<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
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<TABLE>
<S> <C>
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
</TABLE>
<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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized Annualized Annualized
6 Months 1 Year 3 Year 5 Year Inception
Return Return Return Return to Date
<S> <C> <C> <C> <C> <C>
Municipal
Bond,
Institutional
Shares* 1.72% 5.42% 6.74% 7.05% 8.03%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL MUNICIPAL BOND FUND, INSTITUTIONAL SHARES, VERSUS THE LEHMAN BROTHERS
5-YEAR G.O. INDEX AND THE LIPPER INTERMEDIATE MUNICIPAL DEBT FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell Lehman 5 year Lipper Intermediate
Municipal Bond Fund, G.O. Index Municipal Debt Funds Index
Institutional Shares
<S> <C> <C> <C>
12/13/91 $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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
<S> <C> <C> <C>
Municipal Bond, Service
Shares* 1.60% 5.15% 5.29%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL MUNICIPAL BOND FUND, SERVICE SHARES, VERSUS THE LEHMAN BROTHERS 5-YEAR
G.O. INDEX AND THE LIPPER INTERMEDIATE MUNICIPAL DEBT FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL LIPPER INTERMEDIATE
MUNICIPAL BOND FUND, LEHMAN 5 YEAR MUNICIPAL DEBT
SERVICE SHARES G.O. INDEX FUNDS INDEX
<S> <C> <C> <C>
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
</TABLE>
*COMMENCED OPERATIONS ON JULY 30, 1997. PERFORMANCE BEGINS ON JULY 31, 1997 FOR
COMPARATIVE DATA.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
- - SHORT-TERM MUNICIPAL BOND FUND
The Morgan Grenfell Short-Term Municipal Bond Fund is a diversified
portfolio of federally tax-exempt municipal securities with a very short
duration. It is intended to provide investors with an attractive investment
alternative to lower-yield, tax-free money market funds. We 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>
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----------------------------------------------
SHORT-TERM MUNICIPAL BOND FUND, INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized Annualized
6 Months 1 Year 3 Year Inception
Return Return Return to Date
<S> <C> <C> <C> <C>
Short-Term
Municipal Bond,
Institutional
Shares* 1.70% 4.96% 5.86% 5.90%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL SHORT-TERM MUNICIPAL BOND FUND, INSTITUTIONAL SHARES, VERSUS THE IBC
FINANCIAL ALL TAX-FREE AVERAGE AND THE LIPPER SHORT-TERM MUNICIPAL DEBT FUND
INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell Short Term IBC Financial All Lipper Short Term
Municipal Bond Fund, Institutional Shares Tax-Free Average Municipal Debt Fund Index
<S> <C> <C> <C>
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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
<S> <C> <C> <C>
Short-Term Municipal
Bond, Service Shares* 1.47% 4.58% 4.48%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL SHORT-TERM MUNICIPAL BOND FUND, SERVICE SHARES, VERSUS THE IBC
FINANCIAL ALL TAX-FREE AVERAGE AND THE LIPPER SHORT-TERM MUNICIPAL DEBT FUND
INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell Short IBC Financial All Lipper Short
Term Municipal Bond Tax-Free Average Term Municipal
Fund, Service Shares Debt Fund Index
<S> <C> <C> <C>
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
</TABLE>
*COMMENCED OPERATIONS ON DECEMBER 3, 1997. PERFORMANCE BEGINS ON DECEMBER 31,
1997 FOR COMPARATIVE DATA.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
MARKET OUTLOOK
We believe 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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized Annualized Annualized
6 Months 1 Year 3 Year 5 Year Inception
Return Return Return Return to Date
<S> <C> <C> <C> <C> <C>
Fixed Income,
Institutional
Shares* 1.15% 5.96% 8.05% 8.08% 7.98%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL FIXED INCOME FUND, INSTITUTIONAL SHARES, VERSUS THE LEHMAN AGGREGATE
BOND INDEX AND THE LIPPER INTERMEDIATE INVESTMENT GRADE BOND FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Lipper Intermediate
Morgan Grenfell Lehman Investment
Fixed Income, Aggregate Grade Bond
Institutional Shares Bond Index Fund Index
<S> <C> <C> <C>
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
</TABLE>
*COMMENCED OPERATIONS ON SEPTEMBER 18, 1992.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
----------------------------------------------
FIXED INCOME FUND, SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
<S> <C> <C> <C>
Fixed Income, Service
