mobility
Project, RB, County Guaranteed 4.500% 11/01/03 195,000 198,498
Gloucester County, Import Authority, Electric Mobility
Project, RB, County Guaranteed 4.600% 11/01/04 105,000 107,044
Gloucester County, Import Authority, Electric Mobility
Project, RB, County Guaranteed 4.700% 11/01/05 105,000 107,360
Gloucester County, Import Authority, Electric Mobility
Project, RB, County Guaranteed 4.750% 11/01/06 110,000 112,438
Gloucester County, Import Authority, Electric Mobility
Project, RB, County Guaranteed 4.800% 11/01/07 115,000 117,415
Gloucester County, Import Authority, Electric Mobility
Project, RB, County Guaranteed 5.000% 11/01/08 125,000 129,106
Gloucester County, Import Authority, Electric Mobility
Project, RB, County Guaranteed 5.000% 11/01/10 265,000 269,614
Sayreville, Housing Development Corporation, Section 8
Assisted Project, RB, Series A, FHA 6.000% 02/01/23 2,620,000 2,740,441
State Education Facility Authority, Caldwell College, RB,
Series A 7.250% 07/01/25 1,115,000 1,207,355
State Turnpike Authority, RB, ETM 10.375% 01/01/03 830,000 943,695
-------------
9,121,886
-------------
NEW MEXICO -- 0.80%
Albuquerque, Class B-2, CMO, FGIC (A) 0.000% 05/15/11 7,575,000 3,276,188
Bernalillo County, Multi-Family Housing, Sunchase
Apartments, Series A (C) 5.800% 11/01/25 1,400,000 1,472,534
Mortgage Finance Authority, Single Family Mortgage
Program, RB, FHLMC / FNMA / GNMA 5.500% 07/01/17 210,000 216,250
Mortgage Finance Authority, Single Family Mortgage
Program, RB, FHLMC / FNMA / GNMA 5.600% 07/01/28 465,000 471,440
Santa Fe, Single Family Mortgage, RB 8.450% 12/01/11 88,295 93,920
-------------
5,530,332
-------------
NEW YORK -- 6.49%
Amherst, Industrial Development Agency, Multi Service Rink
Complex, RB, LOC 4.750% 10/01/02 195,000 196,646
</TABLE>
35
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SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
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COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Amherst, Industrial Development Agency, Multi Service Rink
Complex, RB, LOC 5.180% 10/01/06 $ 335,000 $ 340,139
Capital District Youth Center Lease, RB, LOC 6.000% 02/01/17 465,000 494,597
Dutchess County, Solid Waste Systems, RB, Series C, MBIA 5.000% 01/01/10 2,710,000 2,738,862
Nassau County, General Improvement, GO, Series X, AMBAC 5.000% 11/01/05 465,000 489,492
Nassau County, General Improvement, GO, Series X, AMBAC 5.000% 11/01/06 465,000 489,645
New York City, Series B, GO, AMBAC 7.250% 08/15/07 3,625,000 4,340,974
New York City, Housing Authority, Multi-Family Mortgage,
Section 8 Assisted, RB, Series A, AMBAC 5.450% 07/01/08 1,545,000 1,636,310
New York City, Industrial Development Agency, College of
Aeronautics Project 5.000% 05/01/06 425,000 433,041
New York City, Industrial Development Agency, College of
Aeronautics Project 5.200% 05/01/09 255,000 259,539
New York City, Industrial Development Agency, RB, Series
C, Mandatory Put @ 100, AMT (B) 7.625% 11/01/99 2,515,000 2,567,513
New York, GO, MBIA 8.000% 08/01/06 3,640,000 4,473,742
Oneida County, Industrial Development Agency, Mohawk
Valley, RB, Series A, FSA 5.000% 01/01/13 945,000 953,496
Oneida County, Industrial Development Agency, Mohawk
Valley, RB, Series B, FSA 5.000% 01/01/13 1,530,000 1,543,755
Oneida County, Industrial Development Agency, Mohawk
Valley, RB, Series A, FSA 4.550% 02/01/04 785,000 801,768
Oneida County, Industrial Development Agency, Mohawk
Valley, RB, Series A, FSA 4.650% 02/01/05 670,000 686,261
Oneida County, Industrial Development Agency, Mohawk
Valley, RB, Series A, FSA 4.700% 02/01/06 855,000 876,315
Oneida County, Industrial Development Agency, Mohawk
Valley, RB, Series A, FSA 5.200% 02/01/13 935,000 961,152
Onondaga County, Industrial Development Agency, Civic
Facility Revenue, Lemoyne College Project, RB, Series A 5.000% 03/01/07 220,000 221,687
Onondaga County, Industrial Development Agency, Civic
Facility Revenue, Lemoyne College Project, RB, Series A 5.500% 03/01/14 510,000 520,195
State Dormitory Authority, Hunts Point Multi Service
Center, RB 5.625% 07/01/22 2,805,000 2,941,295
State Dormitory Authoity, Lutheran Nursing Home, RB, AMBAC
/ FHA 5.125% 02/01/18 1,240,000 1,236,193
State Dormitory Authority, Long Island University, RB,
Asset Guaranty 6.000% 09/01/08 3,095,000 3,389,551
State Dormitory Authority, Capital Appreciation,
Prerefunded City, RB, Series C, ETM, FSA (A) 0.000% 07/01/04 105,000 82,815
State Dormitory Authority, Saint Mary's Hospital
Amsterdam, RB, MBIA 5.250% 05/01/05 1,250,000 1,321,038
State Dormitory Lease Authority, State University
Dormitory Facilities, RB, Series A, AMBAC 5.250% 07/01/11 1,830,000 1,940,221
State Power Authority, RB, Series C, ETM 9.500% 01/01/01 130,000 131,849
State Urban Development Corporation, Correctional
Facility, RB, AMBAC 5.625% 01/01/07 4,675,000 5,004,166
Syracuse, Housing Authority, Loretto Rest Homes, RB,
Series A, FHA 5.000% 08/01/07 2,245,000 2,326,223
Triborough Bridge & Tunnel Authority, Convention Center
Project, RB, Series E 7.250% 01/01/10 445,000 522,416
UFA Development Corporation, Loretto Utica Project, RB,
FHA 5.150% 07/01/03 1,110,000 1,140,901
-------------
45,061,797
-------------
NORTH CAROLINA -- 0.07%
Martin County, Pollution Control Finance Authority,
Weyerhaeuser, RB 8.500% 06/15/99 110,000 110,675
Vance County, Industrial Facility Authority, Carolina
Comforters Project, LOC 4.700% 09/01/00 370,000 371,122
-------------
481,797
-------------
OHIO -- 3.01%
Capital Corporation for Housing Mortgage Revenue, Section
8 Assisted Project, RB, Series A, FHA / MBIA 4.500% 01/01/03 230,000 230,734
Capital Corporation for Housing Mortgage Revenue, Section
8 Assisted Project, RB, Series C, FHA / MBIA 5.100% 07/01/09 1,960,000 1,983,246
Capital Corporation for Housing Mortgage Revenue, Section
8 Assisted Project, RB, Series E, FHA / MBIA 5.700% 01/01/05 370,000 388,763
</TABLE>
36
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<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Capital Housing Corporation Mortgage, Georgetown Section
8, RB, Series A, FHA 6.625% 07/01/22 $ 1,220,000 $ 1,289,613
Cuyahoga County, Multi-Family Housing, Water Street
Association, RB, GNMA 6.250% 12/20/36 1,215,000 1,324,933
Hancock County, Multi-Family Housing, Crystal Glen
Apartments, RB, Series C, LOC 5.050% 01/01/10 1,135,000 1,144,432
Jefferson County, GO, Asset Guaranty 6.625% 12/01/05 340,000 372,076
Lorain County, Health Care Facilities, Kendal at Oberlin,
RB, Series B (C) 4.750% 02/01/22 1,465,000 1,471,651
Lorain County, Hospital Finance Authority, Humility of
Mary Health Care, RB, Series A, Pre-Refunded @ 100 (D) 5.900% 06/15/05 5,515,000 6,049,404
Lorain County, Hospital Finance Authority, Humility of
Mary Health Care, RB, Series B, ETM 7.200% 12/15/11 935,000 1,034,073
Lorain County, Hospital Finance Authority, Humility of
Mary Health Care, RB, Series D, ETM 7.125% 12/15/06 1,025,000 1,131,703
Lucas-Palmer Housing Development Corporation, Palmer
Gardens, RB, FHA / MBIA 5.900% 07/01/07 275,000 294,456
Miami County, Hospital Facility, Upper Valley Medical
Center, RB Series A, Pre-Refunded @ 102, MBIA (D) 6.625% 05/01/99 100,000 101,963
Stark County, Health Care Facility, Rose Land Incorporated
Project, RB, GNMA / FHA 5.300% 07/20/18 810,000 810,073
Stark County, Health Care Facility, Rose Land Incorporated
Project, RB, GNMA / FHA 5.350% 07/20/23 1,170,000 1,175,113
Stark County, Health Care Facility, Rose Land Incorporated
Project, RB, GNMA / FHA 5.400% 07/20/28 1,425,000 1,437,582
State Mortgage, Home of Ohio, RB, FHA 5.600% 08/01/06 415,000 438,480
State Pollution Control RB, General Motors Corporation
Project 6.500% 03/01/06 235,000 239,746
-------------
20,918,041
-------------
OKLAHOMA -- 0.60%
Cleveland County, Home Loan Authority, Single Family
Mortgage, Series 1992 8.375% 02/01/12 1,555,000 1,650,306
Grand River, Dam Authority, RB, ETM 6.250% 11/01/08 125,000 134,508
Housing Finance Agency, Multi-Family Housing, Northpark &
Meadowlane Project, RB, FNMA 5.100% 12/01/07 880,000 897,116
McAlester, Public Works Authority, RB, FSA 8.250% 12/01/04 115,000 137,496
McAlester, Public Works Authority, RB, FSA 8.250% 12/01/05 700,000 859,572
McAlester, Public Works Authority, RB, FSA 8.250% 12/01/06 175,000 218,754
Payne County, Home Finance Authority, Single Family
Mortgage, RB, Series A 8.625% 03/01/11 270,000 288,378
-------------
4,186,130
-------------
PENNSYLVANIA -- 16.93%
Aliquippa Beaver County, Asset Guaranty, ETM 8.250% 09/15/01 725,000 772,219
Allegheny County, Hospital Development Authority,
Allegheny General Hospital Project, RB, Series A, MBIA 6.200% 09/01/15 3,500,000 3,534,090
Allegheny County, Hospital Development Authority, Health
Center - UPMC Health Systems, RB, MBIA 5.000% 11/01/23 1,760,000 1,695,038
Allegheny County, Hospital Development Authority, Health
Center - UPMC Health Systems, RB, MBIA 4.650% 11/01/09 2,100,000 2,112,138
Allegheny County, Industrial Development Authority, HVL
Plaza Project, RB, LOC 6.000% 10/01/04 935,000 935,309
Allegheny County, Industrial Development Authority, RB,
Series A 6.700% 12/01/20 400,000 433,120
Allegheny County, Residential Finance Authority, Single
Family Mortgage, RB, GNMA 6.500% 11/01/14 440,000 457,310
Allegheny County, Residential Finance Authority, Single
Family Mortgage, RB, Series CC-1, GNMA 5.200% 05/01/17 980,000 983,371
Allegheny County, Residential Finance Authority, Single
Family Mortgage, RB, Series CC-2, GNMA 5.200% 05/01/17 355,000 355,394
Allegheny County, Residential Finance Authority, Single
Family Mortgage, RB, Series DD-1, AMT, GNMA 4.850% 05/01/08 255,000 255,553
</TABLE>
37
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SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Allentown, Hospital Authority, Sacred Heart Hospital of
Allentown, RB 6.200% 11/15/03 $ 495,000 $ 513,023
Beaver County, Industrial Development Authority, Health
Care Revenue, RB, Series A, Taxable Converted to Tax
Exempt 11/1/99, GNMA 6.200% 05/20/10 3,125,000 3,078,281
Berks County, Municipal Authority, Health Care Pooled
Financing Project, RB 5.000% 03/01/28 1,490,000 1,424,217
Berks County, Redevelopment Authority, Multi-Family
Revenue, Woodgate Associate Project, RB, Series A, FNMA 5.150% 01/01/19 2,000,000 1,977,920
Bucks County, Saint Mary's Hospital Authority, RB, ETM 6.625% 07/01/04 85,000 91,860
Cambria County, GO, FGIC 5.000% 08/15/08 360,000 375,469
Chester County, Health & Education Facility, Immaculata
College, RB 4.200% 10/15/99 95,000 95,251
Chester County, Health & Education Facility, Immaculata
College, RB 4.500% 10/15/00 245,000 247,134
Chester County, Health & Education Facility, Immaculata
College, RB 4.650% 10/15/01 210,000 212,329
Chester County, Health & Education Facility, Immaculata
College, RB 4.750% 10/15/02 280,000 283,735
Chester County, Health & Education Facility, Immaculata
College, RB 4.850% 10/15/03 265,000 269,452
Chester County, Health & Education Facility, Immaculata
College, RB 4.900% 10/15/04 330,000 334,475
Chester County, Health & Education Facility, Immaculata
College, RB 5.000% 10/15/06 325,000 327,964
Chester County, Health & Education Facility, Immaculata
College, RB 5.000% 10/15/07 390,000 392,001
Chester County, Health & Education Facility, Immaculata
College, RB 5.100% 10/15/08 120,000 120,614
Chester County, Health & Education Facility, Immaculata
College, RB 5.125% 10/15/09 280,000 280,602
Chester County, Health & Education Facility, Immaculata
College, RB 5.300% 10/15/11 350,000 351,064
Clearfield, Hospital Revenue Authority, Clearfield
Hospital Project, RB 6.875% 06/01/16 1,175,000 1,261,104
Cumberland County, Municipal Revenue Authority,
Presbyterian Homes Project, RB 6.000% 12/01/26 1,500,000 1,550,625
Dauphin County, General Authority, WW15 Term, RB,
Manditory Tendor @ 100 (B) 6.850% 06/01/09 655,000 702,448
Delaware County, College Revenue Authority, RB Series B 4.750% 10/01/06 250,000 247,453
Delaware County, College Revenue Authority, RB Series B 5.500% 10/01/19 3,165,000 3,122,842
Delaware County, College Revenue Authority, RB Series B 4.850% 10/01/07 255,000 252,542
Delaware County, College Revenue Authority, RB Series B 4.950% 10/01/08 425,000 420,980
Delaware County, Housing Authority, Dunwoody Village
Project, RB 5.625% 04/01/09 160,000 163,856
Delaware County, Multi-Family Redevelopment Revenue
Authority, Chester Heights Association, RB, Series A,
FNMA 5.150% 01/01/19 4,115,000 4,069,570
Erie, Higher Education Building Authority, Gannon
University Project, RB, Series E 5.200% 07/15/16 1,000,000 980,980
Erie, Higher Education Building Authority, Mercyhurst
College Project, RB 5.750% 03/15/12 110,000 115,429
Erie, Higher Education Building Authority, Mercyhurst
College Project, RB 5.850% 03/15/17 405,000 419,325
Erie, Higher Education Building Authority, Mercyhurst
College Project, RB, Series B 5.750% 03/15/13 1,700,000 1,778,336
Falls Township, Hospital Authority, Delaware Valley
Medical Center, RB, FHA 6.900% 08/01/11 2,955,000 3,116,845
Fayette County, Hospital Authority, Uniontown Hospital,
RB, Connie Lee Insured 5.200% 06/15/04 260,000 272,475
Fayette County, Hospital Authority, Uniontown Hospital,
RB, Connie Lee Insured 5.400% 06/15/06 1,045,000 1,111,420
Fayette County, Hospital Authority, Uniontown Hospital,
RB, Connie Lee Insured 5.450% 06/15/07 560,000 597,565
Fayette County, Hospital Authority, Uniontown Hospital,
RB, Connie Lee Insured 5.550% 06/15/08 1,330,000 1,430,402
Fayette County, Hospital Authority, Uniontown Hospital,
RB, Connie Lee Insured 5.650% 06/15/09 1,405,000 1,511,682
Geisinger, Health Systems Authority, RB, Series B,
Pre-Refunded
@ 102 (D) 7.375% 07/01/99 150,000 153,986
Greene County, Industrial Development Authority,
Monongahela Power Company, RB, Series B, MBIA 5.100% 02/01/12 1,240,000 1,269,190
Greene County, Industrial Development Authority, West Penn
Power Company, RB, Series B, MBIA 4.750% 02/01/07 3,510,000 3,585,114
Hazelton, Area School District, GO, Series A, FGIC 4.650% 03/01/07 575,000 587,472
Hazelton, Area School District, GO, Series A, FGIC 4.750% 03/01/08 795,000 816,314
Hospital & Higher Education Authority, Health System, RB,
Series A, FHA 5.375% 01/01/28 3,270,000 3,286,873
</TABLE>
38
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Hospital & Higher Education Authority, Jefferson Health
Systems, RB, Series A, MBIA 5.125% 05/15/18 $ 2,000,000 $ 1,979,580
Hospital & Higher Education Authority, Jefferson Health
Systems, RB, Series A, MBIA 5.125% 05/15/21 2,000,000 1,954,760
Housing Finance Agency, Rental Housing, RB, FNMA 6.500% 07/01/23 4,815,000 5,129,612
Housing Finance Agency, Rental Housing, RB, FNMA 5.150% 07/01/03 375,000 384,953
Housing Finance Agency, Single Family Mortgage, RB, Series
1991-31A 7.000% 10/01/05 215,000 226,120
Housing Finance Agency, Single Family Mortgage, RB, Series
64, AMT (A) 0.000% 04/01/30 1,955,000 1,163,870
Jefferson County, Municipal Authority, RB, ETM, MBIA 7.000% 12/01/02 70,000 74,738
Kenneth Square, Sewer Authority, RB, FSA 5.300% 12/15/27 2,400,000 2,424,672
Lancaster, Sewer Authority, RB, ETM 6.000% 04/01/12 50,000 54,561
Lehigh County, General Purpose Authority, Muhlenberg
Continuing Care, RB, Pre-Refunded @ 102, LOC (D) 7.800% 03/15/00 2,170,000 2,292,540
Lehigh County, General Purpose Authority, Muhlenberg
Hospital Center, RB, ETM 4.800% 07/15/00 635,000 644,093
Lehigh County, General Purpose Authority, Muhlenberg
Hospital Center, RB, ETM 4.800% 07/15/00 405,000 410,561
Monroeville, Hospital Authority, East Suburban Health
Center Project, RB, Pre-Refunded @ 100 (D) 7.600% 07/01/04 645,000 712,228
Montgomery County, GO, ETM 9.000% 08/15/04 350,000 392,319
Montgomery County, Higher Education Authority, Waverly
Heights Project, RB 5.000% 01/01/03 280,000 282,198
Montgomery County, Industrial Development Authority RB,
BMHR Associated Project, LOC 6.750% 11/15/04 235,000 244,743
Montgomery County, Industrial Development Authority, ECRI
Project, RB 6.400% 06/01/03 430,000 441,675
Montgomery County, Industrial Development Authority,
Meadowood Corporation Project, RB, Series A,
Pre-Refunded @ 102 (D) 10.250% 12/01/00 2,335,000 2,613,962
Mount Lebanon, Hospital Authority, RB, ETM 7.000% 07/01/06 90,000 99,552
Penn Cambria School District, GO, Asset Guaranty 4.000% 08/15/99 255,000 255,518
Philadelphia, Authority for Industrial Development,
Simpson Housing Project 5.000% 08/15/09 300,000 295,947
Philadelphia, Authority for Industrial Development,
Simpson Housing Project 5.000% 08/15/10 360,000 351,778
Philadelphia, Authority for Industrial Development,
Simpson Housing Project 5.100% 08/15/11 300,000 293,493
Philadelphia, Hospitals & Higher Education, RB, ACA 6.200% 05/01/11 1,920,000 2,032,013
Philadelphia, Housing Redevelopment Authority,
Multi-Family Housing, RB, HUD 5.450% 02/01/23 995,000 1,003,547
Philadelphia, Industrial Development Authority, National
Board of Medical Examiners Project, RB 6.750% 05/01/12 515,000 554,907
Philadelphia, Industrial Development Authority, Convention
Project, RB, Series 1989, AMBAC, ETM 7.000% 07/01/99 295,000 296,811
Philadelphia, Industrial Development Authority, Elmira
Jefferies Memorial Home, RB, FHA 4.750% 02/01/08 595,000 595,803
Philadelphia, Industrial Development Authority, Jeanes
Physicians' Office, RB, Series A 9.375% 07/01/10 830,000 830,498
Philadelphia, Redevelopment Authority, First Lien
Mortgage, Series A 6.500% 01/01/29 700,000 699,006
Philadelphia, Saint Agnes Medical Center Project, RB, ETM,
FHA 6.750% 08/15/01 195,000 199,021
Pittsburgh, Urban Redevelopment Authority, Center Triangle
Tax Increment, Series A, LOC 5.125% 06/01/00 665,000 675,374
Pittsburgh, Urban Redevelopment Authority, RB, Series C,
AMT, FNMA / FHA 5.950% 10/01/29 200,000 209,806
Pittsburgh, Urban Redevelopment, Oliver Garage Project,
RB, FGIC, LOC 5.200% 06/01/11 380,000 390,325
Potter County, Hospital Redevelopment Authority, Charles
Cole Memorial Hospital, RB, Asset Guaranty 5.100% 08/01/02 290,000 299,532
Pottsville, Hospital Authority, Pottsville Hospital &
Warne Clinic, RB 7.250% 07/01/24 565,000 655,406
Pottsville, Hospital Authority, Pottsville Hospital &
Warne Clinic, RB 4.700% 07/01/01 750,000 749,190
Pottsville, Hospital Authority, Pottsville Hospital &
Warne Clinic, RB 4.800% 07/01/02 780,000 778,729
Pottsville, Hospital Authority, Pottsville Hospital &
Warne Clinic, RB 5.150% 07/01/09 840,000 817,774
Pottsville, Hospital Authority, Pottsville Hospital &
Warne Clinic, RB 5.500% 07/01/18 2,180,000 2,075,687
River Port Authority, RB, ETM 6.500% 01/15/11 140,000 156,993
</TABLE>
39
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Rose Tree Media School District, GO, FGIC 4.400% 02/15/11 $ 750,000 $ 732,015
Scranton-Lackawanna Counties, Health & Welfare Authority,
RB 6.625% 04/15/07 230,000 230,538
Seneca Valley, School District, GO, Series A, FGIC 5.250% 07/01/07 1,660,000 1,765,211
Somerset County, Hospital Authority, Community Hospital
District B, RB, Asset Guaranty 5.200% 03/01/10 565,000 581,622
Somerset County, Hospital Authority, Community Hospital
District B, RB, Asset Guaranty 5.300% 03/01/11 135,000 139,251
Southeastern Pennsylvania, Greene School District, GO, ETM 9.375% 07/01/03 10,000 11,231
State Finance Authority, Municipal Capital Imports
Program, RB 6.600% 11/01/09 2,175,000 2,405,224
State Higher Education Facility, Ursinus College, RB 5.000% 01/01/02 150,000 153,449
State Higher Education Facility, Ursinus College, RB 5.100% 01/01/03 170,000 175,143
State Higher Education Facility, Ursinus College, RB 5.200% 01/01/04 180,000 186,700
State Higher Education Facility, Ursinus College, RB 5.300% 01/01/05 205,000 214,051
State Higher Education Facility, Ursinus College, RB 5.400% 01/01/06 230,000 241,636
State Higher Education Facility, Ursinus College, RB 5.850% 01/01/17 1,190,000 1,240,754
State Higher Educational Facility, Alleghney Delaware
Valley Obligation, RB, Series A, MBIA 5.600% 11/15/09 1,250,000 1,262,250
State Higher Educational Facility, Alleghney Delaware
Valley Obligation, RB, Series A, MBIA 5.700% 11/15/11 2,755,000 2,782,219
State Higher Educational Facilities Authority, Health
Services Revenue, RB, Series A, 7.000% 01/01/09 4,500,000 5,098,905
State Higher Educational Facilities Authority, UPMC Health
Systems, RB, Series A, FSA 5.250% 08/01/10 1,000,000 1,044,010
State Higher Educational Facilities Authority, UPMC Health
Systems, RB, Series A, FSA 5.250% 08/01/11 1,000,000 1,039,360
State Higher Educational Facility, Gwynedd Mercy College,
RB 5.000% 11/01/08 1,300,000 1,302,925
State Higher Educational Facility, University of the Arts,
RB, Asset Guaranty 4.850% 03/15/06 250,000 252,658
State Higher Educational Facility, University of the Arts,
RB, Asset Guaranty 5.100% 03/15/09 290,000 292,915
State Higher Educational Facility, University of the Arts,
RB, Asset Guaranty 5.200% 03/15/10 305,000 308,059
State Higher Educational Facility, University of the Arts,
RB, Asset Guaranty 5.250% 03/15/11 325,000 327,996
State Higher Educational Facility, University of the Arts,
RB, Asset Guaranty 5.300% 03/15/02 325,000 327,976
State Higher Educational Facility, University of the Arts,
RB, Asset Guaranty 4.750% 03/15/05 155,000 156,650
State, COP, Series A, AMBAC 5.400% 07/01/09 165,000 171,828
Tredyffrin Township, GO 5.250% 11/15/21 1,000,000 1,002,439
Williamsport, Multi-Family Housing Authority, RB, Series
A, MBIA 5.250% 01/01/15 1,445,000 1,464,853
York County, Hospital Authority, Hanover Hospital
Incorporated, RB, AMBAC 4.600% 12/01/09 925,000 926,331
York, Housing Redevelopment Mortgage Corporation, RB,
Series A 6.875% 11/01/09 1,105,000 1,161,353
-------------
117,477,208
-------------
RHODE ISLAND -- 0.69%
Central Falls, GO, Pre-Refunded @ 103 (D) 9.250% 11/15/00 170,000 187,758
Rhode Island, State Industrial Facility Corporation,
Crystal Thermoplastics Project, Series A 6.950% 08/01/14 355,000 366,058
State Industrial Facilities Corporation, Industrial
Development Revenue, Building Authority Program, RB,
AMT, IRBA 4.700% 04/01/05 215,000 215,189
State Industrial Facilities Corporation, Industrial
Development Revenue, Building Authority Program, RB,
AMT, IRBA 4.800% 04/01/06 230,000 230,152
State Industrial Facilities Corporation, Industrial
Development Revenue, Building Authority Program, RB,
AMT, IRBA 4.900% 04/01/07 235,000 235,082
State Industrial Facilities Corporation, Industrial
Development Revenue, Building Authority Program, RB,
AMT, IRBA 5.000% 04/01/08 200,000 200,276
State Industrial Facilities Corporation, Industrial
Development Revenue, Building Authority Program, RB,
AMT, IRBA 5.100% 04/01/09 260,000 260,270
State Industrial Facilities Corporation, Industrial
Development Revenue, Building Authority Program, RB,
AMT, IRBA 5.200% 04/01/10 275,000 275,171
State Industrial Facilities Corporation, Industrial
Development Revenue, Building Authority Program, RB,
AMT, IRBA 5.250% 04/01/11 290,000 288,843
</TABLE>
40
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
State Industrial Facilities Corporation, Industrial
Development Revenue, Building Authority Program, RB,
AMT, IRBA 5.300% 04/01/12 $ 305,000 $ 303,295
State Industrial Facilities Corporation, Industrial
Development Revenue, Building Authority Program, RB,
AMT, IRBA 5.350% 04/01/13 325,000 324,984
State Industrial Facilities Corporation, Industrial
Development Revenue, Building Authority Program, RB,
AMT, IRBA 5.400% 04/01/14 65,000 64,891
State Industrial Facilities Corporation, Industrial
Development Revenue, Building Authority Program, RB,
AMT, IRBA 5.500% 04/01/19 385,000 384,011
State Industrial Facilities Corporation, Industrial
Development Revenue, Building Authority Program, RB,
AMT, IRBA 5.600% 04/01/24 470,000 468,787
West Warwick, GO, Series A, Asset Guaranty 7.300% 07/15/08 850,000 954,338
-------------
4,759,105
-------------
SOUTH CAROLINA -- 1.64%
Economic Jobs Development, Westminster Presbyterian, RB,
Series A 5.125% 11/15/08 995,000 985,737
Job Economic Development, Caterpollar Incorporated
Project, RB 5.050% 06/01/08 465,000 467,269
State Housing Finance & Development Authority, Bryton
Point Apartments Project, Mandatory Put @ 100, FNMA (B) 5.700% 06/01/05 2,850,000 3,033,683
State Housing Finance & Development Authority, Runway Bay
Apartments Projects, RB 5.500% 12/01/05 840,000 870,433
State Housing Finance & Development Authority, Westbury
Plantation, RB, FHA 6.050% 07/01/27 430,000 444,302
State Housing Finance Authority, Hunting Ridge Apartments,
RB, Mandatory Put @ 100 (B) 6.750% 06/01/10 935,000 1,000,759
York County, Industrial Revenue, Hoechst Celanese, RB, AMT 5.700% 01/01/24 4,500,000 4,575,644
-------------
11,377,827
-------------
SOUTH DAKOTA -- 0.19%
Housing Development Authority, Multi-Family Housing, RB,
Series B, HUD 7.000% 04/01/12 935,000 1,001,348
State Building Authority, RB 10.500% 09/01/00 265,000 287,612
-------------
1,288,960
-------------
TENNESSEE -- 1.08%
Greeneville, Health & Education Facility Board, Southern
Advent Hospital, RB, EMT 8.700% 10/01/09 330,000 402,752
Nashville & Davidson Counties, Health & Education
Facilities Board, Homes Inc. Project, RB, Series C,
Pre-Refunded @ 105 (D) 9.000% 10/01/07 235,000 312,675
Nashville & Davidson County, Health & Education Facilities
Board, Modal Health, RB, Asset Guaranty 5.500% 05/01/23 790,000 808,612
Nashville & Davidson, Multi-Family Housing, Welch Bend
Apartments, RB, Series A, FNMA (C) 5.500% 01/01/27 1,990,000 2,095,311
Shelby County, Health Educational & Housing Facility
Board, Methodist Health Systems, RB, MBIA 5.200% 08/01/13 1,970,000 2,028,568
Shelby County, Multi-Family Housing, Windsor Apartments,
RB, Series A, Asset Guaranty 6.500% 10/01/07 1,240,000 1,319,893
Shelby County, Multi-Family Housing, Windsor Apartments,
RB, Series A, Asset Guaranty 6.750% 10/01/17 460,000 495,020
-------------
7,462,831
-------------
TEXAS -- 5.21%
Austin, Hotel Occupancy Tax, RB, Series A, AMBAC 5.125% 11/15/14 1,670,000 1,687,318
Austin, Water Sewer & Electric Revenue, RB 14.000% 11/15/01 815,000 923,843
Austin, Water Sewer & Electric Revenue, RB, ETM 14.000% 11/15/01 5,000 5,954
Bexar County, Housing Finance Corporation, GO (A) 0.000% 03/01/15 1,650,000 605,583
Brazos, Higher Education Authority, RB, Series B-1 6.500% 06/01/04 165,000 174,108
Bryon, Higher Education Authority, Allen Academy Project,
RB, Series A 6.500% 12/01/06 400,000 411,772
Bryon, Higher Education Authority, Allen Academy Project,
RB, Series A 7.300% 12/01/16 1,635,000 1,689,723
Capital Area, Housing Finance Corporation, IDK Partners II
Trust, Series A 6.500% 11/01/19 3,112,280 3,256,222
</TABLE>
41
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Collin County, Housing Financial Corporation, Preston Bend
Apartments Project, RB, Mandatory Put @ 100 (B) 6.500% 09/01/03 $ 935,000 $ 955,439
De Soto, Housing Finance Corporation, The Colonies
Apartments Project, RB, Mandatory Put @ 100, FNMA (B) 5.125% 10/01/06 3,425,000 3,534,737
Del Rio, GO, Asset Guaranty 7.500% 04/01/03 115,000 127,395
Del Rio, GO, Asset Guaranty 7.500% 04/01/04 185,000 208,371
Del Rio, GO, Asset Guaranty 7.500% 04/01/08 95,000 111,843
Del Rio, GO, Asset Guaranty 7.500% 04/01/09 185,000 216,274
Del Rio, GO, Asset Guaranty 6.500% 04/01/10 95,000 104,360
Del Rio, GO, Asset Guaranty 5.550% 04/01/11 45,000 46,220
Del Rio, GO, Asset Guaranty 5.650% 04/01/13 95,000 97,633
Del Rio, GO, Asset Guaranty 5.750% 04/01/16 45,000 46,197
Del Rio, GO, Asset Guaranty 5.750% 04/01/17 235,000 240,584
Denison, Hospital Authority, Texoma Medical Center, RB,
ETM 7.125% 07/01/08 155,000 176,946
Edgewood, Independent School District, RB 4.900% 08/15/08 660,000 652,681
Edgewood, Independent School District, RB 5.000% 08/15/09 690,000 681,761
Edgewood, Independent School District, RB 5.000% 08/15/10 725,000 709,652
Edgewood, Independent School District, RB 5.250% 08/15/13 805,000 800,138
Gregg County, Housing Finance Corporation, Summer Lake
Project, RB, Series A, Mandatory Put @ 100 (B) 6.400% 03/01/06 465,000 501,721
Gulf Coast Waste Disposal Authority, Atlantic Richfield
Company Project, RB, Pre-Refunded @ 100 (D) 6.500% 08/01/03 170,000 184,511
Harris County, Housing Finance Corporation, Colonial House
Apartments Project, RB, Mandatory Put @ 100 LOC (B) 5.600% 09/01/99 210,000 211,266
Harris County, Housing Finance Corporation, Cypress Ridge
Apartments, RB, FSA 5.650% 06/01/06 260,000 272,496
Harris County, Toll Road Authority, GO, MBIA (A) 0.000% 08/15/01 1,065,000 978,405
Houston, Housing Finance Corparation, RB, Series 1996 A-2
(A) 0.000% 06/01/14 1,710,000 570,439
Houston, Housing Finance Corparation, Series 1996 A-1, RB 8.000% 06/01/14 2,010,000 2,118,339
Houston, Port Authority, Airport and Marina Improvement,
RB 5.750% 05/01/02 235,000 239,763
Houston, Sewer Systems, RB, ETM 5.400% 10/01/04 85,000 88,423
Houston, Sewer Systems, RB, ETM 6.375% 10/01/08 80,000 88,811
McAllen, Development Corporation, RB, FSA 4.700% 02/15/08 235,000 236,525
McAllen, Development Corporation, RB, FSA 4.800% 02/15/09 235,000 236,520
Northeast Hospital Authority, RB, ETM 8.000% 07/01/08 575,000 674,820
Odessa, Housing Finance Corporation, Single Family
Mortgage, RB, Series A, FNMA 8.450% 11/01/11 217,250 237,541
Panhandle, Regional Housing Finance Corporation, Single
Family Mortgage, RB, Series A, GNMA 7.500% 05/01/24 410,000 421,677
Panhandle-Plains, Higher Education Authority, RB, Series D 5.100% 09/01/03 170,000 175,386
Panhandle-Plains, Higher Education Authority, RB, Series D 5.250% 03/01/05 145,000 149,917
State Department Housing & Community Affairs, Meadow Ridge
Apartments Project, RB, FNMA 5.050% 08/01/08 1,475,000 1,530,091
State Department Housing & Community Affairs, Volente
Project, RB, FNMA 5.000% 07/01/08 1,095,000 1,119,988
Tarrant County, Health Facility, South Central Nursing,
RB, Series A, MBIA 6.000% 01/01/37 225,000 246,602
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 1,917,049
Texarkana, Housing Finance Corporation, Summerhill, RB,
Series A, GNMA 5.550% 01/20/07 215,000 224,722
Tom Green County, Hospital Authority, ETM 7.875% 02/01/06 680,000 765,279
Travis County, Housing Finance Corporation, Broadmoor
Apartments Project, RB, FSA 5.700% 06/01/06 895,000 940,663
Webb County, COP, Series A, Asset Guaranty 5.100% 10/01/07 700,000 731,633
Webb County, COP, Series A, Asset Guaranty 5.200% 10/01/08 725,000 767,811
Webb County, COP, Series A, Asset Guaranty 5.300% 10/01/09 750,000 799,508
Willow Fork, Drain District, GO, AMBAC 4.600% 09/01/05 80,000 81,314
Willow Fork, Drain District, GO, AMBAC 4.600% 09/01/06 225,000 227,783
Willow Fork, Drain District, GO, AMBAC 4.650% 09/01/07 400,000 403,692
</TABLE>
42
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<CAPTION>
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COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Willow Fork, Drain District, GO, AMBAC 4.700% 09/01/08 $ 265,000 $ 267,114
Willow Fork, Drain District, GO, AMBAC 4.800% 09/01/09 390,000 393,099
Willow Fork, Drain District, GO, AMBAC 4.900% 09/01/10 405,000 408,201
Willow Fork, Drain District, GO, AMBAC 4.900% 09/01/11 480,000 480,784
-------------
36,156,647
-------------
UTAH -- 1.75%
Brigham City, Special Assessment Bond, Pre-Refunded @ 102
(D) 9.000% 08/01/00 250,000 266,618
Clearfield City, Multi-family Housing Mortgage, OakStone
Apartments, RB, Series A, AMT, FHA 5.850% 05/01/39 3,135,000 3,252,061
Hilldale, GO 7.500% 12/15/03 330,000 355,070
Provo City, Housing Authority, Multi-Family Housing,
Lookout Pointe Apartments, RB, GNMA 6.000% 07/20/28 565,000 614,121
Salt Lake City, Industrial Development Authority, Hermes
Associates Project, RB, LOC 5.900% 09/01/99 185,000 185,659
State Housing Agency, Single Family Mortgage, RB, FHA 5.400% 07/01/20 2,105,000 2,121,819
State Housing Finance Agency, Single Family Mortgage,
A-2-CL-III 5.200% 07/01/11 465,000 469,139
State Housing Finance Agency, Single Family Mortgage, RB,
FHA 7.600% 01/01/22 75,000 77,754
State Housing Finance Agency, Single Family Mortgage, RB,
FHA 5.250% 07/01/12 325,000 327,620
State Housing Finance Agency, Single Family Mortgage, RB,
Series A-2I, FHA 5.400% 07/01/16 930,000 938,184
State Housing Finance Agency, Single Family Mortgage, RB,
Series B-2, FHA 5.250% 07/01/11 515,000 520,835
State Housing Finance Agency, Single Family Mortgage, RB,
Series F-1, Class I, FHA 5.500% 07/01/16 395,000 405,179
State Housing Finance Agency, Single Family Mortgage, RB,
Series A-2, Class III, AMT, FHA / VA 5.050% 07/01/12 600,000 599,388
State Housing Finance Agency, Sub-Single Family Mortgage,
RB, AMBAC 5.850% 07/01/07 660,000 696,293
Weber County, Municipal Building Authority, RB, Asset
Guaranty 6.750% 12/15/04 1,190,000 1,329,300
-------------
12,159,040
-------------
VIRGINIA -- 0.97%
Alexandria Redevelopment & Housing Authority, Multi-Family
Housing, United Dominion-Parkwood Court, RB 6.625% 05/01/24 2,795,000 2,928,433
Newport News, Industrial Development Authority, Mennowood
Communities, RB, Series A, GNMA 7.250% 08/01/16 1,105,000 1,274,805
Richmond, Metro Expressway Authority, RB, Partially
Pre-Refunded @ 102, AMBAC (D) 7.000% 10/15/00 1,490,000 1,707,212
State Housing Development Authority, Multi-Family
Mortgage, RB, Series D 6.800% 11/01/09 750,000 809,753
-------------
6,720,203
-------------
VERMONT -- 0.25%
Education & Health Building Finance Authority, Norwich
University Project, RB 4.300% 07/01/00 105,000 105,676
Education & Health Building Finance Authority, Norwich
University Project, RB 4.750% 07/01/04 190,000 192,464
Education & Health Building Finance Authority, Norwich
University Project, RB 5.000% 07/01/06 345,000 351,638
Education & Health Building Finance Authority, Norwich
University Project, RB 5.000% 07/01/07 380,000 385,575
Education & Health Building Finance Authority, Norwich
University Project, RB 5.750% 07/01/13 655,000 676,202
-------------
1,711,555
-------------
WASHINGTON -- 1.53%
Grays Harbor County, Public Utility District Number 1, RB,
ETM, 5.375% 01/01/06 350,000 365,733
King County, Housing Authority, Multi-Family Mortgage,
Section 8 Assisted, RB, Series B 7.000% 08/01/03 195,000 198,405
King County, Housing Authority, Multi-Family Mortgage,
Section 8 Assisted. RB, Series A 7.000% 08/01/03 640,000 651,219
Seattle, Low Income Housing Assistance Authority, Kin On
Project, RB, Series A, GNMA 7.400% 11/20/36 1,402,000 1,628,591
Spokane, Housing Authority, Valley 206 Apartments, RB,
Series A 5.625% 04/01/28 935,000 924,809
Spokane, Housing Authority, Valley 206 Apartments, RB,
Series B, LOC 5.750% 04/01/28 555,000 558,430
</TABLE>
43
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SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
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<S> <C> <C> <C> <C>
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COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
State Health Care Facilities, Sister Providence, RB,
Pre-Refunded @ 102 (D) 7.875% 10/01/99 $ 840,000 $ 870,920
State Housing Finance Commision, Convention Deferred
Interest , RB, Series 4A, AMT, FNMA / GNMA (A) 0.000% 12/01/20 3,055,000 1,769,181
State Housing Finance Commission, RB, Series A, FNMA 7.000% 07/01/99 30,000 30,088
State Housing Finance Commission, RB, Series B, FNMA 6.900% 07/01/16 1,370,000 1,377,083
State Housing Finance Commission, Nonprofit Housing
Revenue, Presbyterian Ministries, RB, Series A, ACA 5.100% 01/01/14 1,235,000 1,227,355
State Housing Finance Commission, Nonprofit Housing
Revenue, Presbyterian Ministries, RB, Series A, ACA 5.300% 01/01/19 1,040,000 1,032,387
-------------
10,634,201
-------------
WEST VIRGINIA -- 1.34%
Beckley, Nursing Facility, Beckley Healthcare Corporation
Project, RB, LOC 5.550% 09/01/08 230,000 238,563
Beckley, Nursing Facility, Beckley Healthcare Corporation
Project, RB, LOC 5.700% 09/01/09 190,000 195,539
Harrison County, CMO, Series B, AMBAC (A) 0.000% 10/20/10 2,637,000 1,208,669
Marshall County, Capital Appriciation, RB, MBIA (A) 0.000% 05/01/14 2,805,000 883,575
Mason County, Point Pleasant Haven, RB, LOC 6.200% 12/01/05 795,000 817,395
Preston County, Pollution Control Authority,
Community-Monoogahela, RB, Series C 4.500% 03/01/03 5,000,000 5,066,550
Raleigh Fayette & Nicholas County, Series B, AMBAC (A) 0.000% 06/20/10 2,027,000 866,785
-------------
9,277,076
-------------
WISCONSIN -- 1.75%
Housing & Economic Development Authority, RB, Series B,
AMT 4.950% 09/01/09 375,000 376,421
Oshkosh, Hospital Facility, Mercy Medical Center. RB,
Pre-Refunded @ 100 (D) 7.375% 07/01/07 230,000 278,799
Pewaukee, Industrial Development Authority, Lake Country
Development Project, RB, LOC 5.800% 06/01/04 100,000 106,113
Pewaukee, Industrial Development Authority, Lake Country
Development Project, RB, LOC 5.900% 06/01/05 105,000 112,428
Pewaukee, Industrial Development Authority, Lake Country
Development Project, RB, LOC 6.000% 06/01/06 130,000 139,621
Shell Lake, Nursing Home Revenue, Terraceview Living, RB,
GNMA 5.300% 09/20/18 1,655,000 1,639,278
State Health & Education Facility, Richland Hospital Inc.
Project, RB, Series A, ACA 5.375% 06/01/28 3,335,000 3,274,670
State Health & Educational Facilities, Sister Sorrowful
Mothers, RB, Series A, MBIA 5.100% 08/15/07 1,060,000 1,105,771
State Health & Educational Facilities, Sister Sorrowful
Mothers, RB, Series A, MBIA 5.200% 08/15/08 1,560,000 1,637,236
State Health & Educational Facilities, Sister Sorrowful
Mothers, RB, Series A, MBIA 5.300% 08/15/09 1,110,000 1,167,043
State Health & Educational Facilities, Viterbo College
Incorporated Project, RB, LOC 5.250% 02/01/04 110,000 114,442
State Health & Educational Facilities, Viterbo College
Incorporated Project, RB, LOC 5.400% 02/01/05 95,000 99,765
State Health & Educational Facilities, Viterbo College
Incorporated Project, RB, LOC 5.750% 02/01/12 490,000 514,298
State Health & Educational Facilities, Viterbo College
Incorporated Project, RB, LOC 6.000% 02/01/17 505,000 534,088
Waupun, School District, GO, FGIC 5.625% 04/01/11 580,000 625,460
West Bend, GO 6.400% 02/01/05 140,000 151,187
Whitewater, Waterworks Systems Mortgage 7.500% 07/01/16 235,000 260,458
-------------
12,137,078
-------------
WYOMING -- 0.99%
Cheyene, Federal Mineral Royalty, RB 6.200% 06/01/09 935,000 1,010,931
Community Development Authority, RB, Series 5, AMT 5.700% 12/01/07 185,000 196,274
Community Development Authority, Single Family Mortgage,
RB, Series B, FHA 8.125% 06/01/21 $ 225,000 $ 233,123
</TABLE>
44
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<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Multi-Family Community Development Authority, Aspen Court
Apartments Project, RB, Series A, Mandatory Put @ 100,
AMT, LOC (B) 4.750% 12/01/08 3,000,000 2,974,830
Teton County, School District Number 1 Project, RB, MBIA 5.000% 06/01/05 2,070,000 2,155,802
Teton County Hospital, St. John's, RB, ACA 5.000% 12/01/03 310,000 320,235
-------------
6,891,195
-------------
Total Municipal Bonds
(Cost $635,303,046) 647,932,638
-------------
TAX-EXEMPT ASSET-BACKED SECURITIES -- 0.58%
Bridlewood Village Apartments, Participation Certificate,
Class A, FHA 5.600% 09/01/21 1,681,591 1,681,591
FHA Insured Trust, Series 1996-1, Class A-2, Private
Placement 6.750% 02/01/13 606,877 609,913
FHA Insured Trust, Series 1996-1, Class A-3, Private
Placement 7.000% 07/01/23 1,713,380 1,721,948
-------------
Total Tax-Exempt Asset-Backed Securities
(Cost $4,001,848) 4,013,452
-------------
CASH EQUIVALENT -- 5.16%
Provident Institutional Cash Fund 3.350% 34,604,974 34,604,974
SEI Institutional Tax Free Portfolio 3.470% 1,170,128 1,170,128
-------------
(Cost $35,775,102) 35,775,102
-------------
Total Investments -- 99.12%
(Cost $675,079,996) 687,721,192
OTHER ASSETS & LIABILITIES, NET -- 0.88% 6,129,372
-------------
Total Net Assets -- 100.0% $ 693,850,564
-------------
-------------
</TABLE>
(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 APRIL 30, 1999.
(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 COLLATERIZED 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
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR
THE SECURITIES AS INDICATED IN THE SCHEDULE OF INVESTMENTS.
ACA AMERICAN CAPITAL ACCESS
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
AXA AXA REINSURANCE
BIGI BOND INVESTORS GUARANTY INSURANCE
FGIC FINANCIAL GUARANTY INSURANCE COMPANY
FHA FEDERAL HOUSING ADMINISTRATION
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSURANCE
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HUD HOUSING & URBAN DEVELOPMENT
IRBA INDUSTRIAL RECREATIONAL BUILDING AUTHORITY
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
The accompanying notes are an integral part of the financial statements.
45
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Fixed Income Fund
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 29.01%
American United Life Insurance, 144A 7.750% 03/30/26 $ 8,425,000 $ 8,608,017
Archstone Community Trust 7.200% 04/15/03 24,500,000 24,731,280
Bank of America 5.875% 02/15/09 14,051,000 13,496,689
BFC Finance, Series 1996-A 7.375% 12/01/17 7,925,000 8,228,449
Carter Holt Harvey 9.500% 12/01/24 2,685,000 3,124,010
Cinergy Global Resources, 144A 6.200% 11/03/08 9,100,000 8,814,943
Cleveland Electric Illuminat 7.430% 11/01/09 9,250,000 9,700,152
Columbus Southern Power, MTN 6.550% 06/26/08 14,640,000 14,744,998
Continental Airlines, Series 1998-3 7.250% 11/01/05 5,370,000 5,423,109
Corning 6.300% 03/01/09 4,650,000 4,628,131
Eastern Energy 6.750% 12/01/06 9,828,000 9,900,324
Farmers Exchange Capital, 144A 7.050% 07/15/28 10,125,000 9,797,355
Farmers Insurance Exchange, 144A 8.625% 05/01/24 4,530,000 5,107,639
First American Financial 7.550% 04/01/28 5,795,000 5,529,519
Florida Windstorm, 144A, MBIA 7.125% 02/25/19 350,000 353,549
Household Finance, MTN 6.125% 02/27/03 11,185,000 11,169,341
HSBC America Capital Trust, 144A 7.808% 12/15/26 8,070,000 7,734,384
HSBC Americas 7.000% 11/01/06 12,850,000 13,225,297
Jackson National Life Insurance, 144A 8.150% 03/15/27 14,575,000 16,173,003
Lehman Brothers 11.625% 05/15/05 4,410,000 5,453,952
Life Reinsurance Capital Trust, 144A 8.720% 06/15/27 5,565,000 5,670,835
Lumbermens Mutual Casualty, 144A 8.450% 12/01/49 3,000,000 3,057,930
Marshall Islands Republic 7.600% 10/15/01 5,256,667 5,286,850
Mellon Capital, Series B 7.995% 01/15/27 590,000 615,340
Ohio National Life Insurance, 144A 8.500% 05/15/26 3,725,000 4,140,076
Paine Webber Group, MTN 6.790% 10/04/04 3,260,000 3,288,294
Paine Webber Group, MTN 6.650% 10/15/02 12,405,000 12,545,102
Pemex Finance, 144A 5.720% 11/15/03 5,000,000 4,944,550
Pemex Finance, 144A 8.020% 05/15/07 1,200,000 1,166,088
Pemex Finance, 144A 9.150% 11/15/18 19,600,000 18,799,144
Pemex Finance, 144A 6.550% 02/15/08 27,775,000 26,661,500
Pemex Finance, 144A 8.875% 11/15/10 3,000,000 2,973,630
PP&L Capital Funding, Series MBIA 6.790% 11/22/04 25,605,000 26,166,236
Prologis Trust 7.100% 04/15/08 6,544,000 6,528,228
Puget Sound Energy 6.740% 06/15/18 730,000 726,453
Security Capital Industrial 7.625% 07/01/17 18,985,000 18,290,453
Summit Propertys Partnership, MTN 6.750% 07/30/01 27,500,000 27,186,446
Union Center Life, 144A 8.200% 01/01/26 3,845,000 4,072,936
World Financial Properties, 144A 6.950% 09/01/13 5,000,000 4,961,800
----------------
Total Corporate Obligations
(Cost $362,574,431) 363,026,032
----------------
ASSET-BACKED SECURITIES -- 12.80%
Aames Mortgage Trust, Series 1998-C, Class A4F 6.268% 01/15/27 9,900,000 9,850,401
Amresco Residential Securities Mortgage Loan, Series
1997-3, Class A3 6.600% 01/25/18 230,851 231,003
Barnett Auto Trust, Series 1997-A, Class A4 6.180% 09/15/02 15,735,000 15,898,329
Chemical Master Credit Card Trust, Series 1995-3, Class A 6.230% 08/15/02 8,449,000 8,578,523
ContiMortgage Home Equity Loan Trust, Series 1997-3, Class
A4 6.820% 05/15/12 7,600,000 7,619,076
FMAC Loan Receivables Trust, Series 1998-DA, Class A2 6.404% 12/01/19 10,000,000 9,831,250
Green Tree Home Improvement Loan Trust, Series 1996-F,
Class HEA3 6.900% 01/15/28 4,980,000 5,025,965
Green Tree Home Improvement Loan Trust, Series 1998-D,
Class HIB1 7.700% 06/15/29 9,150,000 9,069,480
Green Tree Home Improvement Loan Trust, Series 1998-E,
Class HIB1 7.790% 02/15/15 2,500,000 2,473,625
Leasing Solution Leasing Trust, Series 1998-1, Class A2 5.780% 09/20/03 9,845,514 9,845,513
Lehman Home Equity Loan Trust, Series 1995-7, Class A3 6.840% 03/25/12 4,755,000 4,779,726
</TABLE>
46
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<TABLE>
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COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------------
PECO Energy Transition Trust, Series 1999-A, Class A6 6.050% 03/01/09 $ 18,850,000 $ 18,747,268
Southern Pacific Secured Assets, Series 1997-4, Class A4 6.630% 11/25/25 17,625,000 17,790,852
Southern Pacific Secured Assets, Series 1998-1, Class A5 6.460% 01/25/26 10,997,000 11,079,807
UCFC Home Equity Loan, Series 1997-D, Class A-2 6.475% 06/15/12 650,000 652,996
UCFC Home Equity Loan, Series 1994-D1, Class A4 8.775% 02/10/16 3,827,676 3,901,283
Union Acceptance, Series 1999-A, Class A4 5.700% 06/08/04 18,625,000 18,488,479
World Omni Automobile Lease Securization, Series 1997-B,
Class A4 6.200% 11/25/03 6,298,270 6,353,758
----------------
Total Asset-Backed Securities
(Cost $150,922,862) 160,217,334
----------------
MORTGAGE-BACKED SECURITIES -- 15.44%
Access Financial Manufacturing Housing Contract Trust,
Series 1995-1, Class A3 7.100% 05/15/21 740,000 760,831
Access Financial Manufacturing Housing Contract Trust,
Series 1996-1, Class A4 7.300% 11/15/26 800,000 824,557
Associates Manufactured Housing, Series 1996-1, Class A4 7.300% 03/15/27 3,205,000 3,304,314
Associates Manufactured Housing, Series 1996-1, Class A5 7.600% 03/15/27 3,910,000 4,052,840
Associates Manufactured Housing, Series 1997-2, Class A5 6.675% 03/15/28 10,035,000 10,229,679
BankAmerica Manufactured Housing Contract, Series 1996-1,
Class A4 7.300% 10/10/26 13,098,000 13,513,282
Chase Mortgage Finance, REMIC, Series 1994-B, Class A1 6.750% 02/25/25 750,264 753,399
General Electric Capital Mortgage Services, REMIC, Series
1994-10, Class A10 6.500% 03/25/24 2,555,650 2,547,599
General Electric Capital Mortgage Services, REMIC, Series
1997-7, Class A7 7.500% 08/25/27 3,005,395 3,034,902
Green Tree Financial Corporation, Series 1998-3, Class B2 7.290% 03/01/30 150,000 143,392
Green Tree Financial Corporation, Series 1999-1, Class B1 8.600% 07/01/21 4,000,000 4,035,000
Green Tree Financial Corporation, Series 1999-2, Class B1 8.410% 03/01/30 2,000,000 1,985,660
Green Tree Financial, Series 1994-6, Class A5 8.250% 01/15/20 4,655,000 4,817,489
Green Tree Financial, Series 1997-5, Class A6 6.820% 05/15/29 11,185,000 11,485,877
Green Tree Financial, Series 1996-2, Class A4 7.200% 04/15/27 6,520,000 6,737,703
Green Tree Financial, Series 1996-4, Class A6 7.400% 06/15/27 4,585,000 4,761,419
Green Tree Financial, Series 1996-5, Class A5 7.450% 07/15/27 4,145,000 4,275,622
Green Tree Financial, Series 1996-8, Class A6 7.600% 10/15/27 3,630,000 3,797,767
Green Tree Financial, Series 1997-6, Class B1 7.170% 01/15/29 10,795,000 10,360,609
Green Tree Financial, Series 1998-2, Class B1 7.360% 10/01/20 9,310,000 8,940,487
Green Tree Financial, Series 1998-4, Class B1 7.260% 01/01/22 10,570,000 10,083,462
J.P. Morgan Commercial Mortgage Finance, Series 1997-C5,
Class A2 7.069% 09/15/29 1,020,000 1,061,391
Merrill Lynch Mortgage Investors, Series 1990-C, Class B,
144A 9.700% 06/15/10 9,310,000 9,699,857
Merrill Lynch Mortgage Investors, Series 1991-I, Class A 7.650% 01/15/12 555,182 556,825
Merrill Lynch Mortgage Investors, Series 1995-C1, Class A 7.190% 05/25/15 3,784,162 3,818,787
Norwest Asset Securities, REMIC, Series 1997-14, Class A2 6.750% 10/25/27 17,199,000 17,284,651
NYC Mortgage Loan Trust, Series 1996, Class A3, 144A 6.750% 09/25/19 8,615,000 8,294,629
Oakwood Mortgage Investors, Series 1996-B, Class A3 7.100% 10/15/26 3,740,000 3,785,141
Oakwood Mortgage Investors, Series 1996-B, Class A4 7.350% 10/15/26 5,030,000 5,185,867
Paine Webber Mortgage Acceptance, Series 1995-M1, Class A 6.700% 01/15/07 18,800,000 19,058,500
Prudential Home Mortgage Securities, CMO, Series 1993-27,
Class A3 7.500% 07/25/23 1,500,000 1,513,369
Prudential Home Mortgage Securities, REMIC, Series
1994-12, Class A7 6.050% 04/25/24 3,724,000 3,314,285
Prudential Home Mortgage Securities, REMIC, Series
1994-17, Class A5 6.250% 04/25/24 5,310,000 4,952,690
Residential Accredit Loans, CMO, Series 1997-QS5, Class A4 7.250% 06/25/27 780,423 779,979
Residential Asset Securities, REMIC, Series 1998-KS2,
Class Ai3 6.240% 02/25/17 1,675,000 1,672,036
Residential Funding, CMO, Series 1995-S15, Class A2 7.000% 10/25/10 1,793,731 1,806,628
----------------
Total Mortgage-Backed Obligations
(Cost $199,372,112) 193,230,525
----------------
</TABLE>
47
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Fixed Income Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------------
TAXABLE MUNICIPAL BOND -- 9.96%
Allegheny County, Pennsylvania, Residential Finance
Authority, RB, FHA (A) 0.000% 08/01/28 $ 7,730,000 $ 874,804
Arkansas State, Financial Development Authority, CMO,
Series A, Class 4, FSA (A) 0.000% 07/10/14 500,000 170,355
Atlanta, Georgia, Urban Resdential Finance Authority, RB,
FNMA (A) 0.000% 10/01/16 8,020,000 1,960,248
Baltimore, Maryland, Public Improvements, Series B, GO,
FGIC 8.100% 10/15/10 1,775,000 1,967,090
Baltimore, Maryland, Public Improvements, Series B, GO,
FGIC 8.700% 10/15/15 1,875,000 2,110,237
Belmont, California, Redevelopment Agency, Tax Allocation
Bond, MBIA 7.550% 08/01/11 895,000 967,924
California State, Housing Finance Agency, Single Family
Mortgage, Issue A-1, RB, AMBAC 7.900% 08/01/07 6,165,000 6,415,915
California State, Housing Finance Authority, Single Family
Mortgage, Mezzanine-Issue A-1, RB, AMBAC / FHA 8.240% 08/01/14 2,320,000 2,526,016
Cameron County, Texas, Housing Finance Corporation, RB,
Series A, Class 1B, FGIC 10.210% 09/01/10 1,032,955 1,050,308
Cameron County, Texas, Housing Finance Corporation, Series
A, Class 1C, FGIC 10.450% 09/01/11 945,000 1,024,758
Chattahoochee Valley, Alabama, Water Supply, RB, Asset
Guaranty 8.600% 10/01/07 200,000 222,320
Connecticut State, Health & Education Authority,
Nursing-AHF/Hartford, RB 8.450% 11/01/99 245,000 248,949
Connecticut State, Health & Education Authority, Sheriden
Woods Center Project, RB 7.950% 11/01/05 1,755,000 1,863,283
Connecticut State, Health & Education Authority, Sheriden
Woods Center Project, RB 8.730% 11/01/17 1,150,000 1,291,450
Dade County, Florida, Aviation Revenue, RB, Series C,
AMBAC 8.650% 10/01/03 930,000 1,023,985
Dade County, Florida, Housing Finance Authority, Single
Family Mortgage, RB, Series B-1, AMT, FNMA / GNMA (B) 5.600% 04/01/27 3,687 3,923
Delaware State, Housing Authority, Single Family Mortgage,
RB, Series B, AMBAC 6.750% 07/01/14 955,000 966,937
Fulton, Missouri, GO, MBIA 7.500% 07/01/07 1,135,000 1,200,444
Harrisburg, Pennsylvania, Resource Recovery Authority, RB,
Series B, ETM 6.875% 09/01/03 515,000 526,742
Harrisburg, Pennsylvania, Resource Recovery Authority, RB,
Series B, Pre-Refunded @ 102 (C) 7.750% 09/01/03 3,145,000 3,399,461
Harristown, Pennsylvania, Development Corporation, Special
Obligation, ETM 6.150% 02/01/16 4,355,000 4,135,943
Hungtington, West Virginia, Collateral Mortgage
Obligation, RB 9.050% 01/15/12 1,533,937 1,561,854
Idaho State, Sand Creek Associates Ltd Partnership,
Multi-Family Housing Revenue, RB, Hud Section 8 8.250% 12/01/18 3,485,000 3,537,623
Idaho State, Water Reserves Board, Fall River Rural
Electric 9.500% 04/01/13 5,320,000 5,786,723
Iowa State, Multi-Family Finance Authority, Place 35-A-T,
RB, GNMA 7.125% 10/20/16 1,980,000 2,100,780
Kanawha & Putnam County, West Virginia, RB, AMBAC (A) 0.000% 12/01/16 2,855,000 830,662
Lake Mills, Iowa, Investors Ltd, RB, Series 1995 7.450% 11/01/99 250,000 251,572
Lake Mills, Iowa, Investors Ltd, RB, Series 1995 7.600% 11/01/00 280,000 281,253
Lake Mills, Iowa, Investors Ltd, RB, Series 1995 7.600% 11/01/01 360,000 362,510
Lake Mills, Iowa, Investors Ltd, RB, Series 1995 7.750% 11/01/02 385,000 387,915
Lake Mills, Iowa, Investors Ltd, RB, Series 1995 7.850% 11/01/03 410,000 412,147
Lake Mills, Iowa, Investors Ltd, RB, Series 1995 7.850% 11/04/04 410,000 410,901
Lake Mills, Iowa, Investors Ltd, RB, Series 1995 7.900% 11/01/05 450,000 452,032
Lake Mills, Iowa, Investors Ltd, RB, Series 1995 8.000% 11/01/06 590,000 592,656
Lake Mills, Iowa, Investors Ltd, RB, Series 1995 8.000% 11/01/07 610,000 605,931
Manatee County, Florida, Housing Finance Authority, RB,
GNMA 7.300% 11/01/12 1,270,000 1,303,020
Mississippi State, Residual Home Corporation, RB, FHA (A) 0.000% 12/01/12 7,630,000 2,889,023
</TABLE>
48
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------------
Mississippi State, Single Family Home Corporation, RB,
Series D, Class 3, GNMA / FNMA 7.750% 07/01/24 $ 2,634,483 $ 2,827,855
Mississippi State, Single Family Home Corporation, RB,
Series G-Cl 1, GNMA 6.450% 11/01/07 2,656,647 2,683,480
Montgomery County, New York, Industrial Development
Agency, RB, Series A, FHLB (B) 5.000% 05/01/25 905,000 905,001
New Mexico State, Mortgage Finance Authority, Single
Family Mortgage Program, RB, GNMA / FNMA / FHLMC 7.430% 07/01/29 3,220,000 3,371,341
New Orleans, Louisianna, Home Mortgage Authority, Single
Family Mortgage, RB, Series A, MBIA (A) 0.000% 10/01/15 2,945,000 701,205
New York City, New York, GO, Pre-Refunded @ 102 (A) (C) 0.000% 11/15/01 240,000 211,681
New York City, New York, GO, Pre-Refunded @ 103 (A) (C) 0.000% 08/01/01 45,000 40,748
New York City, New York, GO, Series D 10.000% 08/01/06 330,000 368,644
New York City, New York, GO, Series F, Pre-Refunded @ 102
(C) 10.500% 11/15/01 575,000 650,096
New York City, New York, Industrial Development Agency,
Civic Facilities Revenue, RB, Series B, MBIA 8.100% 09/01/06 1,600,000 1,752,337
New York State, Housing Finance Agency, Multi-Family
Housing, RB, FHA 8.110% 11/15/38 2,965,000 3,179,369
North Miami, Florida, Pension Funding Project, RB, FSA 6.850% 07/01/05 255,000 262,837
North Miami, Florida, Pension Funding Project, RB, FSA 7.000% 01/01/08 165,000 170,493
North Miami, Florida, Pension Funding Project, RB, FSA 7.000% 07/01/08 170,000 175,901
Oklahoma City, Oklahoma, Airport Trust, RB, 17th Series 8.300% 10/01/12 1,000,000 1,070,081
Oklahoma City, Oklahoma, Airport Trusts, Federal Bureau
Prisons Project, RB 9.800% 11/01/14 2,650,000 3,313,773
Oklahoma County, Oklahoma, Single Family Home Finance
Authority, RB, Series B (A) 0.000% 07/01/12 3,450,000 1,012,576
Panhandle, Texas, Regional Housing Finance Corporation,
Single Family Mortgage Revenue, RB, (A) 0.000% 10/01/11 1,460,000 484,910
Pima & Maricopa Countys, Arizona, Industrial Development
Authority, Bulk Sale Program, RB, FNMA 6.500% 01/01/06 555,000 561,272
Sedwick & Shawnee Countys, Kansas, Single Family Revenue,
Mortgage Backed Second Program, RB, Series A-3, GNMA 6.520% 12/01/12 6,000,000 6,068,401
Sedwick & Shawnee Countys, Kansas, Single Family Revenue,
Mortgage Backed Second Program, RB, Series B, GNMA 8.375% 06/01/18 11,240,000 12,070,636
Southwestern Illinois, Developmental Sports Authority,
Gateway Internation Motorsports, RB 9.200% 02/01/13 2,250,000 2,694,442
Southwestern Illinois, Developmental Sports Authority,
Gateway International Motorsports, RB 9.250% 02/01/17 2,000,000 2,355,880
Tarrant County, Texas, Housing Finance Corporation, RB,
MBIA 6.650% 07/15/16 340,000 343,094
Utah State, Housing Finance Agency, Single Family
Mortgage, Series D-1, RB, FHA 9.850% 07/01/10 180,000 190,296
Wagner College, New York, RB, ETM 8.950% 10/01/02 1,500,000 1,639,785
Westmoreland County, Pennsylvania, Redevelopment
Authority, RB, Series A, GNMA 5.530% 06/20/28 5,890,000 5,881,519
Wyandotte County / Kansas City, Kansas, International
Speedway, RB, MBIA 6.750% 12/01/27 15,000,000 13,960,951
----------------
Total Taxable Municipal Bonds
(Cost $122,104,569) 124,666,298
----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 12.90%
Federal Home Loan Mortgage Corporation, CMO, Series 2071,
Class EV 6.500% 04/15/09 5,703,023 5,761,007
Federal Home Loan Mortgage Corporation, Gold, Pool C00742 6.500% 04/01/29 9,349,071 9,304,587
Federal Home Loan Mortgage Corporation, REMIC, Series
1296, Class G (B) 5.331% 07/15/99 185,637 185,578
Federal Home Loan Mortgage Corporation, REMIC, Series
1462, Class PT 7.500% 01/15/03 3,616,382 3,692,128
Federal Home Loan Mortgage Corporation, REMIC, Series
1496, Class KB 6.500% 05/15/08 1,955,000 1,963,621
Federal Home Loan Mortgage Corporation, REMIC, Series
1562, Class J 7.000% 05/15/10 9,650,000 9,801,100
Federal Home Loan Mortgage Corporation, REMIC, Series
1633, Class PE 5.750% 10/15/17 1,071,165 1,072,707
Federal National Mortgage Association, CMO, Series
1998-46, Class GV 6.500% 05/18/09 10,778,410 10,993,966
</TABLE>
49
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Fixed Income Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------------
Federal National Mortgage Association, Pool # 419597 6.000% 08/01/28 $ 706,154 $ 684,997
Federal National Mortgage Association, Pool # 303387 8.000% 07/01/02 790,050 808,085
Federal National Mortgage Association, Pool # 481445 6.000% 01/01/29 13,078,315 12,686,462
Federal National Mortgage Association, REMIC, Series
1992-100, Class M 8.500% 06/25/05 4,875,669 4,899,657
Federal National Mortgage Association, REMIC, Series
1993-192, Class E 5.950% 11/25/07 1,000,000 1,001,690
Federal National Mortgage Association, REMIC, Series
1994-34, Class PD 5.500% 10/25/04 45,538 45,380
Federal National Mortgage Association, REMIC, Series
1994-92, Class DE 7.500% 07/25/07 5,837,556 6,009,763
Federal National Mortgage Association, REMIC, Series
1995-2, Class H 8.500% 06/25/10 16,945,000 17,442,506
Federal National Mortgage Association, REMIC, Series
1997-32, Class PB 6.500% 03/25/15 12,814,000 12,843,456
Federal National Mortgage Association, REMIC, Series
1997-40, Class PE 6.750% 07/18/19 4,925,000 4,962,286
Federal National Mortgage Association, REMIC, Series
1997-W2, Class A3 6.575% 11/25/27 2,000,000 2,016,518
Federal National Mortgage Association, REMIC, Series
G92-39, Class Q 7.000% 03/25/01 2,795,000 2,816,857
Federal National Mortgage Association, REMIC, Series
G93-31, Class G 7.000% 01/25/03 3,212,831 3,260,277
Federal National Mortgage Association, Series 1995-M2,
Class B 6.700% 05/25/28 1,939,160 1,963,808
Federal National Mortgage Association, Series 1997-M2,
Class B 7.350% 02/17/08 16,733,819 17,277,836
Government National Mortgage Association, CMO, Series
1999-4, Class VA 6.000% 12/20/09 24,654,215 24,563,264
Government National Mortgage Association, Pool #462682 6.500% 04/15/28 5,000,499 4,973,332
Government National Mortgage Association, Pool #464272 6.500% 10/15/28 440,043 437,653
----------------
Total U.S. Government Agency
Mortgage-Backed Obligations (Cost $160,910,553) 161,468,521
----------------
U.S. TREASURY OBLIGATION -- 17.62%
U.S. Treasury Bond 8.125% 08/15/19 71,826,000 90,231,412
U.S. Treasury Note 8.125% 03/31/02 42,332,000 43,959,158
U.S. Treasury Note 7.875% 11/15/04 77,122,000 86,352,578
----------------
Total U.S. Treasury Obligations
(Cost $221,160,408) 220,543,148
----------------
REPURCHASE AGREEMENT -- 1.82%
J.P. Morgan Securities 4.74%, dated 4/30/99, matures
05/03/99, repurchase value $22,816,247 (Collateralized
by FNMA par value $23,414,000, due 02/13/04, market
value $23,316,011)
(Cost $22,807,239) 4.740% 22,807,239 22,807,239
----------------
Total Investments -- 99.55%
(Cost $1,239,852,174) 1,245,959,097
----------------
OTHER ASSETS AND LIABILITIES, NET -- 0.45% 5,595,826
----------------
Total Net Assets -- 100% $ 1,251,554,923
----------------
----------------
</TABLE>
(A) ZERO COUPON BOND
(B) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF
INVESTMENTS IS THE RATE IN EFFECT ON APRIL 30, 1999.
