<PAGE> 1
[AMERICAN AADVANTAGE LOGO]
- Platinum Class(sm) -
P.O. Box 619003
Dallas/Fort Worth Airport, Texas
75261-9003
(800) 967-9009
- Mileage Class(R) -
P.O. Box 4580
Chicago, Illinois 60680-4580
(800) 388-3344
BALANCED MILEAGE FUND
GROWTH AND INCOME MILEAGE FUND
INTERNATIONAL EQUITY MILEAGE FUND
LIMITED-TERM INCOME MILEAGE FUND
MONEY MARKET MILEAGE FUND
MUNICIPAL MONEY MARKET
MILEAGE FUND
U.S. GOVERNMENT MONEY MARKET
MILEAGE FUND
MANAGED BY
AMR INVESTMENT SERVICES, INC.
[AMERICAN AADVANTAGE LOGO]
--------------------
[AMERICAN AADVANTAGE LOGO]
--------------------
<PAGE> 2
Dear Fellow Shareholder:
We are pleased to report to you on the performance of the American
AAdvantage Mileage Funds and provide you with a copy of the Semi-Annual Report
for the six months ended April 30, 1997. We also would like to announce that the
American AAdvantage Money Market Mileage Fund, U.S. Government Money Market
Mileage Fund, and the Municipal Money Market Mileage Fund have all received
'AAA', 'V-1+' ratings by Fitch Investors Service as of April 10, 1997.
Balanced Mileage Fund
The Balanced Mileage Fund's total return for the six months ending April
30, 1997 was 5.95%. This return lagged the Lipper Balanced Index total return of
6.95%.
The Fund modestly reduced its holdings in stocks from 57% at October 31,
1996 to 55% at April 30, 1997, as interest rates rose during the period and bond
yields became more attractive. The bond segment's 1.33% return closely tracked
the Lehman Corp/Govt Index return of 1.30%. Meanwhile, the stock market marched
to new highs until a caution flag in the form of a market reversal in March and
April passed. By the end of April, the market had regained its momentum.
A small number of large cap stocks, particularly technology and consumer
related stocks, dominated the S&P 500 Index return. The Fund's value investment
style of purchasing stocks with lower than market price-to-earnings ratios and
higher than market growth rates resulted in stock selection much different than
that of the top performers in the S&P 500 Index. As a result, the Fund's stock
segment returned 10.42% for the six month period versus the S&P 500 Index return
of 14.65%. The Fund modestly underweighted the consumer staples and technology
sectors which were the two top performers in the S&P 500 Index. On the other
hand, the Fund overweighted the financial sector which positively contributed to
performance. Banks continue to provide positive earnings growth given cost
savings resulting from industry consolidation. The Fund further benefited from
superior stock selection in the healthcare sector which has rebounded. The Fund
also overweighted energy stocks which continued to perform well despite the
downturn in oil and gas prices over the period. The Fund's performance was
penalized by the decision to overweight utilities as the electric utilities are
suffering due to deregulation and uncertainties surrounding nuclear plant
exposure.
Growth and Income Mileage Fund
The Growth and Income Mileage Fund's total return for the six months ending
April 30, 1997 was 9.10%. This return fell behind the Lipper Growth and Income
Index total return average of 11.13%.
Since the Fund utilizes the same investment managers and the same approach
to stock selection as the Balanced Fund, it also benefited from overweighted
positions in financial and energy stocks but suffered from overweighting in
utilities.
International Equity Mileage Fund
The International Equity Mileage Fund continued to post strong results on
an absolute and relative basis for the six months ended April 30, 1997. The
Fund's total return for the six month period was 9.26% compared to an 8.75%
return for the Lipper International Index.
Relative to the EAFE Index (the Morgan Stanley Capital International
Europe, Australia and Far East Index), which returned 1.72% for the six month
period, the Fund added value through both good country and stock selection.
<PAGE> 3
In Europe, returns were strong, primarily in Germany and the German block
of countries, as investors reacted positively to the view that European Monetary
Union (EMU) would likely happen. Returns for US based investors were tempered
somewhat due to a strengthening US dollar versus most of the major European
currencies. EMU admittance guidelines handcuffed fiscal policy in most countries
and necessitated the need for low interest rates to combat sluggish growth.