Shares* 1.06% 5.73% 5.23%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL FIXED INCOME FUND, SERVICE SHARES, VERSUS THE LEHMAN AGGREGATE BOND
INDEX AND THE LIPPER INTERMEDIATE INVESTMENT GRADE BOND FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell Lehman Aggregate Lipper Intermediate
Fixed Income, Bond Index Investment Grade
Service Shares Bond Fund Index
<S> <C> <C> <C>
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
</TABLE>
*COMMENCED OPERATIONS ON FEBRUARY 11, 1998. PERFORMANCE BEGINS ON FEBRUARY 28,
1998 FOR COMPARATIVE DATA.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
- - 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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized Annualized
6 Months 1 Year 3 Year Inception
Return Return Return to Date
<S> <C> <C> <C> <C>
Short-Term Fixed
Income* 2.24% 6.44% 6.45% 6.25%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL SHORT-TERM FIXED INCOME FUND, INSTITUTIONAL SHARES, VERSUS THE MERRILL
LYNCH 6-MONTH TREASURY BILL INDEX AND THE LIPPER SHORT INVESTMENT GRADE DEBT
FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell Short Merrill Lynch 6 - Month Lipper Short Investment
Term Fixed Income Fund Treasury Bill Index Grade Debt Funds Index
<S> <C> <C> <C>
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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
<S> <C> <C> <C>
High Yield Bond,
Institutional Shares* 16.54% 6.04% 6.56%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL HIGH YIELD BOND FUND, INSTITUTIONAL SHARES, VERSUS THE CREDIT SUISSE
FIRST BOSTON HIGH YIELD INDEX AND THE LIPPER HIGH YIELD BOND FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell CSFB High Lipper High
High Yield Bond Fund, Yield Index Yield Bond
Institutional Shares Fund Index
<S> <C> <C> <C>
3/16/98 $250,000 $250,000 $250,000
4/98 $253,210 $251,674 $252,806
4/99 $268,494 $253,414 $255,360
</TABLE>
*COMMENCED OPERATIONS ON MARCH 16, 1998.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
----------------------------------------------
HIGH YIELD BOND FUND, SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
6 Months Inception
Return to Date
<S> <C> <C>
High Yield Bond, Service Shares* 16.23% 16.53%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL HIGH YIELD BOND FUND, SERVICE SHARES, VERSUS THE CREDIT SUISSE FIRST
BOSTON HIGH YIELD INDEX AND THE LIPPER HIGH YIELD BOND FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell Lipper High
High Yield Bond CSFB High Yield Bond
Fund, Service Shares Yield Index Fund Index
<S> <C> <C> <C>
9/15/98 $250,000 $250,000 $250,000
4/99 $291,330 $266,853 $272,949
</TABLE>
*COMMENCED OPERATIONS ON SEPTEMBER 15, 1998. PERFORMANCE BEGINS ON SEPTEMBER 30,
1998 FOR COMPARATIVE DATA.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized Annualized
6 Months 1 Year 3 Year Inception
Return Return Return to Date
<S> <C> <C> <C> <C>
Smaller
Companies,
Institutional
Shares* 18.33% -6.70% 8.21% 14.09%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL SMALLER COMPANIES FUND, INSTITUTIONAL SHARES, VERSUS THE S&P 600 SMALL
CAP INDEX AND THE LIPPER SMALL CAP FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell Smaller S&P 600 Small Lipper Small
Companies Fund, Cap Index Cap Funds
Institutional Shares Index
<S> <C> <C> <C>
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
</TABLE>
*COMMENCED OPERATIONS ON JUNE 30, 1995.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
----------------------------------------------
SMALLER COMPANIES FUND,
SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
<S> <C> <C> <C>
Smaller Companies,
Service Shares* 18.10% -7.02% 5.11%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL SMALLER COMPANIES FUND, SERVICE SHARES, VERSUS THE S&P 600 SMALL CAP
INDEX AND THE LIPPER SMALL CAP FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell Lipper Small
Smaller Companies S&P 600 Small Cap Funds
Fund, Service Shares Cap Index Index
<S> <C> <C> <C>
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
</TABLE>
*COMMENCED OPERATIONS ON JULY 11, 1997.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
- - MICROCAP FUND
The Morgan Grenfell Microcap Fund 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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
<S> <C> <C> <C>
Microcap, Institutional
Shares* 38.59% -1.72% 16.38%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL MICROCAP FUND, INSTITUTIONAL SHARES, VERSUS THE FRANK RUSSELL 2000
INDEX AND THE LIPPER MICROCAP FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell Russell Lipper Microcap
Microcap Fund, Institutional Shares 2000 Index Fund Index