(C) 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
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS INDICATED IN THE SCHEDULE OF INVESTMENTS
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
FGIC FINANCIAL GUARANTY INSURANCE COMPANY
FHA FEDERAL HOUSING ADMINISTRATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSURANCE
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
50
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Short-Term Municipal Bond Fund
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS -- 90.89%
ALABAMA -- 0.05%
Birmingham Medical Clinic Board, Baptist Medical Centers,
RB, Baptist Medical Centers, RB, ETM 8.125% 07/01/99 $ 25,000 $ 25,200
Hartselle Medical Clinc, Hospital Clinic America, Board
Hospital RB, ETM 6.250% 10/01/02 20,000 20,905
------------
46,105
------------
ALASKA -- 0.06%
Valdez, Marine Terminal Revenue, ARCO Pipe Line Company
Project, RB, Pre-Refunded @ 100 (D) 6.000% 08/01/03 55,000 59,114
------------
ARIZONA -- 0.90%
Maricopa County, Hospital Revenue Authority, RB, Phoenix
Baptist Hospital & Medical Center, ETM 7.125% 10/01/02 185,000 195,268
Maricopa County, Hospital Revenue Authority, Samaritan
Health Services, RB, ETM 6.750% 01/01/04 50,000 52,932
Maricopa County, Hospital Revenue Authority, Sun Health
Corp., RB, ETM 7.875% 04/01/02 200,000 214,358
Phoenix, Industrial Development Authority, Single Family
Mortgage Revenue, RB, Series D, FGIC 4.200% 06/01/02 400,000 399,828
------------
862,386
------------
ARKANSAS -- 6.56%
Arkansas State, Development Finance Authority,
Multi-Family Mortgage Revenue, RB, Series A, MBIA 5.450% 07/01/24 4,000,000 4,045,000
Crosett, Industrial Development Authority, Georgia Pacific
Project, RB, Pre-Refunded @ 100 (D) 6.000% 06/01/01 205,000 212,489
Little Rock, Residential Housing & Public Facility Board,
RB, Series B (A) 0.000% 07/15/11 290,000 125,051
Mississippi County, Hospital Revenue, RB, AMBAC, ETM 7.250% 11/01/02 25,000 26,689
Pulaski County, Health Facility Board, Saint Vincent
Infirmary, RB, Pre-Refunded @ 100, MBIA (D) 9.750% 09/01/99 70,000 71,488
Pulaski County, Health Facility Board, Saint Vincent
Infirmary, RB, Pre-Refunded @ 100, MBIA (D) 10.000% 09/02/99 5,000 5,110
Rogers Ark, Residential Housing Facility Board, Innisfree
Apartment Project, RB, Mandatory Put @ 100 LOC (B) 4.875% 05/01/03 1,000,000 1,007,220
Rogers Ark, Sales & Use Tax Revenue, RB, Series 1996 5.000% 11/01/15 775,000 781,557
------------
6,274,604
------------
CALIFORNIA -- 3.83%
ABAG Finance Authority For The Non-Profit Co., American
Baptist Homes, Series A, COP 5.500% 10/01/07 400,000 413,060
Brea, Public Finance Revenue Authority, Pre-Refunded @
102, MBIA (D) 7.000% 08/01/01 120,000 131,261
Compton, Community Redevelopment Agency, Walnut Industrial
Park Project, Tax Allocation Bond, Pre-Refunded @ 103
AMBAC (D) 0.200% 08/01/99 15,000 15,709
Fairfield, COP, Pre-Refunded @ 100 (D) 10.750% 08/01/00 20,000 21,628
Fresno, Multi-Family Housing Revenue, Maple Leaf
Apartments, RB, Series B 5.100% 10/01/05 2,500,000 2,502,975
Los Angeles, Housing Authority, Multi-Family Housing, The
Palm Apartments, RB, Series E, FNMA 4.000% 07/01/99 80,000 80,001
Los Angeles, Housing Authority, Multi-Family Housing, The
Palm Apartments, RB, Series E, FNMA 4.200% 01/01/00 80,000 80,039
Los Angeles, Housing Authority, Multi-Family Housing, The
Palm Apartments, RB, Series E, FNMA 4.200% 07/01/00 85,000 85,075
Los Angeles, Housing Authority, Multi-Family Housing, The
Palm Apartments, RB, Series E, FNMA 4.300% 01/01/01 35,000 35,046
</TABLE>
51
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Short-Term Municipal Bond Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
Los Angeles, Housing Redevelopment Agency, Monterey Hills
Redevelopment Project, RB, Series B 5.500% 12/01/05 $ 10,000 $ 10,016
Los Angeles, Public Facility Corporation, RB, ETM 5.400% 08/01/07 60,000 63,149
Santa Clara County, Housing Authority, Amberwood
Apartments Project, RB, Series C, FNMA 4.750% 10/01/07 225,000 229,005
------------
3,666,964
------------
COLORADO -- 2.33%
El Paso County, Colonial Residual Revenue, RB, Series C
(A) 0.000% 07/10/14 1,000,000 318,000
Health Facilities Authority, Christain Living Project, RB,
LOC (C) 4.050% 01/01/24 1,725,000 1,725,000
Housing & Finance Authority, Single Family Housing
Program, RB, Series E 6.250% 12/01/09 70,000 74,090
Logan County, Single Family Mortgage, RB, Series A 8.500% 11/01/11 105,000 111,594
------------
2,228,684
------------
CONNECTICUT -- 0.40%
Health & Educational Facilities, Lutheran General Health
Care System, RB, ETM 7.250% 07/01/04 65,000 70,587
State Housing Finance Authority, Housing Mortgage Finance
Program, RB, Series B, FHA 7.000% 11/15/02 150,000 154,658
State Resource Recovery Authority, Bridgeport Resco
Company Project, RB, Series A 7.625% 01/01/09 55,000 57,002
State, GO 5.250% 07/01/02 100,000 100,151
------------
382,398
------------
DELAWARE -- 0.07%
Dover, Water & Sewer Revenue, RB, Series B, MBIA 7.200% 07/01/01 20,000 20,060
State Economic Development Authority, Wilmington Friends
School Project 6.300% 07/01/99 50,000 50,057
------------
70,117
------------
FLORIDA -- 7.03%
Alachua County Health Facility Authority, Shands Teaching
Hospital & Clinics Inc., RB, ETM 7.000% 12/01/01 10,000 10,822
Dade County, Educational Facilities Authority Exchange,
University of Miami Issue, RB, MBIA 7.650% 04/01/10 900,000 950,391
Dade County, Housing Finance Authority, Single Family
Mortgage Revenue, RB, Series B-1, AMT, FNMA / GNMA 6.100% 04/01/27 3,366,996 3,582,787
Dade County, RB, Pre-Refunded @ 103 (D) 9.750% 02/01/00 570,000 607,158
Housing Finance Agency, Multi-Family Revenue, RB, LOC (C) 4.850% 12/01/05 1,000,000 1,001,440
Housing Finance Agency, RB, Mandatory Put @ 100 5.350% 06/01/00 500,000 500,500
Lee County, Justice Center Complex, RB, Series A, ETM,
MBIA 10.750% 01/01/01 10,000 10,512
Orange County, Housing Authority, RB, CMO, Series A, GNMA 7.250% 09/01/11 65,000 68,426
------------
6,732,036
------------
GEORGIA -- 1.14%
Clarke County, Hospital Authority, RB, MBIA, ETM 9.750% 01/01/02 75,000 80,669
Cobb County, Kennestone Hospital Authority, RB, MBIA, ETM 10.250% 02/01/02 45,000 48,195
Crisp County, Industrial Development Authority, Cobis
Products Company, RB, ETM 6.300% 07/01/02 174,000 181,529
Crisp County, Solid Waste Development Authority, RB 4.200% 09/01/10 775,000 775,961
------------
1,086,354
------------
IDAHO -- 0.84%
Boise City, Industrial Development Corporation, Western
Trailer Company Project, RB, LOC 4.750% 12/15/02 650,000 657,300
State Housing Agency, Single Family Mortgage, RB, Series
C-1, FHA 7.650% 07/01/10 145,000 149,502
------------
806,802
------------
</TABLE>
52
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
ILLINOIS -- 6.33%
Addison, Alton, Pekin, & Granite City, CMO Series 1989-B,
FSA 7.580% 11/10/09 $ 106,033 $ 111,679
Chicago, Multi-Family Housing, Madison Park Apartments,
RB, Series A, LOC (C) 7.000% 07/01/04 50,000 50,319
Chicago, School Finance Authority, GO, Series B, MBIA 7.500% 06/01/00 65,000 65,543
Educational Facility Revenue Authority, Capital
Appreciation Loyola-84-A , RB, Pre-Refunded @ 60.293 (A)
(D) 0.000% 07/01/99 100,000 59,973
Health Facilities Revenue Authority, MacNeal Memorial
Hospital Association Project, RB, Pre-Refunded @ 100 (D) 6.600% 08/01/01 95,000 99,720
Health Facility Revenue Authority, Community Hospital of
Ottawa Project, RB 6.750% 08/15/14 300,000 324,798
Health Facility Revenue Authority, Midwest Group Ltd., RB,
ACA 5.375% 11/15/08 3,580,000 3,785,456
Homewood, GO, MBIA 5.700% 12/01/01 20,000 20,948
Palatine County, Multi-family Housing, Clover Ridge East
Apartments, RB, LOC (C) 4.750% 12/15/07 400,000 407,320
Palatine County, Tax Increment Revenue, Dundee Road
Redevelopment Project, Tax Allocation Bond, AMBAC 5.250% 01/01/17 1,000,000 1,008,700
State Housing Development Authority, Home Owner Mortgage,
RB, Series A-1 5.250% 08/01/00 45,000 45,642
State Toll Highway Authority, RB, Pre-Refunded @ 100 (D) 6.750% 01/01/06 70,000 76,449
------------
6,056,547
------------
INDIANA -- 3.53%
La Porte, Economic Development Agency, RB, FGIC, ETM 7.375% 06/01/01 90,000 94,217
Mishawaka, LaSalle School Building, First Meeting, RB 4.000% 07/05/99 50,000 50,055
Monroe County, Bloomington Hospital Project, RB, BIGI 6.800% 05/01/99 50,000 50,005
North Adams, Community Schools, RB, MBIA 4.700% 07/15/99 55,000 55,149
Reid Memorial Hospital Inc., RB, ETM 6.250% 05/01/00 240,000 243,454
Secondary Market Educational Loans, RB 5.300% 09/01/99 175,000 176,089
Shelbyville, Middle School Building, First Meeting, RB,
ETM 7.150% 07/15/99 40,000 40,316
South Bend, Community School Building Corporation, RB,
AMBAC 5.125% 01/15/11 2,510,000 2,542,478
Vigo County, Hospital Authority, RB, ETM 6.875% 04/01/04 115,000 123,540
------------
3,375,303
------------
IOWA -- 0.12%
Muscatine, Electric Revenue, RB, ETM 6.500% 01/01/04 110,000 117,137
------------
KANSAS -- 1.07%
Saline County, Single Family Mortgage, RB, Series A 9.500% 10/01/11 40,000 42,130
Sedgwick & Shawnee County, Single Family Mortgage-Backed
Securities Programs, RB, AMT, GNMA 4.700% 12/01/08 850,000 853,358
Wichita, Hospital Revenue, Wesley Medical Center, RB,
MBIA, ETM 10.000% 04/01/02 120,000 130,345
------------
1,025,833
------------
KENTUCKY -- 0.25%
Ashland, Industrial Building, Whayne Supply Company, RB,
MBIA 7.375% 06/01/99 70,000 70,229
Owensboro, Electric Light & Power Revenue, RB, Series A,
Pre-Refunded @ 102 (D) 10.125% 01/01/00 155,000 164,525
------------
234,754
------------
LOUISIANA -- 1.76%
East Baton Rouge Parish Hospital, RB, ETM 6.200% 10/01/02 40,000 41,741
Public Facilities Revenue Authority, RB, Series A-1 6.200% 03/01/01 1,325,000 1,371,627
State Health Education Authority, Alton Ochsner Medical
Foundation Issue-A , RB, ETM 8.750% 05/01/05 235,000 266,645
------------
1,680,013
------------
</TABLE>
53
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Short-Term Municipal Bond Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
MASSACHUSETTS -- 2.19%
Boston City Hospital, FHA Insured, Series A, RB,
Pre-Refunded @ 100 & 102 , FHA 7.625% 08/15/00 $ 170,000 $ 182,033
Boston City Hospital, FHA Insured, Series A, RB,
Pre-Refunded @ 100 & 102, FHA 7.650% 08/15/00 255,000 273,184
Boston, GO 7.250% 08/01/01 35,000 35,324
State Health & Education Facility, Saint Joseph Hospital,
RB, Series C, Pre-Refunded @ 102 (D) 9.500% 10/01/99 100,000 104,516
State Health & Educational Facilities Authority, Community
Health Center, RB, Series B, Mandatory Put @ 100, LOC 5.500% 05/15/01 1,100,000 1,118,842
State Industrial Finance Agency, Ames Safety Envelope
Company, RB, Mandatory Put @ 100, AMT, LOC 5.350% 09/01/00 150,000 152,816
State Industrial Finance Agency, General Motors
Corporation, RB 5.550% 04/01/09 225,000 228,049
------------
2,094,764
------------
MAINE -- 2.17%
Bucksport, Solid Waste Disposal Revenue, Champ
International Corporation Project, RB 6.250% 05/01/10 395,000 417,606
Finance Revenue Authority, Electronic Rate Stabilization,
RB, FSA 5.200% 07/01/18 1,650,000 1,656,534
------------
2,074,140
------------
MARYLAND -- 4.89%
Annapolis, Economic Development, Saint John's College
Facility, RB 4.600% 10/01/02 175,000 177,258
Montgomery County, Community Housing Opportunities,
Multi-Family Revenue, Series A (C) 4.000% 11/01/07 4,500,000 4,500,000
------------
4,677,258
------------
MICHIGAN -- 0.32%
Building Revenue Authority, Ionia Maximum Prison, RB,
Series II, ETM 7.250% 09/01/00 25,000 25,754
Detroit, Sewage Disposal Revenue, RB, ETM 6.900% 12/15/99 90,000 92,028
Kalamazoo, Hospital Finance Authority, RB, ETM 7.000% 07/01/01 145,000 150,607
State Building Authority, RB, Series II, ETM, MBIA 7.400% 04/01/01 40,000 40,984
------------
309,373
------------
MINNESOTA -- 1.17%
Burnsville, Multi-Family Revenue, Coventry Court
Apartments, RB, FHA 7.500% 09/01/27 900,000 927,378
Minneapolis, Industrial Development Revenue, Bureau of
Engraving Project, RB, MBIA 7.750% 01/01/00 190,000 191,355
------------
1,118,733
------------
MISSISSIPPI -- 2.00%
Corinth & Alcorn County, Magnolia Regional Health Center,
Series A, RB 4.750% 10/01/03 1,000,000 1,009,480
Gulfport, Hospital Facility Revenue, Memorial Hospital at
Gulfport, RB, ETM, BIGI 6.250% 07/01/02 50,000 52,003
Higher Educational Authority, RB, Series B 6.100% 07/01/01 350,000 364,616
Home Corporation, Single Family Revenue, Series A, FNMA /
GNMA 4.800% 06/01/19 490,000 487,481
------------
1,913,580
------------
MISSOURI -- 0.62%
Freeman Hospital, RB, ETM 6.750% 08/01/03 115,000 122,519
Saint Louis County, Single Family Mortgage, RB, AMBAC 9.250% 10/01/16 30,000 31,859
Saint Louis, Airport Revenue, RB, ETM 12.000% 07/01/99 80,000 81,153
Saint Louis, Airport Revenue, RB, ETM 12.100% 07/01/01 30,000 35,167
State Housing Development, Single Family Mortgage, RB,
GNMA 6.625% 12/01/17 310,000 326,449
------------
597,147
------------
</TABLE>
54
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
NEBRASKA -- 1.26%
Buffalo County, Hospital Authority, Good Samaritan
Hospital Project, RB, ETM 7.400% 11/01/00 $ 25,000 $ 25,793
Clay County, Industrial Development Revenue, Hybrids
Cooperative Project, RB, AMT, LOC 4.750% 03/15/09 1,000,000 984,850
Douglas County, Hospital Authority, Immanuel Medical
Center, RB, ETM 6.250% 10/01/00 85,000 87,229
State Investment Finance Authority, Single Family
Mortgage, RB, GNMA 7.500% 03/15/15 105,000 108,976
------------
1,206,848
------------
NEVADA -- 0.26%
Henderson, Local Improvement, Special Assessment Bond 6.700% 04/01/00 45,000 46,261
Reno Hospital Revenue, Saint Mary's Hospital Inc., RB,
Series B, Pre-Refunded @ 102 (D) 7.750% 01/01/00 35,000 36,656
Reno Hospital Revenue, Saint Mary's Hospital Inc., RB,
Series C, Pre-Refunded @ 102 (D) 7.750% 01/02/00 25,000 26,211
State Housing Division, Multi Unit Housing Revenue, RB,
Issue A, FNMA 6.450% 10/01/04 35,000 37,452
State, Municipal Bond Bank Project #18 & #19, GO, ETM 8.300% 09/01/00 100,000 106,296
------------
252,876
------------
NEW HAMPSHIRE -- 0.61%
Higher Educational & Health Facility, Kendal At Hanover
Project, RB,
Pre-Refunded @ 102 (C) (D) 8.000% 10/01/99 190,000 197,414
Housing Finance Authority, Single Family Housing, RB,
Series B 7.550% 07/01/09 55,000 56,687
Industrial Development Revenue Authority, RB 3.050% 10/15/06 100,000 100,087
State, Housing Finance Authority, RB, LOC (C) 6.125% 01/01/18 230,000 230,372
------------
584,560
------------
NEW JERSEY -- 6.59%
Economic Development Authority, Reformed Church Ministries 4.950% 12/01/28 2,220,000 2,206,236
Health Care Facilities, Muhlenberg, RB, MBIA 8.000% 07/01/18 850,000 870,281
Health Care Facilities, Saint Elizabeth Hospital, RB,
Pre-Refunded @ 102 (D) 8.250% 07/01/00 260,000 278,203
State, GO 5.000% 04/30/02 640,000 643,430
State Educational Facilities, Fairleigh Dickinson
University, RB, Series C, ETM 7.750% 07/01/01 1,780,000 1,849,776
State Turnpike Authority RB, ETM 10.375% 01/01/03 385,000 437,737
State Turnpike Authority, RB, ETM, MBIA 10.375% 01/01/03 20,000 22,327
------------
6,307,990
------------
NEW MEXICO -- 1.10%
Albuquerque, CMO, Class B-2, FGIC (A) 0.000% 05/15/11 1,603,000 693,298
Clovis, Hospital Revenue, RB, ETM 7.375% 08/01/03 60,000 64,795
Taos County, Local Hospital Gross, RB, Series B, Asset
Guaranty 5.000% 05/15/02 295,000 295,201
------------
1,053,294
------------
NEW YORK -- 1.46%
Battery Park City, New York Revenue Authority, RB, Series
B 5.200% 11/01/23 915,000 925,760
Onondaga County, Industrial Development Agency, Lemoyne
College Project, RB, Series A 5.000% 03/01/03 190,000 193,502
State Dormitory Authority Revenues, Capital Appreciation,
RB, Series C, FSA (A) 0.000% 07/01/04 340,000 268,199
State Medical Care Facilities Finance, Hospital & Nursing
Home Insured,
RB, FHA 6.700% 08/15/01 5,000 5,079
------------
1,392,540
------------
</TABLE>
55
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SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Short-Term Municipal Bond Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
OHIO -- 2.23%
Barberton Hospital Improvement Revenue, RB, ETM 6.500% 07/15/00 $ 40,000 $ 40,586
Clermont County, Hospital Facility, ETM 7.375% 06/01/99 10,000 10,034
Elyria, Hospital Revenue, RB, ETM 6.800% 04/01/03 250,000 266,793
Hamilton County Hospital Facilities, Saint Francis - Saint
Georges Hospital Inc., RB, ETM 7.625% 02/15/01 45,000 46,497
Housing Finance Agency, Single Family Mortgage, RB, Series
A 5.750% 04/01/16 305,000 305,000
Lucas County Hospital, Riverside Hospital Project, RB, ETM 6.950% 08/01/04 40,000 43,312
Lucas County, Hospital Revenue, Toledo Hospital, RB,
Pre-Refunded @ 102, MBIA (D) 6.750% 11/15/99 160,000 165,779
Lucas County, Mercy Hospital Project, RB, ETM 6.000% 09/01/04 100,000 105,321
Miami County, Hospital Facility, OID, Upper Valley Medical
Center, RB, Series A, Pre-Refunded @ 102, MBIA (D) 6.625% 05/01/99 110,000 112,159
Montgomery County, Miami Valley Hospital Society, RB, ETM 10.125% 01/01/00 10,000 10,112
Stark County, Hospital Revenue Authority, RB, ETM 6.875% 12/01/06 120,000 133,290
State Capital Housing Corporation, Section 8 Assisted, RB,
MBIA 4.500% 01/01/03 890,000 892,839
------------
2,131,722
------------
OKLAHOMA -- 0.82%
Bryan County, Economic Development Revenue Authority,
Single Family Mortgage, RB, Series A 8.600% 07/01/10 75,000 78,281
Ponca City, Hospital Revenue Authority, RB, ETM 7.625% 04/01/03 70,000 74,937
State Industrial Authority Revenue, Presbyterian Hospital,
RB, ETM 6.250% 10/01/02 170,000 177,793
State Industrial Authority, Baptist Medical Center, RB,
ETM 7.000% 07/01/03 230,000 245,801
State Turnpike Revenue Authority, RB, ETM 4.700% 01/01/06 50,000 51,162
Stillwater, Medical Center Authority, ETM 6.300% 01/01/04 40,000 42,177
Tulsa, Airport Improvements, Tulsa International Airport,
RB, FGIC, ETM 6.200% 06/01/00 110,000 111,805
------------
781,956
------------
PENNSYLVANIA -- 12.67%
Allegheny County, Hospital Development Revenue Authority,
North Hills, Passavant Hospital, RB, ETM 6.750% 07/01/05 80,000 87,085
Allegheny County, Industrial Development Authority, Three
Parkway Center East, RB, LOC (C) 5.050% 12/01/04 10,000 10,006
Allegheny County, Residential Finance Authority, Single
Family Mortgage, RB, Series AA, AMT, GNMA 5.100% 05/01/01 105,000 106,769
Allegheny Valley School District, GO, ETM 6.000% 12/01/03 115,000 120,739
Beaver County, Hospital Authority Revenue, Saint Francis
General Hospital, RB, ETM 7.750% 07/15/01 125,000 128,710
Beaver County, Housing Authority, RB, MBIA 7.875% 07/01/99 125,000 125,308
Bensalem Township, Water & Sewer Authority, RB, ETM 5.700% 11/01/02 20,000 20,730
Blairsville-Saltsburg, School District, GO, ETM, AMBAC 9.000% 05/15/03 30,000 33,261
Bucks County, Saint Mary Hospital Authority, RB, ETM 6.625% 07/01/04 100,000 108,070
California, Area School Bulilding, MBIA, ETM 5.750% 05/15/03 55,000 56,933
Cambria County, GO, ETM 8.250% 06/01/00 50,000 50,204
Chester County, Health & Education Facility, Barclay
Friends Project, RB, Series B, LOC (C) 4.900% 08/01/25 300,000 301,203
Chester County, Hospital Authority, ETM 5.750% 02/01/03 5,000 5,336
Chester County, Hospital Authority, RB, ETM 7.500% 07/01/09 15,000 17,350
Clearfield Hospital Authority, Clearfield Hospital
Project, RB 6.875% 06/01/16 305,000 327,350
Dauphin County, General Authority Sub Series QQQ2- TEND-
6/2/03, RB, AMBAC (C) 4.625% 06/01/26 1,015,000 1,032,164
Dauphin County, General Authority, RB, (C) 6.400% 06/01/26 200,000 211,434
Delaware County, Authority University Revenues, Villanova
University RB, ETM 9.625% 08/01/02 55,000 60,663
</TABLE>
56
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
Delaware County, Pennsylvania Revenue Authority, White
Horse Village Project, RB, ETM 9.000% 07/01/99 $ 55,000 $ 55,505
East Pennsboro Township, GO, ETM 6.000% 03/01/02 135,000 139,257
Energy Development Authority, Piney Creek, RB, Series B,
LOC 7.200% 12/01/11 15,000 15,756
Erie, Higher Education Building Authority, Mercyhurst
College Project, RB 4.800% 03/15/00 225,000 227,367
Housing Finance Agency, Rental Housing, RB, FNMA 5.800% 07/01/22 1,015,000 1,057,569
Housing Finance Agency, Single Family Mortgage, RB, Series
65A, AMT 4.800% 10/01/22 500,000 499,630
Interboro School District Authority, RB, MBIA, ETM 6.400% 09/01/01 250,000 265,650
Intergovernmental Corporation Authority, Special Tax Bond,
ETM, FGIC 6.000% 06/15/02 50,000 52,799
Ligonier, Municipal Water Revenue Authority, RB 6.300% 04/15/06 95,000 97,208
Montour, School Authority, RB, ETM, MBIA 6.400% 12/01/02 25,000 26,033
Northhampton County, Hospital Authority, RB, ETM 7.500% 07/01/02 215,000 228,201
Northeastern Hospital Authority, Wilkes-Barre General
Hospital, RB, Series A, Pre-Refunded @ 102 (D) 7.650% 07/01/99 130,000 133,500
Northhampton County, Industrial Development Authority,
Strawbridge Project, RB, ETM 7.200% 12/15/01 60,000 63,440
Philadelphia Hospitals & Higher Education, Saint Agnes
Medical Center Project, RB, ETM, FHA 6.750% 08/15/01 195,000 199,021
Philadelphia, Authority for Industrial Development
Revenues, Mandatory Put @ 100 5.000% 12/01/01 1,200,000 1,200,720
Philadelphia, Hospital & Higher Educational Facilities
Authority, Temple University Hospital, Series A, RB 6.500% 11/15/08 110,000 119,775
Pittsburgh, Urban Redevelopment Authority, Oliver Garage
Project, RB, FGIC, LOC 4.400% 06/01/01 90,000 91,022
Pittsburgh, Urban Redevelopment Authority, Oliver Garage
Project, RB, FGIC, LOC 4.550% 06/01/03 60,000 61,072
Pittsburgh, Urban Redevelopment Authority, RB, Series C,
AMT 5.000% 04/01/00 170,000 171,454
Pocono Mountain, School District, GO, MBIA, ETM 9.100% 03/01/02 15,000 17,304
Ridgway, Area School Revenue Authority, RB, ETM 6.250% 06/15/02 55,000 57,128
Rochester, Area School District, GO, MBIA (A) 0.000% 10/01/00 55,000 52,242
Sayre Boro, Hospital Authority, RB, AMBAC, ETM 6.900% 11/01/02 185,000 196,185
Scranton Lackawanna, Moses Taylor Hospital Project, RB,
Series A, ETM 8.250% 07/01/01 95,000 100,204
State Finance Authority, Capital Improvements Program, RB 6.600% 11/01/09 1,250,000 1,382,313
State Higher Education Assistance, RB, FGIC, Series A (C) 6.800% 12/01/00 25,000 26,146
Stroudsburg Area, School District, GO, FGIC, ETM 8.400% 09/01/01 100,000 104,300
Uniontown area, School Authority, RB, ETM, 6.300% 10/01/02 160,000 167,456
Upper St Clair Township, School Authority, RB, ETM 6.500% 02/15/04 5,000 5,225
Valley View School Building Authority, RB, ETM 6.050% 02/01/02 30,000 30,898
Valley View School Building Authority, ETM 6.250% 02/01/02 30,000 30,990
Wayne Pike, Joint School Authority, RB, MBIA, ETM 6.000% 12/01/07 525,000 579,779
Wilkes-Barre, General Municipal Authority, Misericordia
College, RB, Series B 7.750% 12/01/12 1,550,000 1,678,820
Williamsport Area, Joint School Authority, RB, MBIA, ETM 6.000% 03/01/07 95,000 101,956
York County, Industrial Development Authority, Fox Ridge
Personal Care Facility, RB, Series A, Pre-Refunded @ 100
(D) 9.500% 10/01/02 75,000 88,056
------------
12,127,296
------------
SOUTH CAROLINA -- 2.22%
Charleston, Waterworks & Sewer Revenue, RB, ETM 10.125% 01/01/02 60,000 64,826
Medical University Harborview Office, COP 7.375% 01/01/04 500,000 538,570
York County, Industrial Revenue, RB, AMT 5.700% 01/01/24 1,500,000 1,525,215
------------
2,128,611
------------
</TABLE>
57
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Short-Term Municipal Bond Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
SOUTH DAKOTA -- 0.05%
Housing Development Authority, Home Ownership Mortgage,
RB, Series E 5.600% 05/01/01 $ 50,000 $ 51,235
------------
TENNESSEE -- 1.20%
Bristol, Health & Educational Facilities, RB, ETM 6.900% 01/01/07 75,000 83,415
Fayetteville & Lincoln County, Industrial Development
Board, Franke Incorporated Project, RB, LOC 5.000% 06/01/01 340,000 346,885
Housing Development Agency, Homeownership Program, RB 7.375% 07/01/03 100,000 104,651
Mount Pleasant, Industrial Development Board, Stauffer
Chemical Company, RB, ETM 7.375% 03/01/00 45,000 45,608
Shelby County, Health & Educational Authority,
Multi-Family Housing, Windsor Apartments, RB, Asset
Guaranty 6.500% 10/01/07 100,000 106,443
Shelby County, Health Educational & Multi-Family Housing,
Windsor Apartments A, RB, Asset Guaranty 6.000% 10/01/02 450,000 464,674
------------
1,151,676
------------
TEXAS -- 3.56%
Coastal, Industrial Water Authority, RB, MBIA, ETM 7.200% 12/15/08 45,000 46,336
Collin County, Community College, RB, AMBAC 5.150% 02/01/07 25,000 25,667
Forth Worth, Housing Financial Services Program, Single
Family Mortgage, RB, Series A, GNMA 7.900% 06/01/01 45,000 46,402
Harris County, Housing Finance Corporation, Colonial House
Apartments Project, RB, LOC (C) 5.600% 09/01/19 660,000 663,980
Harris County, Municipal Utility District, GO, AMBAC 4.000% 09/01/99 50,000 50,129
Houston, Housing Finance Corporation, Single Family
Housing, RB, Series A-1 8.000% 06/01/14 600,000 632,340
Matagorda County, Port of Bay City Authority, Hoechst
Celanese Corporation Project, RB, AMT 6.500% 05/01/26 1,250,000 1,358,350
Montgomery County, Health Facility Department, Woodlands
Medical Center Project, RB, Pre-Refunded @ 102 (D) 8.850% 08/15/99 110,000 113,887
South Plains, Regional Housing Authority, Section 8
Assistance Project, RB, Series A, HUD 6.000% 08/01/00 75,000 75,567
Southeast Housing Finance Corporation, Capital
Appreciation, RB, Series B (A) 0.000% 12/01/16 1,100,000 305,998
Texoma, Housing Finance Corporation, Single Family
Mortgage, RB, FNMA / GNMA 5.050% 09/01/07 85,000 86,650
------------
3,405,306
------------
UTAH -- 0.34%
Ogden City, Housing Finance Corporation, Section 8
Assisted Project, RB, Series A, FNMA 5.500% 07/01/05 315,000 323,568
------------
VIRGINIA -- 2.70%
Henrico County, Industrial Development Revenue Authority,
RB, AMT, LOC 4.100% 03/01/16 1,555,000 1,543,384
State Housing Development Authority, Multi-Family
Mortgage, RB, Series A 6.125% 11/01/09 60,000 60,719
State Transportation Board, Series A6 (C) 4.150% 04/01/18 980,000 980,000
------------
2,584,103
------------
WASHINGTON -- 2.04%
State Housing Finance Authority, Nonprofit Housing
Revenue, Taxable RB, Series B, ACA 6.500% 07/01/08 1,800,000 1,780,200
State Housing Finance Commission, Multi-Family Housing,
Summit Apartments Project, RB, Series A, LOC (C) 4.900% 07/01/30 165,000 165,599
State Public Power Supply System, RB, ETM 14.375% 07/01/01 10,000 11,054
------------
1,956,853
------------
</TABLE>
58
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<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
WEST VIRGINIA -- 0.64%
State Board of Regents, RB, ETM 6.000% 04/01/04 $ 300,000 $ 313,232
Wheeling, Parking Revenue, RB, ETM 7.125% 03/01/02 40,000 41,791
Wood County, Building Community, Saint Joseph's Hospital
Parkersburg, RB, AMBAC, ETM 6.625% 01/01/06 240,000 257,629
------------
612,652
------------
WISCONSIN -- 0.42%
State Health & Educational Facilities, Sisters Sorrowful
Mother, RB, Series B, Pre-Refunded @ 102, MBIA (D) 6.900% 10/01/99 75,000 77,600
State Health Facilities Authority RB, Hospital Sisters
System, RB, Series D, MBIA 9.125% 07/01/05 325,000 326,491
------------
404,091
------------
WYOMING -- 1.09%
Green River-Sweetwater County, Joint Powers Revenue Board,
RB, Series B, FSA 4.500% 03/01/14 1,000,000 994,589
State Community Development Authority, Single Family
Mortgage, RB, Series B 8.000% 06/01/08 45,000 46,614
------------
1,041,203
------------
Total Municipal Bonds
(Cost $86,344,917) 86,988,526
------------
CASH EQUIVALENT -- 8.00%
Provident Institutional Municipal Cash Fund 3.350% 4,750,000 4,750,000
SEI Institutional Tax Free Portfolio 3.470% 2,908,628 2,908,628
------------
(Cost $7,658,628) 7,658,628
------------
Total Investments -- 98.89%
(cost $94,003,545) 94,647,154
------------
OTHER ASSETS & LIABILITIES, NET -- 1.11% 1,055,288
------------
Total Net Assets -- 100.0% $ 95,702,442
------------
------------
</TABLE>
(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 APRIL 30, 1999.
(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 COLLATERIZED 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
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS INDICATED IN THE SCHEDULE OF INVESTMENTS.
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
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
59
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Short-Term Fixed Income Fund
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 16.95%
Advanta Mortgage Loan Trust, Series 1997-3, Class A3 6.690% 03/25/17 $ 865,000 $ 876,398
Advanta Mortgage Loan Trust, Series 1993-4, Class A-1 5.500% 03/25/10 102,992 100,657
Amresco Residential Securities, Series 1996-3, Class A3 7.300% 11/25/19 37,317 37,211
Amresco Residential Securities, Series 1997-3, Class A3 6.600% 01/25/18 154,737 154,839
ContiMortgage Home Equity Loan Trust, Series 1996-1, Class
A4 5.980% 01/15/11 264,768 264,638
ContiMortgage Home Equity Loan Trust, Series 1997-3, Class
A4 6.820% 05/15/12 400,000 401,004
Delta Funding Home Equity Loan Trust, Series 1997-2, Class
A2 6.640% 06/25/12 289,010 288,319
Delta Funding Home Equity Loan Trust, Series 1996-3, Class
A2 6.525% 10/25/11 355,289 356,017
EQCC Home Equity Loan Trust, Series 1996-2, Class A2 6.700% 09/15/08 127,448 128,051
Lehman Home Equity Loan Trust, Series 1995-7, Class A3 6.840% 03/25/12 500,000 502,600
Saxon Asset Securities Trust, Series 1999-2, Class BF1A 7.925% 08/25/01 645,000 644,997
UCFC Home Equity Loan, Series 1997-C, Class A2 6.480% 05/15/12 100,669 100,885
World Omni Automobile Lease Securitization, Series 1997-B,
Class A4 6.200% 11/25/03 438,981 442,848
-------------
Total Asset-Backed Securities (Cost $4,282,431) 4,298,464
-------------
CORPORATE OBLIGATIONS -- 13.02%
ACC Consumer Finance 10.250% 12/01/03 60,000 63,822
Archstone Communities Trust 6.370% 10/15/01 900,000 887,333
Archstone Communities Trust 6.750% 10/23/00 200,000 199,982
Erac USA Finance 144A 6.380% 05/15/03 350,000 347,985
Erp Operating 6.150% 09/15/00 500,000 499,448
Paine Webber Group 7.750% 09/01/02 350,000 364,747
Paine Webber Group 7.310% 08/09/00 334,000 339,579
Summit Properties Partnership 6.750% 07/30/01 500,000 494,299
Wellsford Residential 7.250% 08/15/00 50,000 50,503
Wellsford Residential 9.380% 02/01/02 50,000 52,556
-------------
Total Corporate Actions (Cost $3,309,943) 3,300,254
-------------
MORTGAGE BACKED OBLIGATIONS -- 13.71%
General Electric Capital Mortgage Services, CMO, Series
1998-12, Class 1A1 6.500% 07/25/28 375,000 377,145
Green Tree Financial, Series 1994-6, Class A5 8.250% 01/15/20 87,000 90,037
Green Tree Financial, Series 1995-6, Class A3 6.650% 09/15/26 81,542 81,638
Green Tree Financial, Series 1996-2, Class A1 6.100% 04/15/27 239,159 239,345
Merrill Lynch Mortgage Investors, Series 1990-F, Class A 9.650% 09/15/10 91,359 92,298
Merrill Lynch Mortgage Investors, Series 1991-G, Class A 8.150% 10/15/11 53,090 53,354
Oakwood Mortgage Investors, Series 1996-B, Class A3 7.100% 10/15/26 220,000 222,655
Residential Accredit Loans, CMO, Series 1997-QS5, Class A4 7.250% 06/25/27 88,345 88,295
Residential Accredit Loans, CMO, Series 1997-QS6, Class A4 7.500% 06/25/12 500,000 513,057
Residential Accredit Loans, CMO, Series 1998-QS1, Class A2 7.000% 01/25/28 897,753 905,277
Residential Funding Mortgage, CMO, Series 1995-S15, Class
A2 7.000% 10/25/10 807,179 812,982
-------------
Total Mortgage Backed Obligation
(Cost $3,466,383) 3,476,083
-------------
U.S. GOVERMENT AGENCY OBLIGATIONS -- 0.37%
Federal National Mortgage Association, Variable Inflation
Linked (B)
(Cost $94,644) 5.230% 03/13/02 95,000 92,673
-------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 3.10%
Federal Home Loan Mortgage Corporation, Series 128, Class
I 6.500% 02/15/21 190,764 191,269
Federal National Mortgage Association, REMIC, Series
1997-W2, Class A3 6.580% 11/25/27 400,000 403,304
Federal National Mortgage Association, Series 1997-27,
Class B 7.000% 02/18/25 190,000 190,817
-------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $786,679) 785,390
-------------
</TABLE>
60
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
TAXABLE MUNICIPAL BONDS -- 50.32%
Alaska State Financial Corporation, RB, Series C, MBIA/FHA 7.400% 01/01/02 $ 120,000 $ 122,508
Boston, Massachusetts, Industrial Development Financing
Authority, North End Project, RB, Series B, FHA 6.310% 08/01/00 25,000 25,055
Bryan, Texas, Higher Education Authority, Allen Academy
Project, RB, Series B 6.500% 12/01/99 50,000 50,110
Comanche County, Oklahoma, Home Finance Authority, RB,
FNMA, FHA 6.150% 12/01/00 100,000 100,490
Cuyahoga County, Ohio, Maple Care, RB, GNMA 7.350% 08/20/00 150,000 150,315
Dartmouth, Massachusetts, Housing Development Corporation,
Crossroads Apartments, RB, MBIA/FHA 6.000% 01/01/01 45,000 45,059
Denver, Colorado, City and County Multi-Family Housing,
Buerger Brothers, RB, Series B, FHA 6.750% 05/01/01 80,000 80,792
Erie County, New York, 4th Resolution, RB, AMBAC 5.880% 12/01/03 140,000 139,511
Erie County, New York, Water Authority, 4th Resolution,
RB, AMBAC 5.380% 12/01/99 100,000 100,032
Fairfax County, Virginia, Redevelopment and Housing
Authority, Mount Vernon, RB, Series B, GNMA 7.880% 09/20/99 5,000 5,047
Florida State, Housing Finance Agency, RB, Series S-2 6.650% 06/01/01 120,000 120,600
Fresno, California, Multi-Family Housing , Sunrise Fresno,
RB, Series B (A) 0.000% 12/01/26 385,000 385,000
Fresno, California, Multi-Family Housing Authority,
Woodlands Apartments Project, RB, GNMA 7.250% 11/20/02 265,000 270,433
Greater Kentucky Housing Assistance Corporation, RB,
Series B, MBIA/FHA 6.500% 01/01/02 90,000 90,846
Greater Kentucky Housing Assistance Corporation, RB,
Series D, MBIA/FHA 6.500% 01/01/01 45,000 45,068
Harris County, Texas, Housing Finance Corporation, Single
Family Mortgage Revenue, Series A 7.750% 09/01/14 1,250,000 1,285,500
Illinois State Health Facilities Authority, RB, Series C,
MBIA 10.300% 08/15/03 430,000 434,429
Indianapolis, Indiana, Economic Development Authority,
Bethany Project, Series B, RB, GNMA 6.000% 04/20/00 65,000 65,169
Indianapolis, Indiana, Economic Development Authority,
Castle Dore, RB, Series B, FHA 6.750% 12/01/00 50,000 50,520
Kansas City, Missouri, Industrial Development Authority,
Hilltop Village Apartments, RB, Series B, FNMA 6.700% 10/01/02 125,000 126,763
King County, Washington, Low Income Housing Authority,
Fred Lind Manor, RB, Series B, GNMA 7.250% 06/20/00 55,000 55,121
Maricopa County, Arizona, Industrial Development
Authority, Arcadia Apartments Project, RB, Series B (B) 6.080% 09/01/03 200,000 200,000
Massachusetts State, Industrial Finance Agency, Briscoe
Housing Assistance, Series B, FHA 7.100% 02/01/12 900,000 921,834
Moline, Illinois, Housing Authority, Highland Manor, RB,
Series B, FHA 7.200% 03/01/00 50,000 50,190
Moorhead, Mississippi, Housing Development Corporation,
Section 8, RB, Series A, MBIA/FHA 6.600% 07/01/99 35,000 35,049
North Slope Boro, Alaska, Supplemental Interest Offering,
GO, MBIA (A) 0.000% 06/30/99 1,237,584 1,227,164
Oak Ridge, Tennessee, Industrial Development Board, The
Gardens, Series B, RB, GNMA 6.150% 08/20/03 625,000 630,625
Ohio Capital Housing Mortgage Corporation, Bella Vista,
RB, FHA 6.300% 02/01/03 325,000 328,055
Ohio Capital Housing Mortgage Corporation, Dayton, RB,
Series I, FHA 6.250% 07/01/01 160,000 160,112
Ohio Capital Housing Mortgage Corporation, Section 8
Project, RB, MBIA/FHA 6.380% 01/01/01 20,000 20,036
Ohio Housing Financial Agency, Ravenwood Project, RB, FHA 6.130% 03/01/04 170,000 171,190
Oshkosh, Wisconsin, GO 5.900% 12/01/99 45,000 45,097
Pima County, Arizona, Industrial Development Authority,
Western Winds, RB, Series B, HUD 6.550% 06/01/01 315,000 316,701
Pittsburgh, Pennsylvania, Urban Redevelopment Authority,
Tax Allocation, AMBAC 5.500% 10/01/99 205,000 205,267
Prince Georges County, Maryland, Housing Authority,
Foxglenn Project, RB, GNMA 6.250% 11/20/04 280,000 282,296
Rensselaer County, New York, COP 6.560% 03/15/00 1,703,076 1,702,684
Rockford, Illinois, RB, Series B, MBIA 7.450% 01/01/03 315,000 318,812
</TABLE>
61
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Short-Term Fixed Income Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
Saint Charles County, Missouri, Industrial Development
Authority, Series B (B) 5.480% 12/01/19 $ 695,000 $ 695,000
Shawnee, Kansas, Multi-Family Housing, Haverford West
Apartments, RB, Series B, FNMA 6.750% 06/01/02 75,000 75,750
Southwestern Illinois, Solid Waste Development Authority,
Series B, RB 6.900% 02/01/03 705,000 708,645
Spokane, Washington, Elderly Housing Authority, Cheney
Care Center, RB, Series B, GNMA 6.130% 02/20/04 125,000 126,100
Tarrant County, Texas, Health Facilities Development
Corporation, South Central Project, RB, MBIA/FHA 6.750% 01/01/37 340,000 344,692
Tarrant County, Texas, Housing Financial Corporation,
Series B, RB, FNMA 6.550% 09/01/02 220,000 222,178
Texas State, Department of Housing And Community Affairs,
RB, Series B 7.250% 07/01/99 30,000 30,096
Wilmington, Delaware, Multi-Family Rent, Prestwyck
Apartments, RB, Series B, FHA 6.630% 11/01/03 190,000 191,671
-------------
Total Taxable Municipal Bonds
(Cost $12,736,453) 12,757,612
-------------
U.S. TREASURY OBLIGATIONS -- 0.51%
U.S. Treasury Note
(Cost $130,006) 6.625% 03/31/02 125,000 129,805
-------------
REPURCHASE AGREEMENTS -- 3.24%
J.P. Morgan Securities 4.74% dated 04/30/99, matures
05/03/99, repurchase value $823,882 (collateralized by
FNMA par value $849,000, due 02/13/04 market value
$845,447) (Cost $823,557) 4.740% 823,557 823,557
-------------
Total Investments -- 101.22%
(Cost $25,630,096) 25,663,838
OTHER ASSETS & LIABILTIES, NET -- (1.22%) (308,656)
-------------
Total Net Assets -- 100% $ 25,355,182
-------------
-------------
</TABLE>
(A) ZERO COUPON SECURITY
(B) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF
INVESTMENTS IS THE RATE IN EFFECT AS OF APRIL 30, 1999. THE
MATURITY DATE SHOWN IS THE NEXT RESET DATE.
CMO COLLATERALIZED MORTGAGE OBLIGATION
CPO CERTIFICATE OF PARTICIPATION
GO GENERAL OBLIGATION
RB REVENUE BOND
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR
THE SECURITIES AS INDICATED 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
High Yield Bond Fund
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
CORPORATE BONDS -- 98.86%
AUTOMOTIVE -- 3.81%
Dura Operating, 144A 9.000% 05/01/09 $ 1,500,000 $ 1,518,750
MCII Holdings 12.000% 11/15/02 11,965,000 11,007,800
-------------
12,526,550
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
62
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
CABLE -- 9.40%
Bresnan Communications (A) 0.000% 02/01/09 $ 2,000,000 $ 1,370,000
Cablevision, 144A 13.750% 05/01/09 2,500,000 2,500,000
Charter Communications Holdings, 144A (A) 0.000% 04/01/11 5,250,000 3,458,438
Classic Cable, 144A 9.875% 08/01/08 2,300,000 2,461,000
Classic Communications 13.250% 08/01/09 500,000 357,500
Classic Communications, 144A (A) 0.000% 08/01/09 3,000,000 2,040,000
James Cable Partners, Series B 10.750% 08/15/04 4,068,000 4,403,610
Ono Finance 13.000% 05/01/09 5,000,000 5,000,000
Poland Communications, Series B 9.875% 11/01/03 7,500,000 7,125,000
RBS Participacoes SA, Reg S 11.000% 04/01/07 1,600,000 1,128,000
Telewest Communications, 144A (A) 0.000% 04/15/09 1,500,000 1,016,250
-------------
30,859,798
-------------
CHEMICALS -- 1.56%
General Chemical Industrial Products, 144A 10.625% 05/01/09 5,000,000 5,125,000
-------------
CONSUMER MANUFACTURING -- 0.41%
International De Ceramica, Reg S 9.750% 08/01/02 1,600,000 1,352,000
-------------
ENERGY -- 4.08%
Belco Oil & Gas, Series B 8.875% 09/15/07 2,250,000 2,227,500
Ocean Energy, Series B 8.375% 07/01/08 1,500,000 1,507,500
Ocean Energy, Series B 8.875% 07/15/07 2,000,000 2,055,000
Parker & Parsley 8.250% 08/15/07 2,000,000 1,829,802
Pioneer Natural Resource 6.500% 01/15/08 1,300,000 1,073,276
RBF Finance, 144A 11.000% 03/15/06 4,500,000 4,702,500
-------------
13,395,578
-------------
FIXED COMMUNICATIONS -- 21.77%
E.SPIRE Communications 13.750% 07/15/07 2,000,000 1,930,000
E.SPIRE Communications (A) 0.000% 07/01/08 2,000,000 960,000
Esat Telecom Holdings Group (A) 0.000% 02/01/07 14,150,000 10,532,313
Esprit Telecom 11.500% 12/15/07 1,500,000 1,642,500
Esprit Telecom 10.875% 06/15/08 2,000,000 2,150,000
Global Crossing Holdings, PIK 10.500% 12/01/08 10,500,000 12,180,000
Hermes Euro Rail 10.375% 01/15/09 1,000,000 1,067,500
Interamericas Communications 14.000% 10/27/07 5,000,000 3,475,000
Interamericas Communications, Reg S 14.000% 10/27/07 700,000 486,500
Intermedia Communications, 144A (A) 0.000% 03/01/09 2,000,000 1,280,000
Intermedia Communications, Series B 13.500% 03/31/09 2,000,000 2,180,000
Jazztel, 144A 14.000% 04/01/09 3,500,000 3,587,500
Metromedia Fiber, 144A 10.000% 11/15/08 2,000,000 2,160,000
Metronet Communications (A) 0.000% 06/15/08 4,000,000 3,120,000
MGC Communications, Series B 13.000% 10/01/04 1,500,000 1,425,000
Netia Holdings, Series B 10.250% 11/01/07 2,000,000 1,900,000
Netia Holdings, Series B (A) 0.000% 11/01/07 14,000,000 9,590,000
Qwest Communications, 144A 7.250% 11/01/08 2,500,000 2,568,750
Rhythems Netconnections, 144A 12.750% 04/15/09 1,500,000 1,496,250
Viatel 11.250% 04/15/08 300,000 313,500
Viatel (A) 0.000% 04/15/08 11,430,000 7,458,075
-------------
71,502,888
-------------
</TABLE>
63
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
High Yield Bond Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE -- 9.54%
Agrilink Foods 11.875% 11/01/08 $ 3,500,000 $ 3,793,125
Bepensa SA Reg S 9.750% 09/30/04 1,000,000 897,500
DGS International Finance 10.000% 06/01/07 3,500,000 2,546,782
Doane Products 9.750% 05/15/07 2,750,000 2,887,500
Embotelladora Arica SA, 144A 9.875% 03/15/06 7,000,000 7,398,419
Fage Dairy Industries 9.000% 02/01/07 5,100,000 4,685,625
Gruma SA 7.625% 10/15/07 6,250,000 5,765,625
Tingyi Ci Holdings 6.613% 11/29/99 4,000,000 3,360,000
-------------
31,334,576
-------------
GENERAL INDUSTRIAL -- 3.44%
Alliance Laundry Systems, 144A 9.625% 05/01/08 4,000,000 3,790,000
Precision Partners, 144A 12.000% 03/15/09 1,500,000 1,545,000
United Rentals 8.800% 08/15/08 4,000,000 3,970,000
United Rentals, 144A 9.000% 04/01/09 2,000,000 1,990,000
-------------
11,295,000
-------------
HEALTHCARE -- 2.04%
Beverly Enterprises 9.000% 02/15/06 1,000,000 997,500
Team Health, 144A 12.000% 03/15/09 1,000,000 1,015,000
Tenet Healthcare 8.000% 01/15/05 4,650,000 4,673,250
-------------
6,685,750
-------------
MEDIA -- 10.52%
Antenna TV SA 9.000% 08/01/07 8,300,000 8,061,375
Fox / Liberty Networks 8.875% 08/15/07 1,750,000 1,905,313
Fox / Liberty Networks (A) 0.000% 08/15/07 9,150,000 7,503,000
Fox Family Worldwide 9.250% 11/01/07 2,500,000 2,431,250
Fox Family Worldwide (A) 0.000% 11/01/07 11,500,000 7,762,500
TV Guide, 144A 8.125% 03/01/09 6,750,000 6,885,000
-------------
34,548,438
-------------
METALS & MINING -- 7.39%
AEI Resources, 144A 10.500% 12/15/05 9,135,000 9,272,025
California Steel Industries, 144A 8.500% 04/01/09 3,750,000 3,834,375
Grupo Minero Mexico, Series A 8.250% 04/01/08 3,500,000 3,075,625
Grupo Minero Mexico, Series B 9.250% 04/01/28 4,250,000 3,612,500
Hysla 9.250% 09/15/07 5,320,000 4,461,315
-------------
24,255,840
-------------
MOBILE COMMUNICATIONS -- 8.32%
Crown Castle, 144A 12.750% 12/31/25 6,933,000 7,773,626
CTI Holdings (A) 0.000% 04/15/08 9,698,000 5,491,493
Grupo Iusacell SA, Series B 10.000% 07/15/04 4,000,000 3,860,000
Nextel Communications (A) 0.000% 02/15/08 4,000,000 3,040,000
Telecorp PCS, 144A (A) 0.000% 04/15/09 11,000,000 6,215,000
Tricom SA 11.375% 09/01/04 1,000,000 928,750
-------------
27,308,869
-------------
PAPER & PACKAGING -- 3.16%
APP International Finance 7.869% 06/28/99 1,000,000 971,250
Copamex Industrias, Series B 11.375% 04/30/04 1,000,000 930,000
Grupo Industrial Durango 12.625% 08/01/03 3,879,000 3,898,395
Indah Kiat Pulp & Paper 8.875% 11/01/00 1,100,000 923,313
Packaging Corporation of America, 144A 9.625% 04/01/09 2,500,000 2,593,750
Packaging Corporation of America, PIK 12.375% 04/01/10 1,000,000 1,060,000
-------------
10,376,708
-------------
SERVICES -- 0.45%
Allied Waste North America, Series B 7.625% 01/01/06 1,500,000 1,462,500
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
64
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
TECHNOLOGY -- 4.32%
Exodus Communications 11.250% 07/01/08 $ 3,000,000 $ 3,270,000
Globix 13.000% 05/01/05 5,000,000 5,143,750
PSINet 11.500% 11/01/08 2,000,000 2,220,000
Verio, 144A 11.250% 12/01/08 1,500,000 1,672,500
WAM!Net, Series B (A) 0.000% 03/01/05 3,000,000 1,875,000
-------------
14,181,250
-------------
TRANSPORTATION -- 4.25%
American Commercial Lines, Series B 10.250% 06/30/08 3,000,000 3,097,500
Budget Group, 144A 9.125% 04/01/06 7,500,000 7,425,000
Enterprises Shipholding 8.875% 05/01/08 2,000,000 1,397,500
Railworks, 144A 11.500% 04/15/09 2,000,000 2,045,000
-------------
13,965,000
-------------
UTILITIES -- 4.25%
Calpine 7.750% 04/15/09 2,500,000 2,506,250
Cemig, Reg S 9.125% 11/18/04 2,500,000 2,237,500
Comp Paranaense De Energia, Reg S 9.750% 05/02/05 8,450,000 7,427,439
Empresa Electrica Pehuenche 7.300% 05/01/03 750,000 736,341
Endesa, 144A 8.500% 04/01/09 1,000,000 1,053,980
-------------
13,961,510
-------------
SHARES
------------
WARRANTS -- 0.15%
Bell Technology 5,000 487,500
-------------
Total Investments -- 98.86%
(Cost $314,753,874) 324,624,755
-------------
OTHER ASSETS & LIABILITIES, NET -- 1.14% 3,746,874
-------------
TOTAL NET ASSETS -- 100% $ 328,371,629
-------------
-------------
</TABLE>
(A) STEP UP BOND -- THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON APRIL 30, 1999. THE INITIAL COUPON ON A
STEP UP BOND CHANGES ON A SPECIFIC DATE, TO A PREDETERMINED
HIGHER RATE.
PIK PAYMENT-IN-KIND SECURITY
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 INSTITUTIONAL BUYERS.
Smaller Companies Fund
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
COMMON STOCKS -- 96.1%
CAPITAL GOODS -- 0.2%
Brunswick Technologies* 2,000 $ 10,500
-----------
CONSUMER -- 22.8%
Bally Total Fitness Holding* 4,600 111,550
Cheap Tickets, Inc* 1,000 38,500
Corporate Executive Board Co.* 2,400 67,500
Daisytek International Corp.* 5,500 92,125
Damark International* 7,800 79,950
Furniture Brands International, Inc.* 4,700 117,794
Garden Ridge* 17,635 127,854
Hollywood Entertainment Corp.* 1,300 32,094
Insight Enterprises, Inc.* 2,100 56,700
Just For Feet, Inc* 6,300 79,537
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
Marketing Services Group, Inc.* 2,100 $ 70,087
Micro Warehouse* 7,300 123,644
Mohawk Industries* 3,400 109,650
Papa John's International, Inc* 2,100 84,394
Petsmart* 12,900 120,131
PJ America, Inc.* 1,000 23,500
Tractor Supply Co.* 5,800 159,500
-----------
1,494,510
-----------
CREDIT SENSITIVE -- 15.2%
Astoria Financial Corp. 1,975 98,997
Bank United Corp. 1,800 72,675
Dime Bancorp 6,400 147,600
Dime Community Bancshares 2,800 63,000
D.R. Horton, Inc. 5,800 112,013
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
65
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Smaller Companies Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------------------------------$-
Golden State Bancorp, Inc.* 6,500 159,656
Golden State Bancorp -- Litig Wt* 2,300 4,312
Independence Community Bank Corp. 4,800 69,900
Insurance Management Solutions Group, Inc.* 800 8,400
Lennar 6,100 147,544
LNR Property Corp. 5,800 113,825
-----------
997,922
-----------
ENERGY -- 9.2%
BJ Services* 6,000 160,500
Devon Energy 5,200 172,900
Global Industries, Ltd.* 10,200 125,587
Marine Drilling Companies, Inc.* 8,200 140,938
-----------
599,925
-----------
HEALTH CARE -- 13.7%
Accredo Health, Inc.* 800 17,700
Alkermes, Inc.* 3,300 88,275
Alpharma Inc. -- Cl A 1,700 50,150
Bindley Western Industries, Inc. 4,100 126,588
Cell Genesys, Inc.* 3,300 16,500
Cohesion Technologies, Inc.* 3,900 18,281
Collagen 1,700 22,100
Dendrite International, Inc.* 1,800 46,575
Enzon, Inc.* 2,900 37,700
IVAX Corp. 6,900 90,562
MedPartners, Inc.* 7,600 39,900
Nanogen, Inc.* 5,200 40,950
Pediatrix Medical Group, Inc.* 1,900 35,981
Priority Healthcare Corp., Cl A* 1,075 54,489
Priority Healthcare Corp., Cl B* 2,000 101,375
Sonosite Inc.* 2,700 40,162
Sunrise Assisted Living, Inc.* 1,800 72,000
-----------
899,288
-----------
PROCESS INDUSTRIES -- 4.4%
Bowater 1,700 91,163
Carbo Ceramics 700 17,238
CompX International* 2,200 33,000
PH Glatfelter 5,900 75,594
Rayonier 1,600 73,000
-----------
289,995
-----------
SERVICE COMPANIES -- 4.8%
American Tower Corp. 4,045 85,703
COMSAT Corp. 5,000 162,500
Entercom Communications Corp.* 200 7,425
Kroll-O'Gara Co.* 2,500 59,844
-----------
315,472
-----------
TECHNOLOGY -- 21.6%
Allegiance Telecom, Inc.* 1,700 $ 78,200
Applied Micro Circuits Corp.* 2,000 106,625
Concentric Network Corp.* 700 58,450
Concur Technologies, Inc.* 1,200 43,350
DII Group, Inc.* 2,300 71,300
Dycom Industries* 3,350 153,053
Infospace.com, Inc.* 500 71,656
Mercury Interactive* 5,400 152,212
Microchip Technology, Inc.* 2,200 77,000
Pairgain Technologies, Inc.* 6,300 80,719
Pegasus Systems, Inc.* 1,700 79,475
Pinnacle Systems* 1,600 87,000
Polycom, Inc.* 1,000 24,438
Rational Software Corp.* 1,700 50,362
Scientific-Atlanta, Inc. 4,200 133,350
Terayon Communications Systems, Inc.* 1,300 52,488
USWeb Corp.* 1,200 26,925
Verisign, Inc.* 400 46,000
Whittman-Hart, Inc.* 700 19,775
-----------
1,412,378
-----------
TRANSPORTATION -- 4.2%
Atlantic Coast Airlines* 3,150 97,256
US Freightways 4,800 180,000
-----------
277,256
-----------
Total Common Stocks
(Cost $5,464,081) 6,297,246
-----------
Total Investments -- 96.1%
(Cost $5,464,081) $ 6,297,246
-----------
OTHER ASSETS AND LIABILITIES, NET -- 3.9% 254,806
-----------
Net Assets -- 100% $ 6,552,052
-----------
-----------
* NON-INCOME PRODUCING SECURITY.
Microcap Fund
- --------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------------------------------
COMMON STOCKS -- 100%
CAPITAL GOODS -- 6.1%
Brunswick Technologies* 40,300 $ 211,575
Correctional Services Corp.* 28,400 255,600
Optek Technology* 18,500 277,500
Tyler Corp. 39,800 233,825
------------
978,500
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
66
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------------------------------
CONSUMER -- 27.7%
Bombay Company Inc.* 84,100 $ 536,137
Cheap Tickets, Inc.* 9,100 350,350
Corporate Executive Board Co.* 6,200 174,375
CustomTracks Corp. 6,200 230,950
Damark International* 32,800 336,200
Garden Ridge* 37,500 271,875
Homeseekers.com, Inc.* 21,300 223,650
Marketing Services Group* 5,600 186,900
Micro Warehouse, Inc.* 12,600 213,412
PJ America, Inc.* 19,000 446,500
Rainbow Rentals, Inc.* 29,700 348,975
ResortQuest Intl, Inc.* 19,200 321,600
Rocky Shoes* 15,100 81,163
Tractor Supply Co.* 17,100 470,250
Vans* 32,100 264,825
------------
4,457,162
------------
CREDIT SENSITIVE -- 14.4%
Bankunited Financial, Class A* 30,000 262,500
Credit Management Solutions* 24,800 86,800
Crusader Holdings* 8,505 87,176
Dime Community Bancshares 8,700 195,750
Engle Homes 24,600 285,975
Insurance Management Solutions Group, Inc.* 14,500 152,250
Intercept Group, Inc.* 16,000 224,000
International Comfort Products 31,800 242,475
Realty Information Group, Inc.* 9,300 364,444
Republic Security Financial 48,500 421,344
------------
2,322,714
------------
ENERGY -- 6.5%
Basin Exploration* 20,400 349,350
Chieftan International, Inc.* 9,500 171,594
Dril-Quip, Inc.* 8,200 199,875
Magnum Hunter Resources* 7,300 23,725
Mallon Resources* 34,200 294,975
------------
1,039,519
------------
HEALTH CARE -- 14.2%
Accredo Health, Inc.* 7,800 172,575
Cell Genesys, Inc.* 8,000 40,000
Cohesion Technologies, Inc.* 9,400 44,062
Collagen 4,200 54,600
Dendrite International, Inc.* 6,500 168,188
Enzon, Inc.* 8,600 111,800
General Surgical Innovations, Inc.* 18,500 64,750
Infocure Corp.* 4,200 110,513
Nanogen* 27,700 218,137
OnHealth Network Co.* 22,400 338,800
ResMed Inc.* 6,700 177,131
Sonosite, Inc.* 21,900 325,762
Superior Consultant Holdings Corp.* 2,800 76,244
Syncor International Corp.* 5,000 142,500
U.S. Bioscience, Inc.* 21,800 234,350
------------
2,279,412
------------
- --------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------------------------------
PROCESS INDUSTRIES -- 3.2%
CompX International* 14,900 $ 223,500
Dixie Group, Inc. 32,700 290,213
------------
513,713
------------
SERVICE COMPANIES -- 3.3%
Globecomm Systems* 31,500 311,062
Hagler Bailly, Inc* 20,600 133,900
Vicon* 14,200 94,963
------------
539,925
------------
TECHNOLOGY -- 19.8%
Hi/Fn, Inc.* 12,546 677,484
Kronos, Inc.* 11,750 399,500
Pegasus Systems* 14,100 659,175
Pervasive Software, Inc.* 22,600 327,700
Photon Dynamics, Inc.* 14,100 141,000
Pinnacle Systems* 3,500 190,313
Primus TelecommunicationsGroup, Inc.* 16,700 278,681
Terayon Communications Systems, Inc.* 12,600 508,725
------------
3,182,578
------------
TRANSPORTATION -- 4.8%
Isle of Capri Casinos, Inc.* 34,300 229,381
Providence & Worcester 30,000 378,750
RailTex, Inc.* 12,500 170,312
------------
778,443
------------
Total Common Stocks
(Cost $15,358,657) 16,091,966
------------
Total Investments -- 100%
(Cost $15,358,657) $ 16,091,966
------------
OTHER ASSETS AND LIABILITIES, NET -- 0.0% (937)
------------
Net Assets -- 100% $ 16,091,029
------------
------------
* NON-INCOME PRODUCING SECURITY.
International Select Equity Fund
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 100.2%
DEMARK -- 3.1%
Tele Danmark B Shs 2,103 $ 216,721
-----------
FINLAND -- 0.0%
Nokia Oyj 32 2,466
-----------
FRANCE -- 16.5%
Accor SA 860 226,682
Equant NV* 2,513 228,052
Lagardere S.C.A. 6,608 261,649
Total, Series B 1,779 243,573
Compagnie Financiere de Paribas 1,900 201,930
-----------
1,161,886
-----------
GERMANY -- 4.7%
Consors Discount Broker AG* 3,500 334,631
-----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
67
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
International Select Equity Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
HONG KONG -- 3.1%
Cheung Kong Holdings Ltd. 24,000 $ 218,301
-----------
ITALY -- 3.1%
Telecom Italia SPA 20,530 218,407
-----------
JAPAN -- 9.5%
Credit Saison Co., Ltd. 7,000 143,019
Hitachi Cable, Ltd. 37,000 182,173
Secom 2,000 195,269
Tokyo Electric Power Co 7,000 149,466
-----------
669,927
-----------
NETHERLANDS -- 16.1%
Philips Electronics 2,584 222,484
Getronics 5,214 213,999
ING Groep 3,740 230,350
Benckiser NV, Series B 4,230 233,271
United Pan-Europe Communications NV* 4,510 233,227
-----------
1,133,331
-----------
SINGAPORE -- 1.6%
Allgreen Properties Ltd.* 182,000 110,511
-----------
SPAIN -- 3.3%
Telefonica SA Rts 5/20/99* 4,227 3,975
Telefonica de Espana 4,957 232,253
-----------
236,228
-----------
SWEDEN -- 3.0%
Securitas, Series B 14,000 207,715
-----------
SWITZERLAND -- 6.2%
Compagnie Financiere Richemont 137 232,928
UBS AG, Registered 590 200,314
-----------
433,242
-----------
UNITED KINGDOM -- 30.0%
Arm Holdings Plc* 18,840 202,444
British Energy Plc 18,960 161,188
BP Amoco Plc 10,090 191,361
Colt Telecom Group Plc* 7,023 131,499
Fairey Group Plc 34,220 210,277
Flextech Plc* 9,135 131,704
General Electric Co., Plc 23,050 244,160
HSBC Holdings Plc 6,070 231,314
Logica Plc 19,590 189,075
Vodafone Group 11,511 212,015
Standard Chartered Bank 11,027 199,376
-----------
2,104,413
-----------
Total Foreign Common Stocks
(Cost $6,066,693) 7,047,779
-----------
Total Investments -- 100.2%
(Cost $6,066,693) $ 7,047,779
-----------
OTHER ASSETS AND LIABILITIES, NET -- (0.2%) (12,619)
-----------
Total Net Assets -- 100% $ 7,035,160
-----------
-----------
* NON-INCOME PRODUCING SECURITY.