Despite the strengthening US dollar, the Fund added value in Europe through both
stock selection and country weighting. The Fund continues to underweight the two
largest European countries (the United Kingdom and Germany), while overweighting
the smaller markets. Over the past six months, successful overweightings of the
Dutch, Finnish, Norwegian and Spanish markets, combined with positive stock
selection in Italy and the Netherlands, positively impacted the Fund's returns.
The underweighting of the Japanese market added the most value relative to
the EAFE index. Japan's return of a negative 13.1% for the six months ended
April 30 ranked it last among the 20 markets that comprise the EAFE Index. While
economic growth grew at close to 3% during the most recent quarter, it was
concentrated primarily in the export sector as the Japanese Yen continued to
weaken. Market participants shrugged off the stronger economic figures and
focused on the continued banking crisis, the slow pace of deregulation and the
effect an increase in the consumption tax would have on an already weak
consumer. Due to its poor returns, Japan's average weight in the Index fell to
just over 32%; however, the Fund's average weighting for Japanese stocks was
just over 13% for the period. In addition, the Japanese stocks held by the Fund
were concentrated in export companies which also contributed significantly to
the Fund's outperformance.
The outlook for Japan remains cautious. Despite the poor performance in the
Japanese market, valuation levels for stocks remain high relative to other parts
of the world. As a result, the Fund's weightings in Japan continue to be
significantly below the EAFE Index weighting.
Limited-Term Income Mileage Fund
For the six months ended April 30, 1997, the total return of the
Limited-Term Income Mileage Fund was 2.16%, slightly underperforming the Lipper
Short-Term Investment Grade Debt Average of 2.19% for the six months.
This six month period was characterized by a moderate rise in interest
rates. The two year Treasury note's yield increased by approximately 50 basis
points, in response to a strengthening economy in the fourth quarter of 1996 and
the first quarter of 1997. The Federal Reserve acted to raise rates 25 basis
points on March 25, 1997, to preempt the potential inflationary impact of a
persistently strong economy with labor cost pressures building. In this period,
the duration of the Fund was largely neutral or short to that of its benchmark.
On April 30, the portfolio's weighted average duration was 1.5 years.
The Fund successfully managed its duration during these six months,
shortening in response to a strengthening economy. This contributed to achieving
superior performance relative to our benchmark. The Fund also realized
significant incremental income in many of the sectors the Fund invests in,
particularly mortgage-backed securities.
Money Market Mileage Fund
For the six months ended April 30, 1997, the Mileage Class of the American
AAdvantage Money Market Mileage Fund was ranked in the top quartile out of 304
funds ranked in the Lipper Money Market Instrument Funds' Average with an
annualized total return of 4.98%. The Platinum Class underperformed this
benchmark.
2
<PAGE> 4
The economy experienced GDP growth in the fourth quarter of 1996 and the
first quarter of 1997 of 3.8% and 5.6%, respectively. This rapid growth, coupled
with lower than expected inflation throughout 1996 and into the beginning of
1997, caused the Federal Reserve to struggle with the concept of a very healthy
economy with little evidence to date of accelerating inflation. Consequently,
the weighted average maturity of the portfolio was maintained at or near a
neutral posture. At the FOMC meeting on March 25, the Federal Reserve chose to
raise the Fed Funds rate 25 basis points in order to preemptively guard against
an acceleration of inflation. On March 25, the Fund's weighted average maturity
was 30 days.
One of the factors contributing to the Fund's superior performance during
this period was the decision to invest primarily in variable rate obligations
indexed to the London Interbank Offering Rate that reset on a quarterly basis
with final maturities of 397 days or less.
Municipal Money Market Mileage Fund
For the six months ended April 30, 1997, the American AAdvantage Municipal
Money Market Mileage Fund achieved an annualized total return of 3.02%, and was
ranked in the top quartile out of 139 funds ranked in the Lipper Tax-Exempt
Money Market Funds' Average. Since its inception, the Fund has invested
exclusively in high credit worthy municipal issuers that have been further
credit enhanced by either a bank letter of credit or bond insurance.
U.S. Government Money Market Mileage Fund
Effective March 1, 1997, the American AAdvantage U.S. Treasury Money Market
Mileage Fund changed its investment policies and name and became the American
AAdvantage U.S. Government Money Market Mileage Fund.
For the six months ended April 30, 1997, The American AAdvantage U.S.
Government Money Market Mileage Fund had an annualized total return for the
period of 4.86% and was ranked the 18th best performing fund in its Lipper
universe of 101 U.S. Government Funds.
As always, we appreciate your confidence and support and we will continue
to strive to provide you with above average returns.