<S> <C> <C> <C>
12/18/96 $250,000 $250,000 $250,000
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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
<S> <C> <C> <C>
Microcap, Service
Shares* 38.56% -1.79% 10.03%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL MICROCAP FUND, SERVICE SHARES, VERSUS THE FRANK RUSSELL 2000 INDEX AND
THE LIPPER MICROCAP FUND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell
Microcap Fund, Russell Lipper Microcap
Service Shares 2000 Index Fund Index
<S> <C> <C> <C>
8/21/97 $250,000 $250,000 $250,000
4/98 $299,225 $286,939 $282,712
4/99 $293,859 $260,397 $242,708
</TABLE>
*COMMENCED OPERATIONS ON AUGUST 21, 1997. PERFORMANCE BEGINS ON AUGUST 31, 1997
FOR COMPARATIVE DATA.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized Annualized
6 Months 1 Year 3 Year Inception
Return Return Return to Date
<S> <C> <C> <C> <C>
International
Select Equity 35.08% 27.35% 14.89% 17.44%
</TABLE>
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>
Morgan Grenfell Morgan Stanley
International Select Capital International Lipper International
Equity Fund EAFE Index Equity Funds Index
<S> <C> <C> <C>
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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
<S> <C> <C> <C>
European Equity Growth* 11.29% 2.34% 21.22%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL EUROPEAN EQUITY GROWTH FUND, INSTITUTIONAL SHARES, VERSUS THE MORGAN
STANLEY CAPITAL INTERNATIONAL 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 Europe Region Funds
Growth Fund Index Index
<S> <C> <C> <C>
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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized Annualized Annualized
6 Months 1 Year 3 Year 5 Year Inception
Return Return Return Return to Date
<S> <C> <C> <C> <C> <C>
International
Small Cap
Equity* 20.77% 11.81% 0.62% 1.45% 2.37%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL INTERNATIONAL SMALL CAP EQUITY FUND, INSTITUTIONAL SHARES, VERSUS THE
NATWEST MARKETS EURO/PACIFIC SMALL CAP INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell NatWest Markets
International Small Euro/Pacific
Cap Equity Fund Small Cap Index
<S> <C> <C>
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
</TABLE>
*COMMENCED OPERATIONS ON JANUARY 3, 1994.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
- - EUROPEAN SMALL CAP EQUITY FUND
European 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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized Annualized
6 Months 1 Year 3 Year Inception
Return Return Return to Date
<S> <C> <C> <C> <C>
European Small Cap
Equity* 11.17% 6.20% 6.77% 11.00%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL EUROPEAN SMALL CAP EQUITY FUND, INSTITUTIONAL SHARES, VERSUS THE
NATWEST MARKETS EUROPEAN SMALL CAP INDEX AND THE LIPPER EUROPEAN REGION FUNDS
INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell NatWest Markets Lipper European
European Small European Small Region
Cap Equity Fund Cap Index Funds Index
<S> <C> <C> <C>
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
</TABLE>
*COMMENCED OPERATIONS ON NOVEMBER 1, 1994. PERFORMANCE BEGINS ON OCTOBER 31,
1994 FOR COMPARATIVE DATA.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
- - EMERGING MARKETS EQUITY FUND
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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized Annualized Annualized
6 Months 1 Year 3 Year 5 Year Inception
Return Return Return Return to Date
<S> <C> <C> <C> <C> <C>
Emerging
Markets
Equity* 28.86% -19.75% -8.57% -3.60% -5.48%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL EMERGING MARKETS EQUITY FUND, INSTITUTIONAL SHARES, VERSUS THE MORGAN
STANLEY 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>
Morgan Grenfell Morgan Stanley
Emerging Markets Capital International Lipper Emerging Markets
Equity Fund Emerging Markets Free Index Equity Funds Index
<S> <C> <C> <C>
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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized Annualized Annualized
6 Months 1 Year 3 Year 5 Year Inception
Return Return Return Return to Date
<S> <C> <C> <C> <C> <C>
Global Fixed
Income* -3.31% 5.41% 5.35% 6.05% 5.37%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL GLOBAL FIXED INCOME FUND, INSTITUTIONAL SHARES, VERSUS THE SALOMON
WORLD GOVERNMENT BOND INDEX AND THE LIPPER GLOBAL INCOME FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell Salomon
Global Fixed World Government Lipper Global
Income Fund Bond Index Income Funds Index
<S> <C> <C> <C>
1/4/94 $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