European Equity
Growth Fund
- ---------------------------------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 97.8%
AUSTRIA -- 0.8%
Bank Austria 6,233 $ 386,597
------------
DENMARK -- 0.9%
Teledanmark AS B Shares 4,277 435,606
------------
FINLAND -- 1.9%
Nokia Oyj 12,266 945,316
------------
FRANCE -- 16.0%
Accor 1,318 347,404
AXA 7,069 912,595
Banque Nationale de Paris, Series A 5,946 492,796
Cap Gemini SA 2,134 326,221
Compagnie Financiere de Paribas 3,700 393,232
Dexia France 2,200 307,955
Elf Acquitaine 3,668 569,634
Groupe Danone 1,652 441,550
Lagardere Group 9,379 371,369
S.G.E. 6,905 291,791
Sanofi 3,452 540,830
SEITA 5,258 316,624
Total, Series B 7,568 1,036,180
TV Francaise 1,639 320,331
Unisor SA 32,514 502,875
Valeo SA 4,000 338,064
Vivendi 1,983 463,191
------------
7,972,642
------------
GERMANY -- 8.6%
Allianz 2,315 737,373
Bayerische Vereinsbank 5,649 368,219
DaimlerChrysler AG 11,418 1,127,245
Deutsche Lufthansa AG 8,210 189,949
Hoechst AG 10,542 499,499
Mannesnann AG 7,907 1,040,827
VEBA 5,846 320,535
------------
4,283,647
------------
ITALY -- 6.6%
Alleanza Assicurazioni 25,168 301,782
Assicurazioni Generali 11,913 463,775
Banca Popolare Di Brescia 9,951 342,189
ENI SPA 94,503 621,989
Mediaset SPA 33,596 291,039
Rolo Banca 6,200 155,169
Telecom Italia 103,013 1,095,899
------------
3,271,842
------------
NETHERLANDS -- 8.1%
Fortis NV 16,936 602,962
Getronics 15 615
ING Groep 10,984 676,516
Koninklijke Ahold NV 21,882 812,571
Koninklijke KPN NV 13,500 563,352
Philips Electronics 10,100 869,617
Wolters Kluwer NV 11,434 497,673
------------
4,023,306
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
68
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------
SPAIN -- 4.3%
Argentaria Caja Postal Y Banco 17,214 $ 404,814
Banco Popular 2,200 155,721
Endesa SA 22,147 492,277
Telephonica de Espana 22,552 1,056,642
Telephonica SA Rts 5/20/99* 22,552 21,204
------------
2,130,658
------------
SWEDEN -- 4.3%
Assa Abloy, Series B 7,853 343,015
Ericsson LM, Series B 13,345 350,851
Norbanken Holding AB 46,000 289,377
Securitas, Series B 35,436 525,757
Skandia Forsakrings AB 34,228 662,215
------------
2,171,215
------------
SWITZERLAND -- 9.3%
Adecco 603 303,931
Compagnie Financiere Richemont 204 346,841
Nestle, Registered 307 568,042
Novartis, Registered 683 999,632
Roche Holding 101 1,187,612
UBS, Registered 3,565 1,210,376
------------
4,616,434
------------
UNITED KINGDOM -- 37.0%
Abbey National 23,000 519,449
Asscociated British Foods 43,300 318,485
Astrazeneca Group Plc 11,300 442,251
Barclays Bank 20,000 635,075
Bass 22,160 348,267
BBA Group 32,318 258,374
BG Plc 75,544 423,801
BICC 23,090 39,000
Billiton Plc 72,790 250,034
Blue Circle Industries 57,400 380,184
British Aerospace 44,048 329,478
British Energy Plc 29,500 250,793
BP Amoco 89,033 1,688,546
British Telecommunications 73,900 1,241,061
Cable & Wireless 28,800 408,235
Canary Wharf Group Plc 18,200 111,892
CGU 10,000 157,964
Colt Telecom Group Plc* 7,000 131,069
Diageo Plc 25,236 291,266
Emap Publishing Plc 14,400 302,751
Flextech Plc* 16,900 243,657
General Electric 52,000 550,817
Glaxo Wellcome Plc 37,200 1,099,858
Granada Group 15,500 332,361
Great Universal Stores 21,000 238,913
HSBC Holdings 20,024 763,069
Kingfisher 26,000 388,959
Lloyds TSB Group 47,150 758,834
Logica Plc 3,215 31,030
Morrison Supermarkets 41,000 208,410
Ocean Group Plc 18,753 295,628
Prudential 20,000 285,205
- ---------------------------------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------
Railtrack Group Plc 10,122 $ 211,181
Reckitt & Colman Plc 24,000 285,301
Reed International Plc 28,000 254,318
Rentokil Initial Plc 52,000 302,979
Rolls Royce 56,500 261,751
Royal & Sun Alliance Insurance Group 27,805 239,737
Securicor plc 30,845 289,983
Smithkline Beecham Plc 54,700 723,281
Standard Chartered Bank 28,000 506,259
Tomkins Plc 63,000 265,516
Unilever 44,400 393,534
United News & Media 21,000 255,520
United Utilites Plc 12,000 135,702
Vodafone Group 33,000 607,810
------------
18,457,588
------------
Total Foreign Common Stocks
(Cost $40,374,764) 48,694,851
------------
FOREIGN PREFERRED STOCKS -- 0.6%
GERMANY --
Henkel KGaA 4,032 319,044
------------
Total Foreign Preferred Stock
(Cost $315,769) 319,044
------------
Total Investments -- 98.4%
(Cost $40,690,533) $ 49,013,895
------------
OTHER ASSETS & LIABILITIES, NET -- 1.6% 811,748
------------
Net Assets -- 100% $ 49,825,643
------------
------------
* NON-INCOME PRODUCING SECURITY
International Small Cap Equity Fund
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 95.6%
DENMARK -- 1.0%
Sondagsavisen a-s 1,300 $ 81,305
Topdanmark* 460 76,828
William Demant 1,130 76,295
------------
234,428
------------
FINLAND -- 1.3%
Nokian Renkaat Oyj 2,230 75,859
Talentum Oy B Shares 5,550 73,291
Teleste Corp.* 6,500 56,652
Tieto Corp 3,000 119,484
------------
325,286
------------
FRANCE -- 8.0%
Altran Technologies SA 1,380 328,028
Dexia France 750 104,985
Eurotunnel SA 134,000 212,346
Genset ADR* 11,300 179,388
GFI Informatique* 950 121,339
Groupe GTM 1,040 99,158
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
69
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
International Small Cap Equity Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
Hachette Filipacchi Medias 450 $ 103,923
Lagardere S.C.A. 2,970 117,599
Montupet 5,330 183,116
Sidel Bearer 2,480 298,680
Societe Generale d' Entreprises SA 2,400 101,419
------------
1,849,981
------------
GERMANY -- 8.0%
Aixtron AG 850 203,842
Berliner Kraft Und Licht 5,650 89,295
Consors Discount Broker AG* 2,000 191,217
Deutsche Lufthansa AG 4,400 101,800
Fresenius AG 1,150 200,461
Intershop Communications AG* 420 100,722
Medion AG* 500 103,004
Metallgesellschaft AG 15,140 288,863
Qiagen* 2,850 208,763
SGL Carbon 2,000 109,976
Utimaco Safeware AG* 530 103,585
Zapf Creaton AG* 7,000 149,382
------------
1,850,910
------------
HONG KONG -- 1.6%
Li & Fung Ltd. 74,000 181,402
Wing Hang Bank Ltd. 61,000 185,343
------------
366,745
------------
INDONESIA -- 0.0%
Bank Panin Warrants 46 --
------------
IRELAND -- 0.9%
CBT Group Public ADR* 6,480 100,440
Esat Telecom Group Plc* 2,300 112,413
------------
212,853
------------
ITALY -- 4.9%
Autogrill SPA 11,100 101,787
Banca Popolare Commercio e Industria 4,650 107,092
Banca Popolare di Bergamo 4,150 104,565
Banca Popolare di Brescia 6,900 237,273
Ciga* 109,000 73,813
Class Editori 12,600 122,464
Gruppo Editoriale L'espresso 12,000 175,582
Seat Pagine Gialle 268,200 220,722
------------
1,143,298
------------
JAPAN -- 22.6%
Arisawa Mfg. Co., Ltd. 10,000 138,916
Bellsystem 24, Inc. 400 157,756
C. Uyemura & Co. 4,000 140,674
Chubu Sekiwa Real Estate 970 6,417
Circle K Japan Co. 3,000 135,650
Doutor Coffee Co., Ltd. 2,200 91,924
Enplas Corp. 7,000 187,565
Fuji Machine Mfg. Co., Ltd. 4,000 142,684
Fuji Seal, Inc. 2,000 227,758
Fuji Soft ABC Inc. 2,900 176,295
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
Fujimi Inc. 3,000 $ 155,746
Hisamitsu Pharmaceutical Co., Inc. 10,000 147,373
Ibiden Co, Ltd. 13,000 226,963
Itoen, Ltd. 3,000 206,992
Jeol Ltd. 33,000 175,742
Kagome Co., Ltd. 28,000 213,356
Meitec Corp. 2,300 74,725
Misumi Corp. 6,000 178,355
Nichiha Corp. 15,600 190,061
Nichii Gakkan Co. 2,450 190,789
Nippon Zeon Co., Ltd. 30,000 198,953
OSG Corp. 46,000 206,071
Otsuka Kagu 1,500 188,403
People Co., Ltd. 3,200 128,616
Saizeriya Co., Ltd. 3,000 162,278
Sanyo Chemical Ind., Ltd. 14,000 146,770
Shimamura Co., Ltd. 3,000 185,891
Shinko Electric Ind. Co. Ltd. 3,500 134,813
Taiyo Ink Mfg. Co., Ltd. 3,000 266,276
Tokyo Seimitsu Co., Ltd. 3,000 166,046
Yamaichi Electronics Co., Ltd. 9,000 175,591
Yamato Kogyo Co., Ltd. 20,000 135,650
------------
5,261,099
------------
NETHERLANDS -- 6.3%
Detron Group NV 6,240 98,225
Fugro NV 18,600 504,022
IHC Caland 2,550 115,570
Koninklijke Ahrend NV 5,200 101,081
Laurus NV 3,710 79,760
Randstad Holding NV 5,453 265,286
United Pan-Europe Comm. NV* 2,200 113,769
Vendex NV 4,000 99,518
Wolters Kluwer 2,120 92,275
------------
1,469,506
------------
NORWAY -- 0.6%
Ekornes 7,300 72,041
Tomra Systems 1,700 67,542
------------
139,583
------------
PORTUGAL -- 0.8%
Brisa-Auto Estradas 2,350 99,555
Telecel-Comunicacaoes Pessoais, SA 580 77,512
------------
177,067
------------
SINGAPORE -- 3.2%
Hong Leong Finance Ltd. 68,000 167,565
OMNI Industries Ltd. 304,000 161,292
Rothmans Industries Ltd. 24,000 125,921
Sembcorp Logistics Ltd. 37,000 88,994
Venture Manufacturing Ltd. 35,000 191,888
------------
735,660
------------
SPAIN -- 2.2%
Aldeasa SA 4,610 140,750
Autopistas del Mare Nostrum SA* 4,800 107,504
Baron de Ley* 2,850 98,155
Superdiplo SA* 3,400 73,455
Transportes Azkar, SA 6,250 80,884
------------
500,748
------------
SWEDEN -- 1.9%
Assa Abloy, Series B 3,900 170,350
Europolitan Holdings 2,200 187,228
Securitas AB 6,200 91,988
------------
449,566
------------
SWITZERLAND -- 5.9%
Bachem AG Registered 125 195,812
</TABLE>
70
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
Bank Sarasin & Cie 80 $ 142,623
Clariant AG 110 56,236
Compagnie Financiere Richemont 155 263,531
Holderbank Financiere Glarus 180 216,963
Kudelski* 82 319,788
Valora Holding 800 186,668
------------
1,381,621
------------
UNITED KINGDOM -- 26.4%
Aegis Group Plc 92,983 201,175
Barratt Developments 33,848 197,918
BBA Group 8,406 67,204
Blue Circle Ind. Plc 29,474 195,218
Bunzl 50,368 216,329
Burford Holdings Plc 38,093 72,919
Burmah Castrol Plc 5,616 97,295
Canary Wharf Plc* 21,802 134,037
Capita Group 11,247 118,683
Capital Shopping Centers 9,506 61,471
Cattles Plc 7,401 90,778
Close Brothers Group Plc 7,692 88,593
Daily Mail & General Trust, Series A 3,102 165,764
Debenhams Plc 21,232 163,255
Dixons Group Plc 9,942 211,732
EMAP Publishing Plc 11,047 232,257
Forth Ports 17,255 154,048
Glynwed International 20,566 73,443
Hanson Plc 21,607 214,798
Inchcape 47,144 114,512
London Clubs Int'l 37,398 101,066
Lonmin Plc 22,184 184,492
Next 9,798 120,887
Northern Rock Plc 14,561 170,400
PIC Int'l Group Plc 18,920 18,565
Pillar Property Plc 31,366 163,854
Premier Farnell Plc 15,267 71,956
Sage Group (The) 9,881 333,786
Scapa Group Plc 41,046 89,136
Securicor Plc 29,416 276,549
Severn Trent Plc 12,779 168,253
SIG Plc 75,545 239,398
Smiths Industries Plc 8,395 130,045
Stagecoach Holdings Plc 62,851 212,062
Telewest Communications Plc* 76,662 354,417
Thistle Hotels Plc 15,238 44,121
TI Group Plc 15,499 126,528
United Assurance Group Plc 16,107 121,257
Vitec Group Plc 16,326 156,259
Wolseley Plc 21,523 192,672
------------
6,147,132
------------
Total Foreign Common Stocks
(Cost $19,082,022) 22,245,483
------------
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
FOREIGN PREFERRED STOCKS -- 1.3%
Boss (Hugo) 70 $ 99,465
Marschollek Lauten 380 212,769
------------
Total Foreign Preferred Stocks
(Cost $261,873) 312,234
------------
FACE
AMOUNT(1)
-----------
FOREIGN CONVERTIBLE BONDS -- 0.9%
World Co. Ltd.
.800%, 09/28/01
(Cost $181,594) 20,000,000 209,337
------------
Total Investments -- 97.8%
(Cost $19,525,489) $ 22,767,054
------------
OTHER ASSETS AND LIABILITIES, NET -- 2.2% 503,278
------------
Total Net Assets -- 100.0% $ 23,270,332
------------
------------
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
AMOUNTS DESIGNATED AS " -- " ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
European Small Cap
Equity Fund
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 92.6%
DENMARK -- 1.3%
Sondagsavisen a-s 170 $ 10,632
Topdanmark* 60 10,021
William Demant Holdings 200 13,504
-----------
34,157
-----------
FINLAND -- 1.9%
Nokian Renkaat Oyj 360 12,246
Talentum 850 11,225
Teleste Corp* 1,000 8,716
Tieto Corp 470 18,719
-----------
50,906
-----------
FRANCE -- 11.5%
Altran Technologies 195 46,352
Dexia France 100 13,998
Eurotunnel Units 21,500 34,071
Genset ADR* 2,040 32,385
GFI Informatique* 120 15,327
Groupe GTM 170 16,209
Hachette Filipacchi Medias 70 16,166
Lagardere 880 34,844
Montupet SA 900 30,920
Sidel Bearer 380 45,765
Societe Generale D' Entreprises SA 380 16,058
-----------
302,095
-----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
71
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
European Small Cap
Equity Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
GERMANY -- 11.4%
Aixtron AG 150 $ 35,972
Bewag 700 11,063
Consors Discount Broker AG* 350 33,463
Deutsche Lufthansa AG 800 18,509
Fresenius AG 150 26,147
Intershop Communications AG* 75 17,986
Medion AG* 105 21,631
Metallgesellschaft AG 2,430 46,363
Qiagen* 460 33,695
SGL Carbon 380 20,896
Utimaco Safeware AG* 90 17,590
Zapf Creation AG* 800 17,072
-----------
300,387
-----------
IRELAND -- 1.8%
Anglo Irish 4,790 14,178
CBT Group Plc ADR* 1,030 15,965
Esat Telecom Plc ADR* 350 17,106
-----------
47,249
-----------
ITALY -- 6.4%
Autogrill SPA 1,700 15,589
Banca Popolare di Bergamo 650 16,378
Banca Popolare di Brescia 1,000 34,387
Banca Popolare Commercio 700 16,121
Ciga* 16,170 10,950
Class Editori 1,600 15,551
Gruppo Editoriale L'espresso 1,850 27,069
Seat Pagine Gialle SPA* 40,500 33,330
-----------
169,375
-----------
NETHERLANDS -- 8.2%
Detron Group NV* 970 15,269
Fugro 2,300 62,325
IHC Caland 460 20,848
Koninklijke Ahrend Nv 970 18,856
Laurus NV 490 10,534
Randstad Holding 850 41,352
United Pan-Europe Comm. NV* 300 15,514
Vendex NV 700 17,416
Wolters Kluwer 320 13,928
-----------
216,042
-----------
NORWAY -- 1.0%
Ekornes 1,410 13,915
Tomra Systems 330 13,111
-----------
27,026
-----------
PORTUGAL -- 1.0%
Brisa-Auto Estradas de Portugal 330 13,980
Telecel-Comunicacaoes Pessoais SA 100 13,364
-----------
27,344
-----------
SPAIN -- 3.6%
Aldeasa 1,000 30,531
Autopistas del Mare Nostrum SA* 750 16,798
Baron de Ley* 450 15,498
Superdiplo* 750 16,203
Transportes Azkar SA 1,200 15,530
-----------
94,560
-----------
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
SWEDEN -- 2.9%
Assa Abloy, Series B 730 $ 31,886
Europolitan Holdings 340 28,935
Securitas, Series B 1,000 14,837
-----------
75,658
-----------
SWITZERLAND -- 8.4%
Bachem Feinchemikalien* 20 31,330
Bank Sarasin & Cie, Series B 10 17,828
Clariant AG 20 10,225
Compagnie Financiere Richemont 20 34,004
Holderbank Financiere Glarus 32 38,571
Kudelski* 14 54,598
Valora Holdings 140 32,667
-----------
219,223
-----------
UNITED KINGDOM -- 33.2%
Aegis Group Plc 12,625 27,315
Barratt Developments Plc 3,869 22,623
BBA Group Plc 1,090 8,714
Blue Circle Ind. Plc 4,181 27,692
Bradford Properties Plc 4,227 17,883
Bunzl Plc 6,839 29,373
Burford Holdings Plc 5,416 10,367
Burmah Castrol Plc 679 11,763
Canary Wharf Plc* 3,095 19,028
Capita Group 2,438 25,727
Capital Shopping Centres 1,232 7,967
Cattles Plc 2,052 25,169
Close Brothers Group Plc 645 7,429
Daily Mail & General Trust, Series A 431 23,032
Debenhams Plc 2,090 16,070
Dixons Group Plc 1,775 37,802
Emap Plc 1,500 31,537
Forth Ports Plc 2,237 19,971
Glynwed International Ordinary 4,293 15,331
Hanson Plc 3,065 30,470
Inchcape Plc 5,584 13,563
London Clubs International 5,078 13,723
Lonmin Plc 3,032 25,216
Next 1,339 16,521
Northern Rock Plc 2,491 23,682
PIC International Group Plc 2,453 2,407
Pillar Property Investment Plc 4,424 23,111
Premier Farnell 2,122 10,001
Sage Group Plc 1,086 36,686
Scapa Group Plc 6,554 14,233
Securicor 4,089 38,442
Severn Trent 1,817 23,923
SIG Plc 10,308 32,665
Smiths Industries Plc 1,192 18,465
Stagecoach Holdings Plc 8,736 29,476
TeleWest Communications Plc* 10,656 49,264
Thistle Hotels Plc 2,165 6,269
TI Group 1,986 16,213
United Assurance Group Plc 2,088 15,719
Vitec Group Plc 2,217 21,219
Wolseley Plc 3,059 27,383
-----------
873,444
-----------
Total Foreign Common Stocks
(Cost $2,107,545) 2,437,466
-----------
FOREIGN PREFERRED STOCKS -- 1.8%
GERMANY -- 1.8%
Boss(Hugo) 10 14,209
Marschollek Lauten 60 33,595
-----------
Total Foreign Preferred Stocks
(Cost $28,331) 47,804
-----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
72
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------$-
Total Investments -- 94.4%
(Cost $2,135,876) 2,485,270
-----------
OTHER ASSETS AND LIABILITIES, NET -- 5.6% 147,468
-----------
Total Net Assets -- 100.0% $ 2,632,738
-----------
-----------
* NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
Emerging Markets Equity Fund
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 92.0%
ARGENTINA -- 5.0%
Banco de Galicia ADR 51,175 $ 1,180,223
Perez Companc, Class B 210,300 1,304,395
Telecom Argentina ADR 40,000 1,380,000
YPF ADR 65,642 2,756,964
------------
6,621,582
------------
BERMUDA -- 0.1%
Credicorp Ltd. 18,300 185,288
------------
BRAZIL -- 6.5%
Cerj* 1,883,493,000 510,278
CVRD ADR 80,300 1,544,073
Electrobras 28,425,000 566,446
Embratel Participacoes ADR* 74,581 1,211,941
Tele Centro Oeste Celular Participacoes ADR 11,893 43,112
Tele Centro Sul Participacoes ADR 10,576 561,850
Tele Norte Leste Participacoes ADR 53,880 912,593
Telesp Participacoes ADR* 106,548 2,663,700
Unibanco GDR 26,495 657,407
------------
8,671,400
------------
CHILE -- 3.4%
CTC ADR 40,100 1,060,144
DyS ADR 141,100 2,134,137
Andina ADR 51,400 928,412
Enersis ADR 22,564 432,947
------------
4,555,640
------------
CHINA -- 0.6%
Hengan International Group Co. Ltd. 722,000 242,196
Legend Holdings Ltd. 660,000 340,612
Zhejiang Expressway Co. Ltd. 1,520,000 251,021
------------
833,829
------------
COLOMBIA -- 0.1%
Cadenalco ADR 144 A 44,300 77,525
------------
CZECH REPUBLIC -- 0.6%
IF Zivnobanka 7,607 110,461
SPT Telecom 51,000 739,562
------------
850,023
------------
GREECE -- 5.1%
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
Alpha Credit Bank 27,840 $ 1,987,668
Attica Enterprises 130,320 1,099,604
Ergo Bank 18,692 1,632,077
Stet Hellas Telecom ADR* 25,750 695,250
Titan Cement 17,350 1,340,073
------------
6,754,672
------------
HONG KONG -- 0.5%
China Telecom 294,000 671,393
------------
HUNGARY -- 2.3%
Matav, Registered 168,800 941,145
MOL 39,620 882,769
OTP Bank 18,943 798,126
Raba 59,210 516,446
------------
3,138,486
------------
INDIA -- 8.1%
Associated Cement Co. 22,500 749,120
Bajaj Auto 47,100 572,377
Bharat Heavy Electricals Ltd. 134,500 532,782
BSES 200 619
EIH Ltd. 205 814
Glaxo India Ltd. 42,700 650,629
Hindustan Lever 41,400 1,985,342
ICICI Ltd. 200 223
Infosys Technologies Ltd 5,000 306,760
ITC Ltd. 77,800 1,716,216
Larsen & Toubro Ltd. 138,900 607,343
Larsen & Toubro Ltd. GDR 40,100 370,925
Mahanagar Telephone Nigam 127,200 461,356
Mahindra & Mahindra 700 3,854
NIIT Ltd 16,400 617,826
Pentafour Software & Exports Ltd. 10,800 251,638
Ranbaxy Laboratories 59,900 755,924
Reliance Industries Ltd. 219,900 671,781
Satyam Computer Services Ltd. 20,000 514,139
State Bank of India 300 1,110
------------
10,770,778
------------
INDONESIA -- 1.7%
Bank Panin Warrants* 85 1
PT Gudang Garam TBK 510,000 925,550
PT Indofood Sukes Makmur TBK 718,500 569,637
PT Indosat (Persero) TBK 263,000 508,244
PT Tambang Timah TBK 338,000 311,936
------------
2,315,368
------------
ISRAEL -- 2.5%
Bank Leumi Le-Israel 609,800 1,044,700
Bezeq Israeli Telecommunications Corp. Ltd. 253,410 985,958
Blue Square Chain Stores* 62,800 932,329
Elite Industries 11,600 445,746
------------
3,408,733
------------
</TABLE>
73
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Emerging Markets Equity Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
KOREA -- 10.1%
Dongwon Securities 34,550 $ 813,967
Korea Electric Power Corp. 110,260 3,172,816
LG Chemicals 51,266 884,268
Nong Shim Co. 7,650 431,258
Pohang Iron & Steel 23,666 2,029,454
Samsung Display Devices 11,119 570,685
Samsung Electronics 33,022 2,539,513
Samsung Electronics GDR 144A 309 13,720
Samsung Fire & Marine Insurance 1,760 814,472
Shinhan Bank 119,900 1,321,573
SK Telecom 386 416,547
SK Telecom Co., Ltd. ADR 40,500 561,938
------------
13,570,211
------------
MALAYSIA -- 0.5%
Berjaya Sports Toto (2) 76,000 110,514
IOI Corp (2) 220,000 118,613
MNI Holdings Berhad (2) 107,000 156,790
Rothmans of Pall Mall (2) 17,000 104,586
Telekom Malaysia (2) 60,000 150,336
------------
640,839
------------
MEXICO -- 13.6%
Alfa S.A. de C.V. 87,600 348,409
Bancomer 1,127,800 391,801
Cemex, Series B 177,400 823,643
Cifra 668,764 1,266,599
Consorcio ARA S.A.* 147,000 539,318
Desc, ADR 93,500 2,314,125
Femsa 400,900 1,431,786
Geo, Series B* 51,779 217,987
Grupo Carso 189,900 915,589
Grupo Modelo, Series C 472,687 1,245,663
Kimberly Clark, Series A 285,200 1,111,169
Sigma Alimentos, Series B 588,779 1,529,296
Televisa GDR 144A 19,400 795,400
Telmex ADR 69,900 5,294,925
------------
18,225,710
------------
PERU -- 1.0%
Buenaventura ADR 41,500 669,188
Telefonica de Peru ADR 43,900 661,244
------------
1,330,432
------------
PHILIPPINES -- 2.1%
Ayala Land, Inc. 1,193,000 439,237
Bank of the Philippine Islands 268,160 846,264
Philippine Long Distance Telephone Co. 26,460 855,906
SM Prime Holdings 3,188,700 721,179
------------
2,862,586
------------
POLAND -- 1.6%
Bank Przemyslowo-Handlowy 10,043 511,867
Budimex S.A.* 57,220 295,254
Elektrim 48,600 577,766
Exbud 29,610 223,189
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
Kety* 26,530 $ 246,276
Wielkopolski Bank Kredytowy 53,600 299,623
------------
2,153,975
------------
PORTUGAL -- 0.0%
Jeronimo Martins 40 1,316
------------
ROMANIA -- 0.1%
Alro 8,790 31,266
Dacia 1,202,500 42,774
Terapia 74,803 20,583
------------
94,623
------------
SOUTH AFRICA -- 10.4%
ABSA 220,700 1,160,624
Anglo American Gold Investment 9,200 644,680
AngloGold Ltd. 13,600 639,211
Barlow 147,100 882,358
Bidvest Group Ltd. 57,706 471,321
CG Smith Foods 43,950 401,581
De Beers Centenary Linked Units 76,350 1,907,182
Fedsure Holdings 55,400 496,187
FirstRand 1,166,200 1,284,066
Liberty Life 45,300 652,886
Metropolitan Life 264,800 417,762
Nedcor Ltd. 53,500 1,169,351
New Clicks Holdings 326,256 436,974
Rembrant Group 119,400 907,518
Sasol 195,600 1,382,219
South Africa Breweries* 123,176 1,032,371
------------
13,886,291
------------
TAIWAN -- 9.1%
Advanced Semiconductor Engineering GDR* 12,120 192,405
Advanced Semiconductor Engineering Inc.* 124,000 309,052
Asia Cement Corp. 808,000 756,110
Asia Cement Corp GDR 144A 58,536 541,458
Asustek Computer Inc. 55,000 575,229
Asutek Computer GDR 144A* 183 2,475
Bank Sinopac 1,574,000 1,107,095
Cathay Life Insurance 302,000 1,080,551
China Steel Corp. 741,000 589,174
China Steel GDR 4,600 72,795
D-Link Corp. 174,000 359,174
Far Eastern Textile Ltd. 783,000 1,051,184
Formosa Plastics Corp. 374,000 663,364
Kingdom Construction Co. Ltd.* 264,000 258,349
Phoenixtic Power Co., Ltd.* 336,000 601,101
Standard Foods Tai GDR* 52,840 377,806
Taishin International Bank 1,102,000 842,508
Taiwan Semiconductor Manufacturing Co.* 519,000 1,753,807
</TABLE>
74
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
United Microelectronics Corp., Ltd. 372,000 $ 580,183
Winbond Electronics Corp.* 434,000 472,489
------------
12,186,309
------------
THAILAND -- 2.3%
Advanced Info Services 74,400 790,763
Bangkok Expressway Public Co., Ltd. 349,900 302,007
PTT Exploration 49,000 452,064
Siam Cement Public Co., Ltd. 16,500 487,834
Siam City Cement Fgn RT 5/28/99* 11,466 21,961
Siam City Cement Public Co., Ltd. 17,200 60,782
Siam Commercial Bank 92,000 64,527
Thai Farmers Bank Public Co. 290,500 807,162
------------
2,987,100
------------
TURKEY -- 4.1%
Finansbank AS 117,495,000 584,687
Hurriyet 31,475,000 546,190
Netas Northern Electric C Telekomunikasyon 32,880,000 771,949
T. Garanti Bank 17,168,000 777,655
Tansas 4,340,000 1,135,227
Vestel 5,488,000 588,210
Yapi ve Kredi Bank 42,722,200 1,024,827
------------
5,428,745
------------
OTHER -- 0.6%
Oryx Fund Limited* 17,000 221,000
Mauritius Fund Limited 49,000 349,125
Framlington Maghreb Fund 12,500 187,500
------------
757,625
------------
Total Foreign Common Stocks
(Cost $115,106,882) 122,980,479
------------
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
FOREIGN PREFERRED STOCKS -- 4.1%
BRAZIL -- 4.0%
Bradesco 109,466,399 $ 585,886
Brahma 1,425,800 712,471
Cemig 43,508,312 1,047,762
Electrobras 43,616,000 919,061
Itaubanco 1,171,875 620,861
Petrobras 9,158,117 1,488,676
------------
5,374,717
------------
COLOMBIA -- 0.1%
Banco Ganadero ADR 16,400 155,800
------------
Total Foreign Preferred Stocks
(Cost $6,321,198) 5,530,517
------------
Total Investment -- 96.1%
(Cost $121,428,080) $128,510,996
------------
OTHER ASSETS AND LIABILITIES, NET -- 3.9% 5,177,617
------------
Net Assets -- 100% $133,688,613
------------
------------
* 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
REGISTRATIONS, NORMALLY TO QUALIFIED INSTITUTIONAL BUYERS.
(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
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
FOREIGN BONDS -- 58.0%
CANADA -- 2.0%
Government of Canada 7.000% 12/01/06 1,500,000 $ 1,146,821
-------------
DENMARK -- 7.4%
Kingdom of Denmark 8.000% 05/15/03 5,450,000 905,234
Kingdom of Denmark 6.000% 11/15/09 6,600,000 1,074,827
Nykredit 6.000% 10/01/29 8,000,000 1,115,415
Realkredit Danmark 6.000% 10/01/29 8,000,000 1,125,768
-------------
4,221,244
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
75
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Global Fixed Income Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
GERMANY -- 8.5%
Federal Republic of Germany (2) 5.500% 08/20/01 2,351,943 $ 2,603,332
Federal Republic of Germany 6.500% 07/04/27 1,738,392 2,280,302
-------------
4,883,634
-------------
GREECE -- 4.2%
Hellenic Republic 8.600% 03/26/08 638,000,000 2,435,928
-------------
ITALY -- 9.7%
Republic of Italy (2) 7.750% 11/01/06 698,736 763,499
Republic of Italy 7.750% 11/01/06 1,461,570 1,928,661
Republic of Italy 5.000% 05/01/08 2,561,622 2,882,682
-------------
5,574,842
-------------
JAPAN -- 7.9%
Federal National Mortgage Association (2) 1.750% 03/26/08 220,000,000 1,934,806
Government of Japan .900% 12/22/08 325,000,000 2,576,158
-------------
4,510,964
-------------
NETHERLANDS -- 4.6%
Government of the Netherlands 6.500% 04/15/03 2,206,000 2,620,766
-------------
SOUTH AFRICA -- 2.0%
Republic of South Africa 13.000% 08/31/10 3,900,000 584,465
Republic of South Africa 13.500% 09/15/15 1,900,000 290,877
Republic of South Africa 12.000% 02/28/05 1,900,000 285,175
-------------
1,160,517
-------------
SWEDEN -- 4.9%
Kingdom of Sweden 5.000% 01/15/04 13,200,000 1,668,375
Kingdom of Sweden 5.000% 01/28/09 8,900,000 1,123,688
-------------
2,792,063
-------------
UNITED KINGDOM -- 6.8%
Lloyds Bank Plc 7.750% 06/18/07 1,150,000 2,077,156
United Kingdom Treasury 8.500% 07/16/07 900,000 1,804,421
-------------
3,881,577
-------------
Total Foreign Bonds
(Cost $33,528,932) 33,228,356
-------------
UNITED STATES -- 35.2%
U.S. TREASURY NOTES -- 13.5%
U.S. Treasury Notes 6.000% 08/15/00 390,000 394,753
U.S. Treasury Notes (2) 6.500% 05/31/01 1,820,000 1,869,482
U.S. Treasury Notes (2) 7.875% 11/15/04 4,400,000 4,926,627
U.S. Treasury Notes 7.000% 07/15/06 500,000 546,719
-------------
Total U.S. Treasury Notes
(Cost $7,842,297) 7,737,581
-------------
U.S. TREASURY BONDS -- 4.4%
U.S. Treasury Bonds 8.125% 08/15/19 320,000 402,000
U.S. Treasury Bonds 7.125% 02/15/23 1,830,000 2,104,500
-------------
Total U.S. Treasury Bonds
(Cost $2,505,683) 2,506,500
-------------
CORPORATE OBLIGATIONS -- 1.2%
General Electric Capital (2)
(Cost $647,772) 8.125% 02/23/07 615,000 686,675
-------------
ASSET BACKED -- 9.1%
American Express Credit Account Master Trust 6.400% 04/15/05 3,050,000 3,113,013
Capital One Master Trust Series 1998-7, Class A (2) 5.430% 01/15/07 950,000 938,543
Discover Card Master Trust I Series 1998-7, Class A (2) 5.600% 05/15/06 900,000 889,290
Premier Auto Trust Series: 1996-4, Series A, Class A3 6.200% 11/06/00 249,552 249,886
-------------
Total Asset Backed Securities
(Cost $5,166,398) 5,190,732
-------------
SOVEREIGN EMERGING DEBT BONDS -- 7.0%
ARGENTINA -- 1.6%
Argentina FRB 5.938% 03/31/05 $ 465,000 $ 416,175
Argentina 12.125% 02/25/19 $ 300,000 310,875
Argentina Par 6.000% 03/31/23 $ 250,000 178,125
Republic of Argentina Warrants* 02/25/00 $ 300 9,000
-------------
914,175
-------------
BRAZIL -- 2.2%
Republic of Brazil FRN Ser EI-L 5.875% 04/15/06 $ 712,500 570,891
Republic of Brazil C Bond 8.000% 04/15/14 $ 956,225 666,967
-------------
1,237,858
-------------
ECUADOR -- .3%
Republic of Ecuador PDI 6.000% 02/27/15 $ 460,388 193,750
-------------
IVORY COAST -- .2%
Ivory Coast FLIRB 2.000% 03/29/18 2,500,000 96,633
-------------
MEXICO -- 1.1%
Mexican Discount Ser A 5.875% 12/31/19 $ 500,000 434,095
Mexican Par W-A 6.250% 12/31/19 $ 250,000 201,250
-------------
635,345
-------------
NIGERIA -- .2%
Nigeria 5.092% 01/05/10 $ 197,741 127,500
-------------
PHILIPPINES -- .4%
Republic of Philippines 9.875% 01/15/19 $ 200,000 209,000
-------------
POLAND -- .3%
Government of Poland Par 3.000% 10/27/24 $ 200,000 128,500
Government of Poland Ser RSTA 4.000% 10/27/24 $ 100,000 69,250
-------------
197,750
-------------
RUSSIA -- .1%
Federation of Russia 8.750% 07/24/05 $ 200,000 76,440
-------------
VENEZUELA -- .6%
Republic of Venezuela DCB FRN 5.938% 12/18/07 $ 428,570 343,391
-------------
Total Sovereign Emerging Debt Bonds
(Cost $4,279,546) 4,031,842
-------------
Total United States
(Cost $20,441,696) 20,153,330
-------------
TIME DEPOSITS -- 2.9%
GERMANY -- 2.9%
Chase Manhattan London
(Cost $1,666,105) 2.420% 5/04/99 1,572,094 1,660,840
-------------
TOTAL INVESTMENTS -- 96.1%
(Cost $55,636,733) $ 55,042,526
-------------
OTHER ASSETS AND LIABILITIES, NET -- 3.9%
2,236,849
-------------
Total Net Assets -- 100.0% $ 57,279,375
-------------
-------------
</TABLE>
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE FOREIGN CONTRACTS
WITH AN AGGREGATE MARKET VALUE OF $6,541,948.
* NON-INCOME PRODUCING SECURITY.
DCB DEBT CONVERTIBLE BOND
FLIRB FRONT LOADED INTEREST REDUCTION BOND
FRB FLOATING RATE BOND
FRN FLOATING RATE NOTE
PDI PAST DUE INCOME
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
76
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Core Global Fixed Income Fund
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
FOREIGN BONDS -- 60.4%
CANADA -- 3.0%
Government of Canada 7.000% 12/01/06 1,300,000 $ 993,912
-------------
DENMARK -- 7.8%
Kingdom of Denmark 8.000% 05/13/03 3,400,000 564,733
Kingdom of Denmark 6.000% 11/15/09 4,800,000 781,692
Nykredit 6.000% 10/01/29 4,600,000 641,364
RealKredit Danmark 6.000% 10/01/29 4,600,000 647,316
-------------
2,635,105
-------------
GERMANY -- 10.5%
Federal Republic of Germany 5.000% 08/20/01 1,329,359 1,471,449
Federal Republic of Germany 6.875% 05/12/05 300,794 376,383
Federal Republic of Germany 6.000% 01/04/07 420,000 510,712
Federal Republic of Germany 6.500% 07/04/27 462,719 606,963
Federal Republic of Germany 5.625% 01/04/28 487,552 574,547
-------------
3,540,054
-------------
GREECE -- 4.0%
Hellenic Republic 8.600% 03/26/08 349,000,000 1,332,506
-------------
ITALY -- 12.1%
Republic of Italy 10.000% 08/01/03 131,190 174,347
Republic of Italy 7.750% 11/01/06 2,337,495 3,084,514
Republic of Italy 5.000% 05/01/08 717,874 807,848
-------------
4,066,709
-------------
JAPAN -- 7.5%
Federal National Mortgage Association (4) 1.750% 03/26/08 100,000,000 879,457
Government of Japan .9000% 12/22/08 207,000,000 1,640,815
-------------
2,520,272
-------------
NETHERLANDS -- 3.7%
Dutch Government 6.500% 04/15/03 1,040,000 1,235,538
-------------
SWEDEN -- 4.7%
Kingdom of Sweden 5.000% 01/15/04 7,500,000 947,940
Kingdom of Sweden 5.000% 01/28/09 5,000,000 631,285
-------------
1,579,225
-------------
UNITED KINGDOM -- 7.1%
UBS (2) 8.000% 01/08/07 590,000 1,066,148
Lloyds Bank PlC 7.750% 06/18/07 90,000 162,560
United Kingdom Treasury Bond 8.500% 07/16/07 580,000 1,162,849
-------------
2,391,557
-------------
Total Foreign Bonds
(Cost $20,649,233) 20,294,878
-------------
UNITED STATES -- 32.2%
SUPRANATURAL -- 0.5%
International Bank for Reconstruction and Development
(Cost $169,164) 9.750% 01/23/16 125,000 168,394
-------------
CORPORATE OBLIGATIONS -- 1.2%
General Electric Capital
(Cost $407,177) 8.125% 02/23/07 365,000 407,539
-------------
ASSET BACKED OBLIGATIONS -- 8.2%
American Express Credit Account Master Trust Series 1997-1 6.400% 04/15/05 950,000 969,627
Capital One Master Trust Series 1998-4, Class A 5.430% 01/15/07 500,000 493,970
Citibank Credit Card Master Trust I, Series 1997-7, Class
A 6.350% 01/15/07 710,000 715,180
Discover Card Master Trust 1 Series 1998-7 Class A 5.600% 05/16/06 500,000 494,050
Premium Auto Trust Series: 1996-4, Series A, Class A3 6.200% 11/06/00 77,985 78,089
-------------
Total Asset Backed
(Cost $2,754,884) 2,750,916
-------------
</TABLE>
77
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Core Global Fixed Income Fund, continued
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
US TREASURY NOTES -- 15.6%
US Treasury Notes 7.125% 9/30/99 1,895,000 $ 1,913,480
US Treasury Notes 6.500% 5/31/01 830,000 852,566
US Treasury Notes 6.250% 01/31/02 340,000 349,167
US Treasury Notes 7.875% 11/15/04 1,040,000 1,164,476
US Treasury Notes 7.000% 7/15/06 870,000 951,291
-------------
Total U.S. Treasury Notes
(Cost $5,255,849) 5,230,980
-------------
U.S. TREASURY BOND -- 6.7%
U.S. Treasury Bond
(Cost $2,266,475) 7.125% 02/15/23 1,970,000 2,265,500
-------------
Total United States
(Cost $10,853,549) 10,823,329
-------------
TIME DEPOSITS -- 4.8%
UNITED KINGDOM -- 4.8%
Halifax London (3) 2.500% 05/06/99 825,501 872,100
Dresdner Bank London (4) 0.030% 05/06/99 90,203,550 755,319
-------------
Total Time Deposits
(Cost $1,629,593) 1,627,419
-------------
Total Investments 97.4%
(Cost $33,132,375) $ 32,745,626
-------------
OTHER ASSETS AND LIABLILITIES, NET -- 2.6% 862,290
-------------
Total Net Assets -- 100%
$ 33,607,916
-------------
-------------
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE FOREIGN CONTRACTS
WITH AN AGGREGATE MARKET VALUE OF $2,237,494.
(3) IN EURO
(4) IN JAPANESE YEN
International Fixed Income Fund
- ---------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT(1) VALUE
- ---------------------------------------------------------------------------------------------------------------
FOREIGN BONDS -- 92.5%
BELGIUM -- 3.9%
Kingdom of Belgium 7.250% 04/29/04 560,000 $ 696,475
-------------
CANADA -- 2.0%
Government of Canada 7.000% 12/01/06 500,000 382,274
-------------
DENMARK -- 14.8%
Kingdom of Denmark 8.000% 05/15/03 3,200,000 531,513
Kingdom of Denmark 8.000% 03/15/06 4,100,000 716,934
Kingdom of Denmark 6.000% 11/15/09 2,150,000 350,133
Nykredit Danmark 6.000% 10/01/29 3,900,000 543,765
Realkredit Danmark 6.000% 10/01/29 3,900,000 548,812
-------------
2,691,157
-------------
GERMANY -- 13.3%
Federal Republic of Germany 4.500% 02/22/02 131,436 145,018
LBW Finance NV 6.625% 08/20/03 900,000 549,910
KFW International Finance 6.250% 10/15/03 613,550 725,616
Federal Republic of Germany 6.250% 01/04/24 603,324 765,924
Federal Republic of Germany 5.625% 01/04/28 187,082 220,464
-------------
2,406,932
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
78
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT(1) VALUE
- ---------------------------------------------------------------------------------------------------------------
FRANCE -- 4.5%
Treasury Note 4.500% 07/12/03 731,755 $ 813,923
-------------
GREECE -- 4.0%
Hellenic Republic 8.600% 03/26/08 189,000,000 721,615
-------------
ITALY -- 15.8%
Istituto Mobiliare Italian Bank 7.500% 12/10/01 1,300,000,000 785,904
DSL Bank 7.750% 05/27/02 1,100,000,000 664,983
LKB Bad-Wurt Finance 7.800% 11/12/03 325,000,000 208,287
Republic of Italy 9.500% 02/01/06 844,000 1,201,226
-------------
2,860,400
-------------
JAPAN -- 14.3%
European Investment Bank 3.000% 09/20/06 37,000,000 352,220
International Bank for Reconstruction and Development 2.000% 02/18/08 90,000,000 804,233
Federal National Mortgage Association 1.750% 03/26/08 60,000,000 527,674
Government of Japan 0.900% 12/22/08 115,000,000 911,564
-------------
2,595,691
-------------
SPAIN -- 3.9%
Kingdom of Spain (2) 8.000% 05/30/04 544,000 703,994
-------------
SWEDEN -- 5.9%
Kingdom of Sweden 5.000% 01/15/04 5,600,000 707,795
Kingdom of Sweden 5.000% 01/28/09 2,800,000 353,520
-------------
1,061,315
-------------
UNITED KINGDOM -- 10.1%
UBS 8.000% 01/08/07 575,000 1,039,043
United Kingdom Treasury 8.500% 07/16/07 390,000 781,916
-------------
1,820,959
-------------
Total Foreign Bonds -- 92.5%
(Cost $17,150,920)
16,754,735
-------------
TIME DEPOSIT -- 4.0%
UNITED KINGDOM -- 4.0%
Dresdner Bank London (3) 2.000% 05/06/99 160,978 170,065
MGT London (4) 2.000% 05/06/99 65,057,498 544,756
-------------
TOTAL TIME DEPOSITS
(Cost $712,634) 714,821
-------------
TOTAL INVESTMENTS -- 96.5%
(Cost $17,863,554) $ 17,469,556
-------------
OTHER ASSETS AND LIABILITIES, NET -- 3.5% 637,734
-------------
TOTAL NET ASSETS -- 100.0% $ 18,107,290
-------------
-------------
</TABLE>
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE CONTRACTS WITH AN
AGGREGATE MARKET VALUE OF $477,889.
(3) IN JAPANESE YEN
(4) IN EURO
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
79
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Emerging Markets Debt Fund, continued
Emerging Markets Debt Fund
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT/SHARES(1) VALUE
- ---------------------------------------------------------------------------------------------------------------------------
FOREIGN BONDS -- 80.9%
ARGENTINA -- 18.3%
Republic of Argentina -- Warrants 02/25/00 21,200 $ 63,600
Republic of Argentina Pre 3 2.880% 09/01/02 4,250,000 3,962,625
Argentina FRB 5.938% 03/31/05 10,602,000 9,488,790
Republic of Argentina 11.000% 10/09/06 1,400,000 1,394,750
Republic of Argentina Pro 1 2.830% 04/01/07 3,400,000 2,760,232
Telefonica de Argentina REG S 9.125% 05/07/08 2,800,000 2,730,000
Telefonica de Argentina 144A 9.125% 05/07/08 100,000 97,500
Republic of Argentina 11.750% 04/07/09 8,150,000 8,353,750
Republic of Argentina 12.125% 02/25/19 15,150,000 15,699,188
Argentina PAR Series L 6.000% 03/31/23 28,550,000 20,341,875
Argentina Discount 6.063% 03/31/23 17,600,000 13,222,000
-------------
78,114,310
-------------
BRAZIL -- 23.0%
Republic of Brazil 11.625% 04/15/04 4,600,000 4,450,500
Brazil FRN Series EI-L 5.875% 04/15/06 16,720,000 13,396,900
Brazil -- NMB Series L 5.938% 04/15/09 11,500,000 8,195,000
Brazil DCB FRN -- Series L 5.938% 04/15/12 30,000,000 18,939,500
Brazil C Bond PIK 8.000% 04/15/14 48,767,424 34,015,278
Brazil FRN Discount ZL 5.875% 04/15/24 27,900,000 18,553,500
-------------
97,550,678
-------------
BULGARIA -- 1.8%
Bulgaria IAB 5.875% 07/28/11 12,000,000 8,130,000
-------------
ECUADOR -- 4.1%
Ecuador PDI 6.000% 02/27/15 32,227,160 13,562,478
Ecuador PAR REG 4.000% 02/28/25 6,000,000 2,595,564
Ecuador Discount FRN 6.000% 02/28/25 2,000,000 1,048,936
-------------
17,206,978
-------------
IVORY COAST -- 2.8%
Ivory Coast PDI (2) 1.900% 03/29/18 75,854,987 3,420,706
Ivory Coast FLIRB (2) 2.000% 03/29/18 222,935,000 8,617,138
-------------
12,037,844
-------------
JORDAN -- 4.5%
Jordan Par 5.500% 12/23/23 31,250,000 19,140,625
-------------
MEXICO -- 9.0%
United Mexican States Warrants* 06/30/03 12,691,000 --
United Mexican States 9.875% 01/15/07 1,700,000 1,787,125
Petroleos Mexicano 8.850% 09/15/07 2,500,000 2,390,625
United Mexican States 10.375% 02/17/09 7,300,000 7,820,125
Petroleos Mexicano 9.250% 03/30/18 17,250,000 16,128,750
Mexico Discount Ser B 5.875% 12/31/19 7,500,000 6,392,033
Mexico Par 6.250% 12/31/19 4,300,000 3,601,702
-------------
38,120,360
-------------
NIGERIA -- 4.7%
Nigeria Par 6.250% 11/15/20 30,000,000 19,950,000
Nigeria Warrants* 11/15/20 28,000 --
-------------
19,950,000
-------------
</TABLE>
80
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT/SHARES(1) VALUE
- ---------------------------------------------------------------------------------------------------------------------------
PERU -- 4.2%
Peru PDI 4.500% 03/07/17 2,040,000 $ 1,374,299
Peru-FLIRB 3.750% 03/07/17 26,550,000 16,328,250
-------------
17,702,549
-------------
PHILIPPINES -- 1.8%
Republic of Philippines 9.875% 01/15/19 7,100,000 7,419,500
-------------
RUSSIA -- 2.1%
Russian Federation 8.750% 07/24/05 16,100,000 6,153,420
Russia IAN 144A FRN 5.968% 12/15/15 449,432 32,584
Russian Federation 11.000% 07/24/18 7,000,000 2,730,000
-------------
8,916,004
-------------
VENEZUELA -- 4.6%
Venezuela DCB 5.938% 12/18/07 24,642,775 19,745,023
Venezuela Warrants* 04/18/20 5,355 --
-------------
19,745,023
-------------
TOTAL FOREIGN BONDS
(Cost $389,864,488) 344,033,871
-------------
LOAN PARTICIPATIONS -- 10.2% (3)
ALGERIA -- 1.5%
Algeria Tranche A FRN (Chase Manhattan) 0.000% 04/03/00 6,864,243 6,143,496
-------------
MOROCCO -- 4.4%
Morocco FRN `A` 6.063% 01/01/09 22,700,000 18,557,250
-------------
RUSSIA -- 4.3%
Russia-Principal loan FRN (4) 5.969% 12/15/20 258,700,000 18,432,374
-------------
Total Loan Participations
(Cost $44,387,656) 43,133,120
-------------
Total Investments -- 91.1%
(Cost $434,252,144) $ 387,166,991
-------------
OTHER ASSETS AND LIABILITIES, NET -- 8.9% 37,935,087
-------------
Total Net Assets -- 100.0% $ 425,102,078
-------------
-------------
</TABLE>
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 APRIL 30, 1999.
IAB INTEREST ARREARS BOND
IAN INTEREST ARREARS NOTE
PDI PAST DUE INCOME
PIK PAYMENT IN KIND
(1) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED.
(2) IN FRENCH FRANCS.
(3) PARTICIPATIONS WERE ACQUIRED THROUGH FINANCIAL INSTITUTIONS INDICATED
PARENTHETICALLY.
(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 INSTITUTIONAL BUYERS.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
*NON-INCOME PRODUCING SECURITY.
81
<PAGE>
(THIS PAGE LEFT BLANK INTENTIONALLY.)
83
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
-------------- -------------- ------------ ------------ ------------ -----------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED HIGH YIELD SMALLER
BOND INCOME BOND INCOME BOND COMPANIES
FUND FUND FUND FUND FUND FUND
-------------- -------------- ------------ ------------ ------------ -----------
ASSETS
Investment at Value(1) $ 687,721,192 $1,245,959,097 $ 94,647,154 $ 25,663,838 $324,624,755 $ 6,297,246
Cash -- 569,379 19,154 26,177 10,904,715 158,154
Foreign Currency(1) -- -- -- -- -- --
Receivable for Securities Sold -- 53,836,380 -- 341,740 9,884,792 100,773
Receivable for Capital Shares
Issued 558,340 958,998 -- -- 207,063 74
Dividend and Interest Receivable 10,419,918 16,089,935 1,373,951 302,056 6,637,752 1,505
Receivable for Foreign Taxes
Withheld -- -- -- -- 8,457 --
Unrealized Appreciation on
Forward Currency Contracts -- -- -- -- -- --
Prepaid Expenses and Other Assets -- -- -- -- -- --
Due from Adviser -- -- 28,329 18,575 -- 27,228
-------------- -------------- ------------ ------------ ------------ -----------
Total Assets $ 698,699,450 $1,317,413,789 $ 96,068,588 $ 26,352,386 $352,267,534 $ 6,584,980
-------------- -------------- ------------ ------------ ------------ -----------
LIABILITIES
Due to Adviser $ 194,249 $ 436,609 $ -- $ -- $ 109,911 $ --
Due to Administrator 120,518 208,661 14,962 9,468 44,240 6,440
Due to Custodian 906,631 -- -- -- -- --
Payable for Securities Purchased 50,159 58,308,827 76,218 847,777 21,259,334 20,617
Payable for Capital Shares
Redeemed 559,269 137,610 -- -- 10,000 --
Dividend Payable 2,462,158 6,227,408 273,290 127,235 2,445,550 --
Unrealized Depreciation on
Forward Currency Contracts -- -- -- -- -- --
Accrued Expenses and Other
Liabilities 555,902 539,751 1,676 12,724 26,870 5,871
-------------- -------------- ------------ ------------ ------------ -----------
Total Liabilities $ 4,848,886 $ 65,858,866 $ 366,146 $ 997,204 $ 23,895,905 $ 32,928
-------------- -------------- ------------ ------------ ------------ -----------
Net Assets $ 693,850,564 $1,251,554,923 $ 95,702,442 $ 25,355,182 $328,371,629 $ 6,552,052
-------------- -------------- ------------ ------------ ------------ -----------
-------------- -------------- ------------ ------------ ------------ -----------
SHARES OUTSTANDING AT APRIL 30,
1999
Institutional Shares 61,481,364 118,705,629 9,206,670 2,523,203 33,411,693 453,545
Service Shares 470,659 248,632 32,121 -- 651,352 41,695
NET ASSET VALUE PER SHARE AT APRIL
30, 1999
Institutional Shares $ 11.20 $ 10.52 $ 10.36 $ 10.05 $ 9.64 $ 13.24
Service Shares $ 11.20 $ 10.52 $ 10.35 n/a $ 9.64 $ 13.17
COMPOSITION OF NET ASSETS
Capital Shares of Institutional
Shares (unlimited authorization
$0.001 par value). Based on
Outstanding Shares of
Beneficial Interest $ 676,234,348 $1,240,919,028 $ 94,834,517 $ 25,330,095 $318,431,212 $ 5,159,849
Capital Shares of Service Shares
(unlimited authorization $0.001
par value). Based on
Outstanding Shares of
Beneficial Interest 5,180,230 2,337,555 329,060 -- 6,259,698 601,958
Undistributed Net Investment
Income (Loss) (11,640) (56,577) 7,134 (5,696) 443,798 (23,640)
Accumulated Net Realized Gains
(Losses) from Securities,
Forward Currency Contracts and
Foreign Currency Transactions (193,570) 2,247,994 (111,878) (2,959) (6,633,960) (19,280)
Net Unrealized Appreciation
(Depreciation) on Investments 12,641,196 6,106,923 643,609 33,742 9,870,881 833,165
Net Unrealized Appreciation
(Depreciation) on Foreign
Currencies, Forward Currency
Contracts and Other Assets and
Liabilities Denominated in
Foreign Currencies -- -- -- -- -- --
-------------- -------------- ------------ ------------ ------------ -----------
Net Assets, April 30, 1999 $ 693,850,564 $1,251,554,923 $ 95,702,442 $ 25,355,182 $328,371,629 $ 6,552,052
-------------- -------------- ------------ ------------ ------------ -----------
-------------- -------------- ------------ ------------ ------------ -----------
(1) COST OF INVESTMENTS AND
CURRENCY Investments Currency
-------------- --------------
Municipal Bond Fund $ 675,079,996 $ --
Fixed Income Fund 1,239,852,174 --
Short-Term Municipal Bond
Fund 94,003,545 --
Short-Term Fixed Income Fund 25,630,096 --
High-Yield Bond Fund 314,753,874 --
Smaller Companies Fund 5,464,081 --
Microcap Fund 15,358,657 --
International Select Equity
Fund 6,066,693 39,057
European Equity Growth Fund 40,690,533 --
International Small Cap
Equity Fund 19,525,489 862,598
European Small Cap Equity
Fund 2,135,876 --
Emerging Markets Equity Fund 121,428,080 4,828,057
Global Fixed Income Fund 55,636,733 2,884
Core Global Fixed Income Fund 33,132,375 --
International Fixed Income
Fund 17,863,354 42,892
Emerging Markets Debt Fund 434,252,144 9,552
</TABLE>
(2) AS OF APRIL 30, 1999, EMERGING MARKETS EQUITY FUND HELD $640,839 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.
84
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
------------ -------------- ------------- ------------- ------------
INTERNATIONAL INTERNATIONAL EUROPEAN
SELECT EUROPEAN SMALL CAP SMALL CAP
MICROCAP EQUITY EQUITY GROWTH EQUITY EQUITY
FUND FUND FUND FUND FUND
------------ -------------- ------------- ------------- ------------
ASSETS
Investment at Value(1) $ 16,091,966 $ 7,047,779 $49,013,895 $ 22,767,054 $ 2,485,270
Cash -- -- 353,573 2,889,963 96,840
Foreign Currency(1) -- 39,868 -- 862,580 --
Receivable for Securities Sold 771,130 1,013,245 1,140,045 6,346,245 84,604
Receivable for Capital Shares
Issued -- -- -- -- --
Dividend and Interest Receivable 1,305 16,087 120,398 68,840 7,077
Receivable for Foreign Taxes
Withheld -- 6,361 75,181 30,267 3,021
Unrealized Appreciation on
Forward Currency Contracts -- -- -- -- --
Prepaid Expenses and Other Assets -- -- -- -- --
Due from Adviser 13,164 26,796 -- 4,583 23,210
------------ -------------- ------------- ------------- ------------
Total Assets $ 16,877,565 $ 8,150,136 $50,703,092 $ 32,969,532 $ 2,700,022
------------ -------------- ------------- ------------- ------------
LIABILITIES
Due to Adviser $ -- $ -- $ 4,921 $ -- $ --
Due to Administrator 11,006 5,831 20,504 14,642 4,779
Due to Custodian 298,913 250,210 -- 22,951 11,842
Payable for Securities Purchased 467,662 850,549 841,956 3,465,227 40,578
Payable for Capital Shares
Redeemed -- -- -- 6,182,116 --
Dividend Payable -- -- -- -- --
Unrealized Depreciation on
Forward Currency Contracts -- -- -- -- --
Accrued Expenses and Other
Liabilities 8,955 8,386 10,068 14,264 10,085
------------ -------------- ------------- ------------- ------------
Total Liabilities $ 786,536 $ 1,114,976 $ 877,449 $ 9,699,200 $ 67,284
------------ -------------- ------------- ------------- ------------
Net Assets $ 16,091,029 $ 7,035,160 $49,825,643 $ 23,270,332 $ 2,632,738
------------ -------------- ------------- ------------- ------------
------------ -------------- ------------- ------------- ------------
SHARES OUTSTANDING AT APRIL 30,
1999
Institutional Shares 1,114,732 458,650 3,700,542 2,176,553 2,546,412
Service Shares 58,695 -- -- -- --
NET ASSET VALUE PER SHARE AT APRIL
30, 1999
Institutional Shares $ 13.71 $ 15.34 $ 13.46 $ 10.69 $ 1.03
Service Shares $ 13.69 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 $ 14,152,603 $ 4,816,058 $37,732,326 $ 22,727,792 $ 1,995,471
Capital Shares of Service Shares
(unlimited authorization $0.001
par value). Based on
Outstanding Shares of
Beneficial Interest 896,621 -- -- -- --
Undistributed Net Investment
Income (Loss) (88,183) 74,657 32,970 633,588 16,455
Accumulated Net Realized Gains
(Losses) from Securities,
Forward Currency Contracts and
Foreign Currency Transactions 396,679 1,162,284 3,741,121 (3,332,344) 271,993
Net Unrealized Appreciation
(Depreciation) on Investments 733,309 981,086 8,323,362 3,241,565 349,394
Net Unrealized Appreciation
(Depreciation) on Foreign
Currencies, Forward Currency
Contracts and Other Assets and
Liabilities Denominated in
Foreign Currencies -- 1,075 (4,136) (269) (575)
------------ -------------- ------------- ------------- ------------
Net Assets, April 30, 1999 $ 16,091,029 $ 7,035,160 $49,825,643 $ 23,270,332 $ 2,632,738
------------ -------------- ------------- ------------- ------------
------------ -------------- ------------- ------------- ------------
-------------- ------------ ------------ ------------- ------------
EMERGING GLOBAL CORE INTERNATIONAL EMERGING
MARKETS FIXED GLOBAL FIXED FIXED MARKETS
EQUITY INCOME INCOME INCOME DEBT
FUND FUND FUND FUND FUND
-------------- ------------ ------------ ------------- ------------
ASSETS
Investment at Value(1) $ 128,510,996 $ 55,042,526 $ 32,745,626 $ 17,469,556 $387,166,991
Cash 6,877,358(2) 1,325,214 58,227 149,091 28,279,191
Foreign Currency(1) 4,909,634 -- -- 42,892 10,363
Receivable for Securities Sold 4,800,716 2,719,554 1,437,656 -- 66,348,132
Receivable for Capital Shares
Issued -- 651 -- -- --
Dividend and Interest Receivable 332,075 1,031,457 575,287 358,262 6,996,587
Receivable for Foreign Taxes
Withheld 2,879 7,156 4,604 256 --
Unrealized Appreciation on
Forward Currency Contracts 1,995 192,747 185,079 155,526 57,057
Prepaid Expenses and Other Assets 54,698 -- -- -- --
Due from Adviser 23,194 3,181 558 23,985 --
-------------- ------------ ------------ ------------- ------------
Total Assets $ 145,513,545 $ 60,322,486 $ 35,007,037 $ 18,199,568 $488,858,321
-------------- ------------ ------------ ------------- ------------
LIABILITIES
Due to Adviser $ -- $ -- $ -- $ -- $ 226,800
Due to Administrator 29,234 19,552 12,217 15,199 97,448
Due to Custodian -- -- 4,725 4,860 --
Payable for Securities Purchased 11,661,343 2,676,477 1,262,310 -- 47,942,415
Payable for Capital Shares
Redeemed -- -- -- -- 15,477,859
Dividend Payable -- -- -- -- --
Unrealized Depreciation on
Forward Currency Contracts 81,428 321,434 106,651 61,634 --
Accrued Expenses and Other
Liabilities 52,927 25,648 13,218 10,585 11,721
-------------- ------------ ------------ ------------- ------------
Total Liabilities $ 11,824,932 $ 3,043,111 $ 1,399,121 $ 92,278 $ 63,756,243
-------------- ------------ ------------ ------------- ------------
Net Assets $ 133,688,613 $ 57,279,375 $ 33,607,916 $ 18,107,290 $425,102,078
-------------- ------------ ------------ ------------- ------------
-------------- ------------ ------------ ------------- ------------
SHARES OUTSTANDING AT APRIL 30,
1999
Institutional Shares 21,084,365 5,857,645 3,332,153 1,855,111 76,879,547
Service Shares -- -- -- -- 1,934
NET ASSET VALUE PER SHARE AT APRIL
30, 1999
Institutional Shares $ 6.34 $ 9.78 $ 10.09 $ 9.76 $ 5.53
Service Shares n/a n/a n/a n/a $ 5.53
COMPOSITION OF NET ASSETS
Capital Shares of Institutional
Shares (unlimited authorization
$0.001 par value). Based on
Outstanding Shares of
Beneficial Interest $ 150,857,179 $ 57,175,726 $ 33,479,214 $ 17,791,697 $486,247,473
Capital Shares of Service Shares
(unlimited authorization $0.001
par value). Based on
Outstanding Shares of
Beneficial Interest -- -- -- -- 176,218
Undistributed Net Investment
Income (Loss) 227,696 1,080,386 44,488 207,150 87,514,292
Accumulated Net Realized Gains
(Losses) from Securities,
Forward Currency Contracts and
Foreign Currency Transactions (24,471,311) (216,044) 411,565 433,418 (101,693,520)
Net Unrealized Appreciation
(Depreciation) on Investments 7,082,916 (594,207) (386,749) (393,998) (47,085,153)
Net Unrealized Appreciation
(Depreciation) on Foreign
Currencies, Forward Currency
Contracts and Other Assets and
Liabilities Denominated in
Foreign Currencies (7,867) (166,486) 59,398 69,023 (57,232)
-------------- ------------ ------------ ------------- ------------
Net Assets, April 30, 1999 $ 133,688,613 $ 57,279,375 $ 33,607,916 $ 18,107,290 $425,102,078
-------------- ------------ ------------ ------------- ------------
-------------- ------------ ------------ ------------- ------------
</TABLE>
85
<PAGE>
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE SIX MONTH PERIOD ENDED APRIL 30,
1999 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
------------ ------------ ----------- ----------- ------------- ------------ ------------
SHORT-TERM SHORT-TERM HIGH
MUNICIPAL FIXED MUNICIPAL FIXED YIELD SMALLER
BOND INCOME BOND INCOME BOND COMPANIES MICROCAP
FUND FUND FUND FUND FUND FUND FUND
------------ ------------ ----------- ----------- ------------- ------------ ------------
INVESTMENT INCOME:
Interest $ 15,562,756 $ 41,098,301 $1,522,496 $ 778,747 $ 9,558,465 $ 3,751 $ 11,383
Dividends -- -- -- -- -- 10,583 13,032
Less: Foreign Taxes
Withheld -- -- -- -- -- -- --
------------ ------------ ----------- ----------- ------------- ------------ ------------
Total Investment Income 15,562,756 41,098,301 1,522,496 778,747 9,558,465 14,334 24,415
------------ ------------ ----------- ----------- ------------- ------------ ------------
EXPENSES:
Investment Advisory Fees 1,263,537 2,499,774 144,930 47,822 410,403 30,479 118,222
Administration Fee 379,061 749,932 43,479 14,347 98,504 6,705 17,339
Registration & Filing Fees 78,373 200,272 3,439 2,172 10,498 905 2,172
Custody Fee 38,379 77,591 13,083 8,143 30,702 22,466 15,064
Professional Fees 15,566 15,566 15,566 15,566 15,566 15,566 15,566
Printing Fees 11,222 11,222 11,222 11,222 11,222 11,222 11,222
Servicing Plan Fee (1) 6,570 2,726 509 -- 543 833 1,133
Trustees Fee 3,982 3,813 3,982 3,982 3,982 3,982 3,982
Miscellaneous 17,557 34,692 6,697 6,516 10,262 6,335 6,516
------------ ------------ ----------- ----------- ------------- ------------ ------------
Total Expenses 1,814,247 3,595,588 242,907 109,770 591,682 98,493 191,216
Less: Expenses Absorbed by
Adviser (76,883) (158,367) (44,705) (44,014) (55,462) (60,519) (73,918)
------------ ------------ ----------- ----------- ------------- ------------ ------------
Net Expenses 1,737,364 3,437,221 198,202 65,756 536,220 37,974 117,298
------------ ------------ ----------- ----------- ------------- ------------ ------------
NET INVESTMENT INCOME (LOSS) 13,825,392 37,661,080 1,324,294 712,991 9,022,245 (23,640) (92,883)
------------ ------------ ----------- ----------- ------------- ------------ ------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY RELATED
TRANSACTIONS:
Net Realized Gain (Loss)
from:
Investment Transactions (164,272) 2,499,832 (25,621) (2,956) (2,791,139) 105,405 1,699,771
Foreign Currency
Transactions -- -- -- -- -- -- --
Net Change in Unrealized
Appreciation
(Depreciation) on:
Investments (3,016,575) (25,129,377) (37,944) (154,729) 17,624,288 969,204 3,480,339
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 (3,180,847) (22,629,545) (63,565) (157,685) 14,833,149 1,074,609 5,180,110
------------ ------------ ----------- ----------- ------------- ------------ ------------
NET INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS $ 10,644,545 $ 15,031,535 $1,260,729 $ 555,306 $ 23,855,394 $ 1,050,969 $ 5,087,227
------------ ------------ ----------- ----------- ------------- ------------ ------------
------------ ------------ ----------- ----------- ------------- ------------ ------------
</TABLE>
(1) APPLICABLE TO SERVICE SHARES ONLY.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
86
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
-------------- ----------- ------------- ------------ ------------- -----------
INTERNATIONAL EUROPEAN INTERNATIONAL EUROPEAN EMERGING GLOBAL
SELECT EQUITY SMALL CAP SMALL CAP MARKETS FIXED
EQUITY GROWTH EQUITY EQUITY EQUITY INCOME
FUND FUND FUND FUND FUND FUND
-------------- ----------- ------------- ------------ ------------- -----------
INVESTMENT INCOME:
Interest $ 6,221 $ 15,538 $ 15,177 $ 595 $ 81,462 $ 2,140,432
Dividends 36,167 337,753 208,077 22,036 755,235 --
Less: Foreign Taxes
Withheld (5,259) (45,001) (20,502) -- (53,525) (15,679)
-------------- ----------- ------------- ------------ ------------- -----------
Total Investment Income 37,129 308,290 202,752 22,631 783,172 2,124,753
-------------- ----------- ------------- ------------ ------------- -----------
EXPENSES:
Investment Advisory Fees 21,609 168,484 130,852 12,905 315,405 142,582
Administration Fee 9,261 72,207 39,256 3,872 94,576 71,291
Registration & Filing Fees 724 5,973 5,973 1,267 14,299 12,851
Custody Fee 28,219 53,352 42,523 34,828 128,729 27,086
Professional Fees 15,566 15,566 15,566 15,566 15,566 15,566
Printing Fees 11,222 11,222 11,222 11,222 11,222 11,222
Servicing Plan Fee (1) -- -- -- -- -- --
Trustees Fee 3,982 3,982 3,982 3,982 3,982 3,982
Miscellaneous 6,083 7,873 7,079 6,263 9,747 7,964
-------------- ----------- ------------- ------------ ------------- -----------
Total Expenses 96,666 338,659 256,453 89,905 593,526 292,544
Less: Expenses Absorbed by
Adviser (69,135) (121,223) (92,868) (73,774) (199,269) (121,446)
-------------- ----------- ------------- ------------ ------------- -----------
Net Expenses 27,531 217,436 163,585 16,131 394,257 171,098
-------------- ----------- ------------- ------------ ------------- -----------
NET INVESTMENT INCOME (LOSS) 9,598 90,854 39,167 6,500 388,915 1,953,655
-------------- ----------- ------------- ------------ ------------- -----------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY RELATED
TRANSACTIONS:
Net Realized Gain (Loss)
from:
Investment Transactions 1,239,095 3,803,664 1,421,570 94,377 (4,386,394) (214,660)
Foreign Currency
Transactions (76,754) (62,051) (514,059) (3,709) (229,527) (466)
Net Change in Unrealized
Appreciation
(Depreciation) on:
Investments 632,486 1,292,354 3,523,664 170,027 22,343,176 (3,389,870)
Foreign Currencies,
Forward Currency
Contracts, and Other
Assets and Liabilities
Denominated in Foreign
Currencies 70,802 (6,555) 571,763 145 454,913 (280,623)
-------------- ----------- ------------- ------------ ------------- -----------
Net Realized and
Unrealized Gain (Loss)
on Investments and
Foreign Currency
Related Transactions 1,865,629 5,027,412 5,002,938 260,840 18,182,168 (3,885,619)
-------------- ----------- ------------- ------------ ------------- -----------
NET INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS $1,875,227 $ 5,118,266 $ 5,042,105 $ 267,340 $ 18,571,083 $(1,931,964)
-------------- ----------- ------------- ------------ ------------- -----------
-------------- ----------- ------------- ------------ ------------- -----------
------------- ------------- -------------
CORE INTERNATIONAL EMERGING
GLOBAL FIXED FIXED MARKETS
INCOME INCOME DEBT
FUND FUND FUND
------------- ------------- -------------
INVESTMENT INCOME:
Interest $ 734,726 $ 381,754 $ 113,299,282
Dividends -- -- --
Less: Foreign Taxes
Withheld (8,964) (4,818) (154,306)
------------- ------------- -------------
Total Investment Income 725,762 376,936 113,144,976
------------- ------------- -------------
EXPENSES:
Investment Advisory Fees 82,041 47,116 1,188,314
Administration Fee 41,020 23,557 297,058
Registration & Filing Fees 3,439 3,620 19,188
Custody Fee 18,899 20,416 51,418
Professional Fees 15,566 15,566 15,567
Printing Fees 11,222 11,222 11,312
Servicing Plan Fee (1) -- -- 17
Trustees Fee 3,982 3,982 2,896
Miscellaneous 6,697 6,697 8,688
------------- ------------- -------------
Total Expenses 182,866 132,176 1,594,458
Less: Expenses Absorbed by
Adviser (92,621) (80,350) (402,931)
------------- ------------- -------------
Net Expenses 90,245 51,826 1,191,527
------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 635,517 325,110 111,953,449
------------- ------------- -------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY RELATED
TRANSACTIONS:
Net Realized Gain (Loss)
from:
Investment Transactions 316,732 210,831 (40,148,888)
Foreign Currency
Transactions 94,827 224,529 729,895
Net Change in Unrealized
Appreciation
(Depreciation) on:
Investments (1,825,420) (1,495,078) (44,906,712)
Foreign Currencies,
Forward Currency
Contracts, and Other
Assets and Liabilities
Denominated in Foreign
Currencies (295,145) 83,267 212,976
------------- ------------- -------------
Net Realized and
Unrealized Gain (Loss)
on Investments and
Foreign Currency
Related Transactions (1,709,006) (976,451) (84,112,729)
------------- ------------- -------------
NET INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS $(1,073,489) $ (651,341) $ 27,840,720
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
87
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE PERIOD ENDED APRIL 30, 1999
(UNAUDITED) AND THE YEAR/PERIOD ENDED OCTOBER 31, 1998
<TABLE>
<CAPTION>
<S> <C> <C>
------------------------------ ---------------------------------
MUNICIPAL FIXED
BOND INCOME
FUND FUND
------------------------------ ---------------------------------
1999 1998 1999 1998
------------- -------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss) $ 13,825,392 $ 22,347,559 $ 37,661,080 $ 72,163,924
Net realized gain (loss) on
investments (164,272) 2,514,786 2,499,832 19,843,425
Net realized (loss) on foreign
currency transactions -- -- -- --
Net change in unrealized appreciation
(depreciation) on investments (3,016,575) 4,590,771 (25,129,377) 3,157,301
Net change in unrealized gain (loss)
on foreign currency denominated
balances -- -- -- --
------------- -------------- --------------- ---------------
Net increase (decrease) in net assets
from operations 10,644,545 29,453,116 15,031,535 95,164,650
------------- -------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares (13,719,986) (22,320,826) (37,568,583) (72,511,714)
Service Shares (108,265) (73,052) (63,101) (29,385)
Net Realized Gains from Investment
Transactions:
Institutional Shares (2,515,971) (105,558) (19,756,357) (8,583,217)
Service Shares (22,717) (91) (39,013) (9,380)
------------- -------------- --------------- ---------------
Total Distributions (16,366,939) (22,499,527) (57,427,054) (81,133,696)
------------- -------------- --------------- ---------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 198,641,558 298,011,029 151,311,780 414,156,559
Shares issued in lieu of cash
distributions 11,463,760 16,860,415 42,264,887 65,825,126
Cost of shares repurchased (86,593,023) (112,406,600) (165,553,005) (333,768,618)
------------- -------------- --------------- ---------------
Increase (decrease) in net assets from
Institutional Share transactions 123,512,295 202,464,844 28,023,662 146,213,067
------------- -------------- --------------- ---------------
SERVICE SHARES:
Proceeds from shares issued 1,032,470 5,062,392 1,912,732 1,544,700
Shares issued in lieu of cash
distributions 91,664 25,205 86,015 18,511
Cost of shares repurchased (932,736) (289,765) (819,683) (180,516)
------------- -------------- --------------- ---------------
Increase (decrease) in net assets from
Service Share transactions 191,398 4,797,832 1,179,064 1,382,695
------------- -------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL TRANSACTIONS 123,703,693 207,262,676 29,202,726 147,595,762
------------- -------------- --------------- ---------------
Total Increase (Decrease) in Net
Assets 117,981,299 214,216,265 (13,192,793) 161,626,716
------------- -------------- --------------- ---------------
NET ASSETS:
Beginning of Period 575,869,265 361,653,000 1,264,747,716 1,103,121,000
------------- -------------- --------------- ---------------
End of Period $ 693,850,564 $ 575,869,265 $ 1,251,554,923 $ 1,264,747,716
------------- -------------- --------------- ---------------
------------- -------------- --------------- ---------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 17,655,119 26,295,860 14,161,361 38,319,732
Shares issued in lieu of cash
distributions 1,018,640 1,655,100 3,933,610 6,099,421
Shares repurchased (7,701,680) (10,011,191) (15,470,255) (30,901,519)
------------- -------------- --------------- ---------------
Increase (decrease) in capital shares
from Institutional Share
transactions 10,972,079 17,939,769 2,624,716 13,517,634
------------- -------------- --------------- ---------------
------------- -------------- --------------- ---------------
SERVICE SHARES:
Shares issued 91,842 457,659 177,500 156,664
Shares issued in lieu of cash
distributions 8,144 3,435 6,907 779
Shares repurchased (82,972) (25,796) (76,628) (16,591)
------------- -------------- --------------- ---------------
Increase (decrease) in capital shares
from Service Share transactions 17,014 435,298 107,779 140,852
------------- -------------- --------------- ---------------
------------- -------------- --------------- ---------------
---------------------------- ----------------------------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED
BOND INCOME
FUND FUND
---------------------------- ----------------------------
1999 1998 1999 1998
------------- ------------ ------------ -------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss) $ 1,324,294 $ 1,498,569 $ 712,991 $ 995,510
Net realized gain (loss) on
investments (25,621) (77,366) (2,956) 47,847
Net realized (loss) on foreign
currency transactions -- -- -- --
Net change in unrealized appreciation
(depreciation) on investments (37,944) 399,553 (154,729) 76,471
Net change in unrealized gain (loss)
on foreign currency denominated
balances -- -- -- --
------------- ------------ ------------ -------------
Net increase (decrease) in net assets
from operations 1,260,729 1,820,756 555,306 1,119,828
------------- ------------ ------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares (1,310,437) (1,476,764) (713,363) (999,506)
Service Shares (6,723) (15,539) -- --
Net Realized Gains from Investment
Transactions:
Institutional Shares -- (9,024) (37,118) --
Service Shares -- (78) -- --
------------- ------------ ------------ -------------
Total Distributions (1,317,160) (1,501,405) (750,481) (999,506)
------------- ------------ ------------ -------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 61,954,611 41,593,860 8,712,213 19,499,507
Shares issued in lieu of cash
distributions 920,369 1,357,362 158,866 146,897
Cost of shares repurchased (21,818,084) (8,847,655) (3,522,180) (16,648,268)
------------- ------------ ------------ -------------
Increase (decrease) in net assets from
Institutional Share transactions 41,056,896 34,103,567 5,348,899 2,998,136
------------- ------------ ------------ -------------
SERVICE SHARES:
Proceeds from shares issued 273,155 495,386 -- --
Shares issued in lieu of cash
distributions 3,609 14,360 -- --
Cost of shares repurchased (380,458) (76,993) -- --
------------- ------------ ------------ -------------
Increase (decrease) in net assets from
Service Share transactions (103,694) 432,753 -- --
------------- ------------ ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL TRANSACTIONS 40,953,202 34,536,320 5,348,899 2,998,136
------------- ------------ ------------ -------------
Total Increase (Decrease) in Net
Assets 40,896,771 34,855,671 5,153,724 3,118,458
------------- ------------ ------------ -------------
NET ASSETS:
Beginning of Period 54,805,671 19,950,000 20,201,458 17,083,000
------------- ------------ ------------ -------------
End of Period $ 95,702,442 $ 54,805,671 $ 25,355,182 $ 20,201,458
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 5,976,571 4,029,505 863,410 1,926,561
Shares issued in lieu of cash
distributions 88,764 131,472 17,917 16,378
Shares repurchased (2,103,590) (857,405) (349,659) (1,646,203)
------------- ------------ ------------ -------------
Increase (decrease) in capital shares
from Institutional Share
transactions 3,961,745 3,303,572 531,668 296,736
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
SERVICE SHARES:
Shares issued 26,340 48,160 -- --
Shares issued in lieu of cash
distributions 348 1,391 -- --
Shares repurchased (36,651) (7,465) -- --
------------- ------------ ------------ -------------
Increase (decrease) in capital shares
from Service Share transactions (9,963) 42,086 -- --
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
</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.