Sincerely,
/s/ WILLIAM F. QUINN
William F. Quinn
President
American AAdvantage Mileage Funds
3
<PAGE> 5
RESULTS OF SHAREHOLDER MEETINGS:
A special meeting of shareholders of the American AAdvantage Mileage Funds
(the "Funds") was held on December 16, 1996. The meeting of the American
AAdvantage Limited-Term Income Mileage Fund and the American AAdvantage U.S.
Government Money Market Mileage Fund was adjourned until February 14, 1997. The
following matters were voted on at the meeting held on December 16, 1996.
(1) The shareholders of the Funds voted to elect the Board of Trustees
of the Funds.
<TABLE>
<CAPTION>
NON-
FOR AGAINST ABSTAIN VOTING
--- --------- ------- ------
<S> <C> <C> <C> <C>
Alan Feld............................................. 77,892,128 0 3,662,511 80,747,073
Ben Fortson........................................... 77,909,978 0 3,644,661 80,747,073
John Justin........................................... 75,516,206 0 6,038,433 80,747,073
Stephen O'Sullivan.................................... 77,909,361 0 3,645,278 80,747,073
William Quinn......................................... 77,945,750 0 3,608,889 80,747,073
Roger Staubach........................................ 75,728,379 0 5,826,259 80,747,073
Kneeland Youngblood, M.D.............................. 77,774,952 0 3,779,686 80,747,073
</TABLE>
(2) The shareholders of the Funds approved a Supplement to the Management
Agreement of the Funds relating to securities lending activities.
<TABLE>
<CAPTION>
NON-
AMERICAN AADVANTAGE: FOR AGAINST ABSTAIN VOTING
-------------------- --- --------- ------- ------
<S> <C> <C> <C> <C>
Balanced Mileage Fund................................. 73,104 11,432 1,346 70,004
Growth and Income Mileage Fund........................ 128,848 25,318 18,450 149,581
International Equity Mileage Fund..................... 87,933 11,524 14,551 107,181
Money Market Mileage Fund............................. 51,626,741 7,789,434 2,413,912 60,309,046
Municipal Money Market Mileage Fund................... 13,239,671 1,330,875 161,369 13,993,460
</TABLE>
(3) The shareholders of the American AAdvantage Money Market Mileage Fund
(the "Money Market Mileage Fund") approved the elimination of the
fundamental investment restriction of the Money Market Mileage Fund to
invest in other investment companies.
<TABLE>
<CAPTION>
NON-
AMERICAN AADVANTAGE: FOR AGAINST ABSTAIN VOTING
-------------------- --- --------- ------- ------
<S> <C> <C> <C> <C>
Money Market Mileage Fund............................. 53,417,298 6,695,656 1,717,134 60,309,044
</TABLE>
A special meeting of shareholders of the American AAdvantage Limited-Term
Income Mileage Fund and the American AAdvantage U.S. Government Money
Market Mileage Fund (the "Funds") was held on February 14, 1997. The
following matter was voted on at the meeting.
(1) The shareholders of the Funds approved a Supplement to the
Management Agreement of the Funds relating to securities lending
activities.