</TABLE>
*COMMENCED OPERATIONS ON JANUARY 4, 1994. PERFORMANCE BEGINS ON JANUARY 31, 1994
FOR COMPARATIVE DATA.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
----------------------------------------------
CORE GLOBAL FIXED INCOME FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
6 Months Inception
Return to Date
<S> <C> <C>
Core Global Fixed Income* -3.16% 6.13%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL CORE GLOBAL FIXED INCOME FUND, INSTITUTIONAL SHARES, VERSUS THE SALOMON
WORLD GOVERNMENT BOND INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell Core Salomon World
Global Fixed Income Government Bond Index
<S> <C> <C>
5/4/98 $250,000 $250,000
4/99 $265,318 $269,893
</TABLE>
*COMMENCED OPERATIONS ON MAY 4, 1998. PERFORMANCE BEGINS MAY 31, 1998 FOR
COMPARATIVE PURPOSES.
NOTE: PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE,
AND SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
- - INTERNATIONAL FIXED INCOME 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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized Annualized Annualized
6 Months 1 Year 3 Year 5 Year Inception
Return Return Return Return to Date
<S> <C> <C> <C> <C> <C>
International
Fixed
Income* -3.62% 7.79% 4.84% 5.85% 5.64%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL INTERNATIONAL FIXED INCOME FUND, INSTITUTIONAL SHARES, VERSUS THE
SALOMON WORLD GOVERNMENT BOND INDEX, NON-U.S. AND THE LIPPER INTERNATIONAL
INCOME FUNDS INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell International Salomon World Government Lipper International
Fixed Income Bond Index - Non-US Income Funds Index
<S> <C> <C> <C>
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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized Annualized
6 Months 1 Year 3 Year Inception
Return Return Return to Date
<S> <C> <C> <C> <C>
Emerging Markets
Debt,
Institutional
Shares* 11.99% -28.44% 0.35% 5.63%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL EMERGING MARKETS DEBT FUND, INSTITUTIONAL SHARES, VERSUS THE J.P.
MORGAN EMERGING MARKETS BOND INDEX PLUS AND THE LIPPER EMERGING MARKETS DEBT
AVERAGE.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell JP Morgan
Emerging Markets Debt Fund, Emerging Markets Lipper Emerging
Institutional Shares Bond Index Plus Markets Debt Average
<S> <C> <C> <C>
8/4/94 $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
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
Annualized
6 Months 1 Year Inception
Return Return to Date
<S> <C> <C> <C>
Emerging Markets Debt,
Service Shares* 12.33% -28.40% -22.52%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $250,000 INVESTMENT IN THE MORGAN
GRENFELL EMERGING MARKETS DEBT FUND, SERVICE SHARES, VERSUS THE J.P. MORGAN
EMERGING MARKETS BOND INDEX PLUS AND THE LIPPER EMERGING MARKETS DEBT AVERAGE.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Morgan Grenfell
Emerging Markets JP Morgan Lipper
Debt Fund, Emerging Markets Emerging Markets
Service Shares Bond Index Plus Debt Average
<S> <C> <C> <C>
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
</TABLE>
*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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
28
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
<TABLE>
<S> <C>
(A) ZERO COUPON SECURITY
(B) MANDATORY PUT/TENDER SECURITY. THE MANDATORY PUT/TENDER DATE IS
SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(C) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF
INVESTMENTS IS THE RATE IN EFFECT AS OF 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
</TABLE>
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>
- -----------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- -----------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- -----------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- -----------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
<TABLE>
<S> <C>
(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
</TABLE>
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>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
Short-Term Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
<TABLE>
<S> <C>
(A) ZERO COUPON SECURITY
(B) MANDATORY PUT/TENDER SECURITY. THE MANDATORY PUT/TENDER DATE IS SHOWN AS
THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(C) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF INVESTMENTS
IS THE RATE IN EFFECT AS OF 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
</TABLE>
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS INDICATED IN THE SCHEDULE OF INVESTMENTS.