88
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
---------------------------- --------------------------
HIGH
YIELD SMALLER
BOND COMPANIES
FUND (1) FUND
---------------------------- --------------------------
1999 1998 1999 1998
------------- ------------- ------------ ------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 9,022,245 $ 3,300,186 $ (23,640) $ 16,055
Net realized gain (loss) on
investments (2,791,139) (3,842,821) 105,405 (112,049)
Net realized (loss) on foreign
currency transactions -- -- -- --
Net change in unrealized appreciation
(depreciation) on investments 17,624,288 (7,753,407) 969,204 (983,039)
Net change in unrealized gain (loss)
on foreign currency denominated
balances -- -- -- --
------------- ------------- ------------ ------------
Net increase (decrease) in net assets
from operations 23,855,394 (8,296,042) 1,050,969 (1,079,033)
------------- ------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares (8,554,579) (3,304,955) (13,875) --
Service Shares (23,868) (120) (2,180) --
Net Realized Gains from Investment
Transactions:
Institutional Shares -- -- -- (671,791)
Service Shares -- -- -- (714)
------------- ------------- ------------ ------------
Total Distributions (8,578,447) (3,305,075) (16,055) (672,505)
------------- ------------- ------------ ------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 216,156,130 126,862,208 1,029,091 993,107
Shares issued in lieu of cash
distributions 6,069,954 3,191,531 -- 671,184
Cost of shares repurchased (8,078,890) (25,764,832) (791,741) (1,102,195)
------------- ------------- ------------ ------------
Increase (decrease) in net assets from
Institutional Share transactions 214,147,194 104,288,907 237,350 562,096
------------- ------------- ------------ ------------
SERVICE SHARES:
Proceeds from shares issued 6,209,036 81,115 599,893 1,426,709
Shares issued in lieu of cash
distributions 15,271 124 -- 123
Cost of shares repurchased (45,848) -- (1,051,109) (236,386)
------------- ------------- ------------ ------------
Increase (decrease) in net assets from
Service Share transactions 6,178,459 81,239 (451,216) 1,190,446
------------- ------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL TRANSACTIONS 220,325,653 104,370,146 (213,866) 1,752,542
------------- ------------- ------------ ------------
Total Increase (Decrease) in Net
Assets 235,602,600 92,769,029 821,048 1,004
------------- ------------- ------------ ------------
NET ASSETS:
Beginning of Period 92,769,029 -- 5,731,004 5,730,000
------------- ------------- ------------ ------------
End of Period $ 328,371,629 $ 92,769,029 $ 6,552,052 $ 5,731,004
------------- ------------- ------------ ------------
------------- ------------- ------------ ------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 22,994,482 12,869,157 83,630 78,159
Shares issued in lieu of cash
distributions 656,045 347,270 -- 53,523
Shares repurchased (874,850) (2,580,410) (52,162) (98,460)
------------- ------------- ------------ ------------
Increase (decrease) in capital shares
from Institutional Share
transactions 22,775,677 10,636,017 31,468 33,222
------------- ------------- ------------ ------------
------------- ------------- ------------ ------------
SERVICE SHARES:
Shares issued 645,272 9,330 7,483 111,719
Shares issued in lieu of cash
distributions 1,655 14 -- 10
Shares repurchased (4,919) -- (54,954) (22,987)
------------- ------------- ------------ ------------
Increase (decrease) in capital shares
from Service Share transactions 642,008 9,344 (47,471) 88,742
------------- ------------- ------------ ------------
------------- ------------- ------------ ------------
-------------------------- ------------------------
INTERNATIONAL
SELECT
MICROCAP EQUITY
FUND FUND
-------------------------- ------------------------
1999 1998 1999 1998
------------ ------------ ----------- -----------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ (92,883) $ (70,160) $ 9,598 $ 49,676
Net realized gain (loss) on
investments 1,699,771 (1,303,092) 1,239,095 331,027
Net realized (loss) on foreign
currency transactions -- -- (76,754) 59,364
Net change in unrealized appreciation
(depreciation) on investments 3,480,339 (3,151,030) 632,486 98,600
Net change in unrealized gain (loss)
on foreign currency denominated
balances -- -- 70,802 (80,727)
------------ ------------ ----------- -----------
Net increase (decrease) in net assets
from operations 5,087,227 (4,524,282) 1,875,227 457,940
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares -- -- (33,758) (99,273)
Service Shares -- -- -- --
Net Realized Gains from Investment
Transactions:
Institutional Shares -- (129,704) (300,607) (165,498)
Service Shares -- (3,729) -- --
------------ ------------ ----------- -----------
Total Distributions -- (133,433) (334,365) (264,771)
------------ ------------ ----------- -----------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 2,333,640 18,023,858 144,775 7,298
Shares issued in lieu of cash
distributions -- 128,979 334,363 264,769
Cost of shares repurchased (6,212,858) (2,784,723) (403,705) (371)
------------ ------------ ----------- -----------
Increase (decrease) in net assets from
Institutional Share transactions (3,879,218) 15,368,114 75,433 271,696
------------ ------------ ----------- -----------
SERVICE SHARES:
Proceeds from shares issued 46,338 2,163,562 -- --
Shares issued in lieu of cash
distributions -- 3,630 -- --
Cost of shares repurchased (562,650) (764,259) -- --
------------ ------------ ----------- -----------
Increase (decrease) in net assets from
Service Share transactions (516,312) 1,402,933 -- --
------------ ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL TRANSACTIONS (4,395,530) 16,771,047 75,433 271,696
------------ ------------ ----------- -----------
Total Increase (Decrease) in Net
Assets 691,697 12,113,332 1,616,295 464,865
------------ ------------ ----------- -----------
NET ASSETS:
Beginning of Period 15,399,332 3,286,000 5,418,865 4,954,000
------------ ------------ ----------- -----------
End of Period $ 16,091,029 $ 15,399,332 $ 7,035,160 $ 5,418,865
------------ ------------ ----------- -----------
------------ ------------ ----------- -----------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 203,939 1,444,154 10,604 519
Shares issued in lieu of cash
distributions -- 11,373 26,328 24,048
Shares repurchased (540,050) (264,431) (29,250) (30)
------------ ------------ ----------- -----------
Increase (decrease) in capital shares
from Institutional Share
transactions (336,111) 1,191,096 7,682 24,537
------------ ------------ ----------- -----------
------------ ------------ ----------- -----------
SERVICE SHARES:
Shares issued 4,106 168,183 -- --
Shares issued in lieu of cash
distributions -- 320 -- --
Shares repurchased (50,328) (64,347) -- --
------------ ------------ ----------- -----------
Increase (decrease) in capital shares
from Service Share transactions (46,222) 104,156 -- --
------------ ------------ ----------- -----------
------------ ------------ ----------- -----------
</TABLE>
89
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE PERIOD ENDED APRIL 30, 1999
(UNAUDITED) AND THE YEAR/PERIOD ENDED OCTOBER 31, 1998
<TABLE>
<CAPTION>
<S> <C> <C>
--------------------------- ----------------------------
EUROPEAN INTERNATIONAL
EQUITY SMALL CAP
GROWTH EQUITY
FUND FUND
--------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------ -------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 90,854 $ 511,013 $ 39,167 $ 172,648
Net realized gain (loss) on
investments 3,803,664 4,555,162 1,421,570 2,863,460
Net realized (loss) on foreign
currency transactions (62,051) (13,518) (514,059) (32,641)
Net change in unrealized appreciation
(depreciation) on investments 1,292,354 1,054,008 3,523,664 (2,122,099)
Net change in unrealized gain (loss)
on foreign currency denominated
balances (6,555) (581) 571,763 (586,032)
------------ ------------ ------------ -------------
Net increase (decrease) in net assets
from operations 5,118,266 6,106,084 5,042,105 295,336
------------ ------------ ------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares (556,316) (749,614) -- (538,867)
Service Shares -- -- -- --
Net Realized Gains from Investment
Transactions:
Institutional Shares (4,517,427) (2,750,326) -- --
Service Shares -- -- -- --
------------ ------------ ------------ -------------
Total Distributions (5,073,743) (3,499,940) -- (538,867)
------------ ------------ ------------ -------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 2,501,796 1,843,652 -- 10,555,621
Shares issued in lieu of cash
distributions 5,073,737 3,499,940 -- 538,867
Cost of shares repurchased (3,181,285) (1,892,864) (6,182,117) (39,835,613)
------------ ------------ ------------ -------------
Increase (decrease) in net assets from
Institutional Share transactions 4,394,248 3,450,728 (6,182,117) (28,741,125)
------------ ------------ ------------ -------------
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 4,394,248 3,450,728 (6,182,117) (28,741,125)
------------ ------------ ------------ -------------
Total Increase (Decrease) in Net
Assets 4,438,771 6,056,872 (1,140,012) (28,984,656)
------------ ------------ ------------ -------------
NET ASSETS:
Beginning of Period 45,386,872 39,330,000 24,410,344 53,395,000
------------ ------------ ------------ -------------
End of Period $ 49,825,643 $ 45,386,872 $ 23,270,332 $ 24,410,344
------------ ------------ ------------ -------------
------------ ------------ ------------ -------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 183,309 155,926 -- 1,079,352
Shares issued in lieu of cash
distributions 390,588 290,693 -- 65,715
Shares repurchased (234,986) (155,920) (577,768) (4,450,840)
------------ ------------ ------------ -------------
Increase (decrease) in capital shares
from Institutional Share
transactions 338,911 290,699 (577,768) (3,305,773)
------------ ------------ ------------ -------------
------------ ------------ ------------ -------------
SERVICE SHARES:
Shares issued -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- --
Shares repurchased -- -- -- --
------------ ------------ ------------ -------------
Increase (decrease) in capital shares
from Service Share transactions -- -- -- --
------------ ------------ ------------ -------------
------------ ------------ ------------ -------------
--------------------------- ----------------------------
EUROPEAN EMERGING
SMALL CAP MARKETS
EQUITY EQUITY
FUND FUND
--------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------- ------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 6,500 $ 19,938 $ 388,915 $ 737,937
Net realized gain (loss) on
investments 94,377 2,476,805 (4,386,394) (19,044,324)
Net realized (loss) on foreign
currency transactions (3,709) 7,506 (229,527) (1,334,277)
Net change in unrealized appreciation
(depreciation) on investments 170,027 (1,295,633) 22,343,176 (4,433,260)*
Net change in unrealized gain (loss)
on foreign currency denominated
balances 145 (2,720) 454,913 (485,780)
------------ ------------ ------------- ------------
Net increase (decrease) in net assets
from operations 267,340 1,205,896 18,571,083 (24,559,704)
------------ ------------ ------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares (30,689) (33,989) -- --
Service Shares -- -- -- --
Net Realized Gains from Investment
Transactions:
Institutional Shares (2,199,889) -- -- (4,910,374)
Service Shares -- -- -- --
------------ ------------ ------------- ------------
Total Distributions (2,230,578) (33,989) -- (4,910,374)
------------ ------------ ------------- ------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued -- 605,000 69,063,436 40,703,882
Shares issued in lieu of cash
distributions 2,230,455 33,999 -- 4,910,371
Cost of shares repurchased (564,330) (8,522,055) (25,861) (64,165,220)
------------ ------------ ------------- ------------
Increase (decrease) in net assets from
Institutional Share transactions 1,666,125 (7,883,056) 69,037,575 (18,550,967)
------------ ------------ ------------- ------------
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 1,666,125 (7,883,056) 69,037,575 (18,550,967)
------------ ------------ ------------- ------------
Total Increase (Decrease) in Net
Assets (297,113) (6,711,149) 87,608,658 (48,021,045)
------------ ------------ ------------- ------------
NET ASSETS:
Beginning of Period 2,929,851 9,641,000 46,079,955 94,101,000
------------ ------------ ------------- ------------
End of Period $ 2,632,738 $ 2,929,851 $ 133,688,613 $ 46,079,955
------------ ------------ ------------- ------------
------------ ------------ ------------- ------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued -- 45,688 11,714,207 5,358,001
Shares issued in lieu of cash
distributions 2,372,898 2,939 -- 674,502
Shares repurchased (43,780) (648,608) (5,021) (8,898,386)
------------ ------------ ------------- ------------
Increase (decrease) in capital shares
from Institutional Share
transactions 2,329,118 (599,981) 11,709,186 (2,865,883)
------------ ------------ ------------- ------------
------------ ------------ ------------- ------------
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.
(1) CORE GLOBAL FIXED INCOME FUND COMMENCED OPERATIONS ON 05/04/98.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
90
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
--------------------------- --------------------------
GLOBAL CORE
FIXED GLOBAL FIXED
INCOME INCOME
FUND FUND (1)
--------------------------- --------------------------
1999 1998 1999 1998
------------ ------------- ------------ ------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 1,953,655 $ 3,800,183 $ 635,517 $ 586,160
Net realized gain (loss) on
investments (214,660) 2,677,674 316,732 76,963
Net realized (loss) on foreign
currency transactions (466) 100,762 94,827 436,668
Net change in unrealized appreciation
(depreciation) on investments (3,389,870) 889,663 (1,825,420) 1,438,671
Net change in unrealized gain (loss)
on foreign currency denominated
balances (280,623) (407,863) (295,145) 354,543
------------ ------------- ------------ ------------
Net increase (decrease) in net assets
from operations (1,931,964) 7,060,419 (1,073,489) 2,893,005
------------ ------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares (3,729,333) (3,130,028) (1,613,857) --
Service Shares -- -- -- --
Net Realized Gains from Investment
Transactions:
Institutional Shares (2,677,667) (2,047,622) (76,957) --
Service Shares -- -- -- --
------------ ------------- ------------ ------------
Total Distributions (6,407,000) (5,177,650) (1,690,814) --
------------ ------------- ------------ ------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 2,626,678 18,835,092 1,560,534 30,903,705
Shares issued in lieu of cash
distributions 4,933,778 4,869,068 1,378,854 --
Cost of shares repurchased (363,739) (59,345,307) (151,800) (212,079)
------------ ------------- ------------ ------------
Increase (decrease) in net assets from
Institutional Share transactions 7,196,717 (35,641,147) 2,787,588 30,691,626
------------ ------------- ------------ ------------
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 7,196,717 (35,641,147) 2,787,588 30,691,626
------------ ------------- ------------ ------------
Total Increase (Decrease) in Net
Assets (1,142,247) (33,758,378) 23,285 33,584,631
------------ ------------- ------------ ------------
NET ASSETS:
Beginning of Period 58,421,622 92,180,000 33,584,631 --
------------ ------------- ------------ ------------
End of Period $ 57,279,375 $ 58,421,622 $ 33,607,916 $ 33,584,631
------------ ------------- ------------ ------------
------------ ------------- ------------ ------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 746,806 1,769,238 154,092 3,082,005
Shares issued in lieu of cash
distributions -- 478,768 131,948 --
Shares repurchased (33,524) (5,604,513) (15,015) (20,877)
------------ ------------- ------------ ------------
Increase (decrease) in capital shares
from Institutional Share
transactions 713,282 (3,356,507) 271,025 3,061,128
------------ ------------- ------------ ------------
------------ ------------- ------------ ------------
SERVICE SHARES:
Shares issued -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- --
Shares repurchased -- -- -- --
------------ ------------- ------------ ------------
Increase (decrease) in capital shares
from Service Share transactions -- -- -- --
------------ ------------- ------------ ------------
------------ ------------- ------------ ------------
-------------------------- -----------------------------
INTERNATIONAL EMERGING
FIXED MARKETS
INCOME DEBT
FUND FUND
-------------------------- -----------------------------
1999 1998 1999 1998
------------ ------------ ------------- --------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 325,110 $ 1,048,109 $ 111,953,449 $ 13,868,544
Net realized gain (loss) on
investments 210,831 654,484 (40,148,888) (59,264,364)
Net realized (loss) on foreign
currency transactions 224,529 (69,977) 729,895 (2,903,958)
Net change in unrealized appreciation
(depreciation) on investments (1,495,078) 871,080 (44,906,712) 19,386,559
Net change in unrealized gain (loss)
on foreign currency denominated
balances 83,267 (128,244) 212,976 (216,208)
------------ ------------ ------------- --------------
Net increase (decrease) in net assets
from operations (651,341) 2,375,452 27,840,720 (29,129,427)
------------ ------------ ------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income:
Institutional Shares (884,842) (737,726) (34,764,644) (12,702,680)
Service Shares -- -- (2,278) (28,239)
Net Realized Gains from Investment
Transactions:
Institutional Shares (656,245) (262,608) -- (23,972,503)
Service Shares -- -- -- (53,476)
------------ ------------ ------------- --------------
Total Distributions (1,541,087) (1,000,334) (34,766,922) (36,756,898)
------------ ------------ ------------- --------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 572,252 5,031,771 375,390,163 331,848,915
Shares issued in lieu of cash
distributions 1,124,046 771,090 34,749,464 36,380,368
Cost of shares repurchased (917,385) (15,594,174) (33,807,142) (434,265,382)
------------ ------------ ------------- --------------
Increase (decrease) in net assets from
Institutional Share transactions 778,913 (9,791,313) 376,332,485 (66,036,099)
------------ ------------ ------------- --------------
SERVICE SHARES:
Proceeds from shares issued -- -- 10,000 278,773
Shares issued in lieu of cash
distributions -- -- 94 277
Cost of shares repurchased -- -- (16,193) (241,732)
------------ ------------ ------------- --------------
Increase (decrease) in net assets from
Service Share transactions -- -- (6,099) 37,318
------------ ------------ ------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL TRANSACTIONS 778,913 (9,791,313) 376,326,386 (65,998,781)
------------ ------------ ------------- --------------
Total Increase (Decrease) in Net
Assets (1,413,515) (8,416,195) 369,400,184 (131,885,106)
------------ ------------ ------------- --------------
NET ASSETS:
Beginning of Period 19,520,805 27,937,000 55,701,894 187,587,000
------------ ------------ ------------- --------------
End of Period $ 18,107,290 $ 19,520,805 $ 425,102,078 $ 55,701,894
------------ ------------ ------------- --------------
------------ ------------ ------------- --------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 51,485 517,241 66,776,833 39,256,473
Shares issued in lieu of cash
distributions 110,092 80,658 7,020,094 4,096,888
Shares repurchased (89,432) (1,567,741) (6,492,243) (49,459,434)
------------ ------------ ------------- --------------
Increase (decrease) in capital shares
from Institutional Share
transactions 72,145 (969,842) 67,304,684 (6,106,073)
------------ ------------ ------------- --------------
------------ ------------ ------------- --------------
SERVICE SHARES:
Shares issued -- -- 1,664 33,769
Shares issued in lieu of cash
distributions -- -- 19 31
Shares repurchased -- -- (2,775) (41,899)
------------ ------------ ------------- --------------
Increase (decrease) in capital shares
from Service Share transactions -- -- (1,092) (8,099)
------------ ------------ ------------- --------------
------------ ------------ ------------- --------------
</TABLE>
91
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE PERIOD ENDED APRIL 30, 1999
(UNAUDITED) AND THE YEARS/PERIODS ENDED OCTOBER 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
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
- --------------------------------------------------------------------------------------------------------------------------------
- -----------------------
MUNICIPAL BOND FUND:
- -----------------------
Institutional Shares
1999** $11.30 $ 0.24 $(0.05) $(0.24) $(0.05) $11.20 1.72%
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
Service Shares
1999** $11.30 $ 0.23 $(0.05) $(0.23) $(0.05) $11.20 1.60%
1998 11.11 0.50 0.19 (0.50) -- 11.30 6.42
1997(1) 11.11 0.14 -- (0.14) -- 11.11 1.22+
- --------------------
FIXED INCOME FUND:
- --------------------
Institutional Shares
1999** $10.88 $ 0.32 $(0.19) $(0.32) $(0.17) $10.52 1.15%
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
Service Shares
1999** $10.88 $ 0.30 $(0.19) $(0.30) $(0.17) $10.52 1.06%
1998(2) 10.75 0.45 0.13 (0.45) -- 10.88 5.28+
- -----------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -----------------------------------
Institutional Shares
1999** $10.37 $ 0.19 $(0.01) $(0.19) $ -- $10.36 1.70%
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(3) 10.00 0.30 0.13 (0.30) -- 10.13 4.39+
Service Shares
1999** $10.37 $ 0.17 $(0.02) $(0.17) $ -- $10.35 1.47%
1998(4) 10.28 0.39 0.09 (0.39) -- 10.37 4.81+
- --------------------------------
SHORT-TERM FIXED INCOME FUND:
- --------------------------------
Institutional Shares
1999** $10.13 $ 0.29 $(0.06) $(0.29) $(0.02) $10.05 2.24%
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(5) 10.00 0.37 0.01 (0.37) -- 10.01 3.82+
- -----------------------
HIGH YIELD BOND FUND:
- -----------------------
Institutional Shares
1999** $ 8.71 $ 0.48 $ 0.93 $(0.48) $ -- $ 9.64 16.54%
1998(6) 10.00 0.54 (1.29) (0.54)+ -- 8.71 (7.84)+
Service Shares
1999** $ 8.71 $ 0.46 $ 0.93 $(0.46) $ -- $ 9.64 16.23%
1998(7) 10.28 0.11 (1.57) (0.11) -- 8.71 0.27+
- --------------------------
SMALLER COMPANIES FUND:
- --------------------------
Institutional Shares
1999** $11.22 $(0.04) $ 2.09 $(0.03) $ -- $13.24 18.33%
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(8) 10.00 0.03 0.52 -- -- 10.55 5.50+
Service Shares
1999** $11.18 $(0.11) $ 2.13 $(0.03) $ -- $13.17 18.10%
1998 14.71 (0.01) (1.80) -- (1.68) 11.18 (13.79)
1997(9) 13.77 (0.03) 0.97 -- -- 14.71 7.45+
- ---------------
MICROCAP FUND:
- ---------------
Institutional Shares
1999** $ 9.90 $(0.07) $ 3.88 $ -- $ -- $13.71 38.59%
1998 12.62 (0.05) (2.18) -- (0.49) 9.90 (18.16)
1997(10) 10.00 (0.04) 2.66 -- -- 12.62 26.20+
Service Shares
1999** $ 9.88 $(0.11) $ 3.92 $ -- $ -- $13.69 38.56%
1998 12.62 (0.06) (2.19) -- (0.49) 9.88 (18.33)
1997(11) 12.12 (0.02) 0.52 -- -- 12.62 3.87+
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
- -------------------------------- ------------------------------------------------------------------------------------
- -----------------------
MUNICIPAL BOND FUND:
- -----------------------
Institutional Shares
1999** $ 688,579 0.55% 4.37% 0.57% 4.35% 48%
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
Service Shares
1999** $ 5,272 0.80% 4.11% 0.82% 4.09% 48%
1998 5,126 0.79 4.41 0.85 4.35 42
1997(1) 192 0.79 4.95 0.85 4.89 67
- --------------------
FIXED INCOME FUND:
- --------------------
Institutional Shares
1999** $1,248,939 0.55% 6.03% 0.57% 6.01% 75%
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
Service Shares
1999** $ 2,616 0.80% 5.79% 0.83% 5.76% 75%
1998(2) 1,533 0.80 5.77 0.87 5.70 122
- --------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- --------------------------------
Institutional Shares
1999** $ 95,370 0.55% 3.65% 0.67% 3.53% 29%
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(3) 3,724 0.52 4.60 2.16 2.96 62
Service Shares
1999** $ 332 0.80% 3.96% 0.91% 3.85% 29%
1998(4) 436 0.80 4.20 1.02 3.98 26
- --------------------------------
SHORT-TERM FIXED INCOME FUND:
- --------------------------------
Institutional Shares
1999** $ 25,355 0.55% 5.96% 0.92% 5.59% 79%
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(5) 4,140 0.52 5.86 2.84 3.54 90
- -----------------------
HIGH YIELD BOND FUND:
- -----------------------
Institutional Shares
1999** $ 322,096 0.65% 10.99% 0.72% 10.92% 126%
1998(6) 92,688 0.65 9.34 0.82 9.17 131
Service Shares
1999** $ 6,276 0.90% 11.57% 1.01% 11.46% 126%
1998(7) 81 0.90 11.89 1.05 11.74 131
- --------------------------
SMALLER COMPANIES FUND:
- --------------------------
Institutional Shares
1999** $ 6,003 1.25% (0.78)% 3.25% (2.78)% 68%
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(8) 2,638 1.25 0.94 2.28 (0.09) 23
Service Shares
1999** $ 549 1.50% (1.03)% 3.10% (2.63)% 68%
1998 997 1.50 0.09 2.76 (1.17) 108
1997(9) 6 1.50 (0.77) 2.79 (2.06) 122
- ---------------
MICROCAP FUND:
- ---------------
Institutional Shares
1999** $ 15,287 1.49% (1.18)% 2.41% (2.10)% 66%
1998 14,363 1.49 (0.75) 2.59 (1.85) 85
1997(10) 3,276 1.63 (0.49) 3.39 (2.25) 272
Service Shares
1999** $ 804 1.74% (1.43)% 2.66% (2.35)% 66%
1998 1,036 1.74 (0.98) 2.68 (1.92) 85
1997(11) 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 SERVICE SHARES COMMENCED OPERATIONS ON 7/30/97. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) FIXED INCOME FUND SERVICE SHARES COMMENCED OPERATIONS ON 2/11/98. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) SHORT-TERM MUNICIPAL BOND FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
3/06/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(4) SHORT-TERM MUNICIPAL BOND FUND SERVICE SHARES COMMENCED OPERATIONS ON
12/3/97. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(5) SHORT-TERM FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
3/13/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(6) HIGH YIELD BOND FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 3/16/98.
ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(7) HIGH YIELD BOND FUND SERVICE SHARES COMMENCED OPERATIONS ON 9/15/98. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(8) SMALLER COMPANIES FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
6/30/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(9) SMALLER COMPANIES FUND SERVICE SHARES COMMENCED OPERATIONS ON 7/11/97. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(10) MICROCAP FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 12/18/96. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(11) MICROCAP FUND SERVICE SHARES COMMENCED OPERATIONS ON 8/21/97. ALL RATIOS
FOR THE PERIOD HAVE BEEN ANNUALIZED.
** FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1999, ALL RATIOS, EXCLUDING TOTAL
RETURN, FOR THAT 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.
92
<PAGE>
- --------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
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
- -----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------
INTERNATIONAL SELECT EQUITY FUND:
- ----------------------------------
Institutional Shares
1999** $12.02 $ 0.02 $ 4.04 $ (0.07) $(0.67) $15.34 35.08%
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
1999** $13.50 $ 0.03 $ 1.44 $ (0.17) $(1.34) $13.46 11.29%
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
1999** $ 8.86 $ 0.08 $ 1.75 $ -- $ -- $10.69 20.77%
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
1999** $13.48 $ 0.03 $ 0.26 $ (0.18) $(12.56) $ 1.03 11.17%
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
1999** $ 4.92 $ 0.03 $ 1.39 $ -- $ -- $ 6.34 28.86%
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
1999** $11.36 $ 0.36 $(0.69) $ (0.73) $(0.52) $ 9.78 (3.31)%
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
1999** $10.97 $ 0.21 $(0.53) $ (0.53) $(0.03) $10.09 (3.16)%
1998 (7) 10.00 0.19 0.78 -- -- 10.97 9.70
- ----------------------------------
INTERNATIONAL FIXED INCOME FUND:
- ----------------------------------
Institutional Shares
1999** $10.95 $ 0.16 $(0.51) $ (0.48) $(0.36) $ 9.76 (3.62)%
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
1999** $ 5.82 $ 0.97 $(0.36) $ (0.90) $ -- $ 5.53 11.99%
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
1999** $ 5.82 $ 5.19 $(4.58) $ (0.90) $ -- $ 5.53 12.33%
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)+
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
- ----------------------------------- ------------------------------------------------------------------------------------
- ----------------------------------
INTERNATIONAL SELECT EQUITY FUND:
- ----------------------------------
Institutional Shares
1999** $ 7,035 0.90% 0.30% 3.13% (1.93)% 99%
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
1999** $ 49,826 0.90% 0.38% 1.41% (0.13)% 36%
1998 5,387 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
1999** $ 23,270 1.25% 0.30% 1.96% (0.41)% 51%
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
1999** $ 2,633 1.25% 0.50% 6.97% (5.22)% 46%
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
1999** $133,689 1.25% 1.23% 1.88% 0.60% 37%
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
1999** $ 57,279 0.60% 6.85% 1.03% 6.42% 84%
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
1999** $ 33,608 0.55% 3.87% 1.11% 3.31% 80%
1998 (7) 33,585 0.55 4.19 0.96 3.78 151
- ----------------------------------
INTERNATIONAL FIXED INCOME FUND:
- ----------------------------------
Institutional Shares
1999** $ 18,107 0.55% 3.45% 1.40% 2.60% 77%
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
1999** $425,091 1.00% 94.21% 1.34% 93.87% 210%
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
1999** $ 11 1.25% 80.33% 1.59% 79.99% 210%
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.
** FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1999, ALL RATIOS, EXCLUDING TOTAL
RETURN, FOR THAT 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.
93
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
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 Select Equity Fund (formerly, Morgan Grenfell
International Equity Fund), Morgan Grenfell European Equity Growth Fund, Morgan
Grenfell Global Equity Fund, Morgan Grenfell New Asia 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 April 30, 1999, 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. 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 Adviser, 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
94
<PAGE>
- --------------------------------------------------------------------------------
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
95
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
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.
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 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 Fund 0.12%
Smaller Companies Fund 0.22%
Microcap Fund 0.22%
International Select 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
96
<PAGE>
- --------------------------------------------------------------------------------
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. Morgan
Grenfell received in aggregate $1,961,465 in fees from the Trust which has been
allocated to the Funds based on their relative net assets during the period.
Prior to October 13, 1998, SEI Financial Management Corporation served as the
Trust's Administrator and received a fee based upon the aggregate daily net
assets of all the Funds.
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 Select 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%
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:
INSTITUTIONAL SERVICE
SHARES SHARES
--------------- -------------
Municipal Bond Fund 0.55% 0.80%
Fixed Income Fund 0.55% 0.80%
Short-Term Municipal Bond Fund 0.55% 0.80%
Short-Term Fixed Income Fund 0.55% 0.80%
High Yield Bond Fund 0.65% 0.90%
Smaller Companies Fund 1.25% 1.50%
Microcap Fund 1.49% 1.74%
International Select 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% 0.85%
Core Global Fixed Income Fund 0.55% 0.80%
International Fixed Income Fund 0.55% 0.80%
Emerging Markets Debt Fund 1.00% 1.25%
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
97
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
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 April 30, 1999, 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 April
30, 1999:
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- -------------------- ------------ --------------
EMERGING MARKETS EQUITY FUND
- ----------------------------------------------------------------
FOREIGN CURRENCY SALES:
8/26/99 ZAR (4,900,000) $ 754,194 $ (29,741)
8/26/99 ZAR (9,738,000) 1,506,264 (51,687)
8/26/99 ZAR (4,570,000) 731,903 763
8/26/99 ZAR (4,570,000) 732,372 1,232
--------------
$ (79,433)
--------------
--------------
GLOBAL FIXED INCOME
- ----------------------------------------------------------------
FOREIGN CURRENCY SALES:
5/17/99 CAD (1,680,000) $ 1,109,607 $ (42,684)
5/17/99 EUR (1,675,000) 1,821,864 50,808
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- -------------------- ------------ --------------
5/17/99 JPY (263,000,000) 2,148,693 (57,390)
5/17/99 JPY (205,000,000) 1,683,294 (36,276)
5/17/99 SEK (9,500,000) $ 1,147,898 $ 19,559
5/17/99 ZAR (3,600,000) 566,929 (22,739)
6/10/99 ZAR (3,530,000) 560,006 (14,606)
7/12/99 EUR (2,300,000) 2,447,775 6,671
7/12/99 GBP (350,000) 562,100 (555)
7/12/99 GRD (870,000,000) 2,817,723 16,919
--------------
$ (80,293)
--------------
--------------
FOREIGN CURRENCY PURCHASES:
5/17/99 CAD 2,650,000 $ (1,776,258) $ 41,343
5/17/99 EUR 92,000 (100,841) (3,565)
5/17/99 JPY 60,000,000 (507,614) (4,325)
5/17/99 JPY 138,000,000 (1,187,608) (30,043)
5/17/99 SEK 18,000,000 (2,181,818) (43,914)
6/10/99 EUR 105,000 (114,660) (3,459)
6/10/99 EUR 1,200,000 (1,300,608) (29,743)
7/12/99 AUD 2,700,000 (1,751,625) 35,558
7/12/99 EUR 2,700,000 (2,894,535) (28,891)
7/12/99 GRD 120,000,000 (385,480) 838
7/12/99 JPY 125,000,000 (1,050,420) 6,196
7/12/99 JPY 90,000,000 (764,007) (3,244)
7/12/99 JPY 700,000,000 (5,902,192) 14,855
--------------
$ (48,394)
--------------
$(128,687)
--------------
--------------
CORE GLOBAL FIXED INCOME FUND
- ----------------------------------------------------------------
FOREIGN CURRENCY SALES:
5/6/99 CAD (1,456,000) $ 961,675 $ (36,952)
5/6/99 GBP (640,000) 1,044,800 15,325
5/6/99 JPY (39,000,000) 327,566 915
7/12/99 EUR (2,795,000) 3,052,140 85,668
7/12/99 GRD (520,000,000) 1,684,156 10,112
7/12/99 SEK (5,400,000) 653,911 10,511
--------------
$ 85,579
--------------
FOREIGN CURRENCY BUYS:
5/6/99 AUD 1,540,000 $ (989,681) $ 29,416
5/6/99 CAD 1,550,000 (1,035,300) 27,798
5/6/99 GBP 420,000 (684,621) (9,028)
5/6/99 JPY 39,000,000 (331,070) (4,419)
7/12/99 EUR 150,000 (162,390) (3,188)
7/12/99 EUR 1,600,000 (1,715,280) (17,121)
7/12/99 GRD 94,000,000 (312,708) (10,092)
7/12/99 GRD 20,000,000 (64,948) (561)
7/12/99 JPY 180,000,000 (1,520,270) 1,257
7/12/99 JPY 72,000,000 (604,534) 4,077
7/12/99 JPY 39,000,000 (330,508) (844)
7/12/99 SEK 10,700,000 (1,299,332) (24,446)
--------------
$ (7,151)
--------------
$ 78,428
--------------
--------------
98
<PAGE>
- --------------------------------------------------------------------------------
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- -------------------- ------------ --------------
INTERNATIONAL FIXED INCOME FUND
- ----------------------------------------------------------------
FOREIGN CURRENCY SALES:
5/6/99 AUD (870,000) $ 557,540 $ (18,184)
5/6/99 GBP (500,000) 816,250 11,973
7/12/99 EUR (2,310,000) 2,522,520 70,803
7/12/99 EUR (110,000) 117,700 952
7/12/99 GRD (280,000,000) 906,853 5,445
7/12/99 SEK (3,000,000) 363,636 6,190
--------------
$ 77,179
--------------
--------------
FOREIGN CURRENCY PURCHASES:
5/6/99 AUD 870,000 $ (559,106) $ 16,618
5/6/99 CAD 300,000 (200,381) 5,380
5/6/99 GBP 340,000 (555,832) (8,924)
6/10/99 AUD 870,000 (551,545) 24,231
6/10/99 JPY 43,000,000 (369,956) (8,077)
6/10/99 JPY 91,000,000 (765,285) 553
6/10/99 JPY 42,500,000 (355,649) 2,023
7/12/99 CAD 610,000 (407,210) 11,358
7/12/99 EUR 850,000 (911,243) (9,095)
7/12/99 GRD 59,500,000 (197,937) (6,388)
7/12/99 SEK 4,800,000 (582,878) (10,966)
--------------
16,713
--------------
$ 93,892
--------------
--------------
EMERGING MARKETS DEBT FUND
- ----------------------------------------------------------------
FOREIGN CURRENCY SALES:
6/7/99 EUR (800,000) $ 866,880 $ 19,813
6/7/99 EUR (450,000) 487,620 11,145
6/7/99 EUR (500,000) 534,100 4,683
6/7/99 EUR (5,400,000) 5,739,120 21,416
--------------
$ 57,057
--------------
CURRENCY LEGEND
- ----------------------------------
AUD Australian Dollar CAD Canadian Dollar
EUR Euro GBP United Kingdom Pound
GRD Greek Drachma JPY Japanese Yen
SEK Swedish Krona ZAR South Africa Rand
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 April 30, 1999, were as follows:
PURCHASES SALES
-------------- --------------
Municipal Bond Fund $ 141,884,814 $ 50,009,677
Fixed Income Fund 359,534,534 397,370,585
Short-Term Municipal Bond Fund 57,271,128 20,132,588
Short-Term Fixed Income Fund 17,238,804 11,133,467
High Yield Bond Fund 485,773,342 269,341,559
Smaller Companies Fund 4,100,473 4,456,947
Microcap Fund 10,316,320 11,591,535
International Select Equity Fund 7,175,195 6,182,789
European Equity Growth Fund 20,283,249 17,265,844
International Small Cap Equity
Fund 13,571,030 18,032,870
European Small Cap Equity Fund 1,175,440 1,801,743
Emerging Markets Equity Fund 87,754,992 26,640,586
Global Fixed Income Fund 35,623,597 37,432,826
Core Global Fixed Income Fund 24,176,736 18,187,700
International Fixed Income Fund 13,616,660 13,914,786
Emerging Markets Debt Fund 832,908,717 453,029,408
The cost of U.S. Government security purchases and the proceeds from sale of
U.S. Government securities during the six month period ended April 30, 1999 were
as follows:
FUND PURCHASES SALES
- --------------------------------- -------------- --------------
Fixed Income Fund $ 586,718,922 $ 502,009,897
Short-Term Fixed Income Fund 7,076,252 7,190,027
Global Fixed Income Fund 10,259,710 7,976,207
Core Global Fixed Income Fund 25,727,666 23,700,720
For Federal income tax purposes, the cost of securities owned at April 30,
1999 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 April 30, 1999 for each Fund is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
----------- ----------- -----------
Municipal Bond
Fund 1$4,050,585 ($1,409,389) 12,641,196
Fixed Income Fund 14,928,516 (8,821,593) 6,106,923
99
<PAGE>
NOTES TO FINANCIAL STATEMENTS (concluded)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
----------- ----------- -----------
Short-Term
Municipal Bond
Fund $ 838,843 $(195,234) $ 643,609
Short-Term Fixed
Income Fund 78,635 (44,893) 33,742
High Yield Bond
Fund 11,064,761 (1,193,880) 9,870,881
Smaller Companies
Fund 1,214,472 (381,307) 833,165
Microcap Fund 2,956,675 (2,223,366) 733,309
International
Select Equity
Fund 1,087,209 (106,123) 981,086
European Equity
Growth Fund 9,499,885 (1,176,523) 8,323,362
International
Small Cap Equity
Fund 4,290,433 (1,048,868) 3,241,565
European Small Cap
Equity Fund 479,478 (130,084) 349,394
Emerging Markets
Equity Fund 12,813,649 (5,730,733) 7,082,916
Global Fixed
Income Fund 857,645 (1,451,852) (594,207)
Core Global Fixed
Income Fund 201,839 (588,588) (386,749)
International
Fixed Income
Fund 222,480 (616,478) (393,998)
Emerging Markets
Debt Fund 5,595,916 (52,681,069) (47,085,153)
At October 31, 1998 the following Funds had available realized capital losses to
offset future net capital gains:
EXPIRATION
DATE
-----------------
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
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 periods.
6. Loan Participations/Assignments
The Emerging Markets Debt Fund (the "Fund") invests in U.S. dollar-denominated
fixed and floating rate loans ("Loans") arranged through private negotiations
between a foreign sovereign entity and one or more financial institutions
("Lenders"). The Fund invests in such Loans in the form of participations in
Loans ("Participations") or assignments of all or a portion of loans from third
parties ("Assignments"). Participations typically result in the Fund having a
contractual relationship only with the Lender, not with the sovereign borrower.
The Fund has the right to receive payments of principal, interest and any fees
to which it is entitled from the Lender selling the Participation and only upon
receipt by the Lender of the payments from the borrower. In connection with
purchasing Participations, the Fund generally has no right to enforce compliance
by the borrower with the terms of the loan agreement relating to the Loan, nor
any rights of set-off against the borrower, and the Fund will not benefit
directly from any collateral supporting the Loan in which it has purchased the
Participation. As a result, the Fund assumes the credit risk of both the
borrower and the Lender that is selling the Participation. The Fund may have
difficulty disposing of Participations and Assignments because the market for
such instruments is not highly liquid.
7. Concentration of Risks
The Municipal Bond Fund and Short-Term Municipal Bond Fund invest primarily in a
diversified portfolio of municipal securities, including municipal bonds and
debentures. Although the Municipal Bond Fund and Short-Term Municipal Bond Fund
maintain diversified portfolios, the municipal bond issuers' abilities to meet
their obligations may be affected by economic developments in a specific state
or region.
The Fixed Income Fund, Short-Term Fixed Income Fund and High Yield Bond Fund
invest
100
<PAGE>
- --------------------------------------------------------------------------------
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
On November 2, 1998, certain Funds of the Trust entered into a Revolving Credit
Agreement (the "Agreement"), as amended, payable on demand, with BankBoston,
N.A. (the "Lender"). The maximum aggregate credit available to all the
participating Funds under the Agreement is $50,000,000. Interest payments on
borrowings are payable by the borrowing Funds on a monthly basis at the federal
funds rate plus 0.50% per annum. The participating Funds are also subject to a
commitment fee of 0.10% per annum of the unused portion of the maximum aggregate
credit available under the Agreement. During the period ended April 30, 1999,
the participating Funds incurred approximately $20,612 in commitment fees under
the Agreement which has been allocated equally to the participating Funds during
the non-borrowing period. During the period ended April 30, 1999, the High Yield
Bond Fund, International Select Equity Fund, European Equity Growth Fund,
European Small Cap Equity Fund and the Global Fixed Income Fund (the "Borrowing
Funds") borrowed under the Agreement at different times. During the period ended
April 30, 1999, the weighted average interest rate paid by the Borrowing Funds
was 5.23% and the maximum and average amount of the loans outstanding during the
borrowing period was $2,800,000 and $1,458,705. During the period ended April
30, 1999, the Borrowing Funds incurred and paid aggregate interest charges of
$9,005 under the Agreement.
At April 30, 1999, the International Select Equity Fund had $300,000
outstanding under the Agreement.
101
<PAGE>
MORGAN
GRENFELL
INVESTMENT
TRUST
- ------------------
SEMI-ANNUAL
REPORT
APRIL 30, 1999
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
William M. O'Dell
ASSISTANT TREASURER
INVESTMENT ADVISERS
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 SEMI-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-12-0499-01
<PAGE>
ATTACHMENT A
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST - APRIL 30, 1999
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
------------- ------------- ------------- -------------
NEW JAPANESE
TOTAL GLOBAL ASIA SMALL CAP
RETURN BOND EQUITY EQUITY EQUITY
FUND FUND FUND FUND
------------- ------------- ------------- -------------
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 APRIL 30, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENT.
<PAGE>
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999
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 Select Equity Fund (formerly
Morgan Grenfell International Equity Fund), Morgan Grenfell European Equity
Growth Fund, Morgan Grenfell Global Equity Fund, Morgan Grenfell New Asia
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 April 30, 1999, 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:
Annual
Fund Fees
---- ------
Total Return Bond Fund 0.12%
Global Equity Fund 0.30%
New Asia Equity Fund 0.30%
Japanese Small Cap Equity Fund 0.30%
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:
Total Return Bond Fund 0.45%
Global Equity Fund 0.70%
New Asia Equity Fund 0.70%
Japanese Small Cap Equity Fund 1.00%
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999
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:
Total Return Bond Fund 0.60%
Global Equity Fund 0.90%
New Asia Equity Fund 0.90%
Japanese Small Cap Equity Fund 1.25%
Certain officers and/or Trustees of the Trust are affiliated with the
Administrator or 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>
Exhibit D
MORGAN GRENFELL
INVESTMENT TRUST
Prospectus March 1, 1999
[MAP]
International Mutual Funds
Institutional Shares
The Securities and Exchange Commission has not approved any fund's shares as an
investment or determined whether this prospectus is accurate or complete. Any
statement to the contrary is a crime.
<PAGE>
MORGAN GRENFELL
INVESTMENT TRUST
INSTITUTIONAL SHARES
CONTENTS
INVESTING IN MORGAN GRENFELL INTERNATIONAL
MUTUAL FUNDS
FUND DESCRIPTIONS
GENERAL
Who May Want to Invest............................1
INTERNATIONAL EQUITY FUNDS
International Select Equity.......................2
Global Equity.....................................4
European Equity Growth............................6
New Asia..........................................8
International Small Cap Equity....................10
Japanese Small Cap Equity.........................12
European Small Cap Equity.........................14
Emerging Markets Equity...........................16
A FUND BY FUND LOOK AT INVESTMENT OBJECTIVES AND
STRATEGIES, RISKS AND EXPENSES.
INTERNATIONAL FIXED INCOME FUNDS
Core Global Fixed Income..........................18
Global Fixed Income...............................20
International Fixed Income........................22
Emerging Markets Debt.............................24
Emerging Local Currency Debt......................26
MORE ABOUT RISK.....................................28
AN OVERVIEW OF SECURITIES THAT MAY BE PURCHASED
AND INVESTMENT TECHNIQUES THAT MAY BE USED BY THE
FUNDS AND THEIR RISKS.
INVESTMENT ADVISER
Portfolio Management..............................30
MANAGING YOUR INVESTMENT
BUYING AND SELLING SHARES
Through a Plan....................................31
Through a Broker..................................31
Directly..........................................31
How Shares are Priced.............................32
Payment of Redemption Proceeds....................32
HOLDING SHARES
Exchanging Shares.................................33
Dividends and Distributions.......................33
Tax Considerations................................33
FINANCIAL HIGHLIGHTS................................34
POLICIES AND INSTRUCTIONS FOR OPENING, MAINTAINING
AND CLOSING AN ACCOUNT IN ANY FUND.
- --------------------------------------------------------------------------------
Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
WITH MORE THAN $150 BILLION IN ASSETS UNDER MANAGEMENT, INCLUDING
$29 BILLION MANAGED FOR NORTH AMERICAN CLIENTS, MORGAN GRENFELL
ASSET MANAGEMENT IS ONE OF THE WORLD'S FOREMOST INVESTMENT
MANAGEMENT ORGANIZATIONS. WE COVER ALL MAJOR INVESTMENT REGIONS,
LEVERAGING THE EXPERTISE OF 250 PORTFOLIO MANAGERS AND ANALYSTS
ACROSS THE GLOBE.
WHO MAY WANT TO INVEST
WHO MAY WANT TO INVEST IN THE EQUITY FUNDS:
- - those who are pursuing a long-term goal
- - those who are seeking an investment with the potential to outpace inflation
- - those who are seeking to diversify their portfolio through international
investing
WHO MAY NOT WANT TO INVEST IN THE EQUITY FUNDS:
- - those who are pursuing a short-term goal or are investing their emergency
funds
- - those who require regular income or stability of principal
- - those who do not feel comfortable with the higher price volatility and
currency fluctuations associated with investments in international securities
WHO MAY WANT TO INVEST IN THE FIXED INCOME FUNDS:
- - those who are investing for income
- - those who want higher potential returns than a money market fund
- - those who are seeking to diversify their personal investment portfolio through
international investing
WHO MAY NOT WANT TO INVEST IN THE FIXED INCOME FUNDS:
- - those who are investing their sole source of investment income
- - those who are making short-term investments
- - those who do not feel comfortable with the higher price volatility and
currency fluctuations associated with investments in international securities
An investment in a fund is not a bank deposit and is not insured or guaranteed
by the Federal Deposit Insurance Corporation or any other government agency.
- --------------------------------------------------------------------------------
1 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
INTERNATIONAL SELECT EQUITY FUND
(FORMERLY INTERNATIONAL EQUITY FUND)
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks capital appreciation. To pursue this objective, the fund invests
primarily in equity securities of foreign issuers.
The portfolio management team generally uses a "bottom-up" approach to picking
stocks. This approach focuses on individual stock selection rather than country
selection. The team uses an active process which emphasizes fundamental company
research through financial analysis and company visits. The team also uses a
risk-controlled asset allocation process to add value at the regional level.
The portfolio will consist of a focused list of 30 to 40 international stocks
offering the greatest upside potential on a 12 month view. The fund seeks
companies with above average earnings growth, below average price-to-earnings
ratios, leading or dominant positions in their particular markets and high
quality management.
PRINCIPAL HOLDINGS
Under normal conditions, the fund invests at least 65% of its total assets in
the equity and equity related securities of foreign companies. Up to 35% of the
fund's total assets may include cash equivalents, investment grade fixed income
securities (rated in one of the four highest categories by one of the major
independent rating agencies, or in unrated securities that the adviser considers
of comparable quality), and equity and equity related securities of U.S.
issuers. The fund may invest more than 25% of its assets in securities of
companies located in each of Japan and the United Kingdom.
The fund may use derivatives, including futures, options and foreign currency
transactions to lessen its exposure to changing currency exchange rates,
security prices, interest rates and other factors that affect security values.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
STOCK MARKET RISK. The value of your investment will fluctuate in response to
stock market movements. An adverse event, such as an unfavorable earnings
report, may depress the value of a particular company's stock. The fund
typically invests in between 30 to 40 companies. Thus, an adverse event
affecting a particular company may hurt the fund's performance more than if it
had invested in a larger number of companies.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Since the fund may
focus its investments in Japan and the United Kingdom, it could be particularly
susceptible to the effects of political and economic developments in these
countries.
RISKS OF HEDGING, RISK MANAGEMENT AND COUNTERPARTY RISK. Derivatives used for
hedging may not fully offset the underlying positions. Derivatives used for risk
management may not have the intended effects and may result in losses or missed
opportunities. In addition, there is a risk that a counterparty will fail to
honor a contract's terms resulting in a loss for the fund.
The value of the fund's shares depends in part on the adviser's ability to
assess economic conditions and investment opportunities.
- --------------------------------------------------------------------------------
2 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
INTERNATIONAL SELECT EQUITY FUND (CONTINUED)
FUND PERFORMANCE
The bar chart indicates the risks of investing in the fund by showing changes in
the fund's performance from year to year. The table shows how the fund's average
annual total returns for different calendar years compare to the return of the
Morgan Stanley MSCI EAFE Index. How the fund has performed in the past is not
necessarily an indication of how the fund will perform in the future.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DECEMBER 31
Dec/31/96 10.31%
Dec/31/97 0.51%
Dec/31/98 23.49%
(% RETURN)
The bar chart shows the changes in the performance of the fund for each full
calendar year since inception.
Quarterly returns:
Highest: 22.48% in 4th quarter 1998
Lowest: -15.37% in 3rd quarter 1998
AVERAGE ANNUAL TOTAL RETURNS
(for the periods ended December 31, 1998)
PAST SINCE
ONE INCEPT-
YEAR ION
Morgan Grenfell International Select
Equity, Institutional Shares 23.49% 13.39%
Morgan Stanley MSCI EAFE Index 20.33% 9.56%
SHAREHOLDER EXPENSES
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund.
Shareholder Fees (fees paid directly from
your investment)
(% of offering price)
Maximum Front-End Sales Charge................................. None
Maximum Deferred Sales Charge.................................. None
Annual Fund Operating Expenses* (expenses that are deducted from fund assets) (%
of average net assets)
Advisory Fees.................................................. 0.70%
Shareholder Service Fee........................................ None
Other Expenses................................................. 2.19%
Total Annual Fund Operating Expenses........................... 2.89%
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
<TABLE>
<CAPTION>
<S> <C>
Annual Fund Operating Expenses (% of average net assets)
Advisory Fees............................................................... 0.70%
Shareholder Service Fee..................................................... None
Other Expenses.............................................................. 2.19%
Reimbursements.............................................................. -1.99%
Total Annual Fund Operating Expenses........................................ 0.90%
</TABLE>
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
<TABLE>
<CAPTION>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
<S> <C> <C> <C> <C>
With or without redemption $292 $895 $1,523 $3,214
</TABLE>
3 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
GLOBAL EQUITY FUND
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks capital appreciation. To pursue this objective, the fund invests
primarily in equity securities of companies located throughout the world.
The portfolio management team will generally use a "bottom-up" approach to
picking stocks. This approach will focus on individual stock selection rather
than country selection. The team will use an active process which will emphasize
fundamental company research through financial analysis and company visits. The
team will also use a risk-controlled asset allocation process to add value at
the regional level.
The team will seek companies with above average earnings growth, below average
price-to-earnings ratios, leading or dominant positions in their particular
markets and high quality management.
PRINCIPAL HOLDINGS
Under normal conditions, the fund invests at least 65% of its total assets in
the equity and equity related securities of companies located throughout the
world. Up to 35% of the fund's total assets may include cash equivalents,
investment grade fixed income securities (rated in one of the four highest
categories by one of the major independent rating agencies, or in unrated
securities that the adviser considers of comparable quality) of issuers located
anywhere in the world. The fund may invest more than 25% of its assets in
securities of companies located in each of Japan, the United States and the
United Kingdom.
The fund may use derivatives, including futures, options and foreign currency
transactions to lessen its exposure to changing currency exchange rates,
security prices, interest rates and other factors that affect security values.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
STOCK MARKET RISK. The value of your investment will fluctuate in response to
stock market movements. An adverse event, such as an unfavorable earnings
report, may depress the value of a particular company's stock.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Since the fund may
focus its investments in Japan, the United States and the United Kingdom, it
could be particularly susceptible to the effects of political and economic
developments in these countries.
RISKS OF HEDGING, RISK MANAGEMENT AND COUNTERPARTY RISK. Derivatives used for
hedging may not fully offset the underlying positions. Derivatives used for risk
management may not have the intended effects and may result in losses or missed
opportunities. In addition, there is a risk that a counterparty will fail to
honor a contract's terms resulting in a loss for the fund.
The value of the fund's shares depends in part on the adviser's ability to
assess economic conditions and investment opportunities.
- --------------------------------------------------------------------------------
4 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
GLOBAL EQUITY FUND (CONTINUED)
- --------------------------------------------------------------------------------
SHAREHOLDER EXPENSES
- --------------------------------------------------------------------------------
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund. Since no shares were outstanding during the past year, other
expenses are based on estimated amounts for the current fiscal year.
Shareholder Fees (fees paid directly
from your investment)
(% of offering price)
Maximum Front-End Sales Charge.............................. None
Maximum Deferred Sales Charge............................... None
Annual Fund Operating Expenses* (expenses that are deducted from fund assets) (%
of average net assets)
Advisory Fees............................................... 0.70%
Shareholder Service Fee..................................... None
Other Expenses.............................................. 0.70%
Total Annual Fund Operating Expenses... 1.40%
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
<TABLE>
<CAPTION>
<S> <C>
Annual Fund Operating Expenses (% of average net assets)
Advisory Fees.................................................................. 0.70%
Shareholder Service Fee........................................................ None
Other Expenses................................................................. 0.70%
Reimbursements................................................................. -0.50%
Total Annual Fund Operating Expenses........................................... 0.90%
</TABLE>
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
1 YEAR 3 YEARS
With or without redemption $143 $443
- --------------------------------------------------------------------------------
5 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
EUROPEAN EQUITY GROWTH FUND
- ---------------------------
(FORMERLY EUROPEAN EQUITY FUND)
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks capital appreciation. To pursue this objective, the fund invests
primarily in equity securities of companies located in Europe.
The portfolio management team generally uses a "bottom-up" approach to picking
stocks. This approach focuses on individual stock selection rather than country
selection. The team uses an active process which emphasizes fundamental company
research through financial analysis and company visits. The team also uses a
risk-controlled asset allocation process to add value at the regional level.
The team seeks companies with above average earnings growth, below average
price-to-earnings ratios, leading or dominant positions in their particular
markets and high quality management.
PRINCIPAL HOLDINGS
Under normal conditions, the fund invests at least 65% of its assets in the
equity and equity related securities of European companies. Up to 35% of the
fund's total assets may include cash equivalents, investment grade fixed income
securities (rated in one of the four highest categories by one of the major
independent rating agencies, or in unrated securities that the adviser considers
of comparable quality) and securities of non-European issuers (including the
U.S.). The fund may invest more than 25% of its assets in securities denominated
in the euro, as well as in companies located in the United Kingdom.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
STOCK MARKET RISK. The value of your investment will fluctuate in response to
stock market movements. An adverse event, such as an unfavorable earnings
report, may depress the value of a particular company's stock.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Since the fund may
concentrate its investments in euro denominated issues, as well as in the United
Kingdom, the fund could be particularly susceptible to the effects of political
and economic developments in these regions.
The value of the fund's shares depends in part on the adviser's ability to
assess economic conditions and investment opportunities.
- --------------------------------------------------------------------------------
6 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
EUROPEAN EQUITY GROWTH FUND (CONTINUED)
- --------------------------------------------------------------------------------
FUND PERFORMANCE
- --------------------------------------------------------------------------------
The bar chart indicates the risks of investing in the fund by showing changes in
the fund's performance from year to year. The table shows how the fund's average
annual total returns for different calendar years compare to the return of the
Morgan Stanley MSCI Europe Index. How the fund has performed in the past is not
necessarily an indication of how the fund will perform in the future.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DECEMBER 31
Dec/31/97 15.54%
Dec/31/98 22.89%
(% RETURN)
The bar chart shows the changes in the performance of the fund for each full
calendar year since inception.
Quarterly returns:
Highest: 20.70% in 1st quarter 1998
Lowest: -16.78% in 3rd quarter 1998
AVERAGE ANNUAL TOTAL RETURNS
(for the periods ended December 31, 1998)
PAST SINCE
ONE INCEPT-
YEAR ION
Morgan Grenfell European Equity Growth,
Institutional Shares 22.89% 23.48%
Morgan Stanley MSCI Europe Index 28.91% 28.75%
SHAREHOLDER EXPENSES
- --------------------------------------------------------------------------------
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund.
Shareholder Fees (fees paid directly from
your investment)
(% of offering price)
Maximum Front-End Sales Charge................................. None
Maximum Deferred Sales Charge.................................. None
Annual Fund Operating Expenses* (expenses
that are deducted from fund assets)
(% of average net assets)
Advisory Fees.................................................. 0.70%
Shareholder Service Fee........................................ None
Other Expenses................................................. 0.43%
Total Annual Fund Operating Expenses........................... 1.13%
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
Annual Fund Operating Expenses (% of average net assets)
Advisory Fees.................................................. 0.70%
Shareholder Service Fee........................................ None
Other Expenses................................................. 0.43%
Reimbursements................................................. -0.23%
Total Annual Fund Operating Expenses........................... 0.90%
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
<TABLE>
<CAPTION>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
<S> <C> <C> <C> <C>
With or without redemption $115 $359 $622 $1,375
</TABLE>
- --------------------------------------------------------------------------------
7 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
NEW ASIA FUND
- -------------
(FORMERLY PACIFIC BASIN EQUITY FUND)
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks capital appreciation. To pursue this objective, the fund invests
primarily in the equity securities of companies located in the Pacific Basin,
excluding Japan.
The portfolio management team will generally use a "bottom-up" approach to
picking stocks. This approach will focus on individual stock selection rather
than country selection. The team will use an active process which emphasizes
fundamental company research through financial analysis and company visits. The
team will also use a risk-controlled asset allocation process to add value at
the regional level.
The team will seek companies with above average earnings growth, below average
price-to-earnings ratios, leading or dominant positions in their particular
markets and high quality management.
PRINCIPAL HOLDINGS
Under normal conditions, the fund invests at least 65% of its total assets in
the equity and equity related securities of companies located in the Asian
Pacific Basin, excluding Japan. Up to 35% of the fund's total assets may include
cash equivalents, investment grade fixed income securities (rated in one of the
four highest categories by one of the major independent rating agencies, or in
unrated securities that the adviser considers of comparable quality) and equity
and equity related securities of issuers located outside the Pacific Basin
(including the U.S. and Japan). The fund may invest more than 25% of its assets
in securities of companies located in Hong Kong.
The fund may use derivatives, including options, futures and foreign currency
transactions to lessen its exposure to changing currency exchange rates,
security prices, interest rates and other factors that affect security values.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
STOCK MARKET RISK. The value of your investment will fluctuate in response to
stock market movements. An adverse event, such as an unfavorable earnings
report, may depress the value of a particular company's stock.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Since the fund
focuses its investments in the Pacific Basin, and Hong Kong in particular, it
could be particularly susceptible to the effects of political and economic
developments in the Pacific Basin, especially Hong Kong.
RISKS OF HEDGING, RISK MANAGEMENT AND COUNTERPARTY RISK. Derivatives used for
hedging may not fully offset the underlying positions. Derivatives used for risk
management may not have the intended effects and may result in losses or missed
opportunities. In addition, there is a risk that a counterparty will fail to
honor a contract's terms resulting in a loss for the fund.
The value of the fund's shares depends in part on the adviser's ability to
assess economic conditions and investment opportunities.
- --------------------------------------------------------------------------------
8 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
NEW ASIA FUND (CONTINUED)
- --------------------------------------------------------------------------------
SHAREHOLDER EXPENSES
- --------------------
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund. Since no shares were outstanding during the past year, other
expenses are based on estimated amounts for the current fiscal year.