<TABLE>
<CAPTION>
NON-
AMERICAN AADVANTAGE: FOR AGAINST ABSTAIN VOTING
-------------------- --- --------- ------- ------
<S> <C> <C> <C> <C>
Limited-Term Income Mileage Fund...................... 89,392 5,174 0 25,804
U.S. Government Money Market Mileage Fund............. 4,753,172 926,058 34,875 4,903,458
</TABLE>
4
<PAGE> 6
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
-------- ---------- ------------- ------------
(in thousands, except share and per share amounts)
<S> <C> <C> <C> <C>
ASSETS:
Investment in Portfolio, at value....................... $ 2,952 $ 7,735 $ 4,085 $ 1,008
Receivable for fund shares sold......................... - 25 - -
Receivable for expense reimbursement (Note 2)........... 12 5 2 7
Deferred organization costs............................. 7 7 7 7
-------- -------- -------- --------
TOTAL ASSETS........................................ 2,971 7,772 4,094 1,022
-------- -------- -------- --------
LIABILITIES:
Payable for fund shares redeemed........................ 17 - - 14
Accrued organization costs.............................. 9 9 9 9
Management fees payable (Note 2)........................ 2 6 3 1
Other liabilities....................................... 6 13 6 1
-------- -------- -------- --------
TOTAL LIABILITIES................................... 34 28 18 25
-------- -------- -------- --------
NET ASSETS.................................................. $ 2,937 $ 7,744 $ 4,076 $ 997
======== ======== ======== ========
ANALYSIS OF NET ASSETS:
Paid-in-capital......................................... 2,661 6,600 3,545 1,040
Accumulated undistributed investment income............. 31 41 14 -
Accumulated net realized gain (loss).................... 237 619 66 (26)
Unrealized appreciation (depreciation) of investments... 8 484 451 (17)
-------- -------- -------- --------
NET ASSETS.................................................. $ 2,937 $ 7,744 $ 4,076 $ 997
======== ======== ======== ========
Shares outstanding (no par value)........................... 180,905 381,820 250,005 104,227
======== ======== ======== ========
Net asset value, offering and redemption price per share.... $ 16.24 $ 20.28 $ 16.30 $ 9.56
======== ======== ======== ========
</TABLE>
See accompanying notes
5
<PAGE> 7
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Money Municipal U.S. Government
Market Money Market Money Market
-------- ------------ ---------------
(in thousands, except share
and per share amounts)
<S> <C> <C> <C>
ASSETS:
Investment in Portfolio, at value....................... $132,361 $ 27,137 $ 12,236
Receivable for expense reimbursement (Note 2)........... 69 21 7
Deferred organization costs............................. 7 7 7
-------- ----------- -----------
TOTAL ASSETS........................................ 132,437 27,165 12,250
-------- ----------- -----------
LIABILITIES:
Accrued organization costs.............................. 9 9 9
Dividends payable....................................... 398 71 48
Management and administrative services fees payable
(Note 2).............................................. 43 5 2
Other liabilities....................................... 276 61 18
-------- ----------- -----------
TOTAL LIABILITIES................................... 726 146 77
-------- ----------- -----------
NET ASSETS.................................................. $131,711 $ 27,019 $ 12,173
======== =========== ===========
ANALYSIS OF NET ASSETS:
Paid-in-capital......................................... 131,711 27,019 12,173
-------- ----------- -----------
NET ASSETS.................................................. $131,711 $ 27,019 $ 12,173
======== =========== ===========
Shares outstanding (no par value)........................... N/A 27,018,693 12,172,616
=========== ===========
Net asset value, offering and redemption price per share.... $ 1.00 $ 1.00
=========== ===========
MILEAGE CLASS:
Net asset value, offering and redemption price per share
(109,891,295 shares outstanding)...................... $ 1.00 N/A N/A
========
PLATINUM CLASS:
Net asset value, offering and redemption price per share
(21,819,740 shares outstanding)....................... $ 1.00 N/A N/A
========
</TABLE>
See accompanying notes
6
<PAGE> 8
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF OPERATIONS
Six Months Ended April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Municipal Government
Growth and International Limited-Term Money Money Money
Balanced Income Equity Income Market Market Market
-------- ---------- ------------- ------------ ------ --------- ----------
(in thousands)
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM
PORTFOLIO:
Interest income..................... $ 39 $ 6 $ 9 $ 36 $3,409 $506 $306
Dividend income (net of foreign
taxes of $6 in International
Equity Fund)...................... 23 98 42 - - - -
Income derived from securities
lending, net...................... - - 1 - - - -
Portfolio expenses (net of
reimbursement of $2 for the
Municipal Money Market Fund)...... (5) (12) (11) (1) (101) (22) (10)
---- ---- ---- ---- ------ ---- ----
NET INVESTMENT INCOME ALLOCATED
FROM PORTFOLIO................ 57 92 41 35 3,308 484 296
---- ---- ---- ---- ------ ---- ----
FUND EXPENSES:
Management fees (Note 2)............ 3 9 5 1 30 7 3
Administrative service
fees - Platinum Class (Note 2).... - - - - 45 - -
Transfer agent fees................. 2 6 2 - - 18 6
Transfer agent fees - Mileage
Class............................. - - - - 76 - -
Professional fees................... 3 4 1 - 30 2 1
Registration fees and expenses...... 10 10 9 10 45 14 11
Distribution fees................... 3 9 5 1 - 35 14
Distribution fees - Mileage Class... - - - - 132 - -
Distribution fees - Platinum
Class............................. - - - - 20 - -
Other expenses...................... 2 1 1 2 19 5 3
---- ---- ---- ---- ------ ---- ----
TOTAL FUND EXPENSES............. 23 39 23 14 397 81 38
---- ---- ---- ---- ------ ---- ----
Less reimbursement of expenses
(Note 2)...................... 14 16 7 11 57 13 13
---- ---- ---- ---- ------ ---- ----
NET FUND EXPENSES............... 9 23 16 3 340 68 25
---- ---- ---- ---- ------ ---- ----
NET INVESTMENT INCOME................... 48 69 25 32 2,968 416 271
---- ---- ---- ---- ------ ---- ----
REALIZED AND UNREALIZED GAIN (LOSS)
ALLOCATED FROM PORTFOLIO:
Net realized gain (loss) on
investments and foreign currency
transactions...................... 118 402 39 (4) 2 - 1
Change in net unrealized
appreciation or depreciation of
investments and foreign currency
translations...................... (19) 144 257 (6) - - -
---- ---- ---- ---- ------ ---- ----
NET GAIN (LOSS) ON
INVESTMENTS................... 99 546 296 (10) 2 - 1
---- ---- ---- ---- ------ ---- ----
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS....................... $147 $615 $321 $ 22 $2,970 $416 $272
==== ==== ==== ==== ====== ==== ====
</TABLE>
See accompanying notes
7
<PAGE> 9
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Balanced Growth and Income International Equity
---------------------------- ---------------------------- ----------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
April 30, 1997 October 31, April 30, 1997 October 31, April 30, 1997 October 31,
(Unaudited) 1996 (Unaudited) 1996 (Unaudited) 1996
-------------- ----------- -------------- ----------- -------------- -----------
(in thousands)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income.......... $ 48 $ 68 $ 69 $ 99 $ 25 $ 37
Net realized gain (loss) on
investments and foreign
currency transactions........ 118 154 402 371 39 79
Change in net unrealized
appreciation or depreciation
of investments and foreign
currency translations........ (19) 27 144 340 257 194
------ ------ ------ ------ ------ ------
NET INCREASE IN NET ASSETS
RESULTING FROM
OPERATIONS................ 147 249 615 810 321 310
------ ------ ------ ------ ------ ------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income.......... (77) (8) (112) (15) (40) (8)
Net realized gain on
investments.................. (35) - (154) - (52) -
------ ------ ------ ------ ------ ------
NET DISTRIBUTIONS TO
SHAREHOLDERS.............. (112) (8) (266) (15) (92) (8)
------ ------ ------ ------ ------ ------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of
shares....................... 493 2,652 4,431 8,945 1,054 3,953
Reinvestment of dividends and
distributions................ 107 8 252 14 84 7
Cost of shares redeemed........ (193) (407) (3,522) (3,521) (678) (876)
------ ------ ------ ------ ------ ------
NET INCREASE (DECREASE) IN
NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS........ 407 2,253 1,161 5,438 460 3,084
------ ------ ------ ------ ------ ------
NET INCREASE (DECREASE) IN NET
ASSETS........................... 442 2,494 1,510 6,233 689 3,386
NET ASSETS:
Beginning of period............ 2,495 1 6,234 1 3,387 1
------ ------ ------ ------ ------ ------
END OF PERIOD*................. $2,937 $2,495 $7,744 $6,234 $4,076 $3,387
====== ====== ====== ====== ====== ======
*Includes undistributed net
investment income of......... $ 31 $ 60 $ 41 $ 84 $ 14 $ 29
====== ====== ====== ====== ====== ======
<CAPTION>
Limited-Term Income
----------------------------
Six Months
Ended Year Ended
April 30, 1997 October 31,
(Unaudited) 1996
-------------- -----------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income.......... $ 32 $ 75
Net realized gain (loss) on
investments and foreign
currency transactions........ (4) (22)
Change in net unrealized
appreciation or depreciation
of investments and foreign
currency translations........ (6) (11)
------ ------
NET INCREASE IN NET ASSETS
RESULTING FROM
OPERATIONS................ 22 42
------ ------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income.......... (32) (75)
Net realized gain on
investments.................. - -
------ ------
NET DISTRIBUTIONS TO
SHAREHOLDERS.............. (32) (75)
------ ------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of
shares....................... 130 1,752
Reinvestment of dividends and
distributions................ 32 64
Cost of shares redeemed........ (323) (616)
------ ------
NET INCREASE (DECREASE) IN
NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS........ (161) 1,200
------ ------
NET INCREASE (DECREASE) IN NET
ASSETS........................... (171) 1,167
NET ASSETS:
Beginning of period............ 1,168 1
------ ------
END OF PERIOD*................. $ 997 $1,168