<TABLE>
<S> <C>
ACA AMERICAN CAPITAL ACCESS
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
ASSET GUARANTY ASSET GUARANTY
BIGI BOND INVESTORS GUARANTY INSURANCE
FGIC FINANCIAL GUARANTY INSURANCE COMPANY
FHA FEDERAL HOUSING ADMINISTRATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSURANCE
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HUD HOUSING & URBAN DEVELOPMENT
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
</TABLE>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
<TABLE>
<S> <C>
(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
</TABLE>
High Yield Bond Fund
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY
DESCRIPTION RATE DATE FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------------
TECHNOLOGY -- 4.32%
<S> <C> <C> <C> <C>
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
-------------
<CAPTION>
SHARES
------------
<S> <C> <C> <C> <C>
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>
<TABLE>
<S> <C>
(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.
</TABLE>
Smaller Companies Fund
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
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>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------------------------------$-
Golden State Bancorp, Inc.* 6,500 159,656
<S> <C> <C>
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
-----------
-----------
</TABLE>
* NON-INCOME PRODUCING SECURITY.
Microcap Fund
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
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>
- --------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
------------
<CAPTION>
- --------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
------------
------------
</TABLE>
* NON-INCOME PRODUCING SECURITY.
International Select Equity Fund
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
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>
- ------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
-----------
-----------
</TABLE>
* NON-INCOME PRODUCING SECURITY.
European Equity
Growth Fund
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
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>
- ---------------------------------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
------------
------------
</TABLE>
* NON-INCOME PRODUCING SECURITY
International Small Cap Equity Fund
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
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>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
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>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN PREFERRED STOCKS -- 1.3%
Boss (Hugo) 70 $ 99,465
Marschollek Lauten 380 212,769
------------
Total Foreign Preferred Stocks
(Cost $261,873) 312,234
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT(1)
-----------
<S> <C> <C>
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
------------
------------
</TABLE>
<TABLE>
<S> <C>
*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.
</TABLE>
European Small Cap
Equity Fund
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
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>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
-----------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
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 $28,331) 47,804
-----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
72
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------$-
Total Investments -- 94.4%
(Cost $2,135,876) 2,485,270
<S> <C> <C>
-----------
OTHER ASSETS AND LIABILITIES, NET -- 5.6% 147,468
-----------
Total Net Assets -- 100.0% $ 2,632,738
-----------
-----------
</TABLE>
<TABLE>
<S> <C>
* NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
</TABLE>
Emerging Markets Equity Fund
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
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%
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
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>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
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>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
------------
------------
</TABLE>
<TABLE>
<S> <C>
* NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
GDR GLOBAL DEPOSITORY RECEIPT
144A SECURITY EXEMPT FROM REGISTRATION UNDER 144A OF THE SECURITY ACT OF
1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS EXEMPT FROM
REGISTRATIONS, NORMALLY TO QUALIFIED INSTITUTIONAL BUYERS.
</TABLE>
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE VALUATION
COMMITTEE OF THE BOARD OF TRUSTEES.
Global Fixed Income Fund
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
GERMANY -- 8.5%
<S> <C> <C> <C> <C>
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>
<TABLE>
<S> <C>
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE FOREIGN CONTRACTS
WITH AN AGGREGATE MARKET VALUE OF $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
</TABLE>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- --------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
-------------
-------------
</TABLE>
<TABLE>
<S> <C>
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE FOREIGN CONTRACTS
WITH AN AGGREGATE MARKET VALUE OF $2,237,494.