Shareholder Fees (fees paid directly from
your investment)
(% of offering price)
Maximum Front-End Sales Charge................................. None
Maximum Deferred Sales Charge.................................. None
Annual Fund Operating Expenses* (expenses that are deducted from fund assets) (%
of average net assets)
Advisory Fees.................................................. 0.70%
Shareholder Service Fee........................................ None
Other Expenses................................................. 0.70%
Total Annual Fund Operating Expenses........................... 1.40%
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
Annual Fund Operating Expenses (% of average net assets)
Advisory Fees................................................. 0.70%
Shareholder Service Fee....................................... None
Other Expenses................................................ 0.70%
Reimbursements................................................ -0.50%
Total Annual Fund Operating Expenses.......................... 0.90%
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
1 YEAR 3 YEARS
With or without redemption $143 $443
- --------------------------------------------------------------------------------
9 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
INTERNATIONAL SMALL CAP EQUITY FUND
- -----------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks capital appreciation. To pursue this objective, the fund invests
primarily in equity securities of small capitalization companies located in
countries other than the United States.
The portfolio management team generally uses a "bottom-up" approach to picking
stocks. This approach focuses on individual stock selection rather than country
selection. The team uses an active process which emphasizes fundamental company
research through financial analysis and company visits. The team also uses a
risk-controlled asset allocation process to add value at the regional level.
The team seeks companies with above average earnings growth, below average
price-to-earnings ratios, leading or dominant positions in their particular
markets and high quality management.
PRINCIPAL HOLDINGS
Under normal conditions, the fund invests at least 65% of its total assets in
the equity and equity related securities of small capitalization companies
located in countries other than the United States. Small capitalization
companies are: (i) companies ranked according to market capitalization in the
bottom 25% of issuers listed on a stock exchange, (ii) companies listed on a
secondary market and (iii) companies whose securities are not listed on a stock
exchange or secondary market. The fund will focus on companies located in
countries which make up the BT Alex Brown Euro Pacific Index. The fund, however,
may invest in stocks that are not constituents of the index. Up to 35% of the
fund's total assets may include cash equivalents, investment grade fixed income
securities (rated in one of the four highest categories by one of the major
independent rating agencies, or in unrated securities that the adviser considers
of comparable quality) and equity securities of large and medium capitalization
companies located outside the U.S. and companies of any size located in the U.S.
The fund may invest more than 25% of its assets in securities of small cap
companies located in each of Japan and the United Kingdom.
The fund may use derivatives, including futures, options and foreign currency
transactions to lessen its exposure to changing currency exchange rates,
security prices, interest rates and other factors that affect security values.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
STOCK MARKET RISK. The value of your investment will fluctuate in response to
stock market movements. An adverse event, such as an unfavorable earnings
report, may depress the value of a particular company's stock.
RISKS OF SMALL CAP INVESTING. Small capitalization companies generally have less
potential for growth, a lower degree of liquidity in the market and a greater
sensitivity to changing economic conditions in their geographic regions than
larger capitalization companies.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Since the fund may
focus its investments in Japan and the United Kingdom, it could be particularly
susceptible to the effects of political and economic developments in these
countries.
RISKS OF HEDGING, RISK MANAGEMENT AND COUNTERPARTY RISK. Derivatives used for
hedging may not fully offset the underlying positions. Derivatives used for risk
management may not have the intended effects and may result in losses or missed
opportunities. In addition, there is a risk that a counterparty will fail to
honor a contract's terms resulting in a loss for the fund.
The value of the fund's shares depends in part on the adviser's ability to
assess economic conditions and investment opportunities.
10 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
INTERNATIONAL SMALL CAP EQUITY FUND (CONTINUED)
- ------------------------------------------------
FUND PERFORMANCE
- ------------------------------------------------
The bar chart indicates the risks of investing in the fund by showing changes in
the fund's performance from year to year. The table shows how the fund's average
annual total returns for different calendar years compare to the return of the
BT Alex Brown Euro Pacific Small Cap Index. How the fund has performed in the
past is not necessarily an indication of how the fund will perform in the
future.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DECEMBER 31
Dec/31/95 2.77%
Dec/31/96 1.86%
Dec/31/97 -14.33%
Dec/31/98 15.49%
(% RETURN)
The bar chart shows the changes in the performance of the fund for each full
calendar year since inception.
Quarterly returns:
Highest: 13.54% in 1st quarter 1998 Lowest: -12.55% in 3rd quarter 1998
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
(for the periods ended December 31, 1998)
PAST SINCE
ONE INCEPT-
YEAR ION
<S> <C> <C>
Morgan Grenfell International Small Cap
Equity, Institutional Shares 15.49% 0.05%
BT Alex Brown Euro Pacific Small Cap
Index 13.32% 2.68%
</TABLE>
SHAREHOLDER EXPENSES
- --------------------------------------------------------------------------------
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund.
Shareholder Fees (fees paid directly from
your investment)
(% of offering price)
Maximum Front-End Sales Charge................................. None
Maximum Deferred Sales Charge.................................. None
Annual Fund Operating Expenses* (expenses
that are deducted from fund assets)
(% of average net assets)
Advisory Fees.................................................. 1.00%
Shareholder Service Fee........................................ None
Other Expenses................................................. 0.49%
Total Annual Fund Operating Expenses........................... 1.49%
- --------------------------------------------------------------------------------
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
<TABLE>
<CAPTION>
Annual Fund Operating Expenses (% of average net assets)
<S> <C>
Advisory Fees................................................................ 1.00%
Shareholder Service Fee...................................................... None
Other Expenses............................................................... 0.49%
Reimbursements............................................................... -0.24%
Total Annual Fund Operating Expenses......................................... 1.25%
</TABLE>
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
<TABLE>
<CAPTION>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
<S> <C> <C> <C> <C>
With or without redemption $152 $471 $813 $1,779
</TABLE>
11 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
JAPANESE SMALL CAP EQUITY FUND
- ---------------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks capital appreciation. To pursue this objective, the fund invests
primarily in equity securities of small capitalization companies located in
Japan.
The portfolio management team will use an active process which emphasizes
fundamental company research through financial analysis and company visits. The
team seeks well managed companies with above average growth prospects and
healthy cash flow generation potential. The investment style is best described
as "growth at a price," the aim being to build a portfolio of high quality
growth stocks at the most attractive valuations possible. The team will also use
a risk-controlled asset allocation process to add value at the regional level.
PRINCIPAL HOLDINGS
Under normal conditions, the fund invests at least 65% of its total assets in
the equity and equity related securities of small capitalization companies
located in Japan. Small capitalization companies are (i) companies ranked
according to market capitalization in the bottom 20% of issuers listed on the
Tokyo Stock Exchange; (ii) companies listed on a Japanese secondary market and
(iii) companies whose securities are not listed on a stock exchange or secondary
market. Up to 35% of the fund's total assets may include cash equivalents,
investment grade fixed income securities (rated in one of the four highest
categories by one of the major independent rating agencies, or in unrated
securities that the adviser considers of comparable quality) and equity and
equity related securities of large and medium capitalization companies located
in Japan, and companies of any size located outside of Japan.
The fund may use derivatives, including futures, options and foreign currency
transactions to lessen its exposure to changing currency exchange rates,
security prices, interest rates and other factors that affect security values.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
STOCK MARKET RISK. The value of your investment will fluctuate in response to
stock market movements. An adverse event, such as an unfavorable earnings
report, may depress the value of a particular company's stock.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Since the fund
focuses its investments in Japan, it could be particularly susceptible to the
effects of political and economic developments within Japan. In addition, most
Japanese companies engage in "cross-shareholding" where companies hold the
equity securities of each other. Cross-held shares may limit the power of
institutional investors to pressure management teams for better returns.
RISKS OF SMALL CAP INVESTING. Small capitalization companies generally have less
potential for growth, a lower degree of liquidity in the market and a greater
sensitivity to changing economic conditions in their geographic regions than
larger capitalization companies.
RISKS OF HEDGING, RISK MANAGEMENT AND COUNTERPARTY RISK. Derivatives used for
hedging may not fully offset the underlying positions. Derivatives used for risk
management may not have the intended effects and may result in losses or missed
opportunities. In addition, there is a risk that a counterparty will fail to
honor a contract's terms resulting in a loss for the fund.
The value of the fund's shares depends in part on the adviser's ability to
assess economic conditions and investment opportunities.
12 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
JAPANESE SMALL CAP EQUITY FUND (CONTINUED)
- --------------------------------------------
SHAREHOLDER EXPENSES
- --------------------------------------------
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund. Since no shares were outstanding during the past year, other
expenses are based on estimated amounts for the current fiscal year.
Shareholder Fees (fees paid directly from
your investment)
(% of offering price)
Maximum Front-End Sales Charge................................. None
Maximum Deferred Sales Charge.................................. None
Annual Fund Operating Expenses* (expenses that are deducted from fund assets)
(% of average net assets)
Advisory Fees.................................................. 1.00%
Shareholder Service Fee........................................ None
Other Expenses................................................. 0.70%
Total Annual Fund Operating Expenses........................... 1.70%
- --------------------------------------------------------------------------------
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
<TABLE>
<CAPTION>
Annual Fund Operating Expenses (% of average net assets)
<S> <C>
Advisory Fees................................................................ 1.00%
Shareholder Service Fee...................................................... None
Other Expenses............................................................... 0.70%
Reimbursements............................................................... -0.45%
Total Annual Fund Operating Expenses......................................... 1.25%
</TABLE>
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
1 YEAR 3 YEARS
With or without redemption $173 $536
13 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
EUROPEAN SMALL CAP EQUITY FUND
- -----------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks capital appreciation. To pursue this objective, the fund invests
primarily in equity securities of small capitalization companies located in
Europe.
The portfolio management team generally uses a "bottom-up" approach to picking
stocks. This approach focuses on individual stock selection rather than country
selection. The team uses an active process which emphasizes fundamental company
research through financial analysis and company visits. The team also uses a
risk-controlled asset allocation process to add value at the regional level.
The team seeks companies with above average earnings growth, below average
price-to-earnings ratios, leading or dominant positions in their particular
markets and high quality management.
PRINCIPAL HOLDINGS
Under normal conditions, the fund invests at least 65% of its total assets in
the equity and equity related securities of small capitalization companies
located in Europe. Small capitalization companies are (i) companies ranked
according to market capitalization in the bottom 25% of issuers listed on a
European stock exchange; (ii) companies listed on a European secondary market
and (iii) companies whose securities are not listed on a stock exchange or
secondary market. Up to 35% of the fund's total assets may be invested in cash
equivalents, investment grade fixed income securities (rated in one of the four
highest categories by one of the major independent rating agencies, or in
unrated securities that the adviser considers of comparable quality) and equity
and equity related securities of medium and large capitalization companies
located in Europe and companies of any size located outside of Europe (including
the U.S.). The fund may invest more than 25% of its assets in securities of
small cap companies whose securities are denominated in the euro, as well as in
the securities of small cap companies located in the United Kingdom.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
STOCK MARKET RISK. The value of your investment will fluctuate in response to
stock market movements. An adverse event, such as an unfavorable earnings
report, may depress the value of a particular company's stock.
RISKS OF SMALL CAP INVESTING. Small capitalization companies generally have less
potential for growth, a lower degree of liquidity in the market and a greater
sensitivity to changing economic conditions in their geographic regions than
larger capitalization companies.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Since the fund may
focus its investments in euro denominated issues, as well as in the United
Kingdom, it could be particularly susceptible to the effects of political and
economic developments in these regions.
The value of the fund's shares depends in part on the adviser's ability to
assess economic conditions and investment opportunities.
14 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
EUROPEAN SMALL CAP EQUITY FUND (CONTINUED)
- -------------------------------------------
FUND PERFORMANCE
- -------------------------------------------
The bar chart indicates the risks of investing in the fund by showing changes in
the fund's performance from year to year. The table shows how the fund's average
annual total returns for different calendar years compare to the return of the
BT Alex Brown European Small Cap Index. How the fund has performed in the past
is not necessarily an indication of how the fund will perform in the future.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DECEMBER 31
Dec/31/95 18.91%
Dec/31/96 12.78%
Dec/31/97 -5.29%
Dec/31/98 22.08%
(% RETURN)
The bar chart shows the changes in the performance of the fund for each full
calendar year since inception.
Quarterly returns:
Highest: 16.61% in 1st quarter 1998 Lowest: -13.44% in 3rd quarter 1998
AVERAGE ANNUAL TOTAL RETURNS
(for the periods ended December 31, 1998)
<TABLE>
<CAPTION>
PAST SINCE
ONE INCEPT-
YEAR ION
<S> <C> <C>
Morgan Grenfell European Small Cap
Equity, Institutional Shares 22.08% 10.32%
BT Alex Brown European Small Cap Index 13.69% 12.01%
</TABLE>
SHAREHOLDER EXPENSES
- --------------------------------------------------------------------------------
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund.
Shareholder Fees (fees paid directly from
your investment)
(% of offering price)
Maximum Front-End Sales Charge................................. None
Maximum Deferred Sales Charge.................................. None
Annual Fund Operating Expenses* (expenses
that are deducted from fund assets)
(% of average net assets)
Advisory Fees.................................................. 1.00%
Shareholder Service Fee........................................ None
Other Expenses................................................. 1.96%
Total Annual Fund Operating Expenses........................... 2.96%
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
<TABLE>
<CAPTION>
Annual Fund Operating Expenses (% of average net assets)
<S> <C>
Advisory Fees............................................................... 1.00%
Shareholder Service Fee..................................................... None
Other Expenses.............................................................. 1.96%
Reimbursements.............................................................. -1.71%
Total Annual Fund Operating Expenses........................................ 1.25%
</TABLE>
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
<TABLE>
<CAPTION>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
<S> <C> <C> <C> <C>
With or without redemption $299 $915 $1,557 $3,280
</TABLE>
15 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
EMERGING MARKETS EQUITY FUND
- ------------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks capital appreciation. To pursue this objective, the fund invests
primarily in equity securities of companies located in emerging securities
markets.
The portfolio management team generally uses a "bottom-up" approach to picking
stocks. This approach focuses on individual stock selection rather than country
selection. The team uses an active process which emphasizes fundamental company
research through financial analysis and company visits. The team also uses a
risk-controlled asset allocation process which attempts to add value at the
regional level.
The fund focuses on undervalued stocks with fast-growing earnings and superior
near-to-intermediate term performance potential.
PRINCIPAL HOLDINGS
Under normal conditions, the fund invests at least 65% of its total assets in
the equity and equity related securities of growth-oriented companies located in
emerging securities markets. Up to 35% of the fund's total assets may include
cash equivalents, investment grade fixed income securities (rated in one of the
four highest categories by one of the major independent rating agencies, or in
unrated securities that the adviser considers of comparable quality) and equity
and equity related securities traded in developed markets (including the U.S.).
The fund may invest more than 25% of its assets in securities of Mexican and
Brazilian companies.
The fund may use derivatives, including futures, options and foreign currency
transactions to lessen its exposure to changing currency exchange rates,
security prices, interest rates and other factors that affect security values.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
STOCK MARKET RISK. The value of your investment will fluctuate in response to
stock market movements. An adverse event, such as an unfavorable earnings
report, may depress the value of a particular company's stock.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Since the fund may
focus its investments in Brazil and Mexico, the fund could be particularly
susceptible to the effects of political and economic developments in these
countries.
RISKS OF EMERGING SECURITIES MARKETS. Emerging markets generally have economic
structures that are less mature, they have less stable political systems and may
have rapidly changing interest rates. Regulators in emerging markets are more
likely to impose capital controls than is the case in developed markets. These
markets are highly volatile and subject to change with political or economic
developments.
RISKS OF HEDGING, RISK MANAGEMENT AND COUNTERPARTY RISK. Derivatives used for
hedging may not fully offset the underlying positions. Derivatives used for risk
management may not have the intended effects and may result in losses or missed
opportunities. In addition, there is a risk that a counterparty will fail to
honor a contract's terms resulting in a loss for the fund.
The value of the fund's shares depends in part on the adviser's ability to
assess economic conditions and investment opportunities.
DUE TO THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN EMERGING MARKETS, THIS
FUND IS DESIGNED FOR AGGRESSIVE INVESTORS.
16 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
EMERGING MARKETS EQUITY FUND (CONTINUED)
- --------------------------------------------
FUND PERFORMANCE
- --------------------------------------------
The bar chart indicates the risks of investing in the fund by showing changes
infund's performance from year to year. The table shows how the fund's average
annual total returns for different calendar years compare to the return of the
Morgan Stanley MSCI Emerging Markets Free Index. How the fund has performed in
the past is not necessarily an indication of how the fund will perform in the
future.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DECEMBER 31
Dec/31/95 -10.01%
Dec/31/96 10.64%
Dec/31/97 -12.07%
Dec/31/98 -29.69%
(% RETURN)
The bar chart shows the changes in the performance of the fund for each full
calendar year since inception.
Quarterly returns:
Highest: 23.48% in 3rd quarter 1994
Lowest: -25.85% in 3rd quarter 1998
AVERAGE ANNUAL TOTAL RETURNS
(for the periods ended December 31, 1998)
<TABLE>
<CAPTION>
PAST SINCE
ONE INCEPT-
YEAR ION
<S> <C> <C>
Morgan Grenfell Emerging Markets Equity,
Institutional Shares -29.69% -9.77%
Morgan Stanley MSCI Emerging Markets Free
Index -25.34% -10.05%
</TABLE>
SHAREHOLDER EXPENSES
- --------------------------------------------------------------------------------
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund.
Shareholder Fees (fees paid directly from
your investment)
(% of offering price)
Maximum Front-End Sales Charge................................. None
Maximum Deferred Sales Charge.................................. None
Annual Fund Operating Expenses* (expenses
that are deducted from fund assets)
(% of average net assets)
Advisory Fees.................................................. 1.00%
Shareholder Service Fee........................................ None
Other Expenses................................................. 0.52%
Total Annual Fund Operating Expenses........................... 1.52%
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
<TABLE>
<CAPTION>
Annual Fund Operating Expenses (% of average net assets)
<S> <C>
Advisory Fees............................................................... 1.00%
Shareholder Service Fee..................................................... None
Other Expenses.............................................................. 0.52%
Reimbursements.............................................................. -0.27%
Total Annual Fund Operating Expenses........................................ 1.25%
</TABLE>
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
<TABLE>
<CAPTION>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
<S> <C> <C> <C> <C>
With or without redemption $155 $480 $829 $1,813
</TABLE>
17 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
CORE GLOBAL FIXED INCOME FUND
- ----------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks total return, emphasizing current income and, to a lesser extent,
opportunities for growth of capital consistent with reasonable investment risk.
To pursue this objective, the fund invests in investment grade fixed income
securities of issuers throughout the world. The portfolio management team
intends to maintain a portfolio duration of plus or minus 1 year around the
fund's benchmark index.
In managing the fund, the portfolio management team uses a "top-down" approach.
This approach focuses on country selection and currency management rather than
individual security selection. The team considers macro-economic factors such as
inflation, interest rates, monetary and fiscal policies, taxation and political
climate.
The currency portion of the fund's position in fixed income securities is
generally designed to enhance returns during periods of relative U.S. dollar
weakness and to protect returns during periods of relative U.S. dollar strength.
The team may take a position in a country's currency, without owning securities
within the market.
PRINCIPAL HOLDINGS
Under normal conditions, the fund invests at least 65% of its total assets in
the fixed income securities of issuers located throughout the world. The fund
invests primarily in investment grade fixed income securities that, at the time
of purchase, are either rated in one of the three highest categories by a major
independent rating agency, or in unrated securities that the adviser considers
of comparable quality. The fund may also invest in investment grade fixed income
securities rated in the fourth highest category. In the event that any security
is downgraded, the adviser will determine whether to hold or sell such security,
provided that the fund will not hold more than 5% of its net assets in
securities that are rated below investment grade (high yield/high risk bonds).
Up to 35% of the fund's total assets may be invested in domestic and foreign
cash equivalents. The fund may invest more than 25% of its total assets in
securities denominated in the euro, as well as in the securities of companies
located in each of Japan, the United States, and the United Kingdom.
The fund uses derivatives, including forward contracts and currency options to
control volatility and achieve desired currency weightings in a cost-effective
manner.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
INTEREST RATE, PREPAYMENT AND EXTENSION RISK. The value of your investment will
fluctuate in response to interest rate changes. Generally, if rates rise, the
value of debt securities falls; if rates fall, the value of debt securities
rises. When rates increase, slower than expected principal payments for a longer
period may permit issuers to extend the average life of securities, locking in
below-market interest rates and reducing the value of these securities. As
interest rates decline, some issuers may prepay principal earlier than
scheduled, forcing the fund to reinvest in lower yielding securities.
CREDIT RISK. The issuer of a security owned by the fund may default on its
obligation to pay principal and/or interest or may have its credit rating
downgraded. Fixed income securities rated in the fourth highest category have
speculative characteristics. These securities involve a greater risk of loss
than higher quality securities and are more sensitive to changes in the issuer's
capacity to pay.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Since the fund may
focus its investments in euro denominated issues, as well as in Japan, the
United States and the United Kingdom, the fund could be particularly susceptible
to the effects of political and economic developments in these regions.
RISKS OF CURRENCY POSITIONS. A change in economic policy may cause a greater
fluctuation in the country's currency than in bonds denominated in that
currency.
RISKS OF HEDGING, RISK MANAGEMENT AND COUNTERPARTY RISK. Derivatives used for
hedging may not fully offset the underlying positions. Derivatives used for risk
management may not have the intended effects and may result in losses or missed
opportunities. In addition, there is a risk that a counterparty will fail to
honor a contract's terms resulting in a loss for the fund.
NON-DIVERSIFIED STATUS. The fund is non-diversified. Compared with other funds,
the fund may invest a greater percentage of its assets in a particular issuer.
This will cause the fund to be more susceptible to developments affecting any
single issuer of portfolio securities.
The value of the fund's shares depends in part on the adviser's ability to
assess economic conditions and investment opportunities.
18 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
CORE GLOBAL FIXED INCOME FUND (CONTINUED)
- ------------------------------------------
SHAREHOLDER EXPENSES
- ------------------------------------------
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund.
Shareholder Fees (fees paid directly from
your investment)
(% of offering price)
Maximum Front-End Sales Charge................................. None
Maximum Deferred Sales Charge.................................. None
Annual Fund Operating Expenses* (expenses that are deducted from fund assets) (%
of average net assets)
Advisory Fees.................................................. 0.50%
Shareholder Service Fee........................................ None
Other Expenses................................................. 0.46%
Total Annual Fund Operating Expenses........................... 0.96%
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
<TABLE>
<CAPTION>
Annual Fund Operating Expenses (% of average net assets)
<S> <C>
Advisory Fees................................................................ 0.50%
Shareholder Service Fee...................................................... None
Other Expenses............................................................... 0.46%
Reimbursements............................................................... -0.41%
Total Annual Fund Operating Expenses......................................... 0.55%
</TABLE>
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
<TABLE>
<CAPTION>
1 YEAR 3 YEARS
<S> <C> <C>
With or without redemption $98 $306
</TABLE>
19 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
GLOBAL FIXED INCOME FUND
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks total return, with an emphasis on current income and, to a lesser
extent, opportunities for capital growth consistent with reasonable investment
risk. To pursue this objective, the fund invests primarily in investment grade
fixed income securities of issuers throughout the world. The portfolio
management team intends to maintain a portfolio duration of plus or minus 1 year
around the fund's benchmark index.
In managing the fund, the portfolio management team uses a "top-down" approach.
This approach focuses on country selection and currency management rather than
individual security selection. The team considers macro-economic factors such as
inflation, interest rates, monetary and fiscal policies, taxation and political
climate.
The currency portion of the fund's position in fixed income securities is
generally designed to enhance returns during periods of relative U.S. dollar
weakness and to protect returns during periods of relative U.S. dollar strength.
The team may take a position in a country's currency, without owning securities
within that market.
PRINCIPAL HOLDINGS
Under normal conditions, the fund invests at least 65% of its total assets in
the fixed income securities of issuers located throughout the world. The fund
invests primarily in investment grade fixed income securities that, at the time
of purchase, are either rated in one of the four highest categories by a major
independent rating agency, or in unrated securities the adviser considers of
comparable quality. The fund may invest up to 15% of its total assets in fixed
income securities rated below investment grade (high yield/high risk bonds),
including the securities of issuers in emerging securities markets. Up to 35% of
the fund's total assets may be invested in domestic and foreign cash
equivalents. The fund may invest more than 25% of its total assets in securities
denominated in the euro, as well as in the securities of companies located in
each of Japan, the United States, and the United Kingdom.
The fund may use derivatives, including forward contracts and currency options
to control volatility and achieve desired currency weightings in a
cost-effective manner.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
INTEREST RATE, PREPAYMENT, AND EXTENSION RISK. The value of your investment will
fluctuate in response to interest rate changes. Generally, if rates rise, the
value of debt securities falls; if rates fall, the value of debt securities
rises. When rates increase, slower than expected principal payments for a longer
period may permit issuers to extend the average life of securities, locking in
below-market interest rates and reducing the value of these securities. As
interest rates decline, some issuers may prepay principal earlier than
scheduled, forcing the fund to reinvest in lower yielding securities.
CREDIT RISK. The issuer of a security owned by the fund may default on its
obligation to pay principal and/or interest or may have its credit rating
downgraded. Fixed income securities rated in the fourth highest grade have
speculative characteristics. Below investment grade securities (high yield/ high
risk securities) involve greater price volatility and risk of loss of principal
and income and are highly speculative in nature.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Since the fund may
focus its investments in euro denominated issues, as well as in Japan, the
United States, and the United Kingdom, the fund could be particularly
susceptible to the effects of political and economic developments in these
regions.
RISKS OF CURRENCY POSITIONS. A change in economic policy may cause a greater
fluctuation in the country's currency than in bonds denominated in that
currency.
RISKS OF HEDGING, RISK MANAGEMENT AND COUNTERPARTY RISK. Derivatives used for
hedging may not fully offset the underlying positions. Derivatives used for risk
management may not have the intended effects and may result in losses or missed
opportunities. In addition, there is a risk that a counterparty will fail to
honor a contract's terms resulting in a loss for the fund.
NON-DIVERSIFIED STATUS. The fund is non-diversified. Compared with other funds,
the fund may invest a greater percentage of its assets in a particular issuer.
This will cause the fund to be more susceptible to developments affecting any
single issuer of portfolio securities.
The value of the fund's shares depends in part on the adviser's ability to
assess economic conditions and investment opportunities.
20 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
GLOBAL FIXED INCOME FUND (CONTINUED)
- -------------------------------------
FUND PERFORMANCE
- -------------------------------------
The bar chart indicates the risks of investing in the fund by showing changes in
the fund's performance from year to year. The table shows how the fund's average
annual total returns for different calendar years compare to the return of the
Salomon World Government Bond Index. How the fund has performed in the past is
not necessarily an indication of how the fund will perform in the future.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DECEMBER 31
Dec/31/95 17.76%
Dec/31/96 5.23%
Dec/31/97 1.04%
Dec/31/98 13.30%
(% RETURN)
The bar chart shows the changes in the performance of the fund for each full
calendar year since inception.
Quarterly returns:
Highest: 9.71% in 1st quarter 1995
Lowest: -4.05% in 1st quarter 1997
AVERAGE ANNUAL TOTAL RETURNS
(for the periods ended December 31, 1998)
PAST SINCE
ONE INCEPT-
YEAR ION
Morgan Grenfell Global Fixed Income,
Institutional Shares 13.30% 6.74%
Salomon World Government Bond Index 15.31% 7.84%
SHAREHOLDER EXPENSES
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund.
Shareholder Fees (fees paid directly from
your investment)
(% of offering price)
Maximum Front-End Sales Charge................................. None
Maximum Deferred Sales Charge.................................. None
Annual Fund Operating Expenses* (expenses
that are deducted from fund assets)
(% of average net assets)
Advisory Fees.................................................. 0.50%
Shareholder Service Fee........................................ None
Other Expenses................................................. 0.27%
Total Annual Fund Operating Expenses........................... 0.77%
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
<TABLE>
<CAPTION>
Annual Fund Operating Expenses (% of average net assets)
<S> <C>
Advisory Fees................................................................ 0.50%
Shareholder Service Fee...................................................... None
Other Expenses............................................................... 0.27%
Reimbursements............................................................... -0.17%
Total Annual Fund Operating Expenses......................................... 0.60%
</TABLE>
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
<TABLE>
<CAPTION>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
<S> <C> <C> <C> <C>
With or without redemption $79 $246 $428 $954
</TABLE>
21 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
INTERNATIONAL FIXED INCOME FUND
- ----------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks total return, with an emphasis on current income and, to a lesser
extent, opportunities for capital growth consistent with reasonable investment
risk. To pursue this objective, the fund invests in investment grade fixed
income securities of issuers in countries other than the United States. The
portfolio management team intends to maintain a portfolio duration of plus or
minus 1 year around the fund's benchmark index.
In managing the fund, the portfolio management team uses a "top-down" approach.
This approach focuses on country selection and currency management rather than
individual security selection. The team considers macro-economic factors such as
inflation, interest rates, monetary and fiscal policies, taxation and political
climate.
The currency portion of the fund's position in fixed income securities is
generally designed to enhance returns during periods of relative U.S. dollar
weakness and to protect returns during periods of relative U.S. dollar strength.
The team may take a position in a country's currency, without owning securities
within that market.
PRINCIPAL HOLDINGS
Under normal conditions, the fund invests at least 65% of its total assets in
the fixed income securities of foreign issuers. The fund invests in investment
grade fixed income securities that, at the time of purchase, are rated in one of
the three highest categories by a major independent rating agency, or in unrated
securities the adviser considers of comparable quality. The Fund may invest up
to 10% of its total assets in investment grade fixed income securities rated in
the fourth highest category. In the event that any security is downgraded, the
adviser will determine whether to hold or sell such security, provided that the
fund will not hold more than 5% of its net assets in securities that are rated
below investment grade (high yield/high risk bonds). Up to 35% of the fund's
total assets may be invested in domestic and foreign cash equivalents and in
U.S. fixed income securities. The fund may invest more than 25% of its total
assets in securities denominated in the euro, as well as in the securities of
companies located in each of Japan and the United Kingdom.
The fund may use derivatives, including forward contracts and currency options
to control volatility and achieve desired currency weightings in a
cost-effective manner.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
INTEREST RATE AND PREPAYMENT RISK. The value of your investment will fluctuate
in response to interest rate changes. Generally, if rates rise, the value of
debt securities falls; if rates fall, the value of debt securities rises. When
rates increase, slower than expected principal payments for a longer period may
permit issuers to extend the average life of securities, locking in below-market
interest rates and reducing the value of these securities. As interest rates
decline, some issuers may prepay principal earlier than scheduled, forcing the
fund to reinvest in lower yielding securities.
CREDIT RISK. The issuer of a security owned by the fund may default on its
obligation to pay principal and/or interest or may have its credit rating
downgraded. Fixed income securities rated in the fourth highest category have
speculative characteristics. These securities involve a greater risk of loss
than higher quality securities and are more sensitive to changes in the issuer's
capacity to pay.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Since the fund may
focus its investments in euro denominated issues, as well as in Japan and the
United Kingdom, the fund could be particularly susceptible to the effects of
political and economic developments in these regions.
RISKS OF CURRENCY POSITIONS. A change in economic policy may cause a greater
fluctuation in the country's currency than in bonds denominated in that
currency.
RISKS OF HEDGING, RISK MANAGEMENT AND COUNTERPARTY RISK. Derivatives used for
hedging may not fully offset the underlying positions. Derivatives used for risk
management may not have the intended effects and may result in losses or missed
opportunities. In addition, there is a risk that a counterparty will fail to
honor a contract's terms resulting in a loss for the fund.
NON-DIVERSIFIED STATUS. The fund is non-diversified. Compared with other funds,
the fund may invest a greater percentage of its assets in a particular issuer.
This will cause the fund to be more susceptible to developments affecting any
single issuer of portfolio securities.
In addition, the value of the fund's shares depends in part on the adviser's
ability to assess economic conditions and investment opportunities.
22 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
INTERNATIONAL FIXED INCOME FUND (CONTINUED)
- --------------------------------------------
FUND PERFORMANCE
- --------------------------------------------
The bar chart indicates the risks of investing in the fund by showing changes in
the fund's performance from year to year. The table shows how the fund's average
annual total returns for different calendar years compare to the return of the
Salomon World Government Bond Index, Non-US. How the fund has performed in the
past is not necessarily an indication of how the fund will perform in the
future.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DECEMBER 31
Dec/31/95 17.81%
Dec/31/96 5.54%
Dec/31/97 -3.31%
Dec/31/98 17.44%
(% RETURN)
The bar chart shows the changes in the performance of the fund for each full
calendar year since inception.
Quarterly returns:
Highest: 8.44% in 3rd quarter 1998
Lowest: -5.97% in 1st quarter 1997
AVERAGE ANNUAL TOTAL RETURNS
(for the periods ended December 31, 1998)
<TABLE>
<CAPTION>
PAST SINCE
ONE INCEPT-
YEAR ION
<S> <C> <C>
Morgan Grenfell International Fixed
Income, Institutional Shares 17.44% 7.29%
Salomon World Govt Bond Index, Non-US 17.79% 8.54%
</TABLE>
SHAREHOLDER EXPENSES
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund.
Shareholder Fees (fees paid directly from
your investment)
(% of offering price)
Maximum Front-End Sales Charge................................. None
Maximum Deferred Sales Charge.................................. None
Annual Fund Operating Expenses* (expenses
that are deducted from fund assets)
(% of average net assets)
Advisory Fees.................................................. 0.50%
Shareholder Service Fee........................................ None
Other Expenses................................................. 0.58%
Total Annual Fund Operating Expenses........................... 1.08%
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
<TABLE>
<CAPTION>
Annual Fund Operating Expenses (% of average net assets)
<S> <C>
Advisory Fees............................................................... 0.50%
Shareholder Service Fee..................................................... None
Other Expenses.............................................................. 0.58%
Reimbursements.............................................................. -0.53%
Total Annual Fund Operating Expenses........................................ 0.55%
</TABLE>
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
<TABLE>
<CAPTION>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
<S> <C> <C> <C> <C>
With or without redemption $110 $343 $595 $1,317
</TABLE>
23 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
EMERGING MARKETS DEBT FUND
- ---------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks total return. To pursue this objective, the fund invests
primarily in fixed income securities of issuers in countries with new or
emerging securities markets. The portfolio management team intends to maintain a
portfolio duration of plus or minus 1 year around the fund's benchmark index.
In managing the fund, the portfolio management team uses a "top-down" approach.
This approach focuses on country selection, but security selection is an
important source of value.
Countries are selected according to macro-economic factors such as inflation,
interest rates, monetary and fiscal policies and the political climate. Short
term factors such as market sentiment, capital flows and new issue programs are
also evaluated.
PRINCIPAL HOLDINGS
Under normal circumstances, the fund invests at least 65% of its total assets in
the (high yield/high risk) fixed income securities of issuers located in
countries with new or emerging securities markets. These include performing and
non-performing loans, Eurobonds, Brady Bonds (dollar denominated securities used
to refinance foreign government bank loans) and other fixed income securities of
foreign governments and their agencies as well as some corporate debt
instruments. Up to 35% of the fund's total assets may be invested in domestic
and foreign cash equivalents and U.S. fixed income securities. The fund may
invest more than 25% of its total assets in the securities of companies located
in Argentina, Brazil and Mexico.
Fixed income securities in which the fund may invest may be of any credit
quality, including securities not paying interest currently, zero coupon bonds,
pay-in-kind securities and securities in default. The loans and debt instruments
in which the fund may invest may be denominated in a major currency or in a
local currency.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
INTEREST RATE AND PREPAYMENT RISK. The value of your investment will fluctuate
in response to interest rate changes. Generally, if rates rise, the value of
debt securities falls; if rates fall, the value of debt securities rises. When
rates increase, slower than expected principal payments for a longer period may
permit issuers to extend the average life of securities, locking in below-market
interest rates and reducing the value of these securities. As interest rates
decline, some issuers may prepay principal earlier than scheduled, forcing the
fund to reinvest in lower yielding securities.
CREDIT RISK. The issuer of a security owned by the fund may default on its
obligation to pay principal and/or interest or may have its credit rating
downgraded. Securities with low credit quality involve greater price volatility
and risk of loss of principal and income and are highly speculative in nature.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Focusing the fund's
investments in Argentina, Brazil and Mexico will cause the fund to be
particularly susceptible to the effects of political and economic developments
in these countries.
RISKS OF EMERGING SECURITIES MARKETS. Emerging markets generally have economic
structures that are less mature, they have less stable political systems and may
have rapidly changing interest rates. Regulators in emerging markets are more
likely to impose capital controls than is the case in developed markets. These
markets are highly volatile and subject to change with political or economic
developments.
NON-DIVERSIFIED STATUS. The fund is non-diversified. Compared with other funds,
the fund may invest a greater percentage of its assets in a particular issuer.
This will cause the fund to be more susceptible to developments affecting any
single issuer of portfolio securities.
The value of the fund's shares depends in part on the adviser's ability to
assess economic conditions and investment opportunities.
DUE TO THE SIGNIFICANT RISKS INVOLVED, THIS FUND IS DESIGNED FOR AGGRESSIVE
INVESTORS.
24 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
EMERGING MARKETS DEBT FUND (CONTINUED)
- ---------------------------------------
FUND PERFORMANCE
- ---------------------------------------
The bar chart indicates the risks of investing in the fund by showing changes in
the fund's performance from year to year. The table shows how the fund's average
annual total returns for different calendar years compare to the return of the
JP Morgan Emerging Markets Bond Plus Index. How the fund has performed in the
past is not necessarily an indication of how the fund will perform in the
future.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DECEMBER 31
Dec/31/95 20.02%
Dec/31/96 33.47%
Dec/31/97 12.51%
Dec/31/98 -34.28%
(% RETURN)
The bar chart shows the changes in the performance of the fund for each full
calendar year since inception.
Quarterly returns:
Highest: 16.99% in 2nd quarter 1995 Lowest: -34.74% in 3rd quarter 1998
AVERAGE ANNUAL TOTAL RETURNS
(for the periods ended December 31, 1998)
PAST SINCE
ONE INCEPT-
YEAR ION
Morgan Grenfell Emerging Markets Debt,
Institutional Shares -34.28% 3.39%
JP Morgan Emerging Markets Bond Index
Plus -14.35% 12.35%
SHAREHOLDER EXPENSES
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund.
Shareholder Fees (fees paid directly from
your investment)
(% of offering price)
Maximum Front-End Sales Charge................................. None
Maximum Deferred Sales Charge.................................. None
Annual Fund Operating Expenses* (expenses
that are deducted from fund assets)
(% of average net assets)
Advisory Fees.................................................. 1.00%
Shareholder Service Fee........................................ None
Other Expenses................................................. 0.31%
Total Annual Fund Operating Expenses........................... 1.31%
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
Annual Fund Operating Expenses (% of average net assets)
Advisory Fees.................................................... 1.00%
Shareholder Service Fee.......................................... None
Other Expenses................................................... 0.31%
Reimbursements................................................... -0.31%
Total Annual Fund Operating Expenses............................. 1.00%
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
<TABLE>
<CAPTION>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
<S> <C> <C> <C> <C>
With or without redemption $133 $415 $718 $1,579
</TABLE>
25 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
EMERGING LOCAL CURRENCY DEBT FUND
- ---------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
The fund seeks total return. To pursue this objective, the fund invests
primarily in fixed income securities denominated in currencies of emerging
markets countries. The portfolio management team intends to maintain a portfolio
duration of plus or minus 1 year around the fund's benchmark index.
When managing the fund, the portfolio management team will use a "top-down"
approach. This approach will focus on country selection and currency management
rather than individual security selection. The team will consider macro-economic
factors such as inflation, interest rates, monetary and fiscal policies,
taxation and the political climate.
In making investments for the fund, the portfolio management team will give
primary emphasis to the attractiveness of the local currencies in which
investments are denominated. The fund will generally not attempt to hedge
foreign currency exchange rate risks.
PRINCIPAL HOLDINGS
Under normal conditions, the fund invests at least 65% of its total assets in
(high yield/high risk) debt instruments denominated in currencies of issuers
located in emerging markets countries. Fixed income securities in which the fund
invests may be of any credit quality, including securities not paying interest
currently, zero coupon bonds, pay-in-kind securities and securities in default.
Up to 35% of the fund's total assets may be invested in domestic and foreign
cash equivalents and U.S. fixed income securities. The fund may invest more than
25% of its total assets in the securities of companies located in Mexico. The
fund may purchase securities on a when-issued basis.
INVESTMENT RISKS
You could lose money on your investment in the fund or the fund may not perform
as well as other investments due to the following:
INTEREST RATE AND PREPAYMENT RISK. The value of your investment will fluctuate
in response to interest rate changes. Generally, if rates rise, the value of
debt securities falls; if rates fall, the value of debt securities rises. When
rates increase, slower than expected principal payments for a longer period may
permit issuers to extend the average life of securities, locking in below-market
interest rates and reducing the value of these securities. As interest rates
decline, some issuers may prepay principal earlier than scheduled, forcing the
fund to reinvest in lower yielding securities.
CREDIT RISK. The issuer of a security owned by the fund may default on its
obligation to pay principal and/or interest or may have its credit rating
downgraded. Securities with low credit quality involve greater price volatility
and risk of loss of principal and income and are highly speculative in nature.
RISKS OF FOREIGN INVESTING. Foreign investing involves higher risks than
investing in U.S. markets because the value of the fund depends in part upon
currency exchange rates, political and regulatory environments and overall
economic factors in the countries in which the fund invests. Focusing the fund's
investments in Mexico will cause the fund to be particularly susceptible to the
effects of political and economic developments in Mexico.
RISKS OF EMERGING SECURITIES MARKETS. Emerging markets generally have economic
structures that are less mature, they have less stable political systems and may
have rapidly changing interest rates. Regulators in emerging markets are more
likely to impose capital controls than is the case in developed markets. These
markets are highly volatile and subject to change with political or economic
developments.
NON-DIVERSIFIED STATUS. The fund is non-diversified. Compared with other funds,
the fund may invest a greater percentage of its assets in a particular issuer.
This will cause the fund to be more susceptible to developments affecting any
single issuer of portfolio securities.
WHEN-ISSUED SECURITIES RISK. The market value of the securities purchased on a
when-issued basis may change before the securities are delivered.
Because the fund generally does not hedge foreign currency exchange rate risk,
the fund's return may be more dependent on the portfolio management team's
judgment as to the relative attractiveness of the local currencies in which the
fund's investments are denominated.
DUE TO THE SIGNIFICANT RISKS INVOLVED, THIS FUND IS DESIGNED FOR AGGRESSIVE
INVESTORS.
26 Prospectus - International Mutual Funds
<PAGE>
Fund Descriptions
EMERGING LOCAL CURRENCY DEBT FUND (CONTINUED)
- ----------------------------------------------
SHAREHOLDER EXPENSES
- ----------------------------------------------
This table describes the fees and expenses that you may pay if you buy and hold
shares of the fund. Since no shares were outstanding during the past year, other
expenses are based on estimated amounts for the current fiscal year.
Shareholder Fees (fees paid directly from
your investment)
(% of offering price)
Maximum Front-End Sales Charge................................. None
Maximum Deferred Sales Charge.................................. None
Annual Fund Operating Expenses* (expenses that are deducted from fund assets)
(% of average net assets)
Advisory Fees.................................................. 0.60%
Shareholder Service Fee........................................ None
Other Expenses................................................. 0.56%
Total Annual Fund Operating Expenses........................... 1.16%
* WE PLACE A LIMITATION ON THE FUND'S OPERATING EXPENSES AND REIMBURSE THE FUND
FOR ANY EXPENSES INCURRED IN ADDITION TO THE LIMITATION. THIS VOLUNTARY
REIMBURSEMENT POLICY MAY BE TERMINATED AT ANY TIME.
Annual Fund Operating Expenses (% of average net assets)
Advisory Fees........................................................ 0.60%
Shareholder Service Fee.............................................. None
Other Expenses....................................................... 0.56%
Reimbursements....................................................... -0.46%
Total Annual Fund Operating Expenses................................. 0.70%
Example
This example is intended to help you compare the cost of investing in the fund
with the cost of investing in other mutual funds. Your actual costs may be
higher or lower.
The example assumes:
- - You invest $10,000 in the fund for the time periods indicated;
- - The example also assumes that your investment has a 5% return each year; and
- - The fund's gross operating expenses remain the same.
1 YEAR 3 YEARS
With or without redemption $118 $368
27 Prospectus - International Mutual Funds
<PAGE>
MORE ABOUT RISK
When you invest in mutual funds you are taking the risk that your investment
will lose money or not earn as much as you expect. Past returns are not an
indication of future performance and there is no guarantee that the fund will
meet its investment objective.
The Board of Trustees may change each fund's investment objective without
obtaining the approval of the shareholders.
ACTIVE MANAGEMENT
The funds' investment advisers actively seek securities in which to invest,
rather than investing in a predetermined basket of stocks and/or bonds such as
an index. A fund may underperform relative to its stated benchmark, due to the
investment adviser's securities choices and choices in asset allocation.
CURRENCY EXCHANGE RATES
Currency exchange rates are the rate at which a foreign currency is converted to
the U.S. dollar. Currency exchange rate movements could reduce gains or create
losses for a fund.
DEFENSIVE INVESTING
Each fund may depart from its principal investment strategies by taking
temporary defensive positions in response to adverse market, economic or
political conditions. If a fund takes a temporary defensive position, it may be
unable to achieve its investment objective.
DERIVATIVES
Each fund may use derivatives. Derivatives are financial instruments whose value
derives from another security or an index. Futures, options and foreign currency
forward contracts are types of derivatives. Derivatives used for hedging may not
fully offset the underlying positions. Derivatives used for risk management may
not have the intended effects and may result in losses or missed opportunities.
Derivatives that involve leverage may magnify losses. In addition, there is a
risk that a counterparty will fail to honor a contract's terms resulting in a
loss for the fund.
EMERGING MARKETS SECURITIES
The funds may invest in emerging markets securities. Developing markets have
economic structures that are less mature, have less stable political systems and
may have high inflation, rapidly changing interest and currency exchange rates.
Emerging markets may lack the social, political and economic stability
characteristics of more developed countries. Investments generally tend to be
more illiquid (more difficult to trade) and more volatile than those of other
foreign investments.
EQUITY AND EQUITY RELATED SECURITIES
The funds may invest in common stock, preferred stock, warrants, purchased call
options and other rights to acquire stock. The market value of an equity
security will increase or decrease depending on market conditions. This affects
the value of the shares of a fund, and the value of your investment.
EURO DENOMINATED SECURITIES
On January 1, 1999, the currencies of the following countries converted into one
common currency: Austria, Belgium, Finland, France, Germany, Ireland,
Luxembourg, Italy, the Netherlands, Portugal, and Spain. There is a risk that
the conversion may not go as anticipated and that a fund may be affected by
pricing errors and adverse tax consequences.
FIXED INCOME SECURITIES (BONDS)
The funds may invest in government securities, corporate fixed income securities
and obligations to repay borrowed money within a certain time with or without
interest. The value of a fund's bonds could rise in value when interest rates
fall and decline when interest rates rise. The longer a bond's duration and the
lower its credit quality, the more its value typically falls. A less significant
risk is default by the bond issuer on principal or interest payments. A
security's credit rating may be downgraded at any time.
28 Prospectus - International Mutual Funds
<PAGE>
MORE ABOUT RISK (CONTINUED)
- ----------------------------------------
FOREIGN SECURITIES
The risks of investing in foreign securities are generally higher than investing
in domestic securities. A foreign government could expropriate or nationalize
assets, impose withholding or other taxes on dividend or interest payments or
capital gains, and prohibit transactions in the country's currency. Foreign
companies may not be subject to the same accounting, auditing and financial
reporting standards and requirements as U.S. companies. Foreign brokerage
commissions and custodian fees are generally higher than those in the United
States. In many foreign countries, securities markets are less liquid, more
volatile, and subject to less government regulation than U.S. securities
markets.
FOREIGN CURRENCY FORWARD CONTRACTS
A foreign currency forward contract is an obligation to buy or sell a given
currency on a future date and at a set price. See "Derivatives."
FUTURES CONTRACTS
A futures contract is an agreement to buy or sell a set quantity of an
underlying instrument at a future date or to make or receive a cash payment
based on the value of a securities index. See "Derivatives."
HEDGING
Hedging involves the attempt to offset a potential loss in one position by
establishing an interest in an opposite position. See "Derivatives."
OPTIONS CONTRACTS
An option is the right to buy or sell securities that is granted in exchange for
an agreed upon sum. See "Derivatives."
LENDING SECURITIES
Each fund may lend its securities to broker-dealers for the purpose of receiving
income. There is a potential for default from the borrower.
PORTFOLIO TURNOVER
Each fund's management approach, which may include short-term trading, could
cause the fund's portfolio turnover rate to be above average. High turnover will
increase the fund's transaction costs and may result in net gains which, when
distributed, could increase your tax liability.
SHORT-TERM TRADING
The funds may sell a security shortly after buying it. Increased trading could
raise the fund's brokerage and related costs. Increased short-term capital gains
distributions would raise shareholders' income tax.
WHEN-ISSUED AND DELAYED DELIVERY SECURITIES
The funds may purchase or sell a security at a future date for a predetermined
price. The market value of the securities may change before delivery.
YEAR 2000 PROBLEM
Many computer systems today cannot distinguish the year 2000 from the year 1900
because of the way dates are encoded and calculated. The cost of addressing the
Year 2000 problem, if substantial, could adversely affect companies and
governments that issue securities held by the fund. The investment adviser is
taking steps designed to address the Year 2000 problem and to obtain reasonable
assurances that comparable steps are being taken by the funds' other major
service providers. Although there can be no assurance that these systems will be
properly adapted in time for the Year 2000, the adviser expects that they will
be.
ZERO COUPON SECURITIES, PAY-IN-KIND SECURITIES, DISCOUNT OBLIGATIONS, MORTGAGE
AND ASSET-BACKED SECURITIES, CONVERTIBLE SECURITIES AND HIGH YIELD SECURITIES
The fund may invest in obligations to repay borrowed money within a certain time
with or without interest. Debt securities are affected by changes in interest
rates. In general, when interest rates go up, the value of a debt security
decreases; when interest rates go down, the value of a debt security increases.
There is the risk that the borrower will not be able to fulfill its obligation
resulting in a loss, or a lower price than anticipated.
29 Prospectus - International Mutual Funds
<PAGE>
INVESTMENT ADVISER
The day-to-day operations of the funds, including investment decisions, have
been delegated to the adviser, Morgan Grenfell Investment Services Limited (MGIS
or the adviser). MGIS is located at 20 Finsbury Circus, London, England. MGIS
provides a full range of international investment advisory services to
institutional clients, and as of October 31, 1998, managed approximately $12.1
billion in assets. The adviser is responsible for making specific decisions to
buy and sell portfolio securities for the funds. The adviser is also responsible
for selecting brokers and dealers and for negotiating brokerage commissions and
dealer charges. For these services, the adviser is entitled to a monthly fee at
an annual rate of each fund's average daily net assets as follows:
Morgan Grenfell International Select Equity Fund 0.70%
Morgan Grenfell Global Equity Fund 0.70%
Morgan Grenfell European Equity Growth Fund 0.70%
Morgan Grenfell New Asia Fund 0.70%
Morgan Grenfell International Small Cap
Equity Fund 1.00%
Morgan Grenfell Japanese Small Cap Equity
Fund 1.00%
Morgan Grenfell European Small Cap Equity
Fund 1.00%
Morgan Grenfell Emerging Markets Equity Fund 1.00%
Morgan Grenfell Core Global Fixed Income Fund 0.50%
Morgan Grenfell Global Fixed Income Fund 0.50%
Morgan Grenfell International Fixed Income
Fund 0.50%
Morgan Grenfell Emerging Markets Debt Fund 1.00%
Morgan Grenfell Emerging Local Currency Debt
Fund 0.60%
MGIS is a subsidiary of Morgan Grenfell Asset Management Limited (MGAM), which
is a wholly-owned subsidiary of Deutsche Bank AG, an international commercial
and investment banking group.
PORTFOLIO MANAGEMENT
A committee made up of investment professionals and analysts employed by the
adviser makes all of the funds' investment decisions.
30 Prospectus - International Mutual Funds
<PAGE>
Managing Your Investment
BUYING AND SELLING SHARES
- -----------------------------------------
BUYING AND SELLING SHARES THROUGH A PLAN
If you are investing through a large retirement plan or other special program,
follow the instructions in your program materials.
BUYING AND SELLING SHARES THROUGH A BROKER
Each fund has authorized brokers to accept purchase and redemption orders on
behalf of the fund. If you invest through a broker, you may be subject to
minimums established by the broker. Also, you may be subject to transaction fees
for buying or selling shares. When you buy or sell shares through a broker, it
is the responsibility of the broker to forward the request to us. If we do not
receive the request in a timely manner, you may not receive that day's NAV. Your
financial professional will be able to assist you in establishing your fund
account, buying and selling shares, and monitoring your investment. To open an
account without the help of a financial professional, please use the
instructions on these pages.
BUYING AND SELLING SHARES DIRECTLY
SALES CHARGE. There is no sales charge for buying institutional shares of the
funds listed in this prospectus.
MINIMUM INITIAL INVESTMENT. The minimum initial investment is $250,000. We
reserve the right to vary the initial investment amount at any time. We also
reserve the right to waive the minimum initial investment amount at any time.
MINIMUM ADDITIONAL INVESTMENT. There is no minimum additional investment amount.
We reserve the right to establish minimums for additional investments at any
time.
Each fund reserves the right to reject any purchase order or suspend the
offering of its shares.
Buying Shares for the First Time
Complete the enclosed application. You can avoid future inconvenience by signing
up now for any services you might later use.
BY MAIL. Complete the enclosed account application and mail it with a check to
Morgan Grenfell Investment Trust.
BY WIRE. You must have an account with a commercial bank that is a member
of the Federal Reserve System. We do not charge a wire fee, but your bank might.
- - First, telephone 1-800-550-6426 to be assigned an account number.
- - Even if you are purchasing shares by wire, you must promptly complete the
account application accompanying this prospectus and send it to Morgan
Grenfell Investment Trust.
- - Specify your name, account number, taxpayer identification or social security
number and address in the wire. Have the wire sent to: United Missouri Bank,
N.A. ABA No. 10-10-00695 For: Account Number 98-7052-395-7
Further Credit: [appropriate fund name]
Buying Additional Shares
BY MAIL. Send a check along with either an order form or a letter stating the
amount of investment to be made, the name of the fund you want to invest in, and
your account number to Morgan Grenfell Investment Trust.
BY WIRE. We do not charge a wire fee, but your bank might. Specify your name,
account number, taxpayer identification or social security number and address in
the wire. Have the wire sent to: United Missouri Bank, N.A. ABA No. 10-10-00695
For: Account Number 98-7052-395-7 Further Credit: [appropriate fund name]
Selling Shares
BY MAIL. Specify the number of institutional shares you wish to sell, the name
of the fund from which institutional shares are being redeemed, your account
number, payment instructions, and the exact registration on the account. Send
the information to Morgan Grenfell Investment Trust. Make sure you sign your
letter. Additional information, such as a signature guarantee, may be required.
BY PHONE. If you have selected the optional telephone redemption privilege on
your account application, you may redeem institutional shares of any fund,
without charge, by calling 1-800-550-6426. Requests must be made before 4:00
p.m. Eastern Standard Time. After your request has been
ALL CORRESPONDENCE SHOULD BE SENT TO:
BY REGULAR MAIL BY OVERNIGHT MAIL
Morgan Grenfell Morgan Grenfell
Investment Trust Investment Trust
P.O. Box 419165 c/o DST Systems, Inc.
Kansas City, MO CT-8 Tower
64141-6165 330 West 9th Street
Kansas City, MO 64105
31 Prospectus - International Mutual Funds
<PAGE>
Managing Your Investment
BUYING AND SELLING SHARES (CONTINUED)
- ---------------------------------------
verified, a check for the net amount will be mailed to the registered owner(s)
at the address of record. It may be difficult to implement telephone redemptions
in times of dramatic economic or market changes.
You may be asked to provide certain information that is unique to your account,
in order for us to verify the authenticity of your phone call.
HOW SHARES ARE PRICED
The price you pay when you buy, or receive when you sell, is based upon the net
asset value (NAV) of your fund. The NAV is calculated by dividing the net assets
(total assets minus liabilities) of each fund class by the number of shares of
that class outstanding. The NAV is calculated at the close of regular trading
every day the New York Stock Exchange (NYSE) is open for business (generally
4:00 p.m., Eastern time). If the NYSE closes early, the fund will accelerate the
calculation of NAV and transaction deadlines to the actual closing time. Shares
will not be priced on national holidays or other days on which the NYSE is
closed for trading.
The fund uses a forward pricing procedure. Therefore, the price at which you buy
or sell shares is based on the next calculation of the NAV after the order is
received by the fund or our broker, provided that your broker forwards your
order to the fund in a timely manner.
Certain shares held by the funds are listed on foreign exchanges and trade at
times and on days when the NYSE is closed. As a result, the net asset value of
each class of each fund may be significantly affected by such trading and at
times and on days when you have no ability to redeem shares of the fund.
If the adviser believes that an asset's market value does not reflect its fair
value, then the Board of Trustees, in good faith, will determine fair value.
PAYMENT OF REDEMPTION PROCEEDS
BY WIRE. When you sell shares, the proceeds will be wired to the bank account
you designated on the account application, unless payment by check has been
requested. Normally, redemption proceeds will be wired no more than seven days
after the transfer agent receives the appropriate redemption request documents,
including any additional documentation we may ask for, to verify the
authenticity of your request. Frequently, the proceeds will be wired on the next
Business Day after receipt of such documents.
You may receive your redemption proceeds by Federal Reserve wire or Automated
Clearing House (ACH) wire. Redemption requests by federal wire cannot be made on
federal holidays. Transactions made by ACH will not be posted to a shareholder's
bank account until the second business day following the transaction. We do not
charge a wire fee, but your bank might.
If you wish to change the bank designated to receive redemption proceeds, you or
an authorized representative must send a signed written request to the transfer
agent. The signature must be guaranteed by a bank, a member of a national stock
exchange, or another eligible institution. The transfer agent may require
additional documentation in connection with your request. Please contact the
transfer agent for more information.
The payment of redemption proceeds for shares of a fund recently purchased by
check may be delayed for up to 15 calendar days while we wait for your check to
clear.
You may redeem shares in cash up to the lesser of $250,000 or 1% of the net
asset value of the fund during any 90 day period. Redemptions in excess of this
limitation may be made in-kind. Please see the SAI for more information.
ALL CORRESPONDENCE SHOULD BE SENT TO:
BY REGULAR MAIL BY OVERNIGHT MAIL
Morgan Grenfell Morgan Grenfell
Investment Trust Investment Trust
P.O. Box 419165 c/o DST Systems, Inc.
Kansas City, MO CT-8 Tower
64141-6165 330 West 9th Street
Kansas City, MO 64105
32 Prospectus - International Mutual Funds
<PAGE>
Managing Your Investment
HOLDING SHARES
- -------------------
EXCHANGING SHARES
Institutional shares of one fund can be exchanged for institutional shares of
any other Morgan Grenfell fund in amounts as low as $50,000. Be sure to read the
prospectus relating to the institutional shares of the fund you wish to acquire
and consider its investment objective, policies and fees before making an
exchange into that fund. An exchange of a fund's shares for shares of another
fund will be treated as a sale of the fund's shares and a gain on the
transaction may be subject to federal income tax.
BY MAIL. Send a written request to Morgan Grenfell Investment Trust.
BY PHONE. Telephone 1-800-550-6426 to speak to a Representative.
DIVIDENDS AND DISTRIBUTIONS
Each of the funds described in this prospectus pays dividends from net
investment income and net capital gains to shareholders, at least annually. Your
share of the income and capital gains the fund distributes is based on the
number of shares you own. You can receive your distributions in cash or reinvest
them in the same fund. You may change this preference at any time by notifying
us in writing. If no election is made, all dividends and capital gain
distributions will be reinvested in the same fund. The fund's distributions,
whether received in cash or reinvested in additional shares of the fund, may be
subject to federal, state and local tax.
TAX CONSIDERATIONS
This tax information is general in nature and may not apply to certain
tax-deferred accounts or other non-taxable entities. You should consult your tax
adviser to discuss how investing in the funds described in this prospectus will
affect your personal tax situation. As a shareholder, you will generally pay
taxes on the dividends and distributions you receive, whether they are received
in cash or reinvested. Selling or exchanging shares or receiving dividends and
distributions will create tax liability. The following demonstrates how various
transactions are taxed for federal income tax purposes.
DISTRIBUTION
RECEIVED: TREATED AS:
Income Dividends and Ordinary income
Short-term capital
gains distributions
Long-term capital Capital gains (generally
gains distributions taxed at a maximum of 20%)
(over 12 months)
Selling or exchanging Generally, capital gains or
shares owned more losses
than a year
Selling or exchanging For gains: short-term
shares owned one year capital gains; For losses:
or less than a year special rules apply. Please
consult your tax adviser or
see the SAI.
If you buy shares of a fund right before it makes a taxable dividend or
distribution, part of your investment will come back to you as a taxable
distribution. Unless you are investing in a tax-deferred account, such as an
IRA, this is not to your advantage since you will pay tax on the dividend but
will not have shared in the increase in NAV of the fund.
If you sell shares at a loss for tax purposes and invest in a substantially
similar investment within a 61 day period beginning 30 days before and ending 30
days after the sale date, the sale is generally considered a "wash sale" and you
will be unable to claim a tax loss.
Every year, the fund will send you information detailing the amount of income
and capital gains distributed to you for the previous year and the proceeds of
your redemptions (including exchanges).
If you fail to furnish your correct taxpayer identification number and required
certifications, you may be subject to a 31% backup withholding tax. Foreign
investors are subject to different tax rules and may be subject to non-resident
alien withholding tax at the rate of 30% (or a lower rate provided by an
applicable tax treaty) on amounts treated as ordinary dividends. Unless a
current IRS Form W-8 or acceptable substitute is on file, backup withholding on
certain other payments may apply as well.
Because everyone's tax situation is unique, always consult your tax professional
about federal, state and local tax consequences.
33 Prospectus - International Mutual Funds
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------
The financial highlights table is intended to help you understand the funds'
financial performance for the past 5 years, or, if shorter, the period of the
funds' operations. Certain information reflects financial results for a single
fund share. The total returns in the table represent the rate that an investor
would have earned (or lost) on an investment in the fund (assuming reinvestment
of all dividends and distributions). This information has been audited by
PricewaterhouseCoopers LLP, whose report, along with the funds' financial
statements, are included in the Statement of Additional Information (SAI) and
annual report, which is available on request.
No data is shown below for Morgan Grenfell Global Equity Fund, Morgan Grenfell
New Asia Fund, Morgan Grenfell Japanese Small Cap Equity Fund and Morgan
Grenfell Emerging Local Currency Debt Fund because institutional shares of these
funds had not commenced operations on or prior to October 31, 1998.
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
--------- ---------- -------------- ------------- ------------- --------- ----------
International Select Equity Fund:
<S> <C> <C> <C> <C> <C> <C> <C>
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+
</TABLE>
<TABLE>
<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
------------ ---------- ---------- ------------ ------------ -----
International Select Equity Fund:
<S> <C> <C> <C> <C> <C> <C>
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
</TABLE>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) INTERNATIONAL SELECT 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.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0.00 OR HAVE BEEN ROUNDED TO $0.00.
34 Prospectus - International Mutual Funds
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
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
--------- ---------- -------------- ----------- -------------- --------- ---------
European Small Cap Equity Fund:
<S> <C> <C> <C> <C> <C> <C> <C>
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(1) 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(2) 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(3) 10.00 0.25 (0.40) -- -- 9.85 (1.50)+
-------
Core Global Fixed Income:
Institutional Shares
1998(4) $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(5) 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(6) 10.00 0.13 0.06 -- -- 10.19 1.90+
</TABLE>
<TABLE>
<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 TOTAL
END OF TO AVERAGE TO AVERAGE EXPENSE EXPENSE TURNOVER
PERIOD (000) NET ASSETS NET ASSETS LIMITATIONS) LIMITATIONS) RATE
------------ ----------- ------------ ------------ ------------- ---------
European Small Cap Equity Fund:
<S> <C> <C> <C> <C> <C> <C>
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(1) 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(2) 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(3) 53,915 0.85 5.71 1.28 5.28 173
-------
Core Global Fixed Income:
Institutional Shares
1998(4) $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(5) 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(6) 16,248 1.90 7.04 2.60 6.34 52
</TABLE>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) EUROPEAN SMALL CAP EQUITY FUND INSTITUTIONAL SHARES COMMENCED
OPERATIONS ON 11/01/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) EMERGING MARKETS EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
2/01/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) GLOBAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
1/04/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(4) CORE GLOBAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
5/4/98. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(5) INTERNATIONAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
3/15/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(6) EMERGING MARKETS DEBT FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
8/4/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0.00 OR HAVE BEEN ROUNDED TO $0.00.
35 Prospectus - International Mutual Funds
<PAGE>
Additional information about a fund's investments is available in the fund's
annual and semi-annual reports to shareholders. In each fund's annual report,
you will find a discussion of the market conditions and investment strategies
that significantly affected the fund's performance during its last fiscal year.
The annual report also includes the report of the fund's independent
accountants.
The Statement of Additional Information (SAI) is a supplement to this
prospectus. The SAI contains further information about a fund and its investment
limitations and policies. It also includes the most recent annual report and the
independent accountant's report. A current SAI for the funds is on file with the
Securities and Exchange Commission and is incorporated by reference (is legally
part of this prospectus).
A free copy of the current annual/semi-annual report, the SAI, and other
information and answers to questions about the funds are available by
contacting:
Morgan Grenfell Investment Trust
P.O. Box 419165
Kansas City, MO 64141-6165
Telephone: 1-800-550-6426
Information about a fund (including the SAI) can be reviewed and copied at the
Commission's Public Reference Room in Washington D.C. Information on the
operation of the public reference room may be obtained by calling the Commission
at 1-800-SEC-0330.
Copies of information can be obtained, upon payment of a duplicating fee, by
writing the Public Reference Section of the Commission, Washington, D.C.
20549-6009
Or you can visit the SEC Web site at: www.sec.gov Registration Number: 811-8006
MG-F-03-0299-01
<PAGE>
EXHIBIT E
BT INVESTMENT FUNDS
(BT Investment International Equity Fund, BT Investment International Small
Company Equity Fund, BT Investment Global Emerging Markets Equity Fund, BT
Investment Latin American Equity Fund, BT Investment Pacific Basin Equity Fund)
BT INSTITUTIONAL FUNDS
(BT Institutional Global Emerging Markets Equity Fund)
PROSPECTUS SUPPLEMENT DATED JULY 15, 1999, REPLACING SUPPLEMENT DATED JUNE 21,
1999.
THE FOLLOWING APPLIES TO SHARES OF THE BT INVESTMENT GLOBAL EMERGING MARKETS
EQUITY FUND:
On June 9, 1999, the Board of Trustees voted to recommend the merger of the BT
Investment Global Emerging Markets Equity Fund (the "BT Fund") into the Morgan
Grenfell Emerging Markets Equity Fund (the "Morgan Grenfell Fund"). The Board
also voted to cease establishing new accounts in the BT Fund as of June 14,
1999. The Board has determined that this proposal is in the best interests of
shareholders.
The merger requires the approval of the BT Fund's shareholders. A Special
Meeting of Shareholders is scheduled for October 8, 1999, at which time this
proposal will be put forth for a shareholder vote. If the shareholders approve
the merger, shares of the BT Fund will be converted to shares of the Morgan
Grenfell Fund in the fourth quarter 1999. The transfer of shares from the BT
Fund to the Morgan Grenfell Fund would not be a taxable transaction for
shareholders.
THE FOLLOWING REVISES AND SUPERCEDES, AS APPLICABLE, THE SECTION "MANAGEMENT OF
THE FUND(S)" IN THE PROSPECTUSES FOR THE BT INVESTMENT INTERNATIONAL SMALL
COMPANY EQUITY FUND, BT INVESTMENT GLOBAL EMERGING MARKETS EQUITY FUND, BT
INVESTMENT LATIN AMERICAN EQUITY FUND, BT INVESTMENT PACIFIC BASIN EQUITY FUND
AND BT INSTITUTIONAL GLOBAL EMERGING MARKETS EQUITY FUND:
Effective May 1, 1999, BT Funds Management (International) Limited no longer
serves as sub-adviser to the Funds. Bankers Trust Company ("Bankers Trust" or
the "Investment Adviser"), the Funds' investment adviser, will assume day-to-day
investment decision-making responsibility for the Funds and their corresponding
master portfolios.
THE FOLLOWING REVISES AND SUPERCEDES THE SECTION "MANAGEMENT OF THE FUND(S)" IN
EACH FUND'S PROSPECTUS:
Prior to June 4, 1999, Bankers Trust was a wholly owned subsidiary of Bankers
Trust Corporation. On June 4, 1999, Bankers Trust Corporation merged with and
into a subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global
banking institution that is engaged in a wide range of financial services,
including investment management, mutual funds, retail and commercial banking,
investment banking and insurance. Because Deutsche Bank AG, as Bankers Trust's
new parent company, controls its operations as investment adviser, the Fund's
shareholders will be asked to approve a new investment advisory agreement. A
Special Meeting of Shareholders will be held for this purpose. Bankers Trust
believes that, under this new arrangement, the services provided to each Fund
will be maintained at their current level.
* * *
On March 11, 1999, Bankers Trust announced that it had reached an agreement with
the United States Attorney's Office in the Southern District of New York to
resolve an investigation concerning inappropriate transfers of unclaimed funds
and related record-keeping problems that occurred between 1994 and early 1996.
Pursuant to its agreement with the U.S. Attorney's Office, Bankers Trust pleaded
guilty to misstating entries in the bank's books and records and
Page 1 of 2
<PAGE>
agreed to pay a $60 million fine to federal authorities. Separately, Bankers
Trust agreed to pay a $3.5 million fine to the State of New York. The events
leading up to the guilty pleas did not arise out of the investment advisory or
mutual fund management activities of Bankers Trust or its affiliates.
As a result of the plea, absent an order from the SEC, Bankers Trust would not
be able to continue to provide investment advisory services to the Fund. The SEC
has granted a temporary order to permit Bankers Trust and its affiliates to
continue to provide investment advisory services to registered investment
companies. There is no assurance that the SEC will grant a permanent order.