====== ======
*Includes undistributed net
investment income of......... $ - $ -
====== ======
</TABLE>
See accompanying notes
8
<PAGE> 10
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government
Money Market Municipal Money Market Money Market
------------------------------ ------------------------------ ------------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
April 30, October 31, April 30, October 31, April 30, October 31,
1997 (Unaudited) 1996 1997 (Unaudited) 1996 1997 (Unaudited) 1996
---------------- ----------- ---------------- ----------- ---------------- -----------
(in thousands)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income....... $ 2,968 $ 5,447 $ 416 $ 729 $ 271 $ 403
Net realized gain on
investments............... 2 4 - - 1 3
-------- --------- -------- -------- ------- -------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 2,970 5,451 416 729 272 406
-------- --------- -------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income....... - - (416) (729) (271) (403)
Net investment
income - Mileage Class.... (2,602) (5,054) - - - -
Net investment
income - Platinum Class... (366) (393) - - - -
Net realized gain on
investments............... - - - - (1) (3)
Net realized gain on
investments - Mileage
Class..................... (2) (4) - - - -
-------- --------- -------- -------- ------- -------
NET DISTRIBUTIONS TO
SHAREHOLDERS........... (2,970) (5,451) (416) (729) (272) (406)
-------- --------- -------- -------- ------- -------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of
shares.................... 66,932 240,656 9,970 47,645 7,393 16,949
Reinvestment of dividends
and
distributions............. 2,833 4,724 409 638 255 347
Cost of shares redeemed..... (60,192) (123,336) (12,086) (19,558) (6,113) (6,659)
-------- --------- -------- -------- ------- -------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
CAPITAL SHARE
TRANSACTIONS........... 9,573 122,044 (1,707) 28,725 1,535 10,637
-------- --------- -------- -------- ------- -------
NET INCREASE (DECREASE) IN NET
ASSETS........................ 9,573 122,044 (1,707) 28,725 1,535 10,637
NET ASSETS:
Beginning of period......... 122,138 94 28,726 1 10,638 1
-------- --------- -------- -------- ------- -------
END OF PERIOD............... $131,711 $ 122,138 $ 27,019 $ 28,726 $12,173 $10,638
======== ========= ======== ======== ======= =======
</TABLE>
See accompanying notes
9
<PAGE> 11
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American AAdvantage Mileage Funds (the "Trust") is organized as a
Massachusetts business trust under a Declaration of Trust dated February 14,
1995 and is registered under the Investment Company Act of 1940 (the "Act"), as
amended, as a no-load, open-end management investment company. On July 19, 1995,
the Trust's Board of Trustees (the "Board") created seven separate series as
follows: American AAdvantage Balanced Mileage Fund, American AAdvantage Growth
and Income Mileage Fund, American AAdvantage International Equity Mileage Fund,
American AAdvantage Limited-Term Income Mileage Fund, American AAdvantage Money
Market Mileage Fund, American AAdvantage Municipal Money Market Mileage Fund and
American AAdvantage U.S. Government Money Market Mileage Fund (each a "Fund" and
collectively the "Funds"). Prior to March 1, 1997, the American AAdvantage U.S.
Government Money Market Mileage Fund was known as the American AAdvantage U.S.
Treasury Money Market Mileage Fund and operated under different investment
policies. The Funds commenced active operations on November 1, 1995. The Money
Market Mileage Fund commenced sales of a second class of shares designated as
"Platinum Class" on January 29, 1996. At the same time, the existing shares of
the Money Market Mileage Fund were redesignated as "Mileage Class" shares.
Each Fund invests all of its investable assets in the corresponding
portfolio of the AMR Investment Services Trust, an open-end diversified
management investment company, as follows:
<TABLE>
<S> <C> <C>
AMERICAN AADVANTAGE: & INVESTS ASSETS IN & AMR INVESTMENT SERVICES TRUST:
Balanced Mileage Fund Balanced Portfolio
Growth and Income Mileage Fund Growth and Income Portfolio
International Equity Mileage Fund International Equity Portfolio
Limited-Term Income Mileage Fund Limited-Term Income Portfolio
Money Market Mileage Fund Money Market Portfolio
Municipal Money Market Mileage Fund Municipal Money Market Portfolio
U.S. Government Money Market Mileage Fund U.S. Government Money Market Portfolio
</TABLE>
Each AMR Investment Services Portfolio has the same investment objectives
as its corresponding Fund. The value of such investment reflects each Fund's
proportionate interest in the net assets of the corresponding portfolio (.29%,
.59%, .76%, .48%, 6.89%, 30.40% and 11.09% at April 30, 1997 of the AMR
Investment Services Balanced, Growth and Income, International Equity,
Limited-Term Income, Money Market, Municipal Money Market and U.S. Government
Money Market Portfolios, respectively) (each a "Portfolio" and collectively the
"Portfolios"). The financial statements of the Portfolios are included elsewhere
in this report and should be read in conjunction with the Funds' financial
statements.
AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary
of AMR Corporation, the parent company of American Airlines, Inc. ("American"),
and was organized in 1986 to provide business management, advisory,
administrative and asset management consulting services.
10
<PAGE> 12
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
The following is a summary of the significant accounting policies followed
by the Funds.
Valuation of Investments
Valuation of securities by the Portfolios is discussed in Note 1 of the
Portfolios' Notes to Financial Statements which are included elsewhere in this
report.
Investment Income and Dividends to Shareholders
Each Fund records its share of net investment income and realized and
unrealized gain (loss) in the Portfolio each day. All net investment income and
realized and unrealized gain (loss) of each Portfolio are allocated pro rata
among the corresponding Fund and other investors in each Portfolio at the time
of such determination. Dividends from net investment income of the Balanced,
Growth and Income and International Equity Mileage Funds normally will be
declared and paid annually. The Limited-Term Income Mileage Fund generally
declares dividends from net investment income daily, payable monthly.
Distributions, if any, of net realized capital gains normally will be paid
annually after the close of the fiscal year in which realized.
The Money Market, Municipal Money Market and U.S. Government Money Market
Mileage Funds (the "Money Market Funds") generally declare dividends daily from
net investment income and net short-term capital gain, if any, payable monthly.
Dividends are determined in accordance with income tax principles which may
treat certain transactions differently than generally accepted accounting
principles.
Federal Income and Excise Taxes
It is the policy of each of the Funds to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all net investment income as well as any net realized
capital gains on the sale of investments. Therefore, no federal income or excise
tax provision is required. At April 30, 1997, the Limited-Term Income Mileage
Fund had a capital loss carryforward for federal income tax purposes of
approximately $37,000 expiring in 2004.
All dividends paid by the Municipal Money Market Mileage Fund were
"exempt - interest dividends", therefore 100% free of any regular federal income
tax. Approximately 53% of interest earned was derived from investments in
certain private activity bonds for purposes of the federal alternative minimum
tax calculation.
Deferred Organization Expenses
Expenses incurred by a Fund in connection with its organization are being
amortized on a straight-line basis over a five-year period.
11
<PAGE> 13
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
Expenses
Expenses directly attributable to a Fund are charged to that Fund's
operations. Expenses directly attributable to a Class of shares are charged to
that Class. Expenses incurred by the Trust with respect to any two or more of
the Funds are allocated in proportion to the net assets of each Fund, except
where allocations of direct expenses to each Fund can otherwise be made fairly.
Each share of each Fund, regardless of class, bears equally those expenses that
are allocated to the Fund as a whole.
Valuation of Shares
The price per share is calculated separately for each Fund on each day on
which shares are offered for sale and orders accepted or upon receipt of a
redemption request. Net asset value per share is computed by dividing the value
of a Fund's total assets (which includes the value of the Fund's investment in
its corresponding Portfolio), less liabilities, by the number of Fund shares
outstanding. With respect to a class of the Money Market Mileage Fund, price per
share is computed by dividing the value of the Class' pro rata allocation of the
Fund's investments and other assets, less liabilities, by the number of Class
shares outstanding.
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Manager and the Trust entered into a Management Agreement which
obligates the Manager to provide or oversee administrative and management
services to the Funds. As compensation for performing the duties required under
the Management Agreement, the Manager receives an annualized fee of .25% of the
average daily net assets of the Balanced, Growth and Income, International
Equity and Limited-Term Income Mileage Funds and .05% of the net assets of each
of the Money Market Funds.
Administrative Services Plan
The Trust has adopted an Administrative Services Plan with respect to the
Platinum Class of the Money Market Mileage Fund. As compensation for providing
administrative services, the Manager receives an annual fee of .55% of the
average daily net assets of the Money Market Mileage Fund - Platinum Class.