(3) IN EURO
(4) IN JAPANESE YEN
</TABLE>
International Fixed Income Fund
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT(1) VALUE
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- ---------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT(1) VALUE
- ---------------------------------------------------------------------------------------------------------------
FRANCE -- 4.5%
<S> <C> <C> <C> <C>
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>
<TABLE>
<S> <C>
(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
</TABLE>
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>
- ---------------------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT/SHARES(1) VALUE
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
- ---------------------------------------------------------------------------------------------------------------------------
COUPON MATURITY FACE
DESCRIPTION RATE DATE AMOUNT/SHARES(1) VALUE
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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>
<TABLE>
<S> <C>
DCB DEBT CONVERTIBLE BOND
FLIRB FRONT LOADED INTEREST REDUCTION BOND
FRB FLOATING RATE BOND
FRN FLOATING RATE NOTE. THE RATE REFLECTED ON THE SCHEDULE OF INVESTMENTS IS
THE RATE IN EFFECT ON 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.
</TABLE>
81
<PAGE>
(THIS PAGE LEFT BLANK INTENTIONALLY.)
83
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
-------------- -------------- ------------ ------------ ------------ -----------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED HIGH YIELD SMALLER
BOND INCOME BOND INCOME BOND COMPANIES
FUND FUND FUND FUND FUND FUND
-------------- -------------- ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investment at Value(1) $ 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>
------------ -------------- ------------- ------------- ------------
INTERNATIONAL INTERNATIONAL EUROPEAN
SELECT EUROPEAN SMALL CAP SMALL CAP
MICROCAP EQUITY EQUITY GROWTH EQUITY EQUITY
FUND FUND FUND FUND FUND
------------ -------------- ------------- ------------- ------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investment at Value(1) $ 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
------------ -------------- ------------- ------------- ------------
------------ -------------- ------------- ------------- ------------
<CAPTION>
-------------- ------------ ------------ ------------- ------------
EMERGING GLOBAL CORE INTERNATIONAL EMERGING
MARKETS FIXED GLOBAL FIXED FIXED MARKETS
EQUITY INCOME INCOME INCOME DEBT
FUND FUND FUND FUND FUND
-------------- ------------ ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investment at Value(1) $ 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>
------------ ------------ ----------- ----------- ------------- ------------ ------------
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
------------ ------------ ----------- ----------- ------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
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>
-------------- ----------- ------------- ------------ ------------- -----------
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
-------------- ----------- ------------- ------------ ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
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)
-------------- ----------- ------------- ------------ ------------- -----------
-------------- ----------- ------------- ------------ ------------- -----------
<CAPTION>
------------- ------------- -------------
CORE INTERNATIONAL EMERGING
GLOBAL FIXED FIXED MARKETS
INCOME INCOME DEBT
FUND FUND FUND
------------- ------------- -------------
<S> <C> <C> <C>
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>
------------------------------ ---------------------------------
MUNICIPAL FIXED
BOND INCOME
FUND FUND
------------------------------ ---------------------------------
1999 1998 1999 1998
------------- -------------- --------------- ---------------
<S> <C> <C> <C> <C>
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
------------- -------------- --------------- ---------------
------------- -------------- --------------- ---------------
<CAPTION>
---------------------------- ----------------------------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED
BOND INCOME
FUND FUND
---------------------------- ----------------------------
1999 1998 1999 1998
------------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
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>
---------------------------- --------------------------
HIGH
YIELD SMALLER
BOND COMPANIES
FUND (1) FUND
---------------------------- --------------------------
1999 1998 1999 1998