THE FOLLOWING REPLACES THE "PORTFOLIO MANAGER(S)" SECTION IN THE PROSPECTUSES
FOR THE BT INVESTMENT GLOBAL EMERGING MARKETS EQUITY FUND, BT INVESTMENT PACIFIC
BASIN EQUITY FUND AND BT INSTITUTIONAL GLOBAL EMERGING MARKETS EQUITY FUND:
Portfolio Manager.
Julie Wang
o Principal of Bankers Trust and Portfolio Manager for the portfolios.
o Joined Bankers Trust in 1994 and the portfolios in 1998.
o Specializes in emerging markets.
o Ten years of investment management experience.
o Served as Investment Manager at American International Group from 1991 to
1994.
o Bachelor's degree in economics from Yale University; MBA from The Wharton
School, University of Pennsylvania.
THE FOLLOWING REPLACES THE SECTION "PORTFOLIO MANAGERS" IN THE PROSPECTUS FOR
THE BT INVESTMENT LATIN AMERICAN EQUITY FUND:
Portfolio Manager.
Neil Jenkins, CFA
o Director, Morgan Grenfell Investment Services Limited ("MGIS") and Portfolio
Manager for the portfolio.
o Joined the Investment Adviser and the portfolio in July 1999.
o Held various positions with MGIS since 1985.
o Specializes in emerging markets.
o Fourteen years of investment management experience.
o M.A., German and Russian, Oxford University.
THE FOLLOWING SUPPLEMENTS THE SECTION "BUYING AND SELLING FUND SHARES" IN THE
PROSPECTUS FOR THE BT INVESTMENT INTERNATIONAL SMALL COMPANY EQUITY FUND:
Effective April 22, 1999, the BT Investment International Small Company Equity
Fund ceased accepting additional purchase orders. The Board of Trustees reached
the decision to liquidate the Fund after careful consideration. The Fund
liquidated all of its assets effective May 28, 1999.
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE
CUSIPS: 055922868 055922686 055922678 055922785 055922736 055924823
Page 2 of 2
<PAGE>
PROSPECTUS: JANUARY 31, 1999
[BT MUTUAL FUNDS LOGO APPEARS HERE]
BT Mutual Funds
International Equity Fund
International Small Company Equity Fund
Global Emerging Markets Equity Fund
Latin American Equity Fund
Pacific Basin Equity Fund
INVESTING IN STOCKS AND OTHER EQUITY SECURITIES OF
COMPANIES
OUTSIDE THE UNITED STATES
TRUST: BT INVESTMENT FUNDS
INVESTMENT ADVISER: BANKERS TRUST COMPANY
[Like shares of all mutual funds, these securities have not
been approved or disapproved by the Securities and Exchange
Commission nor has the Securities and Exchange Commission
passed upon the accuracy or adequacy of this prospectus.
Any representation to the contrary is a criminal offense.]
<PAGE>
<TABLE>
<S> <C>
TABLE OF CONTENTS
----------------------------------------
3 INTERNATIONAL EQUITY FUND
12 INTERNATIONAL SMALL COMPANY EQUITY FUND
19 GLOBAL EMERGING MARKETS EQUITY FUND
26 LATIN AMERICAN EQUITY FUND
35 PACIFIC BASIN EQUITY FUND
44 INFORMATION CONCERNING ALL FUNDS
44 Management of the Funds
45 Calculating a Fund's Share Price
45 Performance Information
46 Dividends and Distributions
46 Tax Considerations
46 Buying and Selling Fund Shares
</TABLE>
2
-----
<PAGE>
INTERNATIONAL EQUITY FUND
Overview
<TABLE>
<S> <C>
[GOAL: The Fund invests for long-term capital appreciation.
CORE STRATEGY: The Fund invests primarily in the stocks and other
equity securities of companies in developed countries outside the
United States.]
</TABLE>
<TABLE>
<S> <C>
International Equity Fund
OVERVIEW OF THE INTERNATIONAL EQUITY FUND
3 Goal
3 Core Strategy
3 Investment Policies and Strategies
4 Principal Risks of Investing in the Fund
4 Who Should Consider Investing in the Fund
5 Total Returns, After Fees and Expenses
6 Annual Fund Operating Expenses
A DETAILED LOOK AT THE INTERNATIONAL EQUITY FUND
7 Objective
7 Strategy
7 Principal Investments
8 Investment Process
8 Risks
10 Portfolio Managers
11 Financial Highlights
</TABLE>
INVESTMENT POLICIES AND STRATEGIES
The Fund invests all of its assets in a master portfolio with the same
investment objective as the Fund. The Fund, through the master portfolio, seeks
to achieve that objective by investing primarily in companies in developed
foreign countries. The Fund may also invest a portion of its assets in
companies based in emerging markets. The companies are selected by an extensive
tracking system plus the input of experts from various financial disciplines.
3
------
<PAGE>
Overview of the International Equity Fund
PRINCIPAL RISKS OF INVESTING IN THE FUND
An investment in the Fund could lose money, or the Fund's performance could
trail that of other investments. For example:
- - Stocks that the Investment Adviser has selected could perform poorly; or
- - The stock market could perform poorly in one or more of the countries in
which the Fund has invested.
Beyond the risks common to all stock investing, an investment in the Fund could
also lose money or underperform alternative investments as a result of risks in
the foreign countries in which the Fund invests:
- - Adverse political, economic or social developments could undermine the value
of the Fund's investments or prevent the Fund from realizing their full value;
- - Accounting and financial reporting standards differ from those in the U.S.
and could convey incomplete information when compared to information typically
provided by U.S. companies; or
- - The currency of a country in which the Fund invests may decrease in value
relative to the U.S. dollar, which could affect the value of the investment to
U.S. investors.
WHO SHOULD CONSIDER INVESTING IN THE FUND
You should consider investing in the International Equity Fund if you are
seeking long-term capital appreciation. There is, of course, no guarantee that
the Fund will realize its goal. Moreover, you should be willing to accept
greater short-term fluctuation in the value of your investment than you would
typically experience investing in bond or money-market funds.
You should not consider investing in the International Equity Fund if you are
pursuing a short-term financial goal, if you seek regular income or if you
cannot tolerate fluctuations in the value of your investments.
The Fund by itself does not constitute a balanced investment program. It can,
however, afford you exposure to investment opportunities not available to
someone who invests in U.S. securities alone. Diversifying your investments may
improve your long-run investment return and lower the volatility of your
overall investment portfolio.
AN INVESTMENT IN THE INTERNATIONAL EQUITY FUND IS NOT A DEPOSIT OF BANKERS
TRUST COMPANY OR ANY OTHER BANK, AND IS NOT INSURED OR GUARANTEED BY THE
FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
4
------
<PAGE>
Overview of the International Equity Fund
YEAR-BY-YEAR RETURNS
(EACH FULL CALENDAR YEAR SINCE INCEPTION)
[BAR CHART APPEARS HERE BELOW WITH THE FOLLOWING INFORMATION.]
1993 1994 1995 1996 1997 1998
- ----- ---- ---- ----- ----- ------
37.38% 4.11% 16.10% 21.32% 17.37% 20.82%
Since inception, the Fund's highest return in any calendar quarter was 19.44%
and its lowest quarterly return was -16.58%. Past performance offers no
indication of how the Fund will perform in the future.
TOTAL RETURNS, AFTER FEES AND EXPENSES
The bar chart and table on this page can help you evaluate the potential risk
and rewards of investing in the Fund by showing changes in the Fund's
performance year to year. The bar chart shows the Fund's actual return for each
full calendar year since the Fund began selling shares on August 4, 1992 (its
inception date). The table compares the Fund's average annual return with the
MORGAN STANLEY CAPITAL INTERNATIONAL (MSCI) EAFE INDEX over the last one and
five years and since its inception. Bear in mind that the Index is a passive
measure of combined national stock market returns. It does not factor in the
costs of buying, selling and holding stocks -- costs which are reflected in the
Fund's results.
- --------------------------------------
THE MSCI EAFE INDEX of major markets in Europe, Australia and the Far East
(EAFE) is a widely accepted benchmark of international stock performance. It is
a model, not an actual portfolio. It tracks stocks in Australia, Austria,
Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan,
the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden,
Switzerland and the United Kingdom.
AVERAGE ANNUAL RETURNS
(AS OF DECEMBER 31, 1998)
<TABLE>
<CAPTION>
Since Inception
1 year 5 years (August 4, 1992)(1)
----------- ----------- ------------------
<S> <C> <C> <C>
INTERNATIONAL EQUITY FUND 20.82% 15.77% 17.34%
- --------------------------- ----- ----- -----
EAFE Index 20.00% 9.19% 11.93%
- --------------------------- ----- ----- -----
Lipper International Fund
Universe(2) 13.02% 7.69% 11.04%
- ---------- ----- ----- -----
</TABLE>
(1)The EAFE Index and Lipper International Fund Universe averages are calculated
from July 31, 1992.
(2)Unweighted average return, net of fees and expenses, of all mutual funds that
invested primarily in stocks and other equity securities of companies outside
the United States.
5
-------
<PAGE>
Overview of the International Equity Fund
ANNUAL FUND OPERATING EXPENSES
(EXPENSES PAID FROM FUND ASSETS)
The Annual Fees and Expenses table to the right describes the fees and expenses
that you may pay if you buy and hold shares of the International Equity Fund.
Expense Example. The example below illustrates the expenses you would have
incurred on a $10,000 investment in the Fund. The numbers assume that the Fund
earned an annual return of 5% over the periods shown, the Fund's operating
expenses remained the same and you sold your shares at the end of the period.
You may use this hypothetical example to compare the Fund's expense history
with other funds.(1) Your actual costs may be higher or lower.
(1)Information on the annual operating expenses reflects the expenses of both
the Fund and the International Equity Portfolio, the master fund in which the
International Equity Fund invests its assets. (A further discussion of the
relationship between the Fund and the Portfolio appears in the
"Organizational Structure" section of this prospectus.)
(2)Bankers Trust has agreed, for the 16-month period from the Fund's fiscal year
end of September 30, 1998, to waive its fees and reimburse expenses so that
total expenses will not exceed 1.50%.
(3)Based on expenses, after fee waivers and reimbursements for the first 16
months only.
ANNUAL FEES AND EXPENSES
<TABLE>
<CAPTION>
Percentage of Average
Daily Net Assets(1)
---------------------------
<S> <C>
Management Fees 0.65%
- --------------------------------------- -------
Distribution and Service (12b-1) Fees None
- --------------------------------------- -------
Other Fund Operating Expenses 1.05%
- --------------------------------------- -------
Total Fund Operating Expenses 1.70%
- --------------------------------------- -------
Less: Fee Waivers or Expense
Reimbursement (0.20)%(2)
- --------------------------------------- ------------
NET EXPENSES 1.50%
- --------------------------------------- ------------
</TABLE>
<TABLE>
<CAPTION>
[EXPENSE EXAMPLE(3)
1 year 3 years 5 years 10 years
-------- --------- --------- ---------
<S> <C> <C> <C> <C>
$153 $520 $921 $2,047]
</TABLE>
6
------
<PAGE>
INTERNATIONAL EQUITY FUND
A detailed look
OBJECTIVE
The Fund seeks long-term capital appreciation. Under normal circumstances, the
Fund invests at least 65% of its total assets in the stocks and other
securities with equity characteristics of companies in developed countries
outside the United States.
The Fund invests for capital appreciation, not income; any dividend and
interest income is incidental to the pursuit of its objective. While we give
priority to capital appreciation, we cannot offer any assurance of achieving
this objective. The Fund's objective is not a fundamental policy. We must
notify shareholders before we change it, but we do not require their approval
to do so.
STRATEGY
The Fund invests for the long term. We employ a strategy of growth at a
reasonable price. We seek to identify companies outside the United States that
combine strong potential for earnings growth with reasonable investment value.
Such companies typically exhibit increasing rates of profitability and cash
flow, yet their share prices compare favorably to other stocks in a given
market and to their global peers. In evaluating stocks, we consider factors
such as sales, earnings, cash flow and enterprise value. Enterprise value is a
company's market capitalization plus the value of its net debt. We further
consider the relationship between these and other quantitative factors.
Together, these indicators of growth and value may identify companies with
improving prospects before the market in general has taken notice.
PRINCIPAL INVESTMENTS
Almost all the companies in which the Fund invests are based in the developed
foreign countries that make up the EAFE Index, plus Canada. The Fund may also
invest a portion of its assets in companies based in the emerging markets of
Latin America, the Middle East, Europe, Asia and Africa if we believe that
their return potential more than compensates for the extra risks associated
with these markets. While we have invested in emerging markets in the past,
under normal market conditions we do not consider this a central element of the
Fund's strategy. Typically, we would not hold more than 15% of net assets in
emerging markets.
BEST/WORST PERFORMING STOCK MARKETS
[BAR CHART APPEARS BELOW DEPICTING THE BEST/WORST PERFORMING STOCK MARKETS]
1988 1994
New Zealand -12% Hong Kong -5%
Belgium 55% Finland 52%
1989 1995
Finland -9% Austria -4%
Austria 104% Switzerland 45%
1990 1996
New Zealand -37% Japan -15%
United Kingdom 10% Spain 41%
1991 1997
Finland -17% Malaysia -68%
Hong Kong 50% Switzerland 45%
1992 1998
Denmark -28% Norway -30%
Hong Kong 32% Finland 123%
1993
US 10%
Hong Kong 116%
Returns in U.S. dollars
- --------------------------------------------------------------------------------
THIS CHART DOES NOT REPRESENT THE PERFORMANCE OF ANY OF THE BT MUTUAL FUNDS.
PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS.
From 1988 to 1998, the difference in annual returns between the strongest
performing markets and the weakest averaged 81%, according to Factset. And the
United States, notwithstanding some outstanding years during this period, never
posted the best annual return. Thus, by maintaining a presence across the
developed markets, investors can potentially improve their returns compared to
investing solely in U.S. stocks.
7
----
<PAGE>
A Detailed Look at the International Equity Fund
INVESTMENT PROCESS
Company research lies at the heart of our investment process, as it does with
many stock mutual funds. We track several thousand companies to arrive at the
approximately 100 stocks the Fund normally holds. But our process brings an
added dimension to this fundamental research. It draws on the insight of
experts from a range of financial disciplines -- regional stock market
specialists, global industry specialists, economists and quantitative analysts.
They challenge, refine and amplify each other's ideas. Their close
collaboration is a critical element of our investment process.
RISKS
BELOW WE SET FORTH SOME OF THE PROMINENT RISKS ASSOCIATED WITH INTERNATIONAL
INVESTING, AS WELL AS INVESTING IN GENERAL, AND WE DETAIL OUR APPROACHES TO
CONTAINING THEM. ALTHOUGH WE ATTEMPT TO ASSESS THE LIKELIHOOD THAT THESE RISKS
MAY ACTUALLY OCCUR AND TO LIMIT THEM, WE MAKE NO GUARANTEE THAT WE WILL
SUCCEED.
PRIMARY RISKS
Market Risk. Although individual stocks can outperform their local markets,
deteriorating market conditions might cause an overall weakness in the stock
prices of the entire market.
Stock Selection Risk. A risk that pervades all investing is the risk that the
securities an investor has selected will not perform to expectations. To
minimize this risk, we monitor each of the stocks in the Fund according to
three basic quantitative criteria.
We subject a stock to intensive review if:
- - its rate of price appreciation begins to trail that of its national stock
index;
- - the financial analysts who follow the stock, both within Bankers Trust and
outside, cut their estimates of the stock's future earnings; or
- - the stock's price approaches the downside target we set when we first bought
the stock (and may since have modified to reflect changes in market and
economic conditions).
In this review, we seek to learn if the deteriorating performance accurately
reflects deteriorating prospects or if, in our view, it merely reflects
investor overreaction to temporary circumstances.
Political Risk. Some foreign governments have limited the outflow of profits to
investors abroad, extended diplomatic disputes to include trade and financial
relations, and imposed high taxes on corporate profits. While these political
risks have not occurred recently in the major countries in which the Fund
invests, we analyze countries and regions to try to anticipate these risks.
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER. The portfolio turnover rate measures the frequency that the
Portfolio sells and replaces the securities it holds within a given period.
Historically, this Fund has had a low portfolio turnover rate.
Information Risk. Financial reporting standards for companies based in foreign
markets differ from those in the United States. Since the "numbers" themselves
sometimes mean different things, the Investment Adviser devotes much of its
research effort to understanding and assessing the impact of these differences
upon a company's financial conditions and prospects.
Foreign Stock Market Risk. From time to time, foreign capital markets have
exhibited more volatility than those in the United States. Trading stocks on
some foreign exchanges is inherently more difficult than trading in the United
States for reasons including:
- - Liquidity Risk. Stocks that trade less can be more difficult or more costly
to buy, or to sell, than more liquid or active stocks. This liquidity risk is a
factor of the trading volume of a particular stock, as well as the size and
liquidity of the entire local market. On the whole, foreign exchanges are
smaller and less liquid than the U.S. market. This can make buying and selling
certain shares more difficult and costly. Relatively small transactions in some
instances can have a disproportionately large effect on the price and supply of
shares. In certain situations, it may become virtually impossible to sell a
stock in an orderly fashion at a price that approaches our estimate of its
value.
- - Regulatory Risk. Some foreign governments regulate their exchanges less
stringently, and the rights of shareholders may not be as firmly established.
The management of certain foreign companies may be less focused on short-term
earnings than some U.S. companies. For example, they may pay lower dividends.
In an effort to reduce these foreign stock market risks, the Fund diversifies
its investments, just as you may spread your investments among a range of
securities so that a setback in one need not overwhelm your entire strategy. In
this way, a reversal in one market or stock need not undermine the pursuit of
long-term capital appreciation.
Currency Risk. The Fund invests in foreign securities denominated in foreign
currencies. This creates the possibility that changes in foreign exchange rates
will affect the value of foreign securities or the U.S. dollar amount of income
or gain received on these securities. The Investment Adviser seeks to minimize
this risk by actively managing the currency exposure of the Fund.
Emerging Market Risk. To the extent that the Fund invests in emerging markets
to enhance overall returns, it may face higher political, information, and
stock market risks. In addition,
- --------------------------------------------------------------------------------
CURRENCY MANAGEMENT is used to offset investment risks ("hedging") and, where
possible, to add to investment returns. Currency management activities include
the use of forward contracts and may include the use of other instruments.
There is no guarantee that these currency management activities will work and
they could cause losses to the Fund.
8
----
<PAGE>
A Detailed Look at the International Equity Fund
profound social changes and business practices that depart from norms in
developed countries' economies have hindered the orderly growth of emerging
economies and their stock markets in the past. High levels of debt tend to make
emerging economies heavily reliant on foreign capital and vulnerable to capital
flight. For all these reasons, the Fund carefully limits and balances its
commitment to these markets.
SECONDARY RISKS
Small Company Risk. Although the Fund generally invests in the shares of large,
well-established companies, it may occasionally take advantage of exceptional
opportunities presented by smaller companies. Such opportunities pose unique
risks, which we take into account in considering an investment. Small company
stocks tend to experience steeper fluctuations in price -- down as well as up
- -- than the stocks of larger companies. A shortage of reliable information, the
same information gap that creates opportunity in small company investing, can
also pose added risk. Industrywide reversals have had a greater impact on small
companies, since they lack a large company's financial resources. Small company
managers typically have less experience coping with adversity or capitalizing
on opportunity than their counterparts at larger companies. Finally, small
company stocks are typically less liquid than large company stocks: when things
are going poorly, it is harder to find a buyer for a small company's shares.
Pricing Risk. When price quotations for securities are not readily available,
we determine their value by the method that most accurately reflects their
current worth in the judgement of the Board of Trustees. This procedure implies
an unavoidable risk, the risk that our prices are higher or lower than the
prices that the securities might actually command if we sold them. If we have
valued the securities too highly, you may end up paying too much for Fund
shares when you buy. If we underestimate their price, you may not receive the
full market value for your Fund shares when you sell.
Futures and Options. Although not one of its principal investment strategies,
the Fund may invest in futures contracts and options on futures contracts.
These investments, when made, are for hedging purposes. If the Fund invests in
FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS for non-hedging purposes,
the margin and premiums required to make those investments will not exceed 5%
of the Fund's net asset value after taking into account unrealized profits and
losses on the contracts. Futures contracts and options on futures contracts
used for non-hedging purposes involve greater risks than stock investments.
- --------------------------------------------------------------------------------
FUTURES CONTRACTS and options on futures contracts are used as a low cost
method of gaining exposure to a particular securities market without investing
directly in those securities.
Euro Risk. On January 1, 1999, eleven countries of the European Economic and
Monetary Union (EMU) began implementing a plan to replace their national
currencies with a new currency, the euro. Full conversion to the euro is slated
to occur by July 1, 2002.
Although it is impossible to predict the impact of the conversion to the euro
on the Fund, the risks may include:
- - changes in the relative strength and value of the U.S. dollar or other major
currencies;
- - adverse effects on the business or financial condition of European issuers
that the Fund holds in its portfolio;
- - that the systems used to purchase and sell euro-denominated securities may
not work;
- - uncertainty about how existing financial contracts will be treated after euro
implementation; and
- - unpredictable effects on trade and commerce generally.
These and other factors could increase volatility in financial markets
worldwide and could adversely affect the value of securities held by the Fund.
Year 2000 Risk. As with most businesses, the Fund faces the risk that the
computer systems of its Investment Adviser and other companies on which it
relies for service or in which it invests will not accommodate the changeovers
necessary from dates in the year 1999 to dates in the year 2000. These risks
could adversely affect:
- - The companies in which the Fund invests, which could impact the value of the
Fund's investments;
- - Our ability to service your Fund account, including our ability to meet your
requests to buy and sell Fund shares; and
- - Our ability to trade securities held by the Fund or to accurately price
securities held by the Fund.
We are working both internally and with our business partners and service
providers to address this problem. If we -- or our business partners, service
providers, government agencies or other market participants -- do not succeed,
it could materially affect shareholder services or the value of the Fund's
shares.
Temporary Defensive Position. We may from time to time adopt a temporary
defensive position in response to extraordinary adverse political, economic or
stock market events. We could place up to 100% of the Fund's assets in U.S. or
foreign-government money-market investments, or other short-term bonds that
offer comparable safety, if the situation warranted. To the extent we might
adopt such a position and over the course of its duration, the Fund may not
meet its goal of long-term capital appreciation.
9
----
<PAGE>
A Detailed Look at the International Equity Fund
PORTFOLIO MANAGERS
The following portfolio managers are responsible for the day-to-day management
of the master portfolio's investments:
Michael Levy, Managing Director of Bankers Trust and Co-Lead Manager of the
Fund.
- - Joined Bankers Trust and the Fund in 1993.
- - Bankers Trust's international equity strategist, overseeing the design and
implementation of the firm's proprietary stock selection process.
- - 27 years of business experience, 17 of them as an investment professional.
- - Degrees in mathematics and geophysics from the University of Michigan.
Robert Reiner, Managing Director of Bankers Trust and Co-Lead Manager of the
Fund.
- - Joined Bankers Trust and the Fund in 1994.
- - Specializes in Japanese and European stock and market analysis. - Served as
a Senior Financial Analyst at Scudder, Stevens & Clark from 1993 to 1994.
- - 17 years of investment industry experience.
- - Degrees from the University of Southern California and Harvard University.
Julie Wang, Principal of Bankers Trust and Co-Manager of the Fund.
- - Joined Bankers Trust and the Fund in 1994.
- - Focuses on the Fund's Asia-Pacific investments and its emerging-markets
exposure.
- - Served as Investment Manager for American International Group's Southeast
Asia portfolio from 1991 to 1994.
- - 10 years of investment management experience.
- - Bachelors degree in economics from Yale University, MBA from The Wharton
School, University of Pennsylvania.
10
----
<PAGE>
A Detailed Look at the International Equity Fund
The table below provides a picture of the Fund's financial performance for the
past five years. The information selected reflects financial results for a
single Fund share. The total returns in the table represent the rate of return
that an investor would have earned on an investment in the Fund, assuming
reinvestment of all dividends and distributions. This information has been
audited by PricewaterhouseCoopers LLP, whose report, along with the Fund's
financial statements, is included in the Fund's annual report. The annual
report is available free of charge by calling the BT Service Center at
1-800-730-1313.
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE
PERIOD
JANUARY 1,
FOR THE FOR THE FOR THE 1995 FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED THROUGH YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
1998 1997 1996 1995(1) 1994
-------------- -------------- -------------- -------------- -------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $ 22.13 $ 16.77 $ 15.47 $ 13.37 $ 13.18
- ------------------------------------------- --------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.02 0.09 0.18 0.14 0.10
- ------------------------------------------- --------- ------- ------- ------- -------
Net Realized and Unrealized Gain (Loss) on
Investment, Option, Foreign Currency,
Forward Foreign Currency and Foreign
Futures Contracts (0.87) 5.63 1.80 1.97 0.44
- ------------------------------------------- --------- ------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS (0.85) 5.72 1.98 2.11 0.54
- ------------------------------------------- --------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (0.01) (0.16) (0.31) -- (0.09)
- ------------------------------------------- --------- -------- -------- ------- -------
Net Realized Gains (0.59) (0.20) (0.37) (0.01) (0.26)
- ------------------------------------------- --------- -------- -------- ------- -------
TOTAL DISTRIBUTIONS (0.60) (0.36) (0.68) (0.01) (0.35)
- ------------------------------------------- --------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD $ 20.68 $ 22.13 $ 16.77 $ 15.47 $ 13.37
- ------------------------------------------- --------- -------- -------- ------- -------
TOTAL INVESTMENT RETURN (3.73)% 34.76% 13.42% 15.82% 4.12%
- ------------------------------------------- --------- -------- -------- ------- -------
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) $1,251,580 $525,520 $161,692 $ 82,807 $56,020
- ------------------------------------------- ---------- -------- -------- -------- -------
Ratios to Average Net Assets:
Net Investment Income 0.61% 0.53% 0.91% 1.55%(2) 0.84%
- ------------------------------------------- ---------- -------- -------- ---------- -------
Expenses, Including Expenses of the
International Equity Portfolio 1.50% 1.50% 1.50% 1.50%(2) 1.50%
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by
Bankers Trust 0.20% 0.18% 0.26% 0.33%(2) 0.37%
- ------------------------------------------- ---------- -------- -------- ---------- -------
Portfolio Turnover Rate(3) 65% 63% 68% 21% 15%
- ------------------------------------------- ---------- -------- -------- ---------- -------
</TABLE>
(1)On August 2, 1995, the Fund changed its fiscal year-end from December 31 to
September 30.
(2)Annualized
(3)The portfolio turnover rate is the rate for the master fund in which the Fund
invests its assets.
11
----
<PAGE>
INTERNATIONAL SMALL COMPANY EQUITY FUND
Overview
<TABLE>
<S> <C>
[GOAL: The Fund invests for long-term capital appreciation.
CORE STRATEGY: The Fund invests primarily in the stocks and other
equity securities of small companies in developed countries outside
the United States.]
</TABLE>
<TABLE>
<S> <C>
International Small Company Equity Fund
OVERVIEW OF THE INTERNATIONAL SMALL COMPANY
EQUITY FUND
12 Goal
12 Core Strategy
12 Investment Policies and Strategies
13 Principal Risks of Investing in the Fund
13 Who Should Consider Investing in the Fund
14 Total Returns, After Fees and Expenses
14 Annual Fund Operating Expenses
A DETAILED LOOK AT THE INTERNATIONAL SMALL
COMPANY EQUITY FUND
15 Objective
15 Strategy
15 Principal Investments
15 Investment Process
15 Risks
17 Portfolio Manager
18 Financial Highlights
</TABLE>
INVESTMENT POLICIES AND STRATEGIES
The Fund invests all of its assets in a master portfolio with the same
investment objective as the Fund. The Fund, through the master portfolio, seeks
to achieve that objective by investing principally in roughly 50 to 80 small
companies in developed countries outside the United States. The companies are
selected by combining an extensive tracking system, direct contact with the
company, its management, and its competitors, and a look at the market in which
the company is trading.
12
----
<PAGE>
Overview of the International Small Company Equity Fund
PRINCIPAL RISKS OF INVESTING IN THE FUND
An investment in the Fund could lose money, or the Fund's performance could
trail that of other investments. For example:
- - Stocks that our Investment Adviser has selected could perform poorly;
- - The stock market could perform poorly in one or more of the countries in
which the Fund has invested; or
- - Small company stock returns trail stock market returns generally because of
risks specific to small company investing: greater share-price volatility and
fewer buyers for shares in periods of economic or stock market stress.
Beyond the risks common to all stock investing, an investment in the Fund could
also lose money or underperform alternative investments as a result of risks in
the foreign countries in which the Fund invests:
- - Adverse political, economic or social developments could undermine the value
of the Fund's investments or prevent the Fund from realizing their full value;
- - Accounting and financial reporting standards differ from those in the U.S.
and could convey incomplete information when compared to information typically
provided by U.S. companies; or
- - The currency of a country in which the Fund invests may decrease in value
relative to the U.S. dollar, which could affect the value of the investment
itself to U.S. investors.
WHO SHOULD CONSIDER INVESTING IN THE FUND
You should consider investing in the International Small Company Equity Fund if
you are seeking long-term capital appreciation. There is, of course, no
guarantee that the Fund will realize its goal. Moreover, you should be willing
to accept greater short-term fluctuation in the value of your investment than
you would typically experience investing in bond or money market funds.
You should not consider investing in the International Small Company Equity
Fund if you are pursuing a short-term financial goal, if you seek regular
income or if you cannot tolerate fluctuations in the value of your investments.
The Fund by itself does not constitute a balanced investment program. It can,
however, afford you exposure to investment opportunities not available to
someone who invests in U.S. securities alone or in established large company
stocks or medium-sized company stocks.
AN INVESTMENT IN THE INTERNATIONAL SMALL COMPANY EQUITY FUND IS NOT A DEPOSIT
OF BANKERS TRUST COMPANY OR ANY OTHER BANK AND IS NOT INSURED OR GUARANTEED BY
THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
13
----
<PAGE>
Overview of the International Small Company Equity Fund
TOTAL RETURNS, AFTER FEES AND EXPENSES
The Fund first opened to investors on June 30, 1998. Therefore, it does not
have a full calendar year of annual operating performance to report.
ANNUAL FUND OPERATING EXPENSES
(EXPENSES PAID FROM FUND ASSETS)
The Annual Fees and Expenses table to the right describes the fees and
estimated expenses that you may pay if you buy and hold shares of the
International Small Company Equity Fund.
Expense Example. The example on this page illustrates the expenses you would
have incurred on a $10,000 investment in the Fund. The numbers assume that the
Fund earned an annual return of 5% over the periods shown, that the Fund's
operating expenses remained the same and you sold your shares at the end of the
period.
You may use this hypothetical example to compare the Fund's expense ratio with
other funds.(1) Your actual costs may be higher or lower.
(1)Information on the annual operating expenses reflects the expenses of both
the Fund and the International Small Company Equity Portfolio, the master fund
in which International Small Company Equity Fund invests. (A further discussion
of the relationship between the Fund and the Portfolio appears in the
"Organizational Structure" section of this prospectus.)
2)Generally, when a fund begins operations, its expenses are relatively high and
its assets are relatively small, which makes its total fund operating expenses
(expressed as a percentage of average daily net assets) relatively high compared
to funds with longer operating histories and greater assets.
(3)Bankers Trust has agreed, for the 16-month period from the Fund's fiscal year
end of September 30, 1998, to waive its fees and reimburse expenses, so that
total expenses will not exceed 1.90%.
(4)Based on expenses, after fee waivers and reimbursements for the first 16
months only.
ANNUAL FEES AND EXPENSES
<TABLE>
<CAPTION>
Percentage of Average
Daily Net Assets(1)
-----------------------------
<S> <C>
Management Fees 1.10%
- --------------------------------------- --------
Distribution and Service (12b-1) Fees none
- --------------------------------------- --------
Other Fund Operating Expenses 34.63%
- --------------------------------------- --------
Total Fund Operating Expenses 35.73%(2)
- --------------------------------------- ------------
Less: Fee Waivers or Expense
Reimbursement (33.83)%(3)
- --------------------------------------- -------------
NET EXPENSES 1.90%
- --------------------------------------- -------------
</TABLE>
<TABLE>
<CAPTION>
[EXPENSE EXAMPLE(4)
1 year 3 years
-------- --------
<S> <C> <C>
$193 $4,629]
</TABLE>
14
----
<PAGE>
INTERNATIONAL SMALL COMPANY EQUITY FUND
A detailed look
OBJECTIVE
The Fund seeks long-term capital appreciation. Under normal circumstances, it
invests at least 65% of its total assets in stock and other securities with
equity characteristics of SMALL COMPANIES in developed countries outside the
United States.
The Fund invests for capital appreciation, not income; any dividend and
interest income is incidental to the pursuit of its objective. While we give
priority to capital appreciation, we cannot offer any assurance of achieving
this objective. The Fund's objective is not a fundamental policy. We must
notify shareholders before we change it, but we do not require their approval
to do so.
STRATEGY
The Fund seeks first to identify global industries with strong prospects. The
companies in the industry as a whole will be reporting improving cash flow or
revenues. Or their stock prices, measured by factors such as earnings, cash
flow or REPLACEMENT VALUE per share, may seem low compared to companies in
other industries.
Once we have identified the industry, the search begins for smaller enterprises
that combine significant potential for earnings growth with reasonable
investment value. Such companies have secured a solid competitive position.
Their earnings per share and cash flow are increasing at rates comparable to
the industry as a whole. But the local stock market may have overlooked these
solid fundamentals because of misperception or, as is often the case with small
companies, a simple lack of information. Investors in the local market may not
have fully understood the impact of legislative, demographic, or technological
change that should work in a company's favor, or they may have failed to take
into account the impact of a restructuring on the company's profitability.
PRINCIPAL INVESTMENTS
When the Fund is fully invested, it intends to hold the shares of roughly 50 to
80 small companies. It focuses principally on companies having publicly traded
shares with a market capitalization within the market capitalization range of
THE SALOMON SMITH BARNEY EXTENDED MARKET INDEX -- EXCLUDING U.S. (TOTAL).
- --------------------------------------------------------------------------------
We define a "SMALL COMPANY" as, at the time of purchase, having publicly traded
shares with a market capitalization within the market capitalization range of
The Salomon Smith Barney Extended Market Index -- excluding U.S. (Total).
REPLACEMENT VALUE measures the cost per share of replacing all the physical
assets of a business at current prices.
Small companies remain under-researched both in the United States and to an
even greater extent abroad, so they may offer fertile ground for finding
substantially undervalued stocks. Moreover, the Fund offers an opportunity to
invest in companies that often slip beneath the screens of the "large-cap"
mutual funds.
While the Fund may invest throughout the world, it intends to invest primarily
in Canada, Japan, the United Kingdom, Germany, France, Switzerland, the
Netherlands, Sweden, Hong Kong, Italy, Norway, Denmark, Spain, Ireland,
Singapore, Portugal, Sweden, Finland, and Austria.
INVESTMENT PROCESS
Company research lies at the heart of our investment process, as it does with
many stock mutual funds. We track several hundred companies to arrive at the 50
to 80 stocks the Fund intends to normally hold. This effort relies on the
analytical and forecasting tools that the Investment Adviser has applied and
refined in international investing over the last quarter-century. Applying
these tools to small company investing calls for face-to-face contact, visits
to the company's plants and frequent contact with its management, suppliers,
customers and competitors. It also requires the investment team to place their
global industry findings in the context of national stock markets: a strong
small company might well fail as an investment if its shares trade in a weak
stock market.
RISKS
BELOW WE SET FORTH SOME OF THE PROMINENT RISKS ASSOCIATED WITH SMALL COMPANY
INVESTING AND INVESTING OUTSIDE THE UNITED STATES, ALONG WITH THOSE OF
INVESTING IN GENERAL. WE ALSO DETAIL OUR METHODS FOR DEALING WITH THESE RISKS.
ALTHOUGH WE ATTEMPT TO ASSESS THE LIKELIHOOD THAT THESE RISKS MAY ACTUALLY
OCCUR AND TO LIMIT THEM, WE MAKE NO GUARANTEE THAT WE WILL SUCCEED.
- --------------------------------------------------------------------------------
THE SALOMON SMITH BARNEY EXTENDED MARKET INDEX -- EXCLUDING U.S. (TOTAL), one
of the principal global small company stock benchmarks, includes 4,500
companies representing an estimated 20% of the total value of the world's
stocks.
PORTFOLIO TURNOVER. The portfolio turnover rate measures the frequency that the
Portfolio sells and replaces the securities it holds within a given period. We
expect that this Fund will not have a high portfolio turnover rate.
15
-----
<PAGE>
A Detailed Look at the International Small Company Equity Fund
PRIMARY RISKS
Market Risk. Although individual stocks can outperform their local markets,
deteriorating market conditions might cause an overall weakness in the stock
process of the entire market.
Stock Selection Risk. A risk that pervades all investing is the risk that the
securities an investor has selected will not perform to expectations. The Fund
seeks to limit this risk with a strict evaluation process. Before it takes a
position in a stock, the Fund's investment team typically establishes a target
sell price, at which point they will reevaluate the company's situation to
determine whether the deterioration in price mirrors a fundamental
deterioration in the business, or whether the reversal is merely temporary.
Small Company Risk. Small company stocks tend to experience steeper
fluctuations in price -- down as well as up -- than the stocks of larger
companies. A shortage of reliable information -- the same information gap that
creates opportunity in small company investing -- can also pose added risk.
Industrywide reversals have had a greater impact on small companies, since they
lack a large company's financial resources. Small company managers typically
have less experience coping with adversity or capitalizing on opportunity than
their counterparts at larger companies. Finally, small company stocks are
typically less liquid than large company stocks: when things are going poorly,
it is harder to find a buyer for a small company's shares.
Political Risk. Some foreign governments have limited the outflow of profits to
investors abroad, and extended diplomatic disputes to include trade and
financial relations, and imposed high taxes on corporate profits. While these
political risks have not occurred recently in the major countries in which the
Fund invests, we analyze countries and regions to try to anticipate these
risks.
Information Risk. Financial reporting standards for companies based in foreign
markets differ from those in the United States. Since the "numbers" themselves
sometimes mean different things, the Investment Adviser devotes much of its
research effort to understanding and assessing the impact of these differences
upon a company's financial conditions and prospects.
Foreign Stock Market Risk. From time to time, foreign capital markets have
exhibited more volatility than those in the United States. Trading stocks on
some foreign exchanges is inherently more difficult than trading in the United
States for reasons including:
- - Liquidity Risk. Stocks that trade less can be more difficult or more costly
to buy, or to sell, than more liquid or active stocks. This liquidity risk is a
factor of the trading volume of a particular stock, as well as the size and
liquidity of the entire local market. On the whole, foreign exchanges are
smaller and less liquid than the U.S. market. This can make buying and selling
certain shares more difficult and costly. Relatively small transactions in some
instances can have a disproportionately large effect on the price and supply of
shares. In certain situations, it may become virtually impossible to sell a
stock in an orderly fashion at a price that approaches our estimate of its
value.
- - Regulatory Risk. Some foreign governments regulate their exchanges less
stringently, and the rights of shareholders may not be as firmly established.
The management of certain foreign companies may be less focused on short-term
earnings than some U.S. companies. For example, they may pay lower dividends.
In an effort to reduce these foreign stock market risks, the Fund diversifies
its investments, just as you may spread your investments among a range of
securities so that a setback in one need not overwhelm your entire strategy. In
this way, a reversal in one market or stock need not undermine the pursuit of
long-term capital appreciation.
Currency Risk. The Fund invests in foreign securities denominated in foreign
currencies. This creates the possibility that changes in foreign exchange rates
will affect the value of foreign securities or the U.S. dollar amount of income
or gain received on these securities. The Investment Adviser seeks to minimize
this risk by actively managing the currency exposure of the Fund.
SECONDARY RISKS
Emerging Markets Risk. To the extent that the Fund invests in emerging markets
to enhance overall returns, it may face higher stock market, information and
political risks. Therefore, the Fund carefully limits and balances its
commitment to these markets.
Pricing Risk. When price quotations for securities are not readily available,
we determine their value by the method that most accurately reflects their
current worth in the judgement of the Board of Trustees. This procedure implies
an unavoidable risk, the risk that our prices are higher or lower than the
prices that the securities might actually command if we sold them. If we have
valued the securities too highly, you may end up paying too much for Fund
shares when you buy. If we underestimate their price, you may not receive the
full market value for your Fund shares when you sell.
- --------------------------------------------------------------------------------
CURRENCY MANAGEMENT is used to offset investment risks ("hedging") and, where
possible, to add to investment returns. Currency management activities include
the use of forward contracts and may include the use of other instruments.
There is no guarantee that these currency management activities will work and
they could cause losses to the Fund.
16
-----
<PAGE>
A Detailed Look at the International Small Company Equity Fund
Euro Risk. On January 1, 1999, eleven countries of the European Economic and
Monetary Union (EMU) began implementing a plan to replace their national
currencies with a new currency, the euro. Full conversion to the euro is slated
to occur by July 1, 2002.
Although it is impossible to predict the impact of the conversion to the euro
on the Fund, the risks may include:
- - changes in the relative strength and value of the U.S. dollar or other major
currencies;
- - adverse effects on the business or financial condition of European issuers
that the Fund holds in its portfolio;
- - that the systems used to purchase and sell euro-denominated securities may
not work;
- - uncertainty about how existing financial contracts will be treated after euro
implementation; and
- - unpredictable effects on trade and commerce generally.
These and other factors could increase volatility in financial markets
worldwide and could adversely affect the value of securities held by the Fund.
Year 2000 Risk. As with most businesses, the Fund faces the risk that the
computer systems of its Investment Adviser and other companies on which it
relies for service or in which it invests will not accommodate the changeovers
necessary from dates in the year 1999 to dates in the year 2000. These risks
could adversely affect:
- - The companies in which the Fund invests, which could impact the value of the
Fund's investments;
- - Our ability to service your Fund account, including our ability to meet your
requests to buy and sell Fund shares; and
- - Our ability to trade securities held by the Fund or to accurately price
securities held by the Fund.
We are working both internally and with our business partners and service
providers to address this problem. If we -- or our business partners, service
providers, government agencies or other market participants -- do not succeed,
it could materially affect shareholder services or the value of the Fund's
shares.
Temporary Defensive Position. We may from time to time adopt a temporary
defensive position in response to extraordinary adverse political, economic or
stock market events. We could place up to 100% of the Fund's assets in U.S. or
foreign government money market investments, or other short-term bonds that
offer comparable safety, if the situation warranted. To the extent that we
might adopt such a position, and over the course of its duration, the Fund may
not meet its goal of long-term capital appreciation.
PORTFOLIO MANAGER
Monik Kotecha is responsible for the day-to-day management of the master
portfolio's investments.
- - Head Portfolio Manager and Senior Vice President, BT Funds Management
(International) Limited ("BTFMI") and Lead Portfolio Manager of the Fund since
its inception.
- - Joined Bankers Trust in 1994 as analyst for European small company
investments.
- - Head of BTFMI's Global Small Company Investments and head of Global Small Cap
Equities since 1996.
- - Eight years of investment management and research experience with Abu Dhabi
Investment Authority in London, U.K.
- - BSc. honors degree in law and accounting from University College, Cardiff;
MSc. from City University Business School, London, U.K.
17
-----
<PAGE>
A Detailed Look at the International Small Company Equity Fund
The table below provides a picture of the Fund's financial performance since
inception. The information selected reflects financial results for a single
Fund share. The total returns in the table represent the rate of return that an
investor would have earned on an investment in the Fund assuming reinvestment
of all dividends and distributions. This information has been audited by
PricewaterhouseCoopers LLP, whose report, along with the Fund's financial
statements, is included in the Fund's annual report. The annual report is
available free of charge by calling the BT Service Center at 1-800-730-1313.
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE PERIOD JUNE 30, 1998(1)
THROUGH SEPTEMBER 30, 1998
------------------------------
<S> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
- ------------------------------------------------------------------------------------------ ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.00(2)
- ------------------------------------------------------------------------------------------ ----------
Net Realized and Unrealized Gain (Loss) on Investment, Foreign Currency and
Forward Foreign Currency Contracts (1.97)
- ------------------------------------------------------------------------------------------ ----------
TOTAL LOSS FROM INVESTMENT OPERATIONS (1.97)
- ------------------------------------------------------------------------------------------ ----------
NET ASSET VALUE, END OF PERIOD $ 8.03
- ------------------------------------------------------------------------------------------ ----------
TOTAL INVESTMENT RETURN (19.70)%
- ------------------------------------------------------------------------------------------ ----------
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) $ 61
- ------------------------------------------------------------------------------------------ ----------
Ratios to Average Net Assets:
Net Investment Income(3) 0.22%
- ------------------------------------------------------------------------------------------ ----------
Expenses, Including Expenses of the International Small Company Equity Portfolio(3) 1.90%
Decrease Reflected in Above Expense Ratio Due to Absorption of Expenses by Bankers Trust(3) 210.17%
- ------------------------------------------------------------------------------------------ ----------
Portfolio Turnover Rate(4) 11%
- ------------------------------------------------------------------------------------------ ----------
</TABLE>
(1) Commencement of operations
(2) Less than $0.01 per share
(3) Annualized
(4) The portfolio turnover rate is the rate for the master fund in which the
Fund invests its assets.
18
----
<PAGE>
Global Emerging Markets Equity Fund
Overview
<TABLE>
<S> <C>
[GOAL: The Fund invests primarily for long-term capital growth.
CORE STRATEGY: The Fund invests in stocks and other equity
securities of companies in the world's emerging markets.]
</TABLE>
<TABLE>
<S> <C>
Global Emerging Markets Equity Fund
OVERVIEW OF THE GLOBAL EMERGING MARKETS EQUITY
FUND
19 Goal
19 Core Strategy
19 Investment Policies and Strategies
20 Principal Risks of Investing in the Fund
20 Who Should Consider Investing in the Fund
21 Total Returns, After Fees and Expenses
21 Annual Fund Operating Expenses
A DETAILED LOOK AT THE GLOBAL EMERGING MARKETS
EQUITY FUND
22 Objective
22 The Case for Emerging Markets
22 Strategy
22 Principal Investments
23 Investment Process
23 Risks
25 Portfolio Manager
25 Financial Highlights
</TABLE>
INVESTMENT POLICIES AND STRATEGIES
The Fund invests all of its assets in a master portfolio with the same
investment objective as the Fund. The Fund, through the master portfolio, seeks
to achieve that objective by investing primarily in companies based in emerging
markets meeting specific investment criteria. The Fund may also invest a
portion of its assets in emerging market bonds or other debt securities. The
companies are selected by an extensive tracking system plus the input of
experts from various financial disciplines.
19
------
<PAGE>
Overview of the Global Emerging Markets Equity Fund
PRINCIPAL RISKS OF INVESTING IN THE FUND
An investment in the Fund could lose money, or the Fund's performance could
trail that of other investments. For example:
- - Stocks that the Investment Adviser has selected could perform poorly; or
- - The stock market could perform poorly or could underperform other investments
in one or more of the countries in which the Fund has invested.
Beyond the risks common to all stock investing, an investment in the Fund could
also lose money or underperform alternative investments as a result of risks in
the foreign countries in which the Fund invests:
- - Economies in emerging markets are more volatile than developed countries' and
are subject to sudden reversals;
- - Adverse political, economic or social developments could undermine the value
of the Fund's investments or prevent the Fund from realizing their full value;
- - Accounting and financial reporting standards differ from those in the U.S.
and could convey incomplete information when compared to information typically
provided by U.S. companies; or
- - The currency of a country in which the Fund invests may decline in value
relative to the U.S. dollar, which could affect the value of the investment
itself to U.S. investors.
WHO SHOULD CONSIDER INVESTING IN THE FUND
You should consider investing in the Global Emerging Markets Equity Fund if you
are seeking long-term capital growth. There is, of course, no guarantee that
the Fund will realize its goal. The Fund is designed for investors who are
willing to accept the extreme fluctuation in short-term investment values that
have often accompanied this long-term capital growth.
You should not consider investing in the Global Emerging Markets Equity Fund if
you are pursuing a short-term financial goal, if you seek regular income or if
you cannot tolerate fluctuations in the value of your investments.
The Fund by itself does not constitute a balanced investment program. It can,
however, afford exposure to investment opportunities not otherwise available to
someone who invests in developed market securities alone.
AN INVESTMENT IN THE GLOBAL EMERGING MARKETS EQUITY FUND IS NOT A DEPOSIT OF
BANKERS TRUST COMPANY OR ANY OTHER BANK AND IS NOT INSURED OR GUARANTEED BY THE
FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
20
------
<PAGE>
Overview of the Global Emerging Markets Equity Fund
TOTAL RETURNS, AFTER FEES AND EXPENSES
The Fund first opened to investors on June 30, 1998. Therefore, it does not
have a full calendar year of performance to report.
ANNUAL FUND OPERATING EXPENSES
(EXPENSES PAID FROM FUND ASSETS)
The Annual Fees and Expenses table to the right describes the fees and
estimated expenses you may pay if you buy and hold shares of the Global
Emerging Markets Equity Fund.
Expense Example. The example below illustrates the expenses you would have
incurred on a $10,000 investment in the Fund. The numbers assume that the Fund
earned an annual return of 5% over the periods shown, the Fund's operating
expenses remained the same and you sold your shares at the end of the period.
You may use this hypothetical example to compare the Fund's expense ratio with
other funds.(1) Your actual costs may be higher or lower.
(1)Information on the annual operating expenses reflects the expenses of both
the Fund and the Global Emerging Markets Equity Portfolio, the master fund in
which the Global Emerging Markets Equity Fund invests its assets. (A further
discussion of the relationship between the Fund and the Portfolio appears in the
"Organizational Structure" section of this prospectus.)
(2)Generally, when a fund begins operations, its expenses are relatively high
and its assets are relatively small, which makes its total fund operating
expenses (expressed as a percentage of average daily net assets) relatively high
compared to funds with longer operating histories and greater assets.
(3)Bankers Trust has agreed, for the 16-month period from the Fund's fiscal year
end of September 30, 1998, to waive its fees and reimburse expenses so that
total expenses will not exceed 1.90%.
(4)Based on expenses, after fee waivers and reimbursements for the first 16
months only.
ANNUAL FEES AND EXPENSES
<TABLE>
<CAPTION>
Percentage of Average
Daily Net Assets(1)
-----------------------------
<S> <C>
Management Fees 1.10%
- --------------------------------------- -------
Distribution and Service (12b-1) Fees None
- --------------------------------------- -------
Other Fund Operating Expenses 2.88%
- --------------------------------------- -------
Total Fund Operating Expenses 3.98%(2)
- --------------------------------------- -----------
Less: Fee Waivers or Expense
Reimbursements (2.08)%(3)
- --------------------------------------- ------------
Net Expenses 1.90%
- --------------------------------------- ------------
</TABLE>
<TABLE>
<CAPTION>
[EXPENSE EXAMPLE(4)
1 year 3 years
-------- --------
<S> <C> <C>
$193 $972]
</TABLE>
21
------
<PAGE>
GLOBAL EMERGING MARKETS EQUITY FUND
A detailed look
OBJECTIVE
The Fund seeks long-term capital growth. Under normal circumstances, the Fund
invests at least 65% of its total assets in the stock and other securities with
equity characteristics of companies in the world's EMERGING MARKETS.
The Fund invests for growth, not income; any dividend and interest income is
incidental to the pursuit of its objective. While we give priority to capital
growth, we cannot offer any assurance of achieving this objective. The Fund's
objective is not a fundamental policy. We must notify shareholders before we
change it, but we do not require their approval to do so.
THE CASE FOR EMERGING MARKETS
Emerging markets offer the potential for long-term growth. An emerging market
is commonly defined as one that has experienced comparatively little
industrialization. The world's two most populous nations -- China and India --
are emerging markets, and they alone account for almost 40% of the world's
population. As consumers in these markets rapidly improve their standards of
living and as their governments promote capitalism through deregulation and
privatization, companies serving these markets stand to gain substantially
through increased sales and profits. Thus, while emerging markets are
considerably more volatile than developed markets, they have substantial
long-term growth potential.
STRATEGY
The Fund invests for the long term. We employ a strategy of growth at a
reasonable price. We seek to identify companies in the emerging markets that
combine strong potential for earnings growth with reasonable investment value.
Such companies typically exhibit increasing rates of profitability and cash
flow, yet their share prices compare favorably to other stocks in a given
market and to their global peers. In evaluating stocks, we consider factors
such as sales, earnings, cash flow and enterprise value. Enterprise value is a
company's market capitalization plus the value of its net debt.
- --------------------------------------------------------------------------------
The EMERGING MARKETS include Argentina, Bolivia, Brazil, Bulgaria, Chile,
China, Colombia, Costa Rica, the Czech Republic, Ecuador, Egypt, Greece,
Hungary, India, Indonesia, Israel, the Ivory Coast, Jordan, Malaysia, Mexico,
Morocco, Nicaragua, Nigeria, Pakistan, Peru, the Philippines, Poland, Romania,
Russia, Slovakia, Slovenia, South Africa, South Korea, Sri Lanka, Taiwan,
Thailand, Turkey, Uruguay, Venezuela, Vietnam and Zimbabwe.
We further consider the relationship between these and other quantitative
factors. Together, these indicators of growth and value may identify companies
with improving prospects before the market in general has taken notice.
PRINCIPAL INVESTMENTS
The Fund invests in companies across the full geographic spectrum of emerging
markets: Asia, Latin America, Eastern Europe, the Mediterranean basin and
Africa. It looks for businesses that meet critical "investable" criteria:
- - solid management and finances that, according to our research, show signs of
being able to withstand any turmoil affecting the emerging markets; and
- - exporters able to take advantage of a favorable cost structure compared to
developed-world competition; and
- - domestic providers of goods and services positioned to benefit from the
emerging markets' opportunity for long-term growth.
The Fund may also invest up to 35% of its assets in emerging market BONDS and
other debt securities.
Bonds and other debt securities must have earned a rating of C or better from
Standard & Poor's Corporation or Moody's Investors Service. If they have no
rating, they must be at least comparable to a C-rated security in the opinion
of Bankers Trust. As an operating policy (which may be changed by the Fund's
Board of Trustees), the Fund will not invest more than 5% of its assets in
bonds or other debt securities rated BBB or lower by S&P or Baa or lower by
Moody's.
- --------------------------------------------------------------------------------
BONDS may generate capital appreciation through decreases in interest rates
resulting from economic and market conditions or improvements in the bond
issuer's finances. There is a corresponding risk in investing in bonds to seek
capital appreciation. If interest rates increase or if the bond issuer's
finances deteriorate, the price of the bond may go down.
PORTFOLIO TURNOVER. The portfolio turnover rate measures the frequency that the
Portfolio sells and replaces the value of its securities within a given period.
We expect that the Fund will not have a high portfolio turnover rate.
22
----
<PAGE>
A Detailed Look at the Global Emerging Markets Equity Fund
INVESTMENT PROCESS
Company research lies at the heart of our investment process, as it does with
many stock mutual funds. We track several hundred companies to arrive at the
approximately 50 stocks the Fund intends to normally hold when fully invested.
But our process brings an added dimension to this fundamental research. It
draws on the insight of experts from a range of financial disciplines --
regional stock market specialists, global industry specialists, economists and
quantitative analysts. They challenge, refine and amplify each other's ideas.
Their close collaboration is a critical element of our investment process.
RISKS
BELOW WE SET FORTH SOME OF THE PROMINENT RISKS ASSOCIATED WITH EMERGING MARKETS
INVESTING, AS WELL AS INVESTING IN GENERAL, AND WE DETAIL OUR APPROACHES TO
CONTAINING THEM. ALTHOUGH WE ATTEMPT TO ASSESS THE LIKELIHOOD THAT THESE RISKS
MAY ACTUALLY OCCUR AND TO LIMIT THEM, WE MAKE NO GUARANTEE THAT WE WILL
SUCCEED.
PRIMARY RISKS
Market Risk. Although individual stocks can outperform their local markets,
deteriorating market conditions might cause an overall weakness in the stock
prices of the entire market.
Stock Selection Risk. A risk that pervades all investing is the risk that the
securities an investor has selected will not perform to expectations. The Fund
seeks to limit this risk with a strict evaluation process. Before it takes a
position in a stock, the Fund's investment team typically establishes a target
sell price at which point they will reevaluate the company's situation to
determine whether the deterioration in performance mirrors a fundamental
deterioration in the business, or whether, in our view, the reversal is merely
temporary.
Emerging Market Risk. Emerging market investing entails heightened risks
compared to those posed in developed market investing. We outline those
heightened risks below. While the Fund relies on the specific strategies to
deal with each of the risks, it employs one general approach in an attempt to
reduce risk across the board: diversification. Just as individual investors
should spread their investments among a range of securities so that a setback
in one need not overwhelm their entire strategy, the Fund seeks to spread its
investments. In this way, a reversal in one market need not undermine the
pursuit of long-term capital growth.
Political Risk. Profound social changes and business practices that depart from
developed stock market norms have hindered the growth of emerging stock markets
in the past. High levels of debt tend to make them overly reliant on foreign
capital investment and vulnerable to capital flight. Governments have limited
foreign investors' access to capital markets and restricted the flow of profits
overseas. They have resorted to high taxes, expropriation and nationalization.
In many countries, particularly in Eastern Europe and Asia, stock exchanges
have operated largely without regulation and in the absence of laws or
precedents protecting the rights of private ownership and foreign investors.
All these threats remain a part of emerging-market investing today. The Fund
attempts to avoid them in large part through intensive, ongoing economic and
political research.
Information Risk. Emerging market accounting, auditing, and financial reporting
and disclosure standards tend to be far less stringent than those of developed
markets. And the risks of investors acting on incomplete, inaccurate or
deliberately misleading information are correspondingly greater. Compounding
the problem, local investment research often lacks the sophistication to spot
potential pitfalls. Thus, a linchpin in the Fund's investment process is
independently assessing the impact of these differences upon a company's
financial conditions and prospects.
Foreign Stock Market Risk. From time to time, foreign capital markets have
exhibited more volatility than those in the United States. Trading stocks on
some foreign exchanges is inherently more difficult than trading in the United
States for reasons including:
- - Liquidity Risk. Stocks that trade less can be more difficult or more costly
to buy, or to sell, than more liquid or active stocks. This liquidity risk is a
factor of the trading volume of a particular stock, as well as the size and
liquidity of the entire local market. On the whole, foreign exchanges are
smaller and less liquid than the U.S. market. This can make buying and selling
certain shares more difficult and costly. Relatively small transactions in some
instances can have a disproportionately large effect on the price and supply of
shares. In certain situations, it may become virtually impossible to sell a
stock in an orderly fashion at a price that approaches our estimate of its
value.
- - Regulatory Risk. Some foreign governments regulate their exchanges less
stringently, and the rights of shareholders may not be as firmly established.
The management of certain foreign companies may be less focused on short-term
earnings than some U.S. companies. For example, they may pay lower dividends.
In an effort to reduce these foreign stock market risks, the Fund diversifies
its investments, just as you may spread your investments among a range of
securities so that a setback in one need not overwhelm your entire strategy. In
this way, a reversal in one market or stock need not undermine the pursuit of
long-term capital appreciation.
23
------
<PAGE>
A Detailed Look at the Global Emerging Markets Equity Fund
Currency Risk. The Fund invests in foreign securities denominated in foreign
currencies. This creates the possibility that changes in foreign exchange rates
will affect the value of foreign securities or the U.S. dollar amount of income
or gain received on these securities. The Investment Adviser seeks to minimize
this risk by actively managing the currency exposure of the Fund.
SECONDARY RISKS
Small Company Risk. To the extent that the Global Emerging Market Equity Fund
invests in the stocks of smaller companies, it will encounter the risks
associated with such investing. Small company stocks tend to experience steeper
price fluctuations -- down as well as up -- than the stocks of larger
companies. Industrywide reversals have had a greater impact on small companies,
since they lack a large company's financial resources. Small company managers
typically have less experience coping with adversity and capitalizing on
opportunity than their counterpoints at larger companies. Finally, small
company stocks are typically less liquid than large company stocks: when things
are going poorly, it may be even harder to find a buyer for a small company's
shares.
Risks Associated with Debt Securities. To the extent that the Fund invests in
bonds and other debt securities, it faces the risk of rising interest rates,
which tend to reduce the value of these investments. The high levels of debt
carried by many emerging market countries and the concentration of their
economies on a few global industries also makes the investments particularly
vulnerable to local and worldwide economic slowdowns. Such slowdowns may affect
the ability of bond issuers to meet their repayment obligation and could even
result in a default that would render their bonds worthless.
Risks Associated with Lower Quality Debt Securities ("Junk Bonds"). The Fund
can invest up to 5% of its net assets in bonds or other debt securities rated
BBB or lower by S&P or Baa or lower by Moody's. These securities are riskier
than higher rated securities because their issuers are less creditworthy, and
there is an increased risk that the issuers will default on their repayments.
Junk bonds are also more sensitive to increases in interest rates, economic
downturns or adverse market conditions.
CURRENCY MANAGEMENT is used to offset investment risks ("hedging") and, where
possible, to add to investment returns. Currency management activities include
the use of forward contracts and may include the use of other instruments.
There is no guarantee that these currency management activities will work and
they could cause losses to the Fund.
Pricing Risk. When price quotations for securities are not readily available,
we determine their value by the method that most accurately reflects their
current worth in the judgement of the Board of Trustees. This procedure implies
an unavoidable risk, the risk that our prices are higher or lower than the
prices that the securities might actually command if we sold them. If we have
valued the securities too highly, you may end up paying too much for Fund
shares when you buy. If we underestimate their price, you may not receive the
full market value for your Fund shares when you sell.
Euro Risk. On January 1, 1999, eleven countries of the European Economic and
Monetary Union (EMU) began implementing a plan to replace their national
currencies with a new currency, the euro. Full conversion to the euro is slated
to occur by July 1, 2002.
Although it is impossible to predict the impact of the conversion to the euro
on the Fund, the risks may include:
- - changes in the relative strength and value of the U.S. dollar or other major
currencies;
- - adverse effects on the business or financial condition of European issuers
that the Fund holds in its portfolio;
- - that the systems used to purchase and sell euro-denominated securities may
not work;
- - uncertainty about how existing financial contracts will be treated after euro
implementation; and
- - unpredictable effects on trade and commerce generally.
These and other factors could increase volatility in financial markets
worldwide and could adversely affect the value of securities held by the Fund.
Year 2000 Risk. As with most businesses, the Fund faces the risk that the
computer systems of its Investment Adviser and other companies on which it
relies for service or in which it invests will not accommodate the changeovers
necessary from dates in the year 1999 to dates in the year 2000. These risks
could adversely affect:
- - The companies in which the Fund invests, which could impact the value of the
Fund's investments;
- - Our ability to service your Fund account, including our ability to meet your
requests to buy and sell Fund shares; and
- - Our ability to trade securities held by the Fund or to accurately price
securities held by the Fund.
We are working both internally and with our business partners and service
providers to address this problem. If we -- or our business partners, service
providers, government agencies or other market participants -- do not succeed,
it could materially affect shareholder services or the value of the Fund's
shares.
24
-----
<PAGE>
A Detailed Look at the Global Emerging Markets Equity Fund
Temporary Defensive Position. We may from time to time adopt a temporary
defensive position in response to extraordinary adverse political, economic or
stock market events. We could place up to 100% of the Fund's assets in U.S. or
foreign government money market investments, or other short-term bonds that
offer comparable safety, if the situation warranted. To the extent we might
adopt such a position and over the course of its duration, the Fund may have to
forego its goal of long-term capital growth.
PORTFOLIO MANAGER
Paul Durham is responsible for the day-to-day management of the master
portfolio's investments:
- - Managing Director of BT Funds Management (International) Limited ("BTFMI")
and Lead Portfolio Manager of the Fund since its inception.
- - Head of BTFMI's global emerging markets investing since 1996.
- - Joined Bankers Trust in 1988 and served as a stock analyst in Australia and
the U.S.
- - 11 years of investment management experience.
- - First-class honors degree in accounting and finance from University of
Sydney, Australia.
The table below provides a picture of the Fund's financial performance since
inception. The information selected reflects financial results for a single
Fund share. The total returns in the table represent the rate of return that an
investor would have earned on an investment in the Fund (assuming reinvestment
of all interest income and distributions). This information has been audited by
PricewaterhouseCoopers LLP, whose report, along with the Fund's financial
statements, is included in the Fund's annual report. The annual report is
available free of charge by calling BT Service Center at 1-800-730-1313.
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE PERIOD JUNE 30, 1998(1)
THROUGH SEPTEMBER 30, 1998
------------------------------
<S> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
- ------------------------------------------------------------------------------------------ --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.03
- ------------------------------------------------------------------------------------------ --------
Net Realized and Unrealized Loss on Investment, Foreign Currency and Forward Foreign
Currency Contracts (1.99)
- ------------------------------------------------------------------------------------------ --------
TOTAL LOSS FROM INVESTMENT OPERATIONS (1.96)
- ------------------------------------------------------------------------------------------ --------
NET ASSET VALUE, END OF PERIOD $ 8.04
- ------------------------------------------------------------------------------------------ --------
TOTAL INVESTMENT RETURN (19.60)%
- ------------------------------------------------------------------------------------------ --------
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) $ 1.937
- ------------------------------------------------------------------------------------------ --------
Ratios to Average Net Assets:
Net Investment Income(2) 1.67%
- ------------------------------------------------------------------------------------------ --------
Expenses, Including Expenses of the Global Emerging Markets Equity Portfolio(2) 1.90%
Decrease Reflected in Above Expense Ratio Due to Absorption of Expenses by Bankers Trust 10.64%
- ------------------------------------------------------------------------------------------ --------
Portfolio Turnover Rate(3) 38%
- ------------------------------------------------------------------------------------------ --------
</TABLE>
(1)Commencement of operations
(2)Annualized
(3)The portfolio turnover rate is the rate for the master fund in which the Fund
invests its assets.
25
----
<PAGE>
LATIN AMERICAN EQUITY FUND
Overview
<TABLE>
<S> <C>
[GOAL: The Fund invests for long-term capital appreciation.
CORE STRATEGY: The Fund invests primarily in the stocks and equity
securities of companies based in Latin America.]
</TABLE>
<TABLE>
<S> <C>
Latin American Equity Fund
OVERVIEW OF THE LATIN AMERICAN EQUITY FUND
26 Goal
26 Core Strategy
26 Investment Policies and Strategies
27 Principal Risks of Investing in the Fund
27 Who Should Consider Investing in the Fund
28 Total Returns, After Fees and Expenses
29 Annual Fund Operating Expenses
A DETAILED LOOK AT THE LATIN AMERICAN EQUITY FUND
30 Objective
30 The Case for Latin America
30 Strategy
30 Principal Investments
30 Investment Process
31 Risks
32 Portfolio Managers
34 Financial Highlights
</TABLE>
INVESTMENT POLICIES AND STRATEGIES
The Fund invests all of its assets in a master portfolio with the same
investment objective as the Fund. The Fund, through the master portfolio, seeks
to achieve that objective by investing primarily in the stock and other equity
securities of companies based in Latin America. The Fund may also invest a
portion of its assets in Latin American bonds and other debt securities. The
companies are selected by an extensive tracking system plus the input of
experts from various financial disciplines.
26
------
<PAGE>
Overview of the Latin American Equity Fund
PRINCIPAL RISKS OF INVESTING IN THE FUND
An investment in the Fund could lose money, or the Fund's performance could
trail that of other investments. For example:
- - Stocks that our Investment Adviser has selected could perform poorly; or
- - The stock market could perform poorly or could underperform other
investments in one or more of the countries in which the Fund has invested.
Beyond the risks common to all stock investing, an investment in the Fund could
also lose money or underperform alternative investments as a result of risks in
the emerging markets in which the Fund invests:
- - Adverse political, economic or social developments could undermine the value
of the Fund's investments or prevent the Fund from realizing their full value;
- - Accounting and financial reporting standards differ from those in the U.S.
and could convey incomplete information when compared to information typically
provided by U.S. companies; or
- - The currency of a country in which the Fund invests may decrease in value
relative to the U.S. dollar, which could affect the value of the investment to
U.S. investors.
WHO SHOULD CONSIDER INVESTING IN THE FUND
You should consider investing in the Latin American Equity Fund if you are
seeking long-term capital appreciation. There is, of course, no guarantee that
the Fund will realize its goal. You should be aware that extreme fluctuations
in short-term investment values have often accompanied this long-term capital
appreciation.
You should not consider investing in the Latin American Equity Fund if you are
pursuing a short-term financial goal, if you seek regular income or if you
cannot tolerate fluctuations in the value of your investments.
The Fund by itself does not constitute a balanced investment program. It can,
however, afford you exposure to investment opportunities not otherwise
available to someone who invests in developed market securities alone.
AN INVESTMENT IN THE LATIN AMERICAN EQUITY FUND IS NOT A DEPOSIT OF BANKERS
TRUST COMPANY OR ANY OTHER BANK AND IS NOT INSURED OR GUARANTEED BY THE FEDERAL
DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
27
----
<PAGE>
Overview of the Latin American Equity Fund
YEAR-BY-YEAR RETURNS
(EACH FULL CALENDAR YEAR SINCE INCEPTION)
[BAR GRAPH APPEARS HERE WITH INFORMATION.]
1994 1995 1996 1997 1998
- ---- ----- ----- ----- -----
- -10.95% -24.27% 32.80% 30.80% -36.23%
Since inception, the Fund's highest return in any calendar quarter was 33.06%
and its lowest quarterly return was -33.61%. Past performance offers no
indication of how the Fund will perform in the future.
TOTAL RETURNS, AFTER FEES AND EXPENSES
The bar chart and table on this page can help you evaluate the potential risks
and rewards of investing in the Fund by showing changes in the Fund's
performance year to year. The bar chart shows the Fund's actual return for each
full calendar year since it began selling shares on October 25, 1993 (its
inception date). The table compares the Fund's average annual return with the
IFCI (INTERNATIONAL FINANCE CORPORATION INVESTABLE) LATIN AMERICAN INDEX over
the last one and five years, and since inception. The Index is a passive
measure of combined stock market returns. It does not factor in the costs of
buying, selling and holding securities -- costs which are reflected in the
Fund's results.
- --------------------------------------
THE IFCI LATIN AMERICAN INDEX is a widely used benchmark of Latin American
stocks. It is a model, not an actual portfolio, developed by the IFC, a member
of the World Bank Group. It includes the returns of companies traded on stock
markets in Latin America.
AVERAGE ANNUAL RETURNS
(AS OF DECEMBER 31, 1998)
<TABLE>
<CAPTION>
Since Inception
1 year 5 years (October 25, 1993)(1)
------------ ----------- --------------------
<S> <C> <C> <C>
LATIN AMERICAN EQUITY FUND -36.23% -5.67% -1.36%
- -------------------------------- ------- ------ ------
IFCI Latin American Index -35.54% -5.94% -1.86%
- -------------------------------- ------- ------ ------
Lipper Latin American Average(2) -38.21% -6.81% -4.56%
- -------------------------------- ------- ------ ------
</TABLE>
(1)The IFCI Latin American Index and Lipper Latin American Average are
calculated from October 31, 1993 through end of period.
(2)The Lipper Latin American Average represents the average return of mutual
funds that invest in the stocks of Latin American companies.
28
----
<PAGE>
Overview of the Latin American Equity Fund
ANNUAL FUND OPERATING EXPENSES
(EXPENSES PAID FROM FUND ASSETS)
The Annual Fees and Expenses table to the right describes the fees and expenses
you may pay if you buy and hold shares of the Latin American Equity Fund.
Expense example. This example illustrates the expenses you would have incurred
on a $10,000 investment in the Fund. The numbers assume that the Fund earned an
annual return of 5% over the periods shown, the Fund's operating expenses
remained the same and you sold your shares at the end of the period.
You may use this hypothetical example to compare the fund's expense history
with other funds. (1) Your actual costs may be higher or lower.
(1)Information on the annual operating expenses reflects the expenses of both
the Fund and the Latin American Equity Portfolio, the master fund into which the
Latin American Equity Fund invests its assets. (A further discussion of the
relationship between the Fund and the Portfolio appears in the "Organizational
Structure" section of this prospectus).
(2)Bankers Trust has agreed, for the 16 month period from the Fund's fiscal year
end of September 30, 1998, to waive its fees or reimburse expenses so that
total expense will not exceed 2.00%.
(3)Based on expenses, after fee waivers and reimbursements for the first 16
months only.
ANNUAL FEES AND EXPENSES
<TABLE>
<CAPTION>
Percentage of Average
Daily Net Assets(1)
---------------------------
<S> <C>
Management Fees 1.00%
- --------------------------------------- -------
Distribution and Service (12b-1) Fees None
- --------------------------------------- -------
Other Fund Operating Expenses 1.66%
- --------------------------------------- -------
Total Fund Operating Expenses 2.66%
- --------------------------------------- -------
Less: Fee Waivers or Expense
Reimbursement (0.66)%(2)
- --------------------------------------- ------------
NET EXPENSES 2.00%
- --------------------------------------- ------------
</TABLE>
<TABLE>
<CAPTION>
[EXPENSE EXAMPLE(3)
1 Year 3 Years 5 Years 10 Years
-------- --------- --------- ---------
<S> <C> <C> <C> <C>
$203 $755 $1,360 $3,001]
</TABLE>
29
------
<PAGE>
LATIN AMERICAN EQUITY FUND
A detailed look
OBJECTIVE
The Fund seeks long-term capital appreciation. Under normal circumstances, the
Fund invests at least 65% of its total assets in the stock and other securities
with equity characteristics of companies based in LATIN AMERICA.
The Fund invests for capital appreciation, not income; any dividend or interest
income is incidental to the pursuit of its objective. While we give priority to
capital appreciation, we cannot offer any assurance of achieving this
objective. The Fund's objective is not a fundamental policy. We must notify
shareholders before we change it, but we do not require their approval to do
so.
THE CASE FOR LATIN AMERICA
Perhaps more than any other developing region, Latin America has adopted the
U.S. economic model. Deregulation and reduced rates of inflation have promoted
an environment conducive to investing. A large portion of the populations of
Argentina, Brazil, Chile and Mexico have benefited from national economic
growth and entered the middle class. Their new affluence and aspirations have
generated a strong demand for consumer goods. Vast, formerly government-owned
enterprises in oil and gas, telecommunications, and electric power are
privatizing and selling shares to the public.
STRATEGY
The Fund invests for the long term. We employ a strategy of growth at a
reasonable price. We seek to identify companies in Latin America that combine
strong potential for earnings growth with reasonable investment value. Such
companies typically exhibit increasing rates of profitability and cash flow,
yet their share prices compare favorably to other stocks in a given market and
to their global peers. In evaluating stocks, we consider factors such as sales,
earnings, cash flow and enterprise value. Enterprise value is a company's
market capitalization plus the value of its net debt. We further consider the
relationship between these and other quantitative factors. Together, these
indicators of growth and value may identify companies with improving prospects
before the market in general has taken notice.
- --------------------------------------------------------------------------------
We define "LATIN AMERICA" as Mexico and all countries in Central America and
South America, including Argentina, Brazil, Chile, Columbia, Peru and
Venezuela.
PRINCIPAL INVESTMENTS
The Fund invests primarily in the stock and other equity securities of
companies based in Latin America. We consider a company to be based in Latin
America if it meets one of four criteria:
- - It has its headquarters in the region or is organized under the laws of a
Latin American country;
- - It derives more than half its revenue from goods or services produced or
sales made in the region;
- - Its stock trades on a Latin American exchange; or
- - It is issued or guaranteed by the government of a country (or its agencies)
in Latin America.
The Fund may also invest up to 35% of its assets in Latin American BONDS and
other debt securities.
Bonds and other debt securities must have earned a rating of C or better from
Standard & Poor's Corporation or Moody's Investors Service. If they have no
rating, they must be at least comparable to a C-rated security in the opinion
of Bankers Trust. As an operating policy (which may be changed by the Fund's
Board of Trustees), the Fund will not invest more than 10% of its assets in
bonds or other debt securities rated BBB or lower by S&P or Baa or lower by
Moody's.
INVESTMENT PROCESS
Company research lies at the heart of our investment process, as it does with
many stock mutual funds. We track several hundred companies to arrive at the
approximately 30 stocks the Fund normally holds. But our process brings an
added dimension to this fundamental research. It draws on the insight of
experts from a range of financial disciplines -- regional stock market
specialists, global industry specialists, economists and quantitative analysts.
They challenge, refine and amplify each other's ideas. Their close
collaboration is a critical element of our investment process.
- --------------------------------------------------------------------------------
BONDS may generate capital appreciation through decreases in interest rates
resulting from economic and market conditions or improvements in the bond
issuer's finances. There is corresponding risk in investing in bonds to seek
capital appreciation. If interest rates increase or if the bond issuer's
finances deteriorate, the price of the bond may go down.
PORTFOLIO TURNOVER. The portfolio turnover rate measures the frequency that the
Portfolio sells and replaces the securities it holds within a given period.
Historically, this Fund has had a high portfolio turnover rate. High turnover
can increase the Fund's transaction costs, thereby lowering its returns. It may
also increase your tax liability.
30
-----
<PAGE>
A Detailed Look at the Latin American Equity Fund
RISKS
BELOW WE SET FORTH SOME OF THE PROMINENT RISKS ASSOCIATED WITH INVESTING IN
LATIN AMERICA, AS WELL AS INVESTING IN GENERAL, AND WE DETAIL OUR APPROACHES TO
CONTAINING THEM. ALTHOUGH WE ATTEMPT TO ASSESS THE LIKELIHOOD THAT THESE RISKS
MAY ACTUALLY OCCUR AND TO LIMIT THEM, WE MAKE NO GUARANTEE THAT WE WILL
SUCCEED.
PRIMARY RISKS
Market Risk. Although individual stocks can outperform their local markets,
deteriorating market conditions might cause an overall weakness in the stock
prices of the entire market.
Stock Selection Risk. A risk that pervades all investing is the risk that the
securities an investor has selected will not perform to expectations. The Fund
seeks to limit this risk with a strict evaluation process. Before it invests in
a stock, the Fund's investment team typically establishes a target sell price,
at which point they will reevaluate the company's situation to determine
whether the deterioration in performance mirrors a fundamental deterioration in
the business, or whether, in our view, the reversal is merely temporary.
Risks Associated with Investing in Latin America. The stock markets of Latin
America have exhibited much greater volatility than those of the United States,
Western Europe and Japan. The Fund aims to reduce the risk in this volatility
while still capturing the region's inherent potential by diversifying its
investments. Just as individual investors should spread their investments so
that a setback in one need not overwhelm their entire strategy, the Fund seeks
to spread its investments among Latin America's stock markets and industries.
In this way, a reversal in one stock need not undermine the pursuit of
long-term capital appreciation.
Political Risk. Profound social change and business practices that depart from
developed market norms have hindered the growth of Latin American stock markets
in the past. High levels of debt tend to make them overly reliant on foreign
capital investment and vulnerable to capital flight. Governments have declared
moratoriums on the repayment of foreign debts, which has had a negative impact
on stocks as well as bonds. They have limited foreign investors' access to
capital markets and restricted the flow of profits overseas. And they have
resorted to high taxes, expropriation and nationalization. All these threats
remain a part of Latin American investing today. The Fund attempts to avoid
them, in large part, through intensive, ongoing economic and political
research.
Information Risk. Emerging market accounting, auditing, and financial reporting
and disclosure standards tend to be far less stringent than those of developed
markets. And the risks of investors acting on incomplete, inaccurate or
deliberately misleading information are correspondingly greater. Compounding
the problem, local investment research often lacks the sophistication to spot
potential pitfalls. Thus, a linchpin in the Fund's investment process is
independently assessing the impact of these differences upon a company's
financial conditions and prospects.
Foreign Stock Market Risk. From time to time, foreign capital markets have
exhibited more volatility than those in the United States. Trading stocks on
some foreign exchanges is inherently more difficult than trading in the United
States for reasons including:
- - Liquidity Risk. Stocks that trade less can be more difficult or more costly
to buy, or to sell, than more liquid or active stocks. This liquidity risk is a
factor of the trading volume of a particular stock, as well as the size and
liquidity of the entire local market. On the whole, foreign exchanges are
smaller and less liquid than the U.S. market. This can make buying and selling
certain shares more difficult and costly. Relatively small transactions in some
instances can have a disproportionately large effect on the price and supply of
shares. In certain situations, it may become virtually impossible to sell a
stock in an orderly fashion at a price that approaches our estimate of its
value.
- - Regulatory Risk. Some foreign governments regulate their exchanges less
stringently, and the rights of shareholders may not be as firmly established.
The management of certain foreign companies may be less focused on short-term
earnings than some U.S. companies. For example, they may pay lower dividends.
In an effort to reduce these foreign stock market risks, the Fund diversifies
its investments, just as you may spread your investments among a range of
securities so that a setback in one need not overwhelm your entire strategy. In
this way, a reversal in one market or stock need not undermine the pursuit of
long-term capital appreciation.
Currency Risk. The Fund invests in foreign securities denominated in foreign
currencies. This creates the possibility that changes in foreign exchange rates
will affect the value of foreign securities or the U.S. dollar amount of income
or gain received on these securities. The Investment Adviser seeks to minimize
this risk by actively managing the currency exposure of the Fund.
- --------------------------------------------------------------------------------
CURRENCY MANAGEMENT is used to offset investment risks ("hedging") and, where
possible, to add to investment returns. Currency management activities include
the use of forward contracts and may include the use of other instruments.
There is no guarantee that these currency management activities will work and
they could cause losses to the Fund.
31
------
<PAGE>
A Detailed Look at the Latin American Equity Fund
SECONDARY RISKS
Small Company Risk. To the extent that the Latin American Equity Fund invests
in the stocks of smaller companies, it will encounter the risks associated with
such investing. Small company stocks tend to experience steeper price
fluctuations -- down as well as up -- than the stocks of larger companies.
Industrywide reversals have had a greater impact on small companies, since they
lack a large company's financial resources. Small company managers typically
have less experience coping with adversity or capitalizing on opportunity than
their counterparts at larger companies. Finally, small company stocks are
typically less liquid than large company stocks: when things are going poorly,
it is harder to find a buyer for a small company's shares.
Risks Associated with Debt Securities. To the extent that the Fund invests in
bonds and other debt securities, it faces the risk of rising interest rates,
which tend to reduce the value of these investments. The high levels of debt
carried by many Latin American countries and the concentration of their
economies on a few global industries also makes the investments particularly
vulnerable to local and worldwide economic slowdowns. Such slowdowns may affect
the ability of bond issuers to meet their repayment obligation and could even
result in a default that would render their bonds worthless.
Risks Associated with Lower Quality Debt Securities ("Junk Bonds"). The Fund
can invest up to 10% of its net assets in bonds or other debt securities rated
BBB or lower by S&P or Baa or lower by Moody's. These securities are riskier
than higher rated securities because their issuers are less creditworthy, and
there is an increased risk that the issuers will default on their repayments.
Junk bonds are also more sensitive to increases in interest rates, economic
downturns or adverse market conditions.
Pricing Risk. When price quotations for securities are not readily available,
we determine their value by the method that most accurately reflects their
current worth in the judgement of the Board of Trustees. This procedure implies
an unavoidable risk, the risk that our prices are higher or lower than the
prices that the securities might actually command if we sold them. If we have
valued the securities too highly, you may end up paying too much for Fund
shares when you buy. If we underestimate their price, you may not receive the
full market value for your Fund shares when you sell.
Euro Risk. On January 1, 1999, eleven countries of the European Economic and
Monetary Union (EMU) began implementing a plan to replace their national
currencies with a new currency, the euro. Full conversion to the euro is slated
to occur by July 1, 2002.
Although it is impossible to predict the impact of the conversion to the euro
on the Fund, the risks may include:
- - changes in the relative strength and value of the U.S. dollar or other major
currencies;
- - adverse effects on the business or financial condition of European issuers
that the Fund holds in its portfolio;
- - that the systems used to purchase and sell euro-denominated securities may
not work;
- - uncertainty about how existing financial contracts will be treated after euro
implementation; and
- - unpredictable effects on trade and commerce generally.
These and other factors could increase volatility in financial markets
worldwide and could adversely affect the value of securities held by the Fund.
Year 2000 Risk. As with most businesses, the Fund faces the risk that the
computer systems of its Investment Adviser and other companies on which it
relies for service or in which it invests will not accommodate the changeovers
necessary from dates in the year 1999 to dates in the year 2000. These risks
could adversely affect:
- - The companies in which the Fund invests, which could impact the value of the
Fund's investments;
- - Our ability to service your Fund account, including our ability to meet your
requests to buy and sell Fund shares; and
- - Our ability to trade securities held by the Fund or to accurately price
securities held by the Fund.
We are working both internally and with our business partners and service
providers to address this problem. If we -- or our business partners, service
providers, government agencies or other market participants -- do not succeed,
it could materially affect shareholder services or the value of the Fund's
shares.
Temporary Defensive Position. We may from time to time adopt a temporary
defensive position in response to extraordinary adverse political, economic or
stock market events. We could place up to 100% of the Fund's assets in U.S. or
foreign government money market investments, or other short-term bonds that
offer comparable safety, if the situation warranted. To the extent we might
adopt such a position and over the course of its duration, the Fund may have to
forego its goal of long-term capital growth.
PORTFOLIO MANAGERS
The following portfolio managers are responsible for the day-to-day management
of the master portfolio's investments:
Paul Durham, Managing Director of BT Funds Management (International) Limited
("BTFMI") and Co-Lead Portfolio Manager of the Fund since 1999.
- - Joined Bankers Trust in 1988 and served as a stock analyst in Australia and
the U.S.
- - Head of BTFMI's global emerging markets since 1996.
32
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<PAGE>
A Detailed Look at the Latin American Equity Fund
- - 11 years of investment management experience.
- - First-class honors degree in accounting and finance from University of
Sydney, Australia.
Warren Howe, Co-Lead Portfolio Manager of the Fund.
- - Joined Bankers Trust in 1992 and the Fund in 1998.
- - Lead Latin American equities portfolio manager.
- - Six years of investment management and analyst experience.
- - Bachelor's degree in Commerce from University of New South Wales; Master's
degree in Applied Finance from Macquarie University.
Julie Wang, Principal of Bankers Trust and Co-Manager of the Fund.
- - Joined Bankers Trust in 1994 and the Fund in 1998.
- - Specializes in emerging markets.
- - Ten years of investment management experience.
- - Served as Investment Manager at American International Group from 1991 to
1994.
- - Bachelor's degree in economics from Yale University; MBA from The Wharton
School, University of Pennsylvania.
33
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<PAGE>
A Detailed Look at the Latin American Equity Fund
The table below provides a picture of the Fund's financial performance for the
past five years. The information selected reflects financial results for a
single Fund share. The total returns in the table represent the rate of return
that an investor would have earned on an investment in the Fund, assuming
reinvestment of all dividends and distributions. This information has been
audited by PricewaterhouseCoopers LLP, whose report, along with the Fund's
financial statements, is included in the Fund's annual report. The annual
report is available free of charge by calling the BT Service Center at
1-800-730-1313.
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE FOR THE FOR THE FOR THE OCTOBER 25,
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 1993(1) TO
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
1998 1997 1996 1995 1994
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.74 $ 10.71 $ 8.50 $ 14.59 $ 10.00
- ------------------------------------------- -------- ------- ------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.44 0.002 0.02 0.03 --
- ------------------------------------------- -------- ------- ------- -------- -------
Net Realized and Unrealized Gain (Loss) on
Investment, Foreign Currency and
Forward Foreign Currency Contracts (7.40) 5.03 2.19 (5.92) 4.59
- ------------------------------------------- -------- ------- ------- -------- -------
TOTAL INCOME (LOSS) FROM INVESTMENT
OPERATIONS (6.96) 5.03 2.21 (5.89) 4.59
- ------------------------------------------- -------- ------- ------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (0.03) 0.002 -- -- --
- ------------------------------------------- -------- ------- ------- -------- -------
Net Realized Gains -- -- -- (0.20) --
- ------------------------------------------- -------- ------- ------- -------- -------
NET ASSET VALUE, END OF PERIOD $ 8.75 $ 15.74 $ 10.71 $ 8.50 $ 14.59
- ------------------------------------------- -------- ------- ------- -------- -------
TOTAL INVESTMENT RETURN (44.28)% 47.00% 26.00% (40.68)% 50.01%(3)
- ------------------------------------------- -------- ------- ------- -------- ---------
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) $ 6,256 $37,413 $16,997 $ 13,624 $27,489
- ------------------------------------------- -------- ------- ------- -------- ---------
Ratios to Average Net Assets:
Net Investment Income 1.42% 0.16% 0.16% 0.29% 0.03%(3)
- ------------------------------------------- -------- ------- ------- -------- ---------
Expenses, Including Expenses of the Latin
American Equity Portfolio 2.00% 2.00% 2.00% 2.00% 2.00%(3)
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by
Bankers Trust 0.66% 0.44% 0.66% 1.17% 1.27%(3)
- ------------------------------------------- -------- ------- ------- -------- ---------
Portfolio Turnover Rate(4) 92% 122% 171% 161% 124%
- ------------------------------------------- -------- ------- ------- -------- ---------
</TABLE>
(1)Commencement of operations
(2)Less than $0.01
(3)Annualized
(4)The portfolio turnover rate is the rate for the master portfolio, into which
the Fund invests all its assets.
34
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<PAGE>
PACIFIC BASIN EQUITY FUND
Overview
<TABLE>
<S> <C>
[GOAL: The Fund invests for long-term capital appreciation.
CORE STRATEGY: The Fund invests primarily in the stocks and other
equity securities of companies in the Pacific Basin region, excluding
Japan.]
</TABLE>
Pacific Basin Equity Fund
OVERVIEW OF THE PACIFIC BASIN EQUITY FUND
35 Goal
35 Core Strategy
35 Investment Policies and Strategies
36 Principal Risks of Investing in the Fund
36 Who Should Consider Investing in the Fund
37 Total Returns, After Fees and Expenses
38 Annual Fund Operating Expenses
A DETAILED LOOK AT THE PACIFIC BASIN EQUITY FUND
39 Objective
39 The Case for the Pacific Basin
39 Strategy
39 Principal Investments
39 Investment Process
40 Risks
42 Portfolio Manager
43 Financial Highlights
INVESTMENT POLICIES AND STRATEGIES
The Fund invests all of its assets in a master portfolio with the same
investment objective as the Fund. The Fund, through the master portfolio, seeks
to achieve that objective by investing primarily in the stock and other equity
securities of companies based in the Pacific Basin. The Fund may also invest a
portion of its assets in Pacific Basin bonds and other debt securities. The
companies are selected by an extensive tracking system plus the input of
experts from various financial disciplines.
35
------
<PAGE>
Overview of the Pacific Basin Equity Fund
PRINCIPAL RISKS OF INVESTING IN THE FUND
An investment in the Fund could lose money, or the Fund's performance could
trail that of other investments. For example:
- - Stocks that our Investment Adviser has selected could perform poorly; or
- - The stock market could perform poorly or could underperform other investments
in one or more of the countries in which the Fund has invested.
Beyond the risks common to all stock investing, an investment in the Fund could
also lose money or underperform alternative investments as a result of risks in
the foreign countries in which the Fund invests:
- - Economies in emerging markets are more volatile than developed countries' and
are subject to sudden reversals;
- - Adverse political, economic or social developments could undermine the value
of the Fund's investments or prevent the Fund from realizing their full value.
- - Accounting and financial reporting standards differ from those in the U.S.
and could convey incomplete information when compared to information typically
provided by U.S. companies; or
- - The currency of a country in which the Fund invests may decrease in value
relative to the U.S. dollar, which could affect the value of the investment
itself to U.S. investors.
WHO SHOULD CONSIDER INVESTING IN THE FUND
You should consider investing in the Pacific Basin Equity Fund if you are
seeking long-term capital appreciation. There is, of course, no guarantee that
the Fund will realize its goal. The Fund is designed for investors who are
willing to accept that extreme fluctuations in short-term investment values
have often accompanied this long-term capital appreciation.
You should not consider investing in the Pacific Basin Equity Fund if you are
pursuing a short-term financial goal, if you seek regular income or if you
cannot tolerate fluctuations in the value of your investments.
The Fund by itself does not constitute a balanced investment program. It can,
however, afford you exposure to investment opportunities not otherwise
available to someone who invests in developed market securities alone.
AN INVESTMENT IN THE PACIFIC BASIN EQUITY FUND IS NOT A DEPOSIT OF BANKERS
TRUST COMPANY OR ANY OTHER BANK AND IS NOT INSURED OR GUARANTEED BY THE FEDERAL
DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
36
----
<PAGE>
Overview of the Pacific Basin Equity Fund
YEAR-BY-YEAR RETURNS
(EACH FULL CALENDAR YEAR SINCE INCEPTION)
[BAR GRAPH APPEARS HERE WITH INFORMATION.]
1994 1995 1996 1997 1998
- ----- ----- ----- ----- -----
- -16.86% 7.25% 12.9% -45.92% 0.14%
Since inception, the Fund's highest return in any calendar quarter was 31.84%
and its lowest quarterly return was -37.09%. Past performance offers no
indication of how the Fund will perform in the future.
TOTAL RETURNS, AFTER FEES AND EXPENSES
The bar chart and table on this page can help you evaluate the potential risks
and rewards of investing in the Pacific Basin Equity Fund by showing changes in
the Fund's performance year to year. The bar chart shows the Fund's actual
return for each full calendar year since it began selling shares on November 1,
1993 (its inception date). The table compares the Fund's average annual return
with the MORGAN STANLEY CAPITAL INTERNATIONAL (MSCI) COMBINED ASIA (EX-JAPAN)
INDEX over the last one and five years, and since inception. Bear in mind that
the Index is a passive measure of combined national stock market returns. It
does not factor in the costs of buying, selling and holding securities -- costs
which are reflected in the Fund's results.
- --------------------------------------
THE MSCI ALL COUNTRY ASIA (EX-JAPAN) FREE INDEX is a broad benchmark of
Asia/Pacific stock performance, excluding Japan. The Index is a model, not an
actual portfolio, that includes the returns of companies traded on the stock
markets in China, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand,
Pakistan, the Philippines, Singapore, Sri Lanka, Taiwan and Thailand.
AVERAGE ANNUAL RETURNS
(AS OF DECEMBER 31, 1998)
<TABLE>
<CAPTION>
Since Inception
1 year 5 years (November 1, 1993)(1)
---------- ------------ --------------------
<S> <C> <C> <C>
PACIFIC BASIN EQUITY FUND 0.14% -11.41% -6.83%
- --------------------------------------------- ----- ------- ------
MSCI All Country Asia (ex-Japan) Free Index -7.39% -13.77% -9.79%
- --------------------------------------------- ------ ------- ------
Lipper Pacific ex-Japan Average(2) -9.05% -11.89% -8.66%
- --------------------------------------------- ------ ------- ------
</TABLE>
(1)The MSCI All Country Asia (ex-Japan) Free Index and Lipper Pacific Basin
ex-Japan Average calculated from October 31, 1993 through end of period.
(2)The Lipper Pacific Basin ex-Japan Average represents the average return of
mutual funds with the objective of investing in the common stocks of Asia
and the Far East (excluding Japan).
37
----
<PAGE>
Overview of the Pacific Basin Equity Fund
ANNUAL FUND OPERATING EXPENSES
(EXPENSES PAID FROM FUND ASSETS)
The Annual Fees and Expenses table to the right describes the fees and expenses
you may pay if you buy and hold shares of the Pacific Basin Equity Fund.
Expense Example. The example below illustrates the expenses you would have
incurred on a $10,000 investment in the Fund. The numbers assume that the Fund
earned an annual return of 5% over the periods shown, the Fund's operating
expenses remained the same, and you sold your shares at the end of the period.
You may use this hypothetical example to compare the Fund's expense history
with other funds.1 Your actual costs may be higher or lower.
1Information on the annual operating expenses reflects the expenses of both the
Fund and the Pacific Basin Equity Portfolio, the master fund in which the
Pacific Basin Equity Fund invests its assets. (A further discussion of the
relationship between the Fund and the Portfolio appears in the "Organizational
Structure" section of this prospectus.)
2Bankers Trust has agreed, for the 16-month period from the Fund's fiscal year
end of September 30, 1998, to waive its fees or reimburse expenses so that
total expenses will not exceed 1.75%.
3Based on expenses, after fee waivers and reimbursements for the first 16
months only.
ANNUAL FEES AND EXPENSES
<TABLE>
<CAPTION>
Percentage of Average
Daily Net Assets(1)
-----------------------------
<S> <C>
Management Fees 0.75%
- --------------------------------------- -------
Distribution and Service (12b-1) Fees None
- --------------------------------------- -------
Other Fund Operating Expenses 1.70%
- --------------------------------------- -------
Total Fund Operating Expenses 2.45%
- --------------------------------------- -------
Less: Fee Waivers or Expense
Reimbursement (0.70)%(2)
- --------------------------------------- ------------
NET EXPENSES 1.75%
- --------------------------------------- ------------
</TABLE>
<TABLE>
<CAPTION>
[EXPENSE EXAMPLE(3)
1 year 3 years 5 years 10 years
-------- --------- --------- ---------
<S> <C> <C> <C> <C>
$178 $687 $1,250 $2,789]
</TABLE>
38
----
<PAGE>
PACIFIC BASIN EQUITY FUND
A detailed look
OBJECTIVE
The Fund seeks long-term capital appreciation. Under normal circumstances, the
Fund invests at least 65% of its total assets in the stock and other securities
with equity characteristics of companies in the PACIFIC BASIN, excluding Japan.
The Fund invests for capital appreciation, not income; any dividend or interest
income is incidental to the pursuit of its objective. While we give priority to
capital appreciation, we cannot offer any assurance of achieving this
objective. The Fund's objective is not a fundamental policy. We must notify
shareholders before we change it, but we do not require their approval to do
so.
THE CASE FOR THE PACIFIC BASIN
Until recently, the developing economies of the Pacific Basin ranked among the
world's fastest growing. And despite the turmoil that has swept the region,
enormous potential remains.
- - China and India alone account for 40% of the world's population.
- - Two decades of heavy infrastructure spending have provided the region with
the physical capital necessary to resume its development; and
- - The region's nations have made education a top priority. Universal primary
education is widespread. This trend has enabled the region's businesses to tap
vast pools of skilled labor at a fraction of their cost in developed markets.
STRATEGY
The Fund invests for the long-term. We employ a strategy of growth at a
reasonable price. We seek to identify companies in the Pacific Rim that combine
strong potential for earnings growth with reasonable investment value. Such
companies typically exhibit increasing rates of profitability and cash flow,
yet their share prices compare favorably to other stocks in a given market and
to their global peers. In evaluating stocks, we consider factors such as sales,
earnings, cash flow and enterprise value. Enterprise value is a company's
market capitalization plus the value of its net debt. We further consider the
relationship between these and other quantitative factors. Together, these
indicators of growth and value may identify companies with improving prospects
before the market in general has taken notice.
- --------------------------------------------------------------------------------
The PACIFIC BASIN markets in which the Fund may invest include India,
Indonesia, Malaysia, New Zealand, Pakistan, the Philippines, the People's
Republic of China and Hong Kong, Singapore, Sri Lanka, South Korea, Thailand,
Taiwan and Vietnam.
PRINCIPAL INVESTMENTS
The Fund invests primarily in the stock and other equity securities of
companies based in the Pacific Basin. We consider a company to be based in the
Pacific Basin if it meets one of four criteria:
- - It is organized under the laws of one of the countries in the region;
- - It derives at least half its revenues or profits from goods or services
produced or sold or investments made in the region;
- - It derives at least half its revenues or profits from assets in
the region; or
- - Its stock trades on a Pacific Basin exchange.
The Fund may also invest up to 35% of its assets in Pacific Basin BONDS and
other debt securities.
Bonds and other debt securities must have earned a rating of C or better from
Standard & Poor's Corporation or Moody's Investors Service. If they have no
rating, they must be at least comparable to a C-rated security in the opinion
of Bankers Trust. As an operating policy (which may be changed by the Fund's
Board of Trustees), the Fund will not invest more than 5% of its assets in
bonds or other debt securities rated BBB or lower by S&P or Baa or lower by
Moody's.
INVESTMENT PROCESS
Company research lies at the heart of our investment process, as it does with
many stock mutual funds. We track several hundred companies to arrive at the
approximately 60 to 80 stocks the Fund normally holds. But our process brings
an added dimension to this fundamental research. It draws on the insight of
experts from a range of financial disciplines -- regional stock market
specialists, global industry specialists, economists and quantitative
- --------------------------------------------------------------------------------
BONDS may generate capital appreciation through decreases in interest rates
resulting from economic and market conditions or improvements in the bond
issuer's finances. There is a corresponding risk in investing in bonds to seek
capital appreciation. If interest rates increase or if the bond issuer's
finances deteriorate, the price of the bond may go down.
PORTFOLIO TURNOVER. The portfolio turnover rate measures the frequency that the
Portfolio sells and replaces the securities it holds within a given period.
Historically, the Fund has had a high portfolio turnover rate. High turnover
can increase the Fund's transaction costs, thereby lowering its returns. It may
also increase your tax liability.
39
-----
<PAGE>
A Detailed Look at the Pacific Basin Equity Fund
analysts. They challenge, refine and amplify each other's ideas. Their close
collaboration is a critical element of our investment process.
RISKS
BELOW WE SET FORTH SOME OF THE PROMINENT RISKS ASSOCIATED WITH INVESTING IN THE
PACIFIC BASIN, AS WELL AS INVESTING IN GENERAL, AND WE DETAIL OUR APPROACHES TO
CONTAINING THEM. ALTHOUGH WE ATTEMPT TO ASSESS THE LIKELIHOOD THAT THESE RISKS
MAY ACTUALLY OCCUR AND TO LIMIT THEM, WE MAKE NO GUARANTEE THAT WE WILL
SUCCEED.
PRIMARY RISKS
Market Risk. Although individual stocks can outperform their local markets,
deteriorating market conditions might cause an overall weakness in the stock
prices of the entire market.
Stock Selection Risk. A risk that pervades all investing is the risk that the
securities an investor has selected will not perform to expectations. The Fund
seeks to limit this risk with a strict evaluation process. Before it invests in
a stock, the Fund's investment team typically establishes a target sell price
at which point they will reevaluate the company's situation to determine
whether the deterioration in performance mirrors a fundamental deterioration in
the company's business, or if, in our view, the reversal is merely temporary.
Emerging Market Risk. Emerging market investing entails heightened risks
compared to those posed in developed market investing. We outline those risks
below. While the Fund relies on the specific strategies to deal with each of
the risks, it employs one general approach in an attempt to reduce risk across
the board: diversification. Just as individual investors should spread their
investments among a range of securities so that a setback in one need not
overwhelm their entire strategy, the Fund seeks to spread its investments. In
this way, a reversal in one market need not undermine the pursuit of long-term
capital growth.
Political Risk. Profound social changes and business practices that depart from
developed stock market norms have hindered the growth of Pacific Basin stock
markets in the past. Authoritarian rule and the participation of the military
in daily business life have exacerbated normal economic uncertainties. High
levels of debt tend to make Pacific Basin countries overly reliant on foreign
capital investment and vulnerable to capital flight.
Governments have limited foreign investors' access to capital markets and
restricted the flow of profits overseas. And they have resorted to high taxes,
expropriation and nationalization. All these threats remain a part of Pacific
Basin investing today.
The Fund attempts to avoid them in large part through intensive, ongoing
economic and political research.
Information Risk. Emerging market accounting, auditing, and financial reporting
and disclosure standards generally tend to be far less stringent than those of
developed markets. And the risks of investors acting on incomplete, inaccurate
or deliberately misleading information are correspondingly greater. Compounding
the problem, local investment research often lacks the sophistication to spot
potential pitfalls. Thus, a linchpin in the Fund's investment process is
independently assessing the impact of these differences upon a company's
financial conditions and prospects.
Foreign Stock Market Risk. From time to time, foreign capital markets have
exhibited more volatility than those in the United States. Trading stocks on
some foreign exchanges is inherently more difficult than trading in the United
States for reasons including:
- - Liquidity Risk. Stocks that trade less can be more difficult or more costly
to buy, or to sell, than more liquid or active stocks. This liquidity risk is a
factor of the trading volume of a particular stock, as well as the size and
liquidity of the entire local market. On the whole, foreign exchanges are
smaller and less liquid than the U.S. market. This can make buying and selling
certain shares more difficult and costly. Relatively small transactions in some
instances can have a disproportionately large effect on the price and supply of
shares. In certain situations, it may become virtually impossible to sell a
stock in an orderly fashion at a price that approaches our estimate of its
value.
- - Regulatory Risk. Some foreign governments regulate their exchanges less
stringently, and the rights of shareholders may not be as firmly established.
The management of certain foreign companies may be less focused on short-term
earnings than some U.S. companies. For example, they may pay lower dividends.
In an effort to reduce these foreign stock market risks, the Fund diversifies
its investments, just as you may spread your investments among a range of
securities so that a setback in one need not overwhelm your entire strategy. In
this way, a reversal in one market or stock need not undermine the pursuit of
long-term capital appreciation.
Risks Affecting Malaysian Securities. As part of its investment strategy of
holding securities of companies in a number of Pacific Basin countries, the
Pacific Basin Equity Fund has a significant holding of Malaysian securities.
On September 1, 1998, the Government of Malaysia imposed a series of
restrictions affecting investments in Malaysian securities. Because of these
restrictions, the Fund must wait 12 months
40
-----
<PAGE>
A Detailed Look at the Pacific Basin Equity Fund
before it can convert its Malaysian holdings into U.S. dollars. For this
reason, we consider these securities illiquid. The Fund continues to seek to
reduce its Malaysian holdings.
The percentage of Malaysian securities held by the Fund as of December 31, 1998
was approximately 6.5%. The Fund does not presently intend to purchase
additional Malaysian securities. There is no assurance, however, that the
percentage of Malaysian or other illiquid securities will not increase as the
value of Malaysian securities or the rest of the Fund changes. On at least one
day since imposition of exchange controls, the Fund's illiquid holdings have
been above 15 percent, due primarily to its holdings of Malaysian securities.
Currency Risk. The Fund invests in foreign securities denominated in foreign
currencies. This creates the possibility that changes in foreign exchange rates
will affect the value of foreign securities or the U.S. dollar amount of income
or gain received on these securities. The Investment Adviser seeks to minimize
this risk by actively managing the currency exposure of the Fund.
SECONDARY RISKS
Small Company Risk. To the extent that the Pacific Basin Equity Fund invests in
the stocks of smaller companies, it will encounter the risks associated with
such investing. Small company stocks tend to experience steeper price
fluctuations -- down as well as up -- than the stocks of larger companies.
Industrywide reversals have had a greater impact on small companies, since they
lack a large company's financial resources. Small company managers typically
have less experience coping with adversity or capitalizing on opportunity than
their counterparts at larger companies. Finally, small company stocks are
typically less liquid than large company stocks: when things are going poorly,
it is harder to find a buyer for a small company's shares.
Risks Associated with Debt Securities. To the extent that the Fund invests in
bonds and other debt securities, it faces the risk of rising interest rates,
which tend to reduce the value of these investments. The high levels of debt
carried by many Pacific Basin countries and the concentration of their
economies on a few global industries also makes the investments particularly
vulnerable to local and worldwide economic slowdowns. Such slowdowns may affect
the ability of bond issuers to meet their repayment obligation and could even
result in a default that would render their bonds worthless.
- --------------------------------------------------------------------------------
CURRENCY MANAGEMENT is used to offset investment risks ("hedging") and, where
possible, to add to investment returns. Currency management activities include
the use of forward contracts and may include the use of other instruments.
There is no guarantee that these currency management activities will work and
they could cause losses to the Fund.
Risks Associated with Lower Quality Debt Securities ("Junk Bonds"). The Fund
can invest up to 5% of its net assets in bonds or other debt securities rated
BBB or lower by S&P or Baa or lower by Moody's. These securities are riskier
than higher rated securities because their issuers are less creditworthy, and
there is an increased risk that the issuers will default on their repayments.
Junk bonds are also more sensitive to increases in interest rates, economic
downturns or adverse market conditions.
Pricing Risk. When price quotations for securities are not readily available,
we determine their value by the method that most accurately reflects their
current worth in the judgement of the Board of Trustees. This procedure implies
an unavoidable risk, the risk that our prices are higher or lower than the
prices that the securities might actually command if we sold them. If we have
valued the securities too highly, you may end up paying too much for Fund
shares when you buy. If we underestimate their price, you may not receive the
full market value for your Fund shares when you sell.
Futures and Options. Although not one of its principal investment strategies,
the Fund may invest in futures contracts and options on futures contracts.
These investments, when made, are for hedging purposes. If the Fund invests in
FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS for non-hedging purposes,
the margin and premiums required to make those investments will not exceed 5%
of the Fund's net asset value after taking into account unrealized profits and
losses on the contracts. Futures contracts and options on futures contracts
used for non-hedging purposes involve greater risks than stock investments.
Euro Risk. On January 1, 1999, eleven countries of the European Economic and
Monetary Union (EMU) began implementing a plan to replace their national
currencies with a new currency, the euro. Full conversion to the euro is slated
to occur by July 1, 2002.
Although it is impossible to predict the impact of the conversion to the euro
on the Fund, the risks may include:
- - changes in the relative strength and value of the U.S. dollar or other major
currencies;
- - adverse effects on the business or financial condition of European issuers
that the Fund holds in its portfolio;
- - that the systems used to purchase and sell euro-denominated securities may
not work;
- - uncertainty about how existing financial contracts will be treated after euro
implementation; and
- - unpredictable effects on trade and commerce generally.
- --------------------------------------------------------------------------------
FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS are used as a low cost
method of gaining exposure to a particular securities market without investing
directly in those securities.
41
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<PAGE>
A Detailed Look at the Pacific Basin Equity Fund
These and other factors could increase volatility in financial markets
worldwide and could adversely affect the value of securities held by the Fund.
Year 2000 Risk. As with most businesses, the Fund faces the risk that the
computer systems of its Investment Adviser and other companies on which it
relies for service or in which it invests will not accommodate the changeovers
necessary from dates in the year 1999 to dates in the year 2000. These risks
could adversely affect:
- - The companies in which the Fund invests, which could impact the value of the
Fund's investments;
- - Our ability to service your Fund account, including our ability to meet your
requests to buy and sell Fund shares; and
- - Our ability to trade securities held by the Fund or to accurately price
securities held by the Fund.
We are working both internally and with our business partners and service
providers to address this problem. If we -- or our business partners, service
providers, government agencies or other market participants -- do not succeed,
it could materially affect shareholder services or the value of the Fund's
shares.
Temporary Defensive Position. We may from time to time adopt a temporary
defensive position in response to extraordinary adverse political, economic or
stock market events. We could place up to 100% of the Fund's assets in U.S. or
foreign government money market investments, or other short-term bonds that
offer comparable safety, if the situation warranted. To the extent that we
might adopt such a position, and over the course of its duration, the Fund may
not meet its goal of long-term capital appreciation.
PORTFOLIO MANAGER
Paul Durham is responsible for the day-to-day management of the master
portfolio's investments:
- - Managing Director of BT Funds Management (International) Limited ("BTFMI")
and Portfolio Manager of the Fund since its inception.
- - Joined Bankers Trust in 1988 and served as a stock analyst in Australia and
the U.S.
- - Head of BTFMI global emerging markets since 1996.
- - 11 years investment management experience.
- - First-class honors degree in accounting and finance from University of
Sydney, Australia.
42
-------
<PAGE>
A Detailed Look at the Pacific Basin Equity Fund
The table below provides a picture of the Fund's financial performance for the
past five years. The information selected reflects financial results for a
single Fund share. The total returns in the table represent the rate of return
that an investor would have earned on an investment in the Fund, assuming
reinvestment of all dividends and distributions. This information has been
audited by PricewaterhouseCoopers LLP, whose report, along with the Fund's
financial statements, is included in the Fund's annual report. The annual
report is available free of charge by calling the BT Service Center at
1-800-730-1313.
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE FOR THE FOR THE FOR THE NOVEMBER 1,
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 1993(1)
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, TO SEPTEMBER 30,
1998 1997 1996 1995 1994
-------------- -------------- -------------- -------------- -----------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.16 $ 11.80 $ 10.96 $ 11.82 $ 10.00
- ------------------------------------------ -------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income/(Expenses in
Excess of Income) 0.24 (0.05) (0.03) 0.01 (0.04)
- ------------------------------------------ -------- ------- ------- ------- --------
Net Realized and Unrealized Gain (Loss)
on Investment, Futures, Foreign
Currency and Forward Foreign
Currency Contracts (5.32) (1.07) 0.87 (0.49) 1.86
- ------------------------------------------ -------- ------- ------- ------- --------
TOTAL INCOME (LOSS) FROM INVESTMENT
OPERATIONS (5.08) (1.12) 0.84 (0.48) 1.82
- ------------------------------------------ -------- ------- ------- ------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (0.24) -- -- -- --
- ------------------------------------------ -------- ------- ------- ------- --------
Net Realized Gains (0.99) (0.52) -- (0.38) --
- ------------------------------------------ -------- ------- ------- ------- --------
TOTAL DISTRIBUTIONS (1.23) (0.52) -- (0.38) --
- ------------------------------------------ -------- ------- ------- ------- --------
NET ASSET VALUE, END OF PERIOD $ 3.85 $ 10.16 $ 11.80 $ 10.96 $ 11.82
- ------------------------------------------ -------- ------- ------- ------- --------
TOTAL INVESTMENT RETURN (52.21)% ( 9.97)% 7.66% ( 3.87)% 20.11%(2)
- ------------------------------------------ -------- ------- ------- ------- ----------
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) $ 4,268 $26,501 $29,389 $24,504 $ 25,36(2)
- ------------------------------------------ -------- ------- ------- ------- ----------
Ratios to Average Net Assets:
Net Investment Income/(Expenses in
Excess of Income) 0.43% (0.42)% (0.24)% 0.12% (0.59)%(2)
- ------------------------------------------ -------- ------- ------- ------- -----------
Expenses, Including Expenses of the
Pacific Basin Equity Portfolio 1.75% 1.75% 1.75% 1.75% 1.75%(2)
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust 0.70% 0.29% 0.31% 0.52% 0.60%(2)
- ------------------------------------------ -------- ------- ------- ------- -----------
Portfolio Turnover Rate(3) 125% 172% 118% 104% 40%
- ------------------------------------------ -------- ------- ------- ------- -----------
</TABLE>
(1)Commencement of operations
(2)Annualized
(3)The portfolio turnover rate is the rate for the master portfolio, into which
the Fund invests all its assets.
43
-----
<PAGE>
Information
CONCERNING ALL FUNDS
MANAGEMENT OF THE FUNDS
Board of Trustees. Each Fund's shareholders, voting in proportion to the number
of shares each owns, elect a Board of Trustees, and the Trustees supervise all
of the Fund's activities on their behalf.
Investment Adviser. Under the supervision of the Board of Trustees, Bankers
Trust Company, with headquarters at 130 Liberty Street, New York, NY 10006,
acts as each Fund's investment adviser. As investment adviser, Bankers Trust
makes the Fund's investment decisions and assumes responsibility for the
securities the Fund owns. It buys and sells securities for the Fund and
conducts the research that leads to the purchase and sale decisions.
For the International Small Company Equity Fund, Global Emerging Markets Equity
Fund, Latin American Equity Fund and the Pacific Basin Equity Fund, Bankers
Trust has vested day-to-day investment decision-making and implementation in a
sub-adviser, the wholly owned entity BT Funds Management (International)
Limited ("BTFMI"). Responsibilities and advisory fees can be reallocated
between the Investment Adviser and Sub-Adviser without obtaining shareholder
approval.
The Funds paid the following fees for investment advisory and sub-advisory
services in the last fiscal year:
<TABLE>
<CAPTION>
Average Daily
Companies to which Percentage of
Fund Fees Were Paid Net Assets
- --------------------------- ------------------- --------------
<S> <C> <C>
International Equity Fund Bankers Trust 0.65%
- --------------------------- ------------------- ----
Latin American Equity
Fund Bankers Trust 1.00%
- --------------------------- ------------------- ----
Pacific Basin Bankers Trust
Equity Fund and BTFMI 0.75%
- --------------------------- ------------------- ----
</TABLE>
International Small Company Equity Fund and Global Emerging Markets Fund have
not been in operation for a full fiscal year. Bankers Trust and BTFMI's fees
for investment advisory and sub-advisory services for each of these Funds is
1.10% of the Fund's average daily net assets. The sub-advisory arrangement for
the Latin American Equity Fund began on January 1, 1999. Under the new
sub-advisory arrangement for the Latin American Equity Fund, Bankers Trust and
BTFMI's fee for investment advisory and sub-advisory services will be 1.00% of
the Fund's average daily net assets.
As of December 31, 1998, Bankers Trust was the eighth largest bank holding
company in the United States with total assets of approximately $156 billion.
Bankers Trust is a worldwide merchant bank dedicated to servicing the needs of
corporations, governments, financial institutions and private clients through a
global network of over 96 offices in more than 43 countries.
Bankers Trust's officers bring wide experience to managing both the Funds and
their Portfolios. The firm's own record dates back to its founding as a trust
company in 1903. It has invested retirement assets on behalf of the nation's
largest corporations and institutions for more than 50 years. Today, the assets
under its global management exceed $338 billion. The scope of the firm's
capability is broad: It is a leader in both the active and passive quantitative
investment disciplines and maintains a major presence in stock and bond markets
worldwide. BTFMI, a subsidiary of Bankers Trust with headquarters at Level 15,
The Chifley Tower, 2 Chifley Square, Sydney, N.S.W. 2000 Australia, offers a
decade of research and investing experience in small companies worldwide to a
number of private clients. It has developed a team dedicated exclusively to the
small company and emerging market disciplines.
The Investment Adviser is a wholly owned subsidiary of Bankers Trust
Corporation. Bankers Trust Corporation has entered into an Agreement and Plan
of Merger with Deutsche Bank AG, dated as of November 30, 1998, under which
Bankers Trust Corporation would merge with and into a subsidiary of Deutsche
Bank AG. The transaction is contingent upon various regulatory approvals, as
well as the approval of the Fund's Board of Trustees and the Fund's
shareholders. If the transaction is approved and completed, Deutsche Bank AG,
as the Investment Adviser's new parent company, will control the operations of
the Investment Adviser. Bankers Trust believes that, under this new
arrangement, the services provided to the Fund will be maintained at their
current level.
Other Services. Bankers Trust provides administrative services -- such as
portfolio accounting, legal services and others -- for the Funds. In addition,
Bankers Trust -- or your broker or
44
----
<PAGE>
Information Common to All of the Funds
financial advisor -- performs the functions necessary to establish and maintain
your account. In addition to setting up the account and processing your
purchase and sale orders, these functions include:
- - keeping accurate, up-to-date records for your individual Fund account;
- - implementing any changes you wish to make in your account information;
- - processing your requests for cash dividends and distributions from the Fund;
- - answering your questions on the Fund's investment performance or
administration;
- - sending proxy reports and updated prospectus information to you; and
- - collecting your executed proxies.
Brokers and financial advisors may charge additional fees to investors only for
those services not otherwise included in the Bankers Trust servicing agreement,
such as cash management or special trust or retirement-investment reporting.
Organizational Structure. The Funds are "feeder funds" that invest all of their
assets in a "master portfolio." The Funds and their corresponding Master
Portfolio are listed below:
<TABLE>
<CAPTION>
Fund Master Portfolio
- ---------------------------- -------------------------------
<S> <C>
International Equity Fund International Equity Portfolio
- ---------------------------- -------------------------------
International Small Company International Small Company
Equity Fund Equity Portfolio
- ---------------------------- -------------------------------
Global Emerging Markets Global Emerging Markets
Equity Fund Equity Portfolio
- ---------------------------- -------------------------------
Latin American Equity Fund Latin American Equity
- ----------------------------
Portfolio
-------------------------------
Pacific Basin Equity Fund Pacific Basin Equity Portfolio
- ---------------------------- -------------------------------
</TABLE>
Each Fund and its Master Portfolio have the same investment objective. Each
Master Portfolio is advised by Bankers Trust.
A Master Portfolio may accept investments from other feeder funds. A feeder
bears the Master Portfolio's expenses in proportion to their assets. Each
feeder can set its own transaction minimums, fund-specific expenses, and other
conditions. This arrangement allows a Fund's Trustees to withdraw the Fund's
assets from the Master Portfolio if they believe doing so is in the
shareholder's best interests. If the Trustees withdraw a Fund's assets, they
would then consider whether the Fund should hire its own investment adviser,
invest in a different master portfolio, or take other action.
CALCULATING A FUND'S SHARE PRICE
We calculate the daily price of each Fund's shares (also known as the "Net
Asset Value" or "NAV") in accordance with the standard formula for valuing
mutual fund shares at the close of regular trading on the New York Stock
Exchange every day THE EXCHANGE IS OPEN for business.
The formula calls for deducting all of a Fund's liabilities from the total
value of its assets -- the market value of the securities it holds, plus its
cash reserves -- and dividing the result by the number of shares outstanding.
(Note that prices for securities that trade on foreign exchanges can change
significantly on days when the New York Stock Exchange is closed and you cannot
buy or sell Fund shares. Price changes in the securities a Fund owns may
ultimately affect the price of Fund shares the next time the NAV is
calculated.)
We value the securities in a Fund at their stated market value if price
quotations are available. When price quotations for a particular security are
not readily available, we determine their value by the method that most
accurately reflects their current worth in the judgment of the Board of
Trustees. You can find a fund's daily share price in the mutual fund listings
of most major newspapers.
PERFORMANCE INFORMATION. The Fund's performance can be used in advertisements
that appear in various publications. It may be compared to the performance of
various indexes and investments for which reliable performance data is
available. The Fund's performance may also be compared to averages, performance
rankings, or other information prepared by recognized mutual fund statistical
services.
- --------------------------------------------------------------------------------
THE EXCHANGE IS OPEN every week, Monday through Friday, except when the
following holidays are celebrated: New Year's Day, Martin Luther King, Jr. Day
(the third Monday in January), Presidents' Day (the third Monday in February),
Good Friday, Memorial Day (the last Monday in May), July 4th, Labor Day (the
first Monday in September), Thanksgiving Day (the fourth Thursday in November)
and Christmas Day.
45
----
<PAGE>
Information Common to All of the Funds
DIVIDENDS AND DISTRIBUTIONS
Dividends and capital gains distributions, if any, are paid annually. We
automatically reinvest all dividends and any capital gains, unless you tell us
otherwise.
TAX CONSIDERATIONS
A Fund does not ordinarily pay income taxes. You and other shareholders pay
taxes on the income or capital gains from the Fund's holdings. Your taxes will
vary from year to year, based on the amount of capital gains distributions and
dividends paid out by the Fund. You owe the taxes whether you receive cash or
choose to have distributions and dividends reinvested. Distributions and
dividends usually create the following tax liability:
<TABLE>
<CAPTION>
Transaction Tax Status
- ---------------------------------------- ----------------
<S> <C>
Income dividends Ordinary income
Short-term capital gains distributions Ordinary income
Long-term capital gains distributions Capital gains
</TABLE>
Every year your Fund will send you information on the distributions for the
previous year. In addition, if you sell your Fund shares you may have a capital
gain or loss.
<TABLE>
<CAPTION>
Transaction Tax Status
- ------------------------------------ ------------------
<S> <C>
Your sale of shares owned more than Capital gains or
one year losses
Your sale of shares owned for one Gains treated as
year or less ordinary income;
losses subject to
special rules.
</TABLE>
THE TAX CONSIDERATIONS FOR TAX DEFERRED ACCOUNTS OR NON-TAXABLE ENTITIES WILL
BE DIFFERENT.
BECAUSE EACH INVESTOR'S TAX CIRCUMSTANCES ARE UNIQUE AND BECAUSE THE TAX LAWS
ARE SUBJECT TO CHANGE, WE RECOMMEND THAT YOU CONSULT YOUR TAX ADVISOR ABOUT
YOUR INVESTMENT.
BUYING AND SELLING FUND SHARES
You can purchase or redeem shares in a Fund by mail, wire transfer or through
an authorized broker or financial advisor. Contact your broker or financial
advisor for details. You may also call the BT Service Center at 1-800-730-1313.
We may close your Fund account on 30 days' notice if it fails to meet minimum
balance requirements for any reason other than a change in market value. In
addition, if your sell order exceeds $250,000, we reserve the right to redeem
it "in kind" with a pro-rata distribution of stocks actually held by a Fund,
rather than in cash.
Your broker or financial advisor may charge transaction fees on the purchase
and sale of Fund shares.
Exchange Privileges. You can exchange all or part of your shares into another
BT Mutual Fund up to four times a year without paying a fee. Before buying
shares through an exchange you should be sure to get a copy of that fund's
prospectus and read it carefully. Please note also that you may have to pay
taxes on the shares you sell in the exchange.
Account minimums. A fund requires a minimum investment of $2,500 to open
accounts, $250 for subsequent investments, and a minimum balance of $1,000 to
maintain them. It requires a $500 minimum investment to open a retirement
account, $100 for subsequent investments, but imposes no minimum balance.
Automatic investment accounts, which credit money from your checking account to
the purchase of fund shares bimonthly, monthly, quarterly, or semi-annually,
call for a minimum $1,000 opening investment and at least $100 for each
subsequent purchase of shares.
EACH FUND'S SHAREHOLDER GUIDE AND STATEMENT OF ADDITIONAL INFORMATION CONTAIN
COMPLETE INFORMATION ON BUYING AND SELLING FUND SHARES AND MAINTAINING A FUND
ACCOUNT. IF YOU HAVE NOT ALREADY RECEIVED YOUR FREE COPY OF THE SHAREHOLDER
GUIDE OR WISH TO OBTAIN A FREE COPY OF THE STATEMENT OF ADDITIONAL INFORMATION,
PLEASE CALL THE BT SERVICE CENTER AT 1-800-730-1313.
46
------
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
<PAGE>
[LOGO BANKERS TRUST
Architects of Value]
<TABLE>
<S> <C>
[Additional information about each Fund's investments and performance is
available in the Fund's annual and semi-annual reports to shareholders. In the
Fund's annual report, you will find a discussion of the market conditions and
investment strategies that significantly affected the Fund's performance during
its last fiscal year.
You can find more detailed information about each Fund in the current Statement
of Additional Information, dated January 31, 1999, which we have filed
electronically with the Securities and Exchange Commission (SEC) and which is
incorporated by reference. To receive your free copy of the Statement of
Additional Information, the annual or semi-annual report, or if you have
questions about investing in a Fund, write to us at:
BT SERVICE CENTER
P.O. BOX 419210
KANSAS CITY, MO 64141-6210
or call our toll-free number: 1-800-730-1313
You can find reports and other information about each Fund on the SEC website
(http://www.sec.gov), or you can get copies of this information, after payment
of a duplicating fee, by writing to the Public Reference Section of the SEC,
Washington, D.C. 20549-6009. Information about each Fund, including its
Statement of Additional Information, can be reviewed and copied at the SEC's
Public Reference Room in Washington, D.C. For information on the Public
Reference Room, call the SEC at 1-800-SEC-0330. You can find information about
buying and selling shares in a Fund in the Shareholder Guide. If you have not
already received a copy of the Guide, call the BT Service Center to obtain one
free of charge.]
</TABLE>
Global Funds Combined
BT INVESTMENT FUNDS
DISTRIBUTED BY:
ICC Distributors, Inc.
Two Portland Square
Portland, ME 04101 CUSIP #055922868
#055922686
#055922678
#055922785
#055922769
COMBINTL 300 (1/99)
811-4760
<PAGE>
MORGAN GRENFELL EMERGING MARKETS EQUITY FUND
STATEMENT OF ADDITIONAL INFORMATION
August 21, 1999
This statement of additional information is not a prospectus, but expands upon
and supplements the information contained in the prospectus of Morgan Grenfell
Emerging Markets Equity Fund, dated August 16, 1999. This statement of
additional information should be read in conjunction with the prospectus.
Additional copies of the prospectus may be obtained by writing to the Fund at
885 Third Avenue New York, New York 10022 or by telephoning the Fund toll free
at (800) 550-6426.
This statement of additional information is accompanied by and incorporates by
reference the statement of additional information dated March 1, 1999 of Morgan
Grenfell Investment Trust on behalf of thirteen of its series, including Morgan
Grenfell Emerging Markets Equity Fund, and the statement of additional
information dated January 1, 1999 of BT Investment Funds on behalf of five of
its series, including BT Global Emerging Markets Equity Fund. Morgan Grenfell
Emerging Markets Equity Fund and BT Global Emerging Markets Equity Fund are
referred to collectively as the "Funds".
<PAGE>
<TABLE>
<CAPTION>
ADDITIONAL INFORMATION ABOUT
MORGAN GRENFELL EMERGING MARKETS EQUITY FUND AND
BT GLOBAL EMERGING MARKETS EQUITY FUND
The following table shows where in each Fund's statement of additional
information (SAI) you can find additional information about each Fund.
<S> <C> <C>
- ---------------------------------------- --------------------------------------------------------------------------
TYPE OF INFORMATION HEADINGS IN SAI
- ---------------------------------------- --------------------------------------------------------------------------
Morgan Grenfell Investment Trust
SAI dated March 31, 1999 BT Investment Funds
SAI dated January 31, 1999
- ---------------------------------------- ------------------------------------ -------------------------------------
Fund history GENERAL INFORMATION ORGANIZATION OF THE
ABOUT THE TRUST TRUST
- ---------------------------------------- ------------------------------------ -------------------------------------
Description of each Fund and its ADDITIONAL INVESTMENT OBJECTIVES,
investments, strategies, policies and INFORMATION ON FUND POLICIES AND
risks INVESTMENTS AND RESTRICTIONS:
STRATEGIES AND
RELATED RISKS Investment Objectives
Investment Policies
INVESTMENT Additional Risk Factors
RESTRICTIONS Investment Restrictions
- ---------------------------------------- ------------------------------------ -------------------------------------
Management of the Funds, TRUSTEES AND OFFICERS MANAGEMENT OF THE
including the board of trustees, TRUST AND THE PORTFOLIOS:
officers and trustee compensation
Trustees of the Trust
Trustees of the Portfolios
Officers of the Trust and the
Portfolios
Trustee Compensation Table
- ---------------------------------------- ------------------------------------ -------------------------------------
Control persons, principal holders of TRUSTEES AND OFFICERS MANAGEMENT OF THE
securities and management ownership TRUST AND THE
GENERAL INFORMATION PORTFOLIO:
ABOUT THE TRUST
Trustee Compensation Table
- ---------------------------------------- ------------------------------------ -------------------------------------
Investment advisory and other INVESTMENT ADVISORY MANAGEMENT OF THE
services: investment adviser, AND OTHER SERVICES TRUST AND THE
distributor and other service providers PORTFOLIOS:
ADDITIONAL
INFORMATION Investment Adviser
Sub-Investment Adviser
Administrator
Distributor
Custodian and Transfer Agent
Counsel and Independent
Accountants
- ---------------------------------------- ------------------------------------ -------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
- ---------------------------------------- ------------------------------------ -------------------------------------
TYPE OF INFORMATION HEADINGS IN SAI
- ---------------------------------------- ------------------------------------ -------------------------------------
MORGAN GRENFELL INVESTMENT
TRUST BT Investment Funds
SAI DATED MARCH 31, 1999 SAI DATED JANUARY 31, 1999
- ---------------------------------------- ------------------------------------ -------------------------------------
Brokerage allocation and other PORTFOLIO INVESTMENT OBJECTIVES,
practices TRANSACTIONS POLICIES AND
RESTRICTIONS:
Portfolio Transactions and
Brokerage Commissions
- ---------------------------------------- ------------------------------------ -------------------------------------
Shares of beneficial interest GENERAL INFORMATION ABOUT THE TRUST ORGANIZATION OF THE
TRUST
- ---------------------------------------- ------------------------------------ -------------------------------------
Purchase, redemption and pricing of PURCHASE AND VALUATION OF SECURITIES;
shares REDEMPTION OF SHARES REDEMPTIONS AND
PURCHASES IN KIND:
Valuation of Securities
Purchases of Shares
Redemption of Shares
Redemptions and Purchases in
Kind
Trading in Foreign Securities
- ---------------------------------------- ------------------------------------ -------------------------------------
Taxation of the Funds TAXES TAXATION:
Foreign Securities
Dividends and Distributions
Taxation of the Funds
Taxation of the Portfolio
Other Taxation
- ---------------------------------------- ------------------------------------ -------------------------------------
Calculation of performance data PERFORMANCE INFORMATION PERFORMANCE INFORMATION:
Standard Performance
Information
Comparison of Fund
Performance
Economic and Market
Information
- ---------------------------------------- ------------------------------------ -------------------------------------
Financial statements FINANCIAL STATEMENTS FINANCIAL STATEMENTS
This section incorporates by This section incorporates by
reference Morgan Grenfell reference BT Global Emerging
Investment Trust's annual report Markets Equity Fund's annual
dated October 31, 1998. dated September 30, 1998.
- ---------------------------------------- ------------------------------------ -------------------------------------
</TABLE>
<PAGE>
PART C: OTHER INFORMATION
Item 15. Indemnification.
The response to this Item 15 is incorporated by reference to Item 25 of
Post-Effective Amendment No. 21 to the Registrant's Registration Statement as
filed with the SEC on March 1, 1999.
Item 16. Exhibits.
(1) Agreement and Declaration of Trust is incorporated by reference to
Exhibit 1 of Post-Effective Amendment No. 9 to the Registration
Statement as filed with the SEC on February 14, 1996.
(2) Amended By-Laws are incorporated by reference to Exhibit 2 of
Post-Effective Amendment No. 9 to the Registration Statement as filed
with the SEC on February 14, 1996.
(3) Not Applicable.
(4) Form of Agreement and Plan of Reorganization filed herewith.
(5) Not Applicable.
(6) Management Contract dated January 3, 1994, as amended as of April 25,
1994, April 1, 1995 and September 1, 1995, between Morgan Grenfell
Investment Services Limited and Registrant on behalf of Morgan
Grenfell Emerging Markets Equity Fund, is incorporated by reference
to Exhibit 5 (a) of Post-Effective Amendment No. 9 to the
Registration Statement as filed with the SEC on February 14, 1996.
(7) Distribution Agreement dated December 30, 1993 between SEI Financial
Services Company and Registrant, on behalf of all of its series, is
incorporated by reference to Exhibit 6 of Post-Effective Amendment
No. 10 to the Registration Statement as filed with the SEC on June
11, 1996.
(8) Not Applicable.
(9) Custody Agreement dated August 24, 1998 between Brown Brothers
Harriman & Co. and Registrant, on behalf of all of its series, is
incorporated by reference to Exhibit (g) of Post-Effective Amendment
No. 20 to the Registration Statement as filed with the SEC on
December 28, 1998.
<PAGE>
(10) Form of Amended Rule 18f-3 is incorporated by reference to Exhibit 18
of Post-Effective Amendment No. 18 to the Registration Statement as
filed with the SEC on February 11, 1997.
(11) Not Applicable.
(12) Opinion of Hale and Dorr LLP concerning the tax matters and
consequences to shareholders discussed in the prospectus is filed
herewith.
(13)(a) Transfer Agency Agreement dated as of December 30, 1993 between
Supervised Service Company, Inc. and Registrant on behalf of Morgan
Grenfell Emerging Markets Equity Fund, is incorporated by reference
to Exhibit 9(b) of Post-Effective Amendment No. 12 to the
Registration Statement as filed with the SEC on November 1, 1996.
(b) Share Purchase Agreement dated December 29, 1993 between Registrant
and SEI Financial Management Corporation, is incorporated by
reference to Exhibit 13 of Post-Effective Amendment No. 16 to the
Registration Statement as filed with the SEC on February 11, 1997.
(c) Administration Agreement dated August 27, 1998 between Morgan
Grenfell Inc. (formerly Morgan Grenfell Capital Management Inc.) and
Registrant, is incorporated by reference to Exhibit (h)(1) of
Post-Effective Amendment No. 20 to the Registration Statement as
filed with the SEC on December 28, 1998.
(d) Accounting Agency Agreement dated September 8, 1998 between Brown
Brothers Harriman & Co., Morgan Grenfell Inc. (formerly Morgan
Grenfell Capital Management, Inc.) and Registrant, on behalf of all
of its series, is incorporated by reference to Exhibit (h)(4) of
Post-Effective Amendment No. 20 to the Registration Statement as
filed with the SEC on December 28, 1998.
(e) Delegation Agreement dated August 24, 1998 between Brown Brothers
Harriman & Co. and Registrant, on behalf of Morgan Grenfell Emerging
Markets Equity Fund, is incorporated by reference to Exhibit (h)(5)
of Post-Effective Amendment No. 20 to the Registration Statement as
filed with the SEC on December 28, 1998.
(14)(a) Consent of Independent Accountants for Morgan Grenfell Emerging
Markets Equity Fund is filed herewith.
(14)(b) Consent of Independent Accountants for BT Global Emerging Markets
Fund is filed herewith.
(15) Not Applicable.
(16) Power of attorney is filed herewith.
<PAGE>
Item 17. Undertakings.
(1) The undersigned Registrant agrees that prior to any public reoffering
of the securities registered through the use of a prospectus which is
part of this registration statement by any person or party which is
deemed to be an underwriter within the meaning of Rule 145(c) under
the Securities Act of 1933, the reoffering prospectus will contain
the information called for by the applicable registration form for
reofferings by persons who may be deemed underwriters, in addition to
the information called for by the other items of the applicable form.
(2) The undersigned Registrant agrees that every prospectus that is filed
under paragraph (1) above will be filed as part of an amendment to
the registration statement and will not be used until the amendment
is effective, and that, in determining any liability under the
Securities Act of 1933, each post-effective amendment shall be deemed
to be a new registration statement for the securities offered
therein, and the offering of the securities at that time shall be
deemed to be the initial bona fide offering of them.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, as amended,
the Registrant, MORGAN GRENFELL INVESTMENT TRUST, on behalf of its series,
Morgan Grenfell Emerging Market Equities Fund, has duly caused this Registration
Statement on Form N-14 to be signed on its behalf by the undersigned, duly
authorized, in the City of New York and the State of New York on the 15th day of
July, 1999.
MORGAN GRENFELL INVESTMENT TRUST
By: /s/ TRACIE E. RICHTER
-----------------------------
Tracie E. Richter
Treasurer and Chief Financial
Officer
Pursant to the requirements of the Securities Act of 1933, as amended,
this Registration Statement on Form N-14 has been signed below by the following
persons in the capacities and on the dates indicated.
<TABLE>
<CAPTION>
SIGNATURES TITLE DATE
- ---------- ----- ----
<S><C>
* Chief Executive Officer (Principal Executive July 15, 1999
- ------------------------------------ Officer) and Trustee
James E. Minnick
/s/ Tracie E. Richter Treasurer and Chief Financial Officer July 15, 1999
- ------------------------------------ (Principal Financial and Accounting Officer)
Tracie E. Richter Trustee July 15, 1999
*
- ------------------------------------
Paul K. Freeman
* Trustee July 15, 1999
- ------------------------------------
Graham E. Jones
* Trustee July 15, 1999
- ------------------------------------
William N. Searcy
* Trustee July 15, 1999
- ------------------------------------
Hugh G. Lynch
* Trustee July 15, 1999
- ------------------------------------
Edward T. Tokar
*By: /s/ Joan A. Binstock
--------------------------------
Joan A. Binstock, Attorney-
in-Fact, pursuant to powers
of attorney
</TABLE>
<PAGE>
EXHIBIT INDEX
Exhibit
Number Description
(4) Form of Agreement and Plan of Reorganization
(12) Opinion of Counsel
(14)(a) Consent of Independent Accountants (Morgan Grenfell Emerging Markets
Equity Fund)
(14)(b) Consent of Independent Accountants (BT Global Emerging Markets Equity
Fund)
(16) Powers of attorney
Exhibit 4
H&D Draft 7/19/99
AGREEMENT AND PLAN OF REORGANIZATION
THIS AGREEMENT AND PLAN OF REORGANIZATION (the "Agreement") is made as of
this ____th day of __________, 1999, among (i) Morgan Grenfell Investment Trust
(the "Morgan Grenfell Trust"), a business trust organized under the laws of the
State of Delaware with its principal place of business at 885 Third Avenue, New
York, New York 10022, on behalf of Morgan Grenfell Emerging Markets Equity Fund
(the "Acquiring Fund"), a series of the Morgan Grenfell Trust, and (ii) BT
Investment Funds (the "BT Trust"), a business trust organized under the laws of
The Commonwealth of Massachusetts with its principal place of business at One
South Street, Baltimore, Maryland 21202, on behalf of Global Emerging Markets
Equity Fund (the "Acquired Fund"), series of the BT Trust.
This Agreement is intended to be and is adopted as a plan of
reorganization within the meaning of Section 368(a)(1) of the United States
Internal Revenue Code of 1986, as amended (the "Code"). The reorganization (the
"Reorganization") will consist of (i) the transfer of all of the assets of the
Acquired Fund to the Acquiring Fund in exchange for (a) the issuance of
Institutional Class shares of beneficial interest of the Acquiring Fund
(collectively, the "Acquiring Fund Shares" and each, an "Acquiring Fund Share")
to the Acquired Fund, and (b) the assumption by the Acquiring Fund of certain
scheduled liabilities of the Acquired Fund, and (ii) the distribution by the
Acquired Fund, on the Closing Date herein referred to or as soon thereafter as
conveniently practicable, of the Acquiring Fund Shares to the shareholders of
the Acquired Fund in liquidation of the Acquired Fund and the termination of the
Acquired Fund, all upon the terms and conditions hereinafter set forth in this
Agreement.