------------- ------------- ------------ ------------
<S> <C> <C> <C> <C>
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
------------- ------------- ------------ ------------
------------- ------------- ------------ ------------
<CAPTION>
-------------------------- ------------------------
INTERNATIONAL
SELECT
MICROCAP EQUITY
FUND FUND
-------------------------- ------------------------
1999 1998 1999 1998
------------ ------------ ----------- -----------
<S> <C> <C> <C> <C>
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>
--------------------------- ----------------------------
EUROPEAN INTERNATIONAL
EQUITY SMALL CAP
GROWTH EQUITY
FUND FUND
--------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
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 -- -- -- --
------------ ------------ ------------ -------------
------------ ------------ ------------ -------------
<CAPTION>
--------------------------- ----------------------------
EUROPEAN EMERGING
SMALL CAP MARKETS
EQUITY EQUITY
FUND FUND
--------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------- ------------
<S> <C> <C> <C> <C>
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>
--------------------------- --------------------------
GLOBAL CORE
FIXED GLOBAL FIXED
INCOME INCOME
FUND FUND (1)
--------------------------- --------------------------
1999 1998 1999 1998
------------ ------------- ------------ ------------
<S> <C> <C> <C> <C>
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 -- -- -- --
------------ ------------- ------------ ------------
------------ ------------- ------------ ------------
<CAPTION>
-------------------------- -----------------------------
INTERNATIONAL EMERGING
FIXED MARKETS
INCOME DEBT
FUND FUND
-------------------------- -----------------------------
1999 1998 1999 1998
------------ ------------ ------------- --------------
<S> <C> <C> <C> <C>
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>
NET
NET ASSET NET REALIZED DISTRIBUTIONS
VALUE INVESTMENT AND FROM NET DISTRIBUTIONS NET ASSET
BEGINNING INCOME/ UNREALIZED INVESTMENT FROM REALIZED VALUE END TOTAL
OF PERIOD (LOSS) GAINS (LOSSES) INCOME CAPITAL GAINS OF PERIOD RETURN
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------
MUNICIPAL BOND FUND:
- -----------------------
Institutional Shares
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+
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
NET TO AVERAGE TO AVERAGE NET
RATIO OF INVESTMENT NET ASSETS ASSETS
NET ASSETS EXPENSES INCOME/(LOSS) (EXCLUDING (EXCLUDING PORTFOLIO
END OF TO AVERAGE TO AVERAGE EXPENSE EXPENSE TURNOVER
PERIOD (000) NET ASSETS NET ASSETS LIMITATIONS) LIMITATIONS) RATE
- -------------------------------- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- -----------------------
MUNICIPAL BOND FUND:
- -----------------------
Institutional Shares
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>
NET
NET ASSET NET REALIZED DISTRIBUTIONS
VALUE INVESTMENT AND FROM NET DISTRIBUTIONS NET ASSET
BEGINNING INCOME/ UNREALIZED INVESTMENT FROM REALIZED VALUE END TOTAL
OF PERIOD (LOSS) GAINS (LOSSES) INCOME CAPITAL GAINS OF PERIOD RETURN
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------
INTERNATIONAL 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)+
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
NET TO AVERAGE TO AVERAGE NET
RATIO OF INVESTMENT NET ASSETS ASSETS
NET ASSETS EXPENSES INCOME/(LOSS) (EXCLUDING (EXCLUDING PORTFOLIO
END OF TO AVERAGE TO AVERAGE EXPENSE EXPENSE TURNOVER
PERIOD (000) NET ASSETS NET ASSETS LIMITATIONS) LIMITATIONS) RATE
- ----------------------------------- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------
INTERNATIONAL 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:
<TABLE>
<CAPTION>
INSTITUTIONAL SERVICE
SHARES SHARES
--------------- -------------
<S> <C> <C>
Municipal Bond Fund 0.55% 0.80%
Fixed Income Fund 0.55% 0.80%
Short-Term Municipal Bond Fund 0.55% 0.80%
Short-Term Fixed Income Fund 0.55% 0.80%
High Yield Bond Fund 0.65% 0.90%
Smaller Companies Fund 1.25% 1.50%
Microcap Fund 1.49% 1.74%
International 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%
</TABLE>
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:
<TABLE>
<CAPTION>
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- -------------------- ------------ --------------
<S> <C> <C> <C>
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
<CAPTION>
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- -------------------- ------------ --------------
<S> <C> <C> <C>
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
--------------
--------------
</TABLE>
98
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- -------------------- ------------ --------------
<S> <C> <C> <C>
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
--------------
</TABLE>
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:
<TABLE>
<CAPTION>
PURCHASES SALES
-------------- --------------
<S> <C> <C>
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
</TABLE>
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:
<TABLE>
<CAPTION>
FUND PURCHASES SALES
- --------------------------------- -------------- --------------
<S> <C> <C>
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
</TABLE>
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:
<TABLE>
<CAPTION>
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
----------- ----------- -----------
Municipal Bond
Fund 1$4,050,585 ($1,409,389) 12,641,196
<S> <C> <C> <C>
Fixed Income Fund 14,928,516 (8,821,593) 6,106,923
</TABLE>
99
<PAGE>
NOTES TO FINANCIAL STATEMENTS (concluded)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
----------- ----------- -----------
<S> <C> <C> <C>
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)
</TABLE>
At October 31, 1998 the following Funds had available realized capital losses to
offset future net capital gains:
<TABLE>
<CAPTION>
EXPIRATION
DATE
-----------------
<S> <C> <C>
Short-Term Municipal Bond Fund $ 81,796 10/31/2005-2006
High Yield Bond Fund 3,828,196 10/31/2006
Smaller Companies Fund 77,665 10/31/2006
Microcap Fund 1,288,735 10/31/2006
International Small Cap Equity
Fund 3,907,438 10/31/2005
Emerging Markets Equity Fund 19,039,901 10/31/2006
Emerging Markets Debt Fund 58,257,758 10/31/2006
</TABLE>
During the year ended October 31, 1998, Short-Term Fixed Income Fund and
International Small Cap Equity Fund utilized $10,733 and $2,954,781 of available
realized capital losses from prior 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>
------------- ------------- ------------- -------------
NEW JAPANESE
TOTAL GLOBAL ASIA SMALL CAP
RETURN BOND EQUITY EQUITY EQUITY
FUND FUND FUND FUND
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS:
Cash $1,000 $1,000 $1,000 $1,000
------------- ------------- ------------- -------------
Total assets 1,000 1,000 1,000 1,000
------------- ------------- ------------- -------------
LIABILITIES: - - - -
------------- ------------- ------------- -------------
NET ASSETS: $1,000 $1,000 $1,000 $1,000
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
Shares of beneficial interest issued
and outstanding (unlimited authorization-
based on $0.001 par value) 100 100 100 100
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE $10.00 $10.00 $10.00 $10.00
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
THE FUNDS HAVE NOT COMMENCED OPERATIONS AS OF 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:
<TABLE>
<CAPTION>
Annual
Fund Fees
---- ------
<S> <C>
Total Return Bond Fund 0.12%
Global Equity Fund 0.30%
New Asia Equity Fund 0.30%
Japanese Small Cap Equity Fund 0.30%
</TABLE>
The Administrator generally assists in all matters relating to the
administration of the Funds, including the coordination and monitoring of any
third parties furnishing services to the Funds, preparation and maintenance of
financial accounting records, and the provision of necessary office space,
equipment and personnel to perform administrative and clerical functions. The
Administrator is also responsible for engaging an accounting agent, custodian
and transfer agent for the Trust's operations. Fees for services rendered by the
accounting agent and the transfer agent are paid by the Administrator and not
the Fund.
Under the advisory agreements with the Trust, Morgan Grenfell Inc. serves as
the Adviser for the Domestic Funds and Morgan Grenfell Investment Services
Limited serves as the Adviser for the International Funds. For these
services, the Advisers are entitled to a monthly fee at an annual rate of each
Fund's average daily net assets as follows:
<TABLE>
<CAPTION>
<S> <C>
Total Return Bond Fund 0.45%
Global Equity Fund 0.70%
New Asia Equity Fund 0.70%
Japanese Small Cap Equity Fund 1.00%
</TABLE>
<PAGE>
MORGAN GRENFELL INVESTMENT TRUST -- 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:
<TABLE>
<CAPTION>
<S> <C>
Total Return Bond Fund 0.60%
Global Equity Fund 0.90%
New Asia Equity Fund 0.90%
Japanese Small Cap Equity Fund 1.25%
</TABLE>
Certain officers and/or Trustees of the Trust are affiliated with the
Administrator or Advisers.
SEI Investments Distribution Co. (the "Distributor") serves as the
distributor of shares of the Funds pursuant to a distribution agreement with
the Trust and assists in the sale of shares of the Funds. The Adviser, and
not the Trust, is responsible for payment of any expenses or fees incurred in
the marketing and distribution of shares of the Trust.