WHEREAS, the Morgan Grenfell Trust and the BT Trust are each registered
investment companies of the management type and the Acquired Fund owns
securities that generally are assets of the character in which the Acquiring
Fund is permitted to invest;
WHEREAS, the Acquiring Fund is authorized to issue shares of beneficial
interest;
WHEREAS, the Board of Trustees of the Morgan Grenfell Trust has determined
that the exchange of all of the assets and certain of the liabilities of the
Acquired Fund for Acquiring Fund Shares is in the best interests of the
Acquiring Fund shareholders and that the interests of the existing shareholders
of the Acquiring Fund would not be diluted as a result of this transaction;
WHEREAS, the Board of Trustees of the BT Trust has determined that the
exchange of all of the assets and certain of the liabilities of the Acquired
Fund for Acquiring Fund Shares and the assumption of such liabilities by the
Acquired Fund is in the best interests of the Acquiring Fund shareholders and
that the interests of the existing shareholders of the Acquired Fund would not
be diluted as a result of this transaction.
NOW, THEREFORE, in consideration of the promises and of the covenants and
agreements hereinafter set forth, the parties hereto covenant and agree as
follows:
1. TRANSFER OF ASSETS OF THE ACQUIRED FUND IN EXCHANGE FOR THE ACQUIRING FUND
SHARES AND ASSUMPTION OF THE ACQUIRED FUND'S SCHEDULED LIABILITIES AND
LIQUIDATION AND TERMINATION OF THE ACQUIRED FUND.
1.1. Subject to the terms and conditions herein set forth and on the basis
of the representations and warranties contained herein, the Acquired Fund agrees
to transfer its assets transferred to Acquiring Fund as set forth in paragraph
1.2 to the Acquiring Fund free and clear of all liens and encumbrances, and the
Acquiring Fund agrees in exchange therefor: (i) to issue and deliver to the
Acquired Fund the number of Acquiring Fund Shares, including fractional
Acquiring Fund Shares, determined by dividing the value
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H&D Draft 7/19/99
of the Acquired Fund's net assets transferred to Acquiring Fund, computed in the
manner and as of the time and date set forth in paragraph 2.1, by the net asset
value of one Acquiring Fund Share, computed in the manner as of the time and
date set forth in paragraph 2.2; and (ii) to assume certain scheduled
liabilities of the Acquired Fund, as set forth in paragraph 1.3. Such
transactions shall take place at the closing provided for in paragraph 3.1 (the
"Closing").
1.2. (a) The assets of the Acquired Fund to be acquired by the Acquiring
Fund shall consist of all of its property, including, without limitation, all
good will, all interests in the name of the Acquired Fund, all other intangible
property and all books and records of the Acquired Fund.
(b) The Acquired Fund has provided the Acquiring Fund with a list of
all of the Acquired Fund's assets as of the date of execution of this Agreement.
The Acquired Fund reserves the right to sell any of these securities (except to
the extent sales may be limited by representations made in connection with
issuance of the tax opinion described in paragraph 8.6 hereof) but will not,
without the prior approval of the Acquiring Fund, acquire any additional
securities other than securities of the type in which the Acquiring Fund is
permitted to invest.
1.3. The Acquired Fund will endeavor to discharge all the Acquired Fund's
known liabilities and obligations prior to the Closing Date. The Acquiring Fund
shall assume all liabilities, expenses, costs, charges and reserves reflected on
an unaudited Statement of Assets and Liabilities of the Acquired Fund prepared
by Bankers Trust Company, as administrator of the Acquired Fund, as of the
Valuation Date, in accordance with generally accepted accounting principles
consistently applied from the prior audited period. The Acquiring Fund shall
assume only those liabilities of the Acquired Fund reflected in that unaudited
Statement of Assets and Liabilities and shall not assume any other liabilities,
whether absolute or contingent, not reflected thereon.
1.4. On the Closing Date or as soon thereafter as is conveniently
practicable (the "Liquidation Date"), the Acquired Fund will liquidate and
distribute pro rata to the Acquired Fund's shareholders of record determined as
of the close of business on the Closing Date (the "Acquired Fund Shareholders"),
the Acquiring Fund Shares it receives pursuant to paragraph 1.1. Such
liquidation and distribution will be accomplished by the transfer of the
Acquiring Fund Shares then credited to the account of the Acquired Fund on the
books of the Acquiring Fund to open accounts on the share records of the
Acquiring Fund in the name of the Acquired Fund's shareholders and representing
the respective pro rata number of the Acquiring Fund Shares due such
shareholders. All issued and outstanding shares of the Acquired Fund will
simultaneously be cancelled on the books of the Acquired Fund, although share
certificates representing interests in the Acquired Fund will represent a number
of Acquiring Fund Shares after the Closing Date as determined in accordance with
paragraph 1.1. The Acquiring Fund shall not issue certificates representing the
Acquiring Fund Shares in connection with such exchange.
1.5. Ownership of Acquiring Fund Shares will be shown on the books of the
Acquiring Fund's transfer agent. Acquiring Fund Shares will be issued in the
manner described in the Acquiring Fund's current prospectus and statement of
additional information.
1.6. Any transfer taxes payable upon issuance of the Acquiring Fund Shares
in a name other than the registered holder of the Acquired Fund shares on the
books of the Acquired Fund as of that time shall, as a condition of such
issuance and transfer, be paid by the person to whom such Acquiring Fund Shares
are to be issued and transferred.
1.7. Any reporting responsibility of the Acquired Fund is and shall remain
the responsibility of the Acquired Fund up to and including the Closing Date and
such later date on which the Acquired Fund is terminated.
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H&D Draft 7/19/99
1.8. The Acquired Fund shall, following the Closing Date and the making of
all distributions pursuant to paragraph 1.4, be terminated under the laws of The
Commonwealth of Massachusetts and in accordance with its governing documents.
2. VALUATION
2.1. The value of the assets of the Acquired Fund to be transferred, and
liabilities of the Acquired Fund to be assumed, hereunder shall be the value of
such assets computed as of the close of regular trading on the New York Stock
Exchange, Inc. (the "NYSE") on the Closing Date (such time and date being
hereinafter called the "Valuation Date"), using the valuation procedures set
forth in the then current prospectus or statement of additional information of
the Acquired Fund.
2.2. The net asset value of the Acquiring Fund Shares shall be the value
computed as of the close of regular trading on the NYSE on the Valuation Date,
using the valuation procedures set forth in the then current prospectus or
statement of additional information of the Acquiring Fund.
2.3. All computations of value shall be made by Brown Brothers Harriman &
Co. in accordance with its regular practice as pricing agent for the Acquiring
Fund.
3. CLOSING AND CLOSING DATE
3.1. The Closing Date shall be September 30, 1999, or such later date as
the parties may agree to in writing. All acts taking place at the Closing shall
be deemed to take place simultaneously as of the close of business on the
Closing Date unless otherwise provided. The Closing shall be held as of 5:00
p.m. at the offices of Bankers Trust Company, One South Street, Baltimore,
Maryland 21202, or at such other time and/or place as the parties may agree.
3.2. The custodian for the Acquired Fund (the "Custodian") shall deliver
at the Closing a certificate of an authorized officer stating that: (a) the
Acquired Fund's assets have been delivered in proper form to the Acquiring Fund
on the Closing Date and (b) all necessary transfer taxes including all
applicable federal and state stock transfer stamps, if any, shall have been
paid, or provision for payment shall have been made, in conjunction with the
delivery of portfolio securities.
3.3. In the event that on the Valuation Date (a) the NYSE or another
primary trading market for portfolio securities of the BT Investment Portfolios
shall be closed to trading or trading thereon shall be restricted or (b) trading
or the reporting of trading on the NYSE or elsewhere shall be disrupted so that
accurate appraisal of the value of the net assets of the parties hereto is
impracticable, the Closing Date shall be postponed until the first business day
after the day when trading shall have been fully resumed and reporting shall
have been restored.
3.4. The Acquired Fund shall deliver to the Acquiring Fund at the Closing
a list of the names, addresses, taxpayer identification numbers and backup
withholding and nonresident alien withholding status of the Acquired Fund
Shareholders and the number and percentage ownership of outstanding shares owned
by each such shareholder immediately prior to the Closing, certified on behalf
of the Acquired Fund by the President or a Vice President of the BT Trust. The
Acquiring Fund shall issue and deliver a confirmation evidencing the Acquiring
Fund Shares to be credited to the Acquired Fund's account on the Closing Date to
the Secretary of the BT Trust on behalf of the Acquired Fund, or provide
evidence satisfactory to the Acquired Fund that such Acquiring Fund Shares have
been credited to the Acquired Fund's account on the books of the Acquiring Fund.
At the Closing, each party shall deliver to the other such bills of sale,
checks, assignments, share certificates, if any, receipts or other documents as
such other party or its counsel may reasonably request.
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H&D Draft 7/19/99
4. REPRESENTATIONS AND WARRANTIES
4.1. The BT Trust and the Acquired Fund represent and warrant to the
Morgan Grenfell Trust and the Acquiring Fund as follows:
(a) The Acquired Fund is a series of the BT Trust, which is a business
trust, validly existing and in good standing under the laws of The Commonwealth
of Massachusetts and has the power to own all of its properties and assets and,
subject to approval by the shareholders of the Acquired Fund, to perform its
obligations under this Agreement. The Acquired Fund is not required to qualify
to do business in any jurisdiction in which it is not so qualified or where
failure to qualify would not subject it to any material liability or disability.
The Acquired Fund has all necessary federal, state and local authorizations to
own all of its properties and assets and to carry on its business as now being
conducted;
(b) The BT Trust is a registered investment company classified as a
management company of the open-end type, and its registration with the
Securities and Exchange Commission (the "Commission") as an investment company
under the Investment Company Act of 1940 (the "Investment Company Act") is in
full force and effect;
(c) The BT Trust is not, and the execution, delivery and performance of
this Agreement in respect of the Acquired Fund will not result, in a material
violation of its Declaration of Trust or By-laws or of any agreement, indenture,
instrument, contract, lease or other undertaking with respect to the Acquired
Fund to which the BT Trust is a party or by which it is bound;
(d) The BT Trust has no material contracts or other commitments (other
than this Agreement) with respect to the Acquired Fund which will be terminated
with liability to the BT Trust or to the Acquired Fund prior to the Closing
Date;
(e) No material litigation or administrative proceeding or investigation
of or before any court or governmental body is presently pending or to its
knowledge threatened against the BT Trust with respect to the Acquired Fund or
any of the Acquired Fund's properties or assets, except as previously disclosed
in writing to, and acknowledged in writing by, the Acquiring Fund. The BT Trust
and the Acquired Fund know of no facts which might form the basis for the
institution of such proceedings and neither the BT Trust nor the Acquired Fund
is a party to or subject to the provisions of any order, decree or judgment of
any court or governmental body which materially and adversely affects the
Acquired Fund's business or the BT Trust's ability to consummate the
transactions herein contemplated;
(f) The Statement of Assets and Liabilities of the Acquired Fund as of
September 30, 1998, has been audited by PricewaterhouseCoopers LLP, independent
certified public accountants, and is in accordance with generally accepted
accounting principles consistently applied, and such statement (copies of which
have been furnished to each of the other parties hereto) fairly reflects the
financial condition of the Acquired Fund as of such date, and there are no known
contingent liabilities of the Acquired Fund as of such date not disclosed
therein;
(g) Since September 30, 1998, there has not been any material adverse
change in the Acquired Fund's financial condition, assets, liabilities or
business other than changes occurring in the ordinary course of business, or any
incurrence by the Acquired Fund of indebtedness maturing more than one year from
the date that such indebtedness was incurred, except as otherwise disclosed to
and accepted by each of the other parties hereto. For the purposes of this
subparagraph (g), a decline in net asset value per share of the Acquired Fund
shall not constitute a material adverse change;
(h) At the Closing Date, all federal and other tax returns and reports of
the Acquired Fund required by law then to have been filed by such dates shall
have been filed, and all federal and other taxes shown as due on such returns
shall have been paid so far as due, or provision shall have been made for the
payment thereof and, to the best of the Acquired Fund's knowledge, no such
return is currently under audit and no assessment has been asserted with respect
to such returns;
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H&D Draft 7/19/99
(i) For each taxable year of its operation, the Acquired Fund has met the
requirements of Subchapter M of the Code for qualification and treatment as a
regulated investment company and has elected to be treated as such and will
qualify as such for its final taxable year ending on the Closing Date;
(j) All issued and outstanding shares of the Acquired Fund are, and at the
Closing Date will be, duly and validly issued and outstanding, fully paid and
non-assessable. All of the issued and outstanding shares of the Acquired Fund
will, at the time of Closing, be held by the persons and in the amounts set
forth in the records of the transfer agent as provided in paragraph 3.4. The
Acquired Fund does not have outstanding any options, warrants or other rights to
subscribe for or purchase any shares of the Acquired Fund, nor is there
outstanding any security convertible into any shares of the Acquired Fund;
(k) At the Closing Date, the BT Trust in respect of the Acquired Fund will
have good and marketable title to the assets to be transferred to the Acquiring
Fund pursuant to paragraph 1.1 and full right, power and authority to sell,
assign, transfer and deliver such assets hereunder and, upon delivery and
payment for such assets, the Acquiring Fund will acquire good and marketable
title thereto, subject to no restrictions on the full transfer thereof,
including such restrictions as might arise under the Securities Act of 1933 (the
"Securities Act"), other than as disclosed in writing to, and acknowledged in
writing by, the Acquiring Fund;
(1) The execution, delivery and performance of this Agreement has been
duly authorized by all necessary action on the part of the BT Trust's Board of
Trustees on behalf of the Acquired Fund, and, subject to the approval of the
Acquired Fund shareholders, assuming due authorization, execution and delivery
by the Morgan Grenfell Trust on behalf of the Acquiring Fund, this Agreement
will constitute a valid and binding obligation of the BT Trust in respect of the
Acquired Fund, enforceable in accordance with its terms, subject as to
enforcement, to bankruptcy, insolvency, reorganization, moratorium and other
laws relating to or affecting creditors' rights and to general equity
principles;
(m) The information to be furnished by the Acquired Fund for use in
no-action letters, applications for exemptive orders, registration statements,
proxy materials and other documents which may be necessary in connection with
the transactions contemplated hereby shall be accurate and complete in all
material respects and shall comply in all material respects with federal
securities and other laws and regulations thereunder applicable thereto;
(n) The proxy statement of the Acquired Fund (the "Proxy Statement") to be
included in the registration statement on Form N-14 of the Acquiring Fund (the
"Registration Statement") (other than information therein that relates to the
Acquiring Fund and supplied in writing by the Acquiring Fund for inclusion
therein) will, on the effective date of the Registration Statement and on the
Closing Date, not contain any untrue statement of a material fact or omit to
state a material fact required to be stated therein or necessary to make the
statements therein, in light of the circumstances under which such statements
were made, not materially misleading;
(o) No consent, approval, authorization or order of any court or
governmental authority is required for the consummation by the Acquired Fund of
the transactions contemplated by this Agreement;
(p) All of the issued and outstanding shares of beneficial interest of the
Acquired Fund have been offered for sale and sold in conformity with all
applicable federal and state securities laws, except as may have been previously
disclosed in writing to the Acquiring Fund; and
(q) The prospectus of the Acquired Fund dated January 31, 1999, and any
amendments or supplements thereto, previously furnished to the Acquiring Fund,
does not contain any untrue statements of a material fact or omit to state a
material fact required to be stated therein or necessary to make the statements
therein, in light of the circumstances under which such statements were made,
not misleading.
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H&D Draft 7/19/99
4.2. The Morgan Grenfell Trust and the Acquiring Fund represent and
warrant to each of the other parties hereto as follows:
(a) The Acquiring Fund is a series of the Morgan Grenfell Trust, which is
a business trust, validly existing and in good standing under the laws of the
State of Delaware and has the power to own all of its properties and assets and
to perform its obligations under this Agreement. The Acquiring Fund is not
required to qualify to do business in any jurisdiction in which it is not so
qualified or where failure to qualify would not subject it to any material
liability or disability. The Acquiring Fund has all necessary federal, state and
local authorizations to own all of its properties and assets and to carry on its
business as now being conducted;
(b) The Morgan Grenfell Trust is a registered investment company
classified as a management company of the open-end type, and its registration
with the Commission as an investment company under the Investment Company Act is
in full force and effect;
(c) The current prospectus of and statement of additional information of
the Morgan Grenfell Trust conform in all material respects to the applicable
requirements of the 1933 Act and the 1940 Act and the rules and regulations of
the Commission thereunder and do not include any untrue statement of a material
fact or omit to state any material fact required to be stated therein or
necessary to make the statements therein, in light of the circumstances under
which they were made, not misleading;
(d) At the Closing Date, the Morgan Grenfell Trust will have good and
marketable title to the Acquiring Fund's assets;
(e) The Morgan Grenfell Trust is not, and the execution, delivery and
performance of this Agreement on behalf of the Acquiring Fund will not result,
in a material violation of its Declaration of Trust or By-laws or of any
agreement, indenture, instrument, contract, lease or other undertaking with
respect to the Acquiring Fund to which the Morgan Grenfell Trust is a party or
by which it is bound;
(f) No material litigation or administrative proceeding or investigation
of or before any court or governmental body is presently pending or threatened
against the Morgan Grenfell Trust with respect to the Acquiring Fund or any of
the Acquiring Fund's properties or assets, except as previously disclosed in
writing to, and acknowledged in writing by, the Acquired Fund. The Morgan
Grenfell Trust and the Acquiring Fund know of no facts which might form the
basis for the institution of such proceedings and neither the Morgan Grenfell
Trust nor the Acquiring Fund is a party to or subject to the provisions of any
order, decree or judgment of any court or governmental body which materially and
adversely affects the Acquiring Fund's business or the Morgan Grenfell Trust's
ability on behalf of the Acquiring Fund to consummate the transactions
contemplated herein;
(g) The Statement of Assets and Liabilities of the Acquiring Fund as of
October 31, 1998 has been audited by PricewaterhouseCoopers LLP, independent
accountants, and is in accordance with generally accepted accounting principles
consistently applied, and such statement (copies of which have been furnished to
each of the other parties hereto) fairly reflects the financial condition of the
Acquiring Fund as of such date, and there are no known contingent liabilities of
the Acquiring Fund as of such date not disclosed therein;
(h) Since October 31, 1998, there has not been any material adverse change
in the Acquiring Fund's financial condition, assets, liabilities or business
other than changes occurring in the ordinary course of business, or any
incurrence by the Acquiring Fund of indebtedness maturing more than one year
from the date that such indebtedness was incurred, except as otherwise disclosed
to and accepted by the Acquired Fund. For the purposes of this subparagraph (h),
a decline in net asset value per share of the Acquiring Fund shall not
constitute a material adverse change;
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H&D Draft 7/19/99
(i) At the Closing Date, all federal and other tax returns and reports of
the Acquiring Fund required by law then to have been filed by such dates shall
have been filed, and all federal and other taxes shown as due on said returns
and reports shall have been paid so far as due, or provision shall have been
made for the payment thereof and, to the best of the Acquiring Fund's knowledge,
no such return is currently under audit and no assessment has been asserted with
respect to such returns;
(j) For each taxable year of its operations, the Acquiring Fund has met
the requirements of Subchapter M of the Code for qualification and treatment as
a regulated investment company and has elected to be treated as such and will
qualify as such on the Closing Date;
(k) At the date hereof, all issued and outstanding shares of the Acquiring
Fund are, and at the Closing Date will be, duly and validly issued and
outstanding, fully paid and non-assessable. The Acquiring Fund does not have
outstanding any options, warrants or other rights to subscribe for or purchase
any shares of the Acquiring Fund, nor is there outstanding any security
convertible into shares of the Acquiring Fund;
(1) The execution, delivery and performance of this Agreement has been
duly authorized by all necessary action, if any, on the part of the Morgan
Grenfell Trust's Board of Trustees on behalf of the Acquiring Fund, and,
assuming due authorization, execution and delivery by the BT Trust on behalf of
the Acquired Fund, this Agreement will constitute a valid and binding obligation
of the Morgan Grenfell Trust on behalf of the Acquiring Fund, enforceable in
accordance with its terms, subject as to enforcement, to bankruptcy, insolvency,
reorganization, moratorium and other laws relating to or affecting creditors'
rights and to general equity principles;
(m) The Acquiring Fund Shares to be issued and delivered to the Acquired
Fund, for the account of the Acquired Fund shareholders, pursuant to the terms
of this Agreement, will at the Closing Date have been duly authorized and, when
so issued and delivered, will be duly and validly issued Acquiring Fund Shares
and will be fully paid and non-assessable;
(n) The information to be furnished by the Acquiring Fund for use in
no-action letters, applications for exemptive orders, registration statements,
proxy materials and other documents which may be necessary in connection with
the transactions contemplated hereby shall be accurate and complete in all
material respects and shall comply in all material respects with federal
securities and other laws and regulations applicable thereto;
(o) The information contained in the Proxy Statement to be included in the
Registration Statement (only insofar as it relates to the Acquiring Fund) will,
on the effective date of the Registration Statement and on the Closing Date, not
contain any untrue statement of a material fact or omit to state a material fact
required to be stated therein or necessary to make the statements therein, in
light of the circumstances under which such statements were made, not
misleading; and
(p) The Morgan Grenfell Trust, on behalf of the Acquiring Fund, agrees to
use all reasonable efforts to obtain the approvals and authorizations required
by the Securities Act, the Investment Company Act and such of the state Blue Sky
or securities laws as it may deem appropriate in order to continue the Acquiring
Fund's operations after the Closing Date.
5. COVENANTS OF EACH OF THE PARTIES
5.1. The BT Trust, on behalf of the Acquired Fund, will operate its
business in the ordinary course between the date hereof and the Closing Date. It
is understood that such ordinary course of business will include the declaration
and payment of customary dividends and distributions and any other dividends and
distributions necessary or advisable (except to the extent distributions that
are not customary may be limited by representations made in connection with the
issuance of the tax opinion described in paragraph 8.6 hereof), in each case
payable either in cash or in additional shares.
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5.2. The Morgan Grenfell Trust, on behalf of the Acquiring Fund, will
operate its business in the ordinary course between the date hereof and the
Closing Date. It is understood that such ordinary course of business will
include the declaration and payment of customary dividends and distributions and
any other dividends and distributions necessary or advisable, in each case
payable either in cash or in additional shares.
5.3. The BT Trust will call a meeting of the Acquired Fund's shareholders
to consider and act upon this Agreement and to take all other action necessary
to obtain approval of the transactions contemplated herein.
5.4. The Acquired Fund covenants that the Acquiring Fund Shares to be
issued hereunder are not being acquired for the purpose of making any
distribution thereof other than in accordance with the terms of this Agreement.
5.5. The Acquired Fund will assist the Acquiring Fund in obtaining such
information as the Acquiring Fund reasonably requests concerning the beneficial
ownership of the Acquired Fund's shares.
5.6. Subject to the provisions of this Agreement, the BT Trust, on behalf
of the Acquired Fund, and the Morgan Grenfell Trust, on behalf of the Acquiring
Fund, each will take, or cause to be taken, all action, and do or cause to be
done, all things reasonably necessary, proper or advisable to consummate and
make effective the transactions contemplated by this Agreement.
5.7. The Acquired Fund shall furnish to the Acquiring Fund on the Closing
Date the Statement of Assets and Liabilities of the Acquired Fund as of the
Closing Date, which statement shall be prepared in accordance with generally
accepted accounting principles consistently applied and shall be certified by
the BT Trust's Treasurer or Assistant Treasurer. As promptly as practicable, but
in any case within 60 days after the Closing Date, the Acquired Fund shall
furnish to the Acquiring Fund, in such form as is reasonably satisfactory to the
Acquiring Fund, a statement of the earnings and profits of the Acquired Fund for
federal income tax purposes, and of any capital loss carryovers and other items
that will be carried over to the Acquiring Fund as a result of Section 381 of
the Code, and which statement will be certified by the President of the BT
Trust.
5.8. The Acquired Fund will provide the Acquiring Fund with information
reasonably necessary for the preparation of a prospectus (the "Prospectus"),
which will include the Proxy Statement, referred to in paragraph 4.1(n), all to
be included in the Registration Statement, in compliance with the Securities
Act, the Securities Exchange Act of 1934 (the "Exchange Act"), and the
Investment Company Act in connection with the meeting of the Acquired Fund's
shareholders to consider approval of this Agreement and the transactions
contemplated herein.
6. CONDITIONS PRECEDENT TO OBLIGATIONS OF THE ACQUIRED FUND
The obligations of the Acquired Fund to consummate the transactions
provided for herein shall be subject, at its election, to the performance by the
Acquiring Fund of all of the obligations to be performed by it hereunder on or
before the Closing Date and, in addition thereto, the following further
conditions:
6.1. All representations and warranties made in this Agreement by or on
behalf of the Acquiring Fund shall be true and correct in all material respects
as of the date hereof and, except as they may be affected by the transactions
contemplated by this Agreement, as of the Closing Date with the same force and
effect as if made on and as of the Closing Date;
6.2. The Morgan Grenfell Trust on behalf of the Acquiring Fund shall have
delivered to the Acquired Fund a certificate executed in its name by its
President or Vice President and its Treasurer or Assistant Treasurer, in form
and substance reasonably satisfactory to the Acquired Fund and dated as of the
Closing Date, to the effect that the representations and warranties made in this
Agreement by or on
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behalf of the Acquiring Fund are true and correct at and as of the Closing Date,
except as they may be affected by the transactions contemplated by this
Agreement; and
6.3. The Acquired Fund shall have received on the Closing Date a favorable
opinion from Hale and Dorr LLP, counsel to the Acquiring Fund, dated as of the
Closing Date, in a form reasonably satisfactory to Daniel O. Hirsch, Secretary
of the Acquired Fund, covering the following points: That
(i) the Acquiring Fund is a series of the Morgan Grenfell Trust, which is
a business trust validly existing and in good standing under the laws of the
State of Delaware and has the power, under its Declaration of Trust, to own all
of its properties and assets and to carry on its business as described in its
current prospectus and statement of additonal information;
(ii) this Agreement has been duly authorized, executed and delivered by
the Morgan Grenfell Trust on behalf of the Acquiring Fund and, assuming that the
Prospectus, Registration Statement and Proxy Statement comply with the
Securities Act, the Exchange Act and the Investment Company Act and the rules
and regulations thereunder and, assuming due authorization, execution and
delivery of the Agreement by the BT Trust on behalf of the Acquired Fund, is a
valid and binding obligation of the Morgan Grenfell Trust enforceable against
the Morgan Grenfell Trust in accordance with its terms, subject as to
enforcement, to bankruptcy, insolvency, reorganization, moratorium and other
laws relating to or affecting creditors' rights generally and to general equity
principles;
(iii) the Acquiring Fund Shares to be issued to the Acquired Fund and
delivered to the Acquired Fund shareholders as provided by this Agreement are
duly authorized and upon such delivery will be validly issued and outstanding
and fully paid and non-assessable, and no shareholder of the Acquiring Fund has
any preemptive rights to subscription or purchase in respect thereof;
(iv) the execution and delivery of this Agreement did not, and the
consummation of the transactions contemplated hereby will not, result in a
material violation of The Declaration of Trust or By-laws of the Morgan Grenfell
Trust; and
(v) to the knowledge of such counsel, no consent, approval, authorization
or order of any court or governmental authority of the United States or the
State of Delaware is required for the consummation by the Morgan Grenfell Trust
on behalf of the Acquiring Fund of the transactions contemplated herein, except
such as have been obtained under the Securities Act, the Exchange Act and the
Investment Company Act, and such as may be required under state securities law.
Such counsel may rely, as to matters governed by the laws of the State of
Delaware, on an opinion of Delaware counsel. Such opinion also shall include
such other matters incident to the transaction contemplated hereby as the BT
Trust on the behalf of the Acquired Fund may reasonably request. Finally, such
opinion need not opine with respect to the applicability of Section 17(a) under
the Investment Company Act or Rule 17a-8 thereunder.
7. CONDITIONS PRECEDENT TO OBLIGATIONS OF THE ACQUIRING FUND
The obligations of the Acquiring Fund to consummate the transactions
provided for herein shall be subject, at its election, to the performance by the
Acquired Fund of all the obligations to be performed by it hereunder on or
before the Closing Date and, in addition thereto, the following further
conditions:
7.1. All representations and warranties made in this Agreement by or on
behalf of the Acquired Fund contained in this Agreement shall be true and
correct in all material respects as of the date hereof and, except as they may
be affected by the transactions contemplated by this Agreement, as of the
Closing Date with the same force and effect as if made on and as of the Closing
Date;
7.2. The Acquired Fund shall have delivered to the Acquiring Fund a
statement of the Acquired Fund's assets and liabilities showing the federal tax
bases and holding periods as of the Closing Date, certified by the BT Trust's
Treasurer or Assistant Treasurer on behalf of the Acquired Fund; and
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H&D Draft 7/19/99
7.3. The BT Trust, on behalf of the Acquired Fund, shall have delivered to
the Acquiring Fund on the Closing Date a certificate executed in its name by its
President or Vice President and Treasurer or Assistant Treasurer, in form and
substance satisfactory to the Acquiring Fund and dated as of the Closing Date,
to the effect that the representations and warranties made in this Agreement by
or on behalf of the Acquired Fund are true and correct at and as of the Closing
Date, except as they may be affected by the transactions contemplated by this
Agreement; and
7.4. The Acquiring Fund shall have received on the Closing Date a
favorable opinion of Willkie Farr & Gallagher, counsel to the Acquired Fund, in
a form satisfactory to Joan A. Binstock, Secretary of the Acquiring Fund,
covering the following points: That
(i) the Acquired Fund is a series of the BT Trust, which is a business
trust validly existing and in good standing under the laws of The Commonwealth
of Massachusetts [and has the power, under its Declaration of Trust, to own all
of its properties and assets and to carry on its business as described in its
current prospectus and statement of additional information];
(ii) this Agreement has been duly authorized, executed and delivered by
the BT Trust on behalf of the Acquired Fund and, assuming that the Prospectus,
the Registration Statement and the Proxy Statement comply with the Securities
Act, the Exchange Act and the Investment Company Act and the rules and
regulations thereunder and, assuming due authorization, execution and delivery
of the Agreement by the Morgan Grenfell Trust on behalf of the Acquiring Fund,
is a valid and binding obligation of the BT Trust enforceable against the BT
Trust in accordance with its terms, subject as to enforcement to bankruptcy,
insolvency, reorganization, moratorium and other laws relating to or affecting
creditors' rights generally and to general equity principles;
(iii) the execution and delivery of this Agreement did not, and the
consummation of the transactions contemplated hereby will not, result in a
material violation of the Declaration of Trust or By-laws of the BT Trust; and
(iv) to the knowledge of such counsel, no consent, approval, authorization
or order of any court or governmental authority of the United States or The
Commonwealth of Massachusetts is required for the consummation by the BT Trust
of the transactions contemplated herein, except such as have been obtained under
the Securities Act, the Exchange Act and the Investment Company Act, and such as
may be required under state securities laws.
Such counsel may rely, as to matters governed by the laws of The Commonwealth of
Massachusetts, on an opinion of Massachusetts counsel. [Such opinion also shall
include such other matters incident to the transaction contemplated hereby as
the Morgan Grenfell Trust on the behalf of the Acquiring Fund may reasonably
request.] Finally, such opinion need not opine with respect to the applicability
of Section 17(a) under the 1940 Act or Rule 17a-8 thereunder.
8. FURTHER CONDITIONS PRECEDENT TO OBLIGATIONS OF EACH OF THE PARTIES
If any of the conditions set forth below do not exist on or before the
Closing Date with respect to either party hereto, the other party to this
Agreement shall, at its option, not be required to consummate the transactions
contemplated by this Agreement:
8.1. This Agreement and the transactions contemplated herein shall have
been approved by the requisite vote of the holders of the outstanding shares of
the Acquired Fund in accordance with the provisions of the BT Trust's
Declaration of Trust and By-laws and certified copies of the votes evidencing
such approval shall have been delivered to the Acquiring Fund. Notwithstanding
anything herein to the contrary, no party hereto may waive the conditions set
forth in this paragraph 8.1;
8.2. On the Closing Date, no action, suit or other proceeding shall be
pending before any court or governmental agency in which it is sought to
restrain or prohibit, or obtain damages or other relief in connection with, this
Agreement or the transactions contemplated herein;
8.3. All consents of other parties and all other consents, orders and
permits of federal, state and local regulatory authorities (including those of
the Commission and of state Blue Sky and securities authorities, including
"no-action" positions of and exemptive orders from such federal and state
authorities) deemed necessary by either party hereto to permit consummation, in
all material respects, of the transactions contemplated hereby shall have been
obtained, except where failure to obtain any such consent, order or permit would
not involve a risk of a material adverse effect on the assets or properties of
any party hereto, provided that any party may for itself waive any of such
conditions;
8.4. The Registration Statement shall have become effective under the
Securities Act and no stop orders suspending the effectiveness thereof shall
have been issued and, to the best knowledge of the parties hereto, no
investigation or proceeding for that purpose shall have been instituted or be
pending, threatened or contemplated under the Securities Act;
8.5. The Acquired Fund shall have distributed to its shareholders all of
its investment company taxable income, as defined in Section 852(b)(2) of the
Code (prior to reduction by any dividends paid deduction), and all of its net
capital gain, as such term is used in Section 852(b)(3)(C) of the Code, after
reduction by any capital loss carryforward, and all of the excess of (1) its
interest income excludable from gross income under Section 103(a) of the Code
over (2) the deductions disallowed under Sections 265 and 171(a)(2) of the Code,
in each case for its taxable year ending on the Closing Date.
8.6. The parties shall have received a favorable opinion of Hale and Dorr
LLP, addressed to the Morgan Grenfell Trust in respect of the Acquiring Fund and
addressed to the BT Trust in respect of the acquired Fund and satisfactory to
Joan A. Binstock and Daniel O. Hirsch, as Secretary of each of the parties,
respectively, substantially to the effect that for federal income tax purposes:
(a) The acquisition by the Acquiring Fund of all of the assets of the
Acquired Fund solely in exchange for the issuance of Acquiring Fund Shares to
the Acquired Fund and the assumption of certain scheduled Acquired Fund
liabilities by the Acquiring Fund, followed by the distribution by the Acquired
Fund, in liquidation of the Acquired Fund, of Acquiring Fund Shares to the
shareholders of the Acquired Fund in exchange for their Acquired Fund shares of
beneficial interest and the
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H&D Draft 7/19/99
termination of the Acquired Fund, will constitute a reorganization within the
meaning of Section 368(a)(1) of the Code, and the Acquired Fund and the
Acquiring Fund will each be "a party to a reorganization" within the meaning of
Section 368(b) of the Code;
(b) No gain or loss will be recognized by the Acquired Fund upon (i) the
transfer of all of its assets to the Acquiring Fund solely in exchange for the
issuance of Acquiring Fund Shares to the Acquired Fund and the assumption of
certain scheduled Acquired Fund liabilities by the Acquiring Fund and (ii) the
distribution by the Acquired Fund of such Acquiring Fund Shares to the
shareholders of the Acquired Fund;
(c) No gain or loss will be recognized by the Acquiring Fund upon the
receipt of the assets of the Acquired Fund solely in exchange for the issuance
of Acquiring Fund Shares to the Acquired Fund and the assumption of certain
scheduled Acquired Fund liabilities by the Acquiring Fund;
(d) The basis of the assets of the Acquired Fund acquired by the Acquiring
Fund will be, in each instance, the same as the basis of those assets in the
hands of the Acquired Fund immediately prior to the transfer;
(e) The tax holding period of the assets of the Acquired Fund in the hands
of the Acquiring Fund will, in each instance, include Acquired Fund's tax
holding period for those assets;
(f) The shareholders of the Acquired Fund will not recognize gain or loss
upon the exchange of all of their shares of beneficial interest of the Acquired
Fund solely for Acquiring Fund Shares as part of the transaction;
(g) The basis of the Acquiring Fund Shares received by the Acquired Fund
shareholders in the transaction will be the same as the basis of the shares of
beneficial interest of the Acquired Fund surrendered in exchange therefor; and
(h) The tax holding period of the Acquiring Fund Shares received by the
Acquired Fund shareholders will include, for each shareholder, the tax holding
period for the shares of beneficial interest of the Acquired Fund surrendered in
exchange therefor, provided that the Acquired Fund shares were held as capital
assets on the date of the exchange.
Notwithstanding anything herein to the contrary, no party hereto may waive
in any material respect the conditions set forth in this paragraph 8.6.
8.7 Each of the Acquiring Fund and the Acquired Fund agrees to make and
provide representations with respect to itself that are reasonably necessary to
enable Hale and Dorr LLP to deliver an opinion substantially as set forth in
this paragraph 8.7.
9. BROKERAGE FEES AND EXPENSES
9.1. Each party hereto represents and warrants to each other party hereto,
that there are no brokers or finders entitled to receive any payments in
connection with the transactions provided for herein.
9.2. The parties have been informed by Bankers Trust Company that Bankers
Trust Company will pay for all expenses incurred in connection with the
Reorganization except that the Acquired Fund shall be liable for its fees and
expenses incurred in connection with its liquidation and termination.
10. ENTIRE AGREEMENT; SURVIVAL OF WARRANTIES
10.1. The parties hereto agree that no party has made any representation,
warranty or covenant not set forth herein or referred to in paragraph 8.7 hereof
and that this Agreement constitutes
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H&D Draft 7/19/99
the entire agreement between the parties.
10.2. The representations, warranties and covenants contained in this
Agreement or in any document delivered pursuant hereto or in connection herewith
shall survive the consummation of the transactions contemplated hereunder.
11. TERMINATION
11.1. This Agreement may be terminated at any time prior to the Closing
Date by: (i) the mutual agreement of the BT Trust on behalf of the Acquired Fund
and the Morgan Grenfell Trust on behalf of the Acquiring Fund; (ii) any party in
the event that the other party hereto shall materially breach any
representation, warranty or agreement contained herein to be performed at or
prior to the Closing Date; or (iii) a condition herein expressed to be precedent
to the obligations of the terminating party has not been met and it reasonably
appears that it will not or cannot be met.
11.2. In the event of any such termination, there shall be no liability
for damages on the part of any party hereto or their respective Trustees or
officers to any other party, but each shall bear the expenses incurred by it
incidental to the preparation and carrying out of this Agreement.
12. AMENDMENTS
This Agreement may be amended, modified or supplemented in such manner as
may be mutually agreed upon in writing by the authorized officers of the BT
Trust on behalf of the Acquired Fund and the Morgan Grenfell Trust on behalf of
the Acquiring Fund; provided, however, that following the meeting of the
Acquired Fund shareholders called by the BT Trust pursuant to paragraph 5.3 of
this Agreement, no such amendment may have the effect of changing the provisions
for determining the number of the Acquiring Fund Shares to be issued to the
Acquired Fund shareholders under this Agreement to the detriment of such
shareholders without their further approval.
13. NOTICES
Any notice, report, statement or demand required or permitted by any
provisions of this Agreement shall be in writing and shall be given by prepaid
telegraph, telecopy or certified mail addressed to the BT Trust on behalf of the
Acquired Fund and the Morgan Grenfell Trust on behalf of the Acquiring Fund at
885 Third Avenue, New York, New York 10022.
14. HEADINGS; COUNTERPARTS; GOVERNING LAW; ASSIGNMENT; LIMITATION OF LIABILITY
14.1. The article and paragraph headings contained in this Agreement are
for reference purposes only and shall not affect in any way the meaning or
interpretation of this Agreement.
14.2. This Agreement may be executed in any number of counterparts, each
of which shall be deemed an original.
14.3. This Agreement shall be governed by and construed in accordance with
the laws of The Commonwealth of Massachusetts.
14.4. This Agreement shall bind and inure to the benefit of the parties
hereto and their respective successors and assigns, but no assignment or
transfer hereof or of any rights or obligations hereunder shall be made by any
party without the written consent of the other parties hereto. Nothing herein
expressed or implied is intended or shall be construed to confer upon or give
any person, firm, corporation or other entity, other than the parties hereto and
their respective successors and assigns, any rights or remedies under or by
reason of this Agreement.
14.5. It is expressly agreed that the obligations of the Morgan Grenfell
Trust and the BT Trust shall not be binding upon any of their respective
Trustees, shareholders, nominees, officers,
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H&D Draft 7/19/99
agents or employees personally, but bind only the trust property of the Morgan
Grenfell Trust or the BT Trust, as the case may be, as provided in the trust
instruments of the Morgan Grenfell Trust and the BT Trust, respectively. The
execution and delivery of this Agreement have been authorized by the Trustees of
each of the Morgan Grenfell Trust and the BT Trust, and this Agreement has been
executed by authorized officers of the Morgan Grenfell Trust and the BT Trust on
behalf of the Acquired Fund and the Acquiring Fund, respectively, acting as
such, and neither such authorization by such Trustees nor such execution and
delivery by such officers shall be deemed to have been made by any of them
individually or to impose any liability on any of them personally, but shall
bind only the trust property of the Morgan Grenfell Trust and the BT Trust, as
the case may be, as provided in the Declaration of Trust of the Morgan Grenfell
Trust and the BT Trust, respectively.
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H&D Draft 7/19/99
IN WITNESS WHEREOF, each of the parties hereto has caused this Agreement
to be executed by its President or Vice President and attested by its Secretary
or Assistant Secretary.
Attest: BT INVESTMENT FUNDS on behalf of
GLOBAL EMERGING MARKETS EQUITY FUND
By: __________________________ By: __________________________
Name: Daniel O. Hirsch Name: __________________________
Title: Secretary Title:__________________________
Attest: MORGAN GRENFELL INVESTMENT TRUST
on behalf of
MORGAN GRENFELL EMERGING MARKETS
EQUITY FUND
By: __________________________ By: __________________________
Name: Joan A. Binstock Name: __________________________
Title: Secretary Title:__________________________
Page 14
Exhibit 12
Hale and Dorr LLP
Counsellors at Law
60 State Street, Boston, Massachusetts 02109
617-526-6000 o fax 617-526-5000
DRAFT
September 30, 1999
Board of Trustees
Morgan Grenfell Investment Trust, on behalf of
Morgan Grenfell Emerging Markets Equity Fund
885 Third Avenue
New York, New York 10022
Board of Trustees
BT Investment Funds, on behalf of
Global Emerging Markets Equity Fund
One South Street
Baltimore, Maryland 21202
Dear Members of the Boards of Trustees:
You have requested our opinion regarding certain federal income tax
consequences described below of the acquisition by Morgan Grenfell Emerging
Markets Equity Fund ("Acquiring Fund"), a series of Morgan Grenfell Investment
Trust ("MG Trust"), of all of the assets of Global Emerging Markets Equity Fund
("Acquired Fund"), a series of BT Investment Funds ("BT Trust"), in exchange
solely for (i) the assumption by Acquiring Fund of certain scheduled liabilities
of Acquired Fund and (ii) the issuance of the Institutional class of voting
shares of beneficial interest of Acquiring Fund (the "Acquiring Fund Shares") to
Acquired Fund, followed by the distribution by Acquired Fund, in liquidation of
Acquired Fund, of the Acquiring Fund Shares to the shareholders of Acquired Fund
and the termination of Acquired Fund (the foregoing together constituting the
"reorganization" or the "transaction").
In rendering this opinion, we have examined and relied upon the facts
stated and representations made in (i) the combined prospectus for Acquiring
Fund and certain other Morgan Grenfell International mutual funds, dated March
1, 1999, (ii) the combined statement of additional information for Acquiring
Fund and certain other Morgan Grenfell International mutual funds, dated March
1, 1999, (iii) the prospectus for Acquired Fund and certain other BT mutual
funds, dated January 31, 1999, (iv) the statement of additional information for
Acquired Fund and certain
<PAGE>
Boards of Trustees
Morgan Grenfell Investment Trust
BT Investment Funds
September 30, 1999
Page 2
other BT mutual funds, dated January 31, 1999, (v) the Notice of Meeting of
Shareholders Scheduled for September 29, 1999 and the accompanying proxy
statement and prospectus relating to the transaction dated August 16, 1999 (the
"Proxy Statement"), (vi) the Agreement and Plan of Reorganization, made
____________, 1999, between Acquiring Fund and Acquired Fund (the "Agreement"),
(vii) the representation letters on behalf of Acquiring Fund and Acquired Fund
referred to below and (viii) such other documents as we deemed appropriate.
In our examination of documents, we have assumed the authenticity of
original documents, the accuracy of copies, the genuineness of signatures, and
the legal capacity of signatories. We have assumed that all parties to the
Agreement have acted and will act in accordance with the terms of the Agreement
and all other documents relating to the transaction and that the transaction
will be consummated pursuant to the terms and conditions set forth in the
Agreement without the waiver or modification of any such terms and conditions.
Furthermore, we have assumed that all representations contained in the
Agreement, as well as those representations contained in the representation
letters referred to below are, on the date hereof, true and complete in all
material respects, and that any representation made in any of the documents
referred to herein "to the best of the knowledge and belief" (or similar
qualification) of any person or party is correct without such qualification. We
have not attempted to verify independently such representations, but in the
course of our representation, nothing has come to our attention that would cause
us to question the accuracy thereof.
The conclusions expressed herein represent our judgment regarding the
proper treatment of certain aspects of the transaction affecting Acquiring Fund,
Acquired Fund and the shareholders of Acquired Fund on the basis of our analysis
of the Internal Revenue Code of 1986, as amended (the "Code"), case law,
Treasury regulations and the rulings and other pronouncements of the Internal
Revenue Service (the "Service") which exist at the time this opinion is
rendered. Such authorities are subject to prospective or retroactive change, and
we do not undertake any responsibility to advise you of any such change. Our
opinion represents our best judgment regarding how a court would decide if
presented with the issues addressed herein and is not binding upon the Service
or any court. Moreover, our opinion does not provide any assurance that a
position taken in reliance on such opinion will not be challenged by the Service
and does not constitute any representation or warranty that such position, if so
challenged, will not be rejected by a court.
This opinion addresses only the specific United States federal income tax
consequences of the transaction set forth below, and does not address any other
federal, state, local, or foreign income, estate, gift, transfer, sales, or
other tax consequences that may result from the transaction or any other
transaction.
<PAGE>
Boards of Trustees
Morgan Grenfell Investment Trust
BT Investment Funds
September 30, 1999
Page 3
FACTS
-----
We understand that the facts relating to the transaction are as described
hereinafter.
Acquiring Fund is a series of MG Trust, a business trust established under
the laws of the State of Delaware in 1993. MG Trust is registered as an open-end
investment company under the Investment Company Act of 1940, as amended (the
"1940 Act"). Acquiring Fund has been operating as an investment company since
the inception of its business in 1994. Acquiring Fund is one of the twenty-two
series of MG Trust. Each series of MG Trust has assets and liabilities that are
separate from those of each other series, and each such series is treated as a
separate corporation and regulated investment company under Section 851(g) of
the Code.
The investment objective of Acquiring Fund is to seek capital
appreciation. To pursue this objective, the Fund invests primarily in equity
securities of companies located in emerging securities markets, i.e., those
smaller, less experienced securities markets located in Latin America, Europe,
the Middle East, Africa and Asia. Up to 35% of Acquiring Fund's total assets may
include cash equivalents, investment grade fixed income securities, and equity
and equity-related securities traded in developed markets.
Acquired Fund is a series of BT Trust, a business trust established under
the laws of The Commonwealth of Massachusetts in 1986. BT Trust is registered as
an open-end investment company under the 1940 Act. Acquired Fund has been
operating as an investment company since the inception of its business in 1998.
Acquired Fund is one of twenty series of BT Trust. Each series of BT Trust has
assets and liabilities that are separate from those of each other series, and
each such series is treated as a separate corporation and regulated investment
company under Section 851(g) of the Code.
The investment objective of Acquired Fund is to seek long-term capital
growth. Acquired Fund pursues this objective by investing in stocks and other
equity securities of companies in the world's emerging markets. An emerging
market is defined as one that has experienced comparatively little
industrialization. Acquired Fund may invest up to 35% of its assets in emerging
market bonds and other debt securities. Acquired Fund seeks to achieve its
investment objective by investing all of its assets in a "master" portfolio,
Global Emerging Markets Equity Portfolio ("BT Portfolio"), which has the same
investment objective as Acquired Fund. BT Portfolio is classified as a
partnership under the Code, and Acquired Fund is a partner in BT Portfolio.
Acquired Fund's beneficial interest in BT Portfolio has exceeded % of the total
outstanding beneficial interests in BT Portfolio at all times since the
<PAGE>
Boards of Trustees
Morgan Grenfell Investment Trust
BT Investment Funds
September 30, 1999
Page 4
inception of Acquired Fund's investment business. Prior to the transaction,
Acquired Fund will redeem its entire interest in BT Portfolio in exchange for a
pro rata share of the portfolio securities and other assets of BT Portfolio,
which will be transferred to Acquired Fund in the transaction as described
below.
The steps comprising the reorganization, as set forth in the Agreement,
are as follows:
(i) Acquired Fund will transfer to Acquiring Fund all of its assets
(consisting, without limitation, of portfolio securities and instruments,
dividend and interest receivables, cash and other assets). In exchange for the
assets transferred to it, Acquiring Fund will (A) assume certain scheduled
liabilities of Acquired Fund (comprising all of its known liabilities that have
not been discharged prior to the closing date of the transaction and referred to
hereinafter as the "Acquired Fund Liabilities") and (B) issue Acquiring Fund
Shares to Acquired Fund that have an aggregate net asset value equal to the
value of the assets transferred to Acquiring Fund by Acquired Fund, less the
Acquired Fund Liabilities assumed by Acquiring Fund.
(ii) Promptly after the transfer of its assets to Acquiring Fund, Acquired
Fund will distribute in liquidation the Acquiring Fund Shares it receives in the
exchange to Acquired Fund shareholders pro rata in exchange for their surrender
of their shares of beneficial interest of Acquired Fund ("Acquired Fund
Shares").
(iii) After such exchanges, liquidation and distribution, the existence of
Acquired Fund will be promptly terminated in accordance with Massachusetts law.
The Agreement and the transactions contemplated thereby were approved by
the Board of Trustees of MG Trust, on behalf of Acquiring Fund, at a meeting
held on June 9, 1999. Acquiring Fund shareholders are not required and were not
asked to approve the transaction. The Agreement and the transactions
contemplated thereby were approved by the Board of Trustees of BT Trust, on
behalf of Acquired Fund, at a meeting held on June ___, 1999, subject to the
approval of Acquired Fund shareholders. Acquired Fund shareholders approved the
transaction at a meeting held on September 29, 1999.
Massachusetts law does not provide dissenters' rights for Acquired Fund
shareholders in the transaction. Additionally, it is the position of the
Division of Investment Management of the Securities and Exchange Commission that
appraisal rights, in contexts such as the reorganization, are inconsistent with
Rule 22c-1 under the 1940 Act and are therefore preempted and invalidated by
such rule.
<PAGE>
Boards of Trustees
Morgan Grenfell Investment Trust
BT Investment Funds
September 30, 1999
Page 5
Consequently, Acquired Fund shareholders will not have dissenters' or appraisal
rights in the transaction.
Our opinions set forth below are subject to the following factual
assumptions being true and correct (including statements relating to future
actions and facts represented to be to the best knowledge of management, whether
or not known). Authorized representatives of Acquiring Fund and Acquired Fund
have represented to us by letters of even date herewith that the following
assumptions are true and correct:
(a) Neither Acquiring Fund nor any person treated as related to Acquiring
Fund under Treasury Regulation Section 1.368-1(e)(3) has any plan or intention
to redeem or otherwise reacquire any of the Acquiring Fund Shares received by
shareholders of Acquired Fund in the transaction except in the ordinary course
of Acquiring Fund's business in connection with its legal obligation under
Section 22(e) of the 1940 Act as a registered open-end investment company to
redeem its own shares (which obligation is not in connection with, modified in
connection with, or in any way related to the transaction).
(b) After the transaction, Acquiring Fund will continue the historic
business of Acquired Fund and will use all of the assets acquired from Acquired
Fund, which are Acquired Fund's historic business assets, i.e., assets not
acquired by Acquired Fund (other than by redemption of its interest in BT
Portfolio) or by BT Portfolio as part of or in contemplation of the transaction,
in the ordinary course of a business.
(c) Acquiring Fund has no plan or intention to sell or otherwise dispose
of any assets of Acquired Fund acquired in the transaction, except for
dispositions made in the ordinary course of its business (i.e., dispositions
resulting from investment decisions made after the reorganization on the basis
of investment considerations independent of the reorganization) or to maintain
its qualification as a regulated investment company under Subchapter M of the
Code.
(d) The shareholders of Acquiring Fund and the shareholders of Acquired
Fund will bear their respective expenses, if any, in connection with the
transaction.
(e) Bankers Trust Company will bear all of the expenses that are or would
otherwise be incurred by Acquiring Fund and Acquired Fund in connection with the
transaction, except that Acquired Fund will bear the fees and expenses incurred
in connection with its liquidation and termination.
(f) There is no indebtedness between Acquiring Fund and Acquired Fund.
<PAGE>
Boards of Trustees
Morgan Grenfell Investment Trust
BT Investment Funds
September 30, 1999
Page 6
(g) Acquired Fund has elected to be treated as a regulated investment
company under Subchapter M of the Code, has qualified as a regulated investment
company for each taxable year since inception, and qualifies as such for its
taxable year ending on the closing date of the transaction.
(h) Acquiring Fund has elected to be treated as a regulated investment
company under Subchapter M of the Code, has qualified as a regulated investment
company for each taxable year since inception, and qualifies as such as of the
date of the transaction.
(i) Neither Acquiring Fund nor Acquired Fund is under the jurisdiction of
a court in a Title 11 or similar case within the meaning of Section 368(a)(3)(A)
of the Code.
(j) Acquiring Fund does not own and has never owned, directly or
indirectly, any shares of Acquired Fund.
(k) Acquiring Fund will not pay cash in lieu of fractional shares in
connection with the transaction.
(l) As of the date of the transaction, the fair market value of the
Acquiring Fund Shares issued to Acquired Fund in exchange for the assets of
Acquired Fund is approximately equal to the fair market value of the assets of
Acquired Fund received by Acquiring Fund, minus the Acquired Fund Liabilities
assumed by Acquiring Fund. Acquiring Fund will not furnish any consideration in
connection with the acquisition of Acquired Fund's assets other than the
assumption of these Acquired Fund Liabilities and the issuance of these
Acquiring Fund Shares.
(m) Acquired Fund shareholders will not be in control (within the meaning
of Sections 368(a)(2)(H)(i) and 304(c) of the Code, which provide that control
means the ownership of shares possessing at least 50% of the total combined
voting power of all classes of shares that are entitled to vote or at least 50%
of the total value of shares of all classes) of Acquiring Fund after the
transaction.
(n) The principal business purposes of the transaction are to combine the
assets of Acquiring Fund and Acquired Fund in order to capitalize on potential
economies of scale in expenses, including the costs of accounting, legal,
transfer agency, insurance, custodial, and administrative services, to eliminate
adverse effects on the marketing and potential asset growth of Acquiring Fund
and Acquired Fund that may result from the existence of competing funds with
essentially identical investment objectives and primary investment strategies
within the same fund
<PAGE>
Boards of Trustees
Morgan Grenfell Investment Trust
BT Investment Funds
September 30, 1999
Page 7
complex, to benefit from Acquiring Fund's anticipated better performance, and to
increase diversification.
(o) As of the date of the transaction, the fair market value of the
Acquiring Fund Shares received by each shareholder that holds Acquired Fund
Shares is approximately equal to the fair market value of the Acquired Fund
Shares surrendered by such shareholder. No property other than Acquiring Fund
Shares will be distributed to shareholders of Acquired Fund in exchange for
their Acquired Fund Shares, nor will any such shareholder receive cash or other
property as part of the transaction.
(p) There is no plan or intention on the part of any shareholder of
Acquired Fund that owns beneficially 5% or more of the Acquired Fund Shares and,
to the best knowledge of management of Acquired Fund, there is no plan or
intention on the part of the remaining shareholders of Acquired Fund, in
connection with the transaction, to engage in any transaction with Acquired
Fund, Acquiring Fund, or any person treated as related to Acquired Fund or
Acquiring Fund under the standards made applicable by Treasury Regulation
Section 1.368-1(e)(1)(i) involving the sale, redemption, exchange, transfer,
pledge, or other disposition resulting in a direct or indirect transfer of the
risks of ownership (a "Sale") of any of the Acquired Fund Shares or any of the
Acquiring Fund Shares to be received in the transaction that, considering all
Sales, would reduce the aggregate ownership of the Acquiring Fund Shares by
former Acquired Fund shareholders to a number of shares having a value, as of
the date of the transaction, of less than fifty percent (50%) of the value of
all of the formerly outstanding Acquired Fund Shares as of the same date. All
Sales involving shares of Acquired Fund and Acquiring Fund held by Acquired Fund
shareholders that have occurred or will occur in connection with the transaction
are taken into account for purposes of this representation. No such Sale that is
in connection with the transaction has, to the best knowledge of the management
of Acquired Fund, occurred on or prior to the date of the transaction.
(q) Acquired Fund assets transferred to Acquiring Fund comprise at least
ninety percent (90%) of the fair market value of the net assets and at least
seventy percent (70%) of the fair market value of the gross assets held by
Acquired Fund immediately prior to the transaction. For purposes of this
representation, amounts used by Acquired Fund to pay its outstanding liabilities
and all redemptions and distributions (except for redemptions in the ordinary
course of business upon demand of a shareholder that Acquired Fund is required
to make as an open-end investment company pursuant to Section 22(e) of the 1940
Act and regular, normal dividends, which dividends include any final
distribution of previously undistributed investment company taxable income and
net capital gain for Acquired Fund's final taxable year ending on the date of
the transaction) made by Acquired Fund
<PAGE>
Boards of Trustees
Morgan Grenfell Investment Trust
BT Investment Funds
September 30, 1999
Page 8
immediately preceding the transaction are taken into account as assets of
Acquired Fund held immediately prior to the transaction.
(r) The Acquired Fund Liabilities assumed by Acquiring Fund plus the
liabilities, if any, to which the transferred assets are subject were incurred
by Acquired Fund in the ordinary course of its business.
(s) The fair market value of the Acquired Fund assets transferred to
Acquiring Fund equals or exceeds the sum of the Acquired Fund Liabilities
assumed by Acquiring Fund and the amount of liabilities, if any, to which the
transferred assets are subject.
(t) Acquired Fund does not pay compensation to any shareholder-employee.
OPINION
-------
On the basis of and subject to the foregoing and in reliance upon the
representations described above, we are of the opinion that:
(a) The acquisition by Acquiring Fund of all of the assets of Acquired
Fund solely in exchange for the issuance of Acquiring Fund Shares to Acquired
Fund and the assumption of the Acquired Fund Liabilities by Acquiring Fund,
followed by the distribution by Acquired Fund, in liquidation of Acquired Fund,
of Acquiring Fund Shares to Acquired Fund shareholders in exchange for their
Acquired Fund Shares and the termination of Acquired Fund, will constitute a
"reorganization" within the meaning of Section 368(a)(1) of the Code. Acquiring
Fund and Acquired Fund will each be "a party to a reorganization" within the
meaning of Section 368(b) of the Code.
(b) No gain or loss will be recognized by Acquired Fund upon (i) the
transfer of all of its assets to Acquiring Fund solely in exchange for the
issuance of Acquiring Fund Shares to Acquired Fund and the assumption of the
Acquired Fund Liabilities by Acquiring Fund and (ii) the distribution by
Acquired Fund of such Acquiring Fund Shares to the shareholders of Acquired Fund
(Sections 361(a) and 361(c) of the Code).
(c) No gain or loss will be recognized by Acquiring Fund upon the receipt
of the assets of Acquired Fund solely in exchange for the issuance of Acquiring
Fund Shares to Acquired Fund and the assumption of the Acquired Fund Liabilities
by Acquiring Fund (Section 1032(a) of the Code).
<PAGE>
Boards of Trustees
Morgan Grenfell Investment Trust
BT Investment Funds
September 30, 1999
Page 9
(d) The basis of the assets of Acquired Fund acquired by Acquiring Fund
will be, in each instance, the same as the basis of those assets in the hands of
Acquired Fund immediately prior to the transfer (Section 362(b) of the Code).
(e) The tax holding period of the assets of Acquired Fund in the hands of
Acquiring Fund will, in each instance, include Acquired Fund's tax holding
period for those assets (Section 1223(2) of the Code).
(f) The shareholders of Acquired Fund will not recognize gain or loss upon
the exchange of all of their Acquired Fund Shares solely for Acquiring Fund
Shares as part of the transaction (Section 354(a)(1) of the Code).
(g) The basis of the Acquiring Fund Shares received by the Acquired Fund
shareholders in the transaction will be the same as the basis of the Acquired
Fund Shares surrendered in exchange therefor (Section 358(a)(1) of the Code).
(h) The tax holding period of the Acquiring Fund Shares received by
Acquired Fund shareholders will include, for each shareholder, the tax holding
period for the Acquired Fund Shares surrendered in exchange therefor, provided
that the Acquired Fund Shares were held as capital assets on the date of the
exchange (Section 1223(1) of the Code).
No opinion is expressed or implied regarding the federal income tax
consequences to Acquiring Fund, Acquired Fund or Acquired Fund shareholders of
any conditions existing at the time of, effects resulting from, or other aspects
of the transaction except as expressly set forth above, including but not
limited to whether Acquiring Fund or Acquired Fund realizes or recognizes gross
income or income described in Section 851(b)(2) of the Code as a result of the
payment of any expenses of the transaction by Bankers Trust Company. This
opinion may not be relied upon except with respect to the consequences
specifically discussed herein nor may it be relied upon by persons or entities
to whom it is not addressed, other than with our prior written consent.
Very truly yours,
Hale and Dorr LLP
<PAGE>
Boards of Trustees
Morgan Grenfell Investment Trust
BT Investment Funds
September 30, 1999
Page 10
DRAFT
Consent of Independent Accountants
We hereby consent to the incorporation by reference in the Proxy Statement and
Prospectus and the Statement of Additional Information, constituting parts of
this Registration Statement on Form N-14 (the "Registration Statement"), of our
report dated December 16, 1998 relating to the October 31, 1998 financial
statements and financial highlights of Morgan Grenfell Investment Trust (the
"Trust") appearing in the October 31, 1998 Annual Report to Shareholders of the
Trust, which is also incorporated by reference into the Registration Statement,
and to the reference to us under the heading "Experts" in such Proxy Statement
and Prospectus. We also consent to the references to us under the headings
"Financial Statements" and "Independent Accountants" in the Trust's Statement of
Additional Information dated March 1, 1999 and to the reference to us under the
heading "Financial Highlights" in the Trust's Prospectus dated March 1, 1999,
which Statement of Additional Information and Prospectus have been incorporated
by reference into this Registration Statement.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, NY 10036
July 23, 1999
Consent of Independent Accountants
We hereby consent to the incorporation by reference in the Proxy Statement and
Prospectus and the Statement of Additional Information, constituting parts of
this registration statement on Form N-14 (the "Registration Statement"), of our
report dated November 6, 1998 relating to the financial statements and financial
highlights appearing in the September 30, 1998 Annual Report to Shareholders of
BT Global Emerging Markets Equity Fund, which is also incorporated by reference
into the Registration Statement, and to the references to us under the headings
"Experts" and "Financial Highlights" in such Proxy Statement and Prospectus. We
also consent to the references to us under the headings "Independent
Accountants" in the Fund's Statement of Additional Information dated January 31,
1999 and to the reference to us under the heading "Financial Highlights" in the
Fund's Prospectus dated January 31, 1999, which Statement of Additional
Information and Prospectus have been incorporated by reference into this
Registration Statement.
PricewaterhouseCoopers LLP
Baltimore, Maryland
July 23, 1999
POWER OF ATTORNEY
I, the undersigned officer and trustee of Morgan Grenfell Investment
Trust (the "Trust"), a Delaware business trust, do hereby constitute and appoint
Joan A. Binstock and Tracie E. Richter, and each of them acting singly, to be my
true, sufficient and lawful attorneys, with full power to each of them and each
of them acting singly, to sign for me, in my name and the capacities indicated
below, the Registration Statement on Form N-14 of the Trust and any and all
amendments to said Registration Statement to be filed by the Trust under the
Investment Company Act of 1940, as amended, and under the Securities Act of
1933, as amended, with respect to the offering of its shares of beneficial
interest, and any and all other documents and papers relating thereto, and
generally to do all such things in my name and on behalf of me in the capacities
indicated to enable the Trust to comply with the Investment Company Act of 1940,
as amended, and the Securities Act of 1933, as amended, and thereunder, hereby
ratifying and confirming my signature as it may be signed by said attorneys or
each of them to any and all amendments to said Registration Statement.
IN WITNESS WHEREOF, I have hereunder set my hands on this 15th day of
July, 1999.
/s/ James E. Minnick
James E. Minnick
President, Chief Executive Officer
and Trustee
<PAGE>
POWER OF ATTORNEY
I, the undersigned trustee of Morgan Grenfell Investment Trust (the
"Trust"), a Delaware business trust, do hereby constitute and appoint Joan A.
Binstock and Tracie E. Richter, and each of them acting singly, to be my true,
sufficient and lawful attorneys, with full power to each of them and each of
them acting singly, to sign for me, in my name and the capacities indicated
below, the Registration Statement on Form N-14 of the Trust and any and all
amendments to said Registration Statement to be filed by the Trust under the
Investment Company Act of 1940, as amended, and under the Securities Act of
1933, as amended, with respect to the offering of its shares of beneficial
interest, and any and all other documents and papers relating thereto, and
generally to do all such things in my name and on behalf of me in the capacities
indicated to enable the Trust to comply with the Investment Company Act of 1940,
as amended, and the Securities Act of 1933, as amended, and thereunder, hereby
ratifying and confirming my signature as it may be signed by said attorneys or
each of them to any and all amendments to said Registration Statement.
IN WITNESS WHEREOF, I have hereunder set my hands on this 15th day of
July, 1999.
/s/ Paul K. Freeman
Paul K. Freeman
Trustee
<PAGE>
POWER OF ATTORNEY
I, the undersigned trustee of Morgan Grenfell Investment Trust (the
"Trust"), a Delaware business trust, do hereby constitute and appoint Joan A.
Binstock and Tracie E. Richter, and each of them acting singly, to be my true,
sufficient and lawful attorneys, with full power to each of them and each of
them acting singly, to sign for me, in my name and the capacities indicated
below, the Registration Statement on Form N-14 of the Trust and any and all
amendments to said Registration Statement to be filed by the Trust under the
Investment Company Act of 1940, as amended, and under the Securities Act of
1933, as amended, with respect to the offering of its shares of beneficial
interest, and any and all other documents and papers relating thereto, and
generally to do all such things in my name and on behalf of me in the capacities
indicated to enable the Trust to comply with the Investment Company Act of 1940,
as amended, and the Securities Act of 1933, as amended, and thereunder, hereby
ratifying and confirming my signature as it may be signed by said attorneys or
each of them to any and all amendments to said Registration Statement.
IN WITNESS WHEREOF, I have hereunder set my hands on this 15th day of
July, 1999.
/s/ Graham E. Jones
Graham E. Jones
Trustee
<PAGE>
POWER OF ATTORNEY
I, the undersigned trustee of Morgan Grenfell Investment Trust (the
"Trust"), a Delaware business trust, do hereby constitute and appoint Joan A.
Binstock and Tracie E. Richter, and each of them acting singly, to be my true,
sufficient and lawful attorneys, with full power to each of them and each of
them acting singly, to sign for me, in my name and the capacities indicated
below, the Registration Statement on Form N-14 of the Trust and any and all
amendments to said Registration Statement to be filed by the Trust under the
Investment Company Act of 1940, as amended, and under the Securities Act of
1933, as amended, with respect to the offering of its shares of beneficial
interest, and any and all other documents and papers relating thereto, and
generally to do all such things in my name and on behalf of me in the capacities
indicated to enable the Trust to comply with the Investment Company Act of 1940,
as amended, and the Securities Act of 1933, as amended, and thereunder, hereby
ratifying and confirming my signature as it may be signed by said attorneys or
each of them to any and all amendments to said Registration Statement.
IN WITNESS WHEREOF, I have hereunder set my hands on this 15th day of
July, 1999.
/s/ William N. Searcy
William N. Searcy
Trustee
<PAGE>
POWER OF ATTORNEY
I, the undersigned trustee of Morgan Grenfell Investment Trust (the
"Trust"), a Delaware business trust, do hereby constitute and appoint Joan A.
Binstock and Tracie E. Richter, and each of them acting singly, to be my true,
sufficient and lawful attorneys, with full power to each of them and each of
them acting singly, to sign for me, in my name and the capacities indicated
below, the Registration Statement on Form N-14 of the Trust and any and all
amendments to said Registration Statement to be filed by the Trust under the
Investment Company Act of 1940, as amended, and under the Securities Act of
1933, as amended, with respect to the offering of its shares of beneficial
interest, and any and all other documents and papers relating thereto, and
generally to do all such things in my name and on behalf of me in the capacities
indicated to enable the Trust to comply with the Investment Company Act of 1940,
as amended, and the Securities Act of 1933, as amended, and thereunder, hereby
ratifying and confirming my signature as it may be signed by said attorneys or
each of them to any and all amendments to said Registration Statement.
IN WITNESS WHEREOF, I have hereunder set my hands on this 15th day of
July, 1999.
/s/ Hugh G. Lynch
Hugh G. Lynch
Trustee
<PAGE>
POWER OF ATTORNEY
I, the undersigned trustee of Morgan Grenfell Investment Trust (the
"Trust"), a Delaware business trust, do hereby constitute and appoint Joan A.
Binstock and Tracie E. Richter, and each of them acting singly, to be my true,
sufficient and lawful attorneys, with full power to each of them and each of
them acting singly, to sign for me, in my name and the capacities indicated
below, the Registration Statement on Form N-14 of the Trust and any and all
amendments to said Registration Statement to be filed by the Trust under the
Investment Company Act of 1940, as amended, and under the Securities Act of
1933, as amended, with respect to the offering of its shares of beneficial
interest, and any and all other documents and papers relating thereto, and
generally to do all such things in my name and on behalf of me in the capacities
indicated to enable the Trust to comply with the Investment Company Act of 1940,
as amended, and the Securities Act of 1933, as amended, and thereunder, hereby
ratifying and confirming my signature as it may be signed by said attorneys or
each of them to any and all amendments to said Registration Statement.
IN WITNESS WHEREOF, I have hereunder set my hands on this 15th day of
July, 1999.
/s/ Edward T. Tokar
Edward T. Tokar
Trustee