Distribution Plan
The Trust has adopted a Distribution Plan (the "Plan") pursuant to Rule
12b-1 under the Act. A separate plan has been adopted by the Mileage Class and
Platinum Class of the Money Market Mileage Fund. Under the Plan, as compensation
for distribution assistance, the Manager receives an annual fee of .25% of the
average daily net assets of each Class or Fund. The fee will be payable without
regard to whether the amount of the fee is more or less than the actual expenses
incurred in a particular month by the Manager for distribution assistance.
During the six months ended April 30, 1997, the Manager waived distribution fees
totaling $3,430, $8,978, $4,552, $1,246, $13,029 and $12,643 for the Balanced,
Growth and Income, International Equity, Limited-Term Income, Municipal Money
Market and U.S. Government
12
<PAGE> 14
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
Money Market Mileage Funds, respectively. During the same period, the Manager
waived $49,338 and $7,167 for the Money Market Mileage Fund - Mileage Class and
the Money Market Mileage Fund - Platinum Class, respectively.
Other
Certain officers or trustees of the Trust are also officers of the Manager
or American. The Trust makes no direct payments to its officers. Unaffiliated
trustees and their spouses are provided free unlimited air transportation on
American. However, the Trust compensates each Trustee with payments in an amount
equal to the Trustee's income tax on the value of this free airline travel. For
the six months ended April 30, 1997, the cost of air transportation was not
material to any of the Funds.
Reimbursement of Expenses
For the six months ended April 30, 1997, the Manager reimbursed expenses
totaling $10,841, $7,137, $2,098 and $9,636 for the Balanced, Growth and Income,
International Equity and Limited-Term Income Mileage Funds, respectively.
3. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares of the Funds (in
thousands). Each share of the Money Market Mileage Funds is valued at $1.00:
Six Months Ended April 30, 1997
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Mileage Fund Mileage Fund Mileage Fund Mileage Fund
--------------- ---------------- --------------- ---------------
Shares Amount Shares Amount Shares Amount Shares Amount
------ ------ ------ ------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold..................................... 30 $ 493 225 $ 4,431 66 $1,054 13 $ 130
Reinvestment of dividends....................... 7 107 13 252 5 84 3 32
Shares redeemed................................. (12) (193) (179) (3,522) (42) (678) (33) (323)
--- ------ ---- ------- --- ------ --- ------
Net increase (decrease) in capital shares
outstanding................................... 25 $ 407 59 $ 1,161 29 $ 460 (17) $ (161)
=== ====== ==== ======= === ====== === ======
</TABLE>
<TABLE>
<CAPTION>
Money Market
Mileage Fund Municipal U.S. Government
------------------------------ Money Market Money Market
Mileage Class Platinum Class Mileage Fund Mileage Fund
------------- -------------- ------------ ---------------
<S> <C> <C> <C> <C>
Shares sold........................................... 47,584 19,348 9,970 7,393
Reinvestment of dividends............................. 2,482 351 409 255
Shares redeemed....................................... (46,884) (13,308) (12,086) (6,113)
-------- -------- ------- -------
Net increase (decrease) in capital shares
outstanding......................................... 3,182 6,391 (1,707) 1,535
======== ======== ======= =======
</TABLE>
13
<PAGE> 15
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
Year Ended October 31, 1996
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Mileage Fund Mileage Fund Mileage Fund Mileage Fund
--------------- ---------------- --------------- ---------------
Shares Amount Shares Amount Shares Amount Shares Amount
------ ------ ------ ------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold..................................... 182 $2,652 514 $ 8,945 281 $3,953 178 $1,752
Reinvestment of dividends....................... 1 8 1 14 1 7 7 64
Shares redeemed................................. (27) (407) (193) (3,521) (61) (876) (64) (616)
--- ------ ---- ------- --- ------ --- ------
Net increase in capital shares outstanding...... 156 $2,253 322 $ 5,438 221 $3,084 121 $1,200
=== ====== ==== ======= === ====== === ======
</TABLE>
<TABLE>
<CAPTION>
Money Market
Mileage Fund Municipal U.S. Government
------------------------------ Money Market Money Market
Mileage Class Platinum Class Mileage Fund Mileage Fund
------------- -------------- ------------ ---------------
<S> <C> <C> <C> <C>
Shares sold........................................... 214,459 26,197 47,645 16,949
Reinvestment of dividends............................. 4,392 332 638 347
Shares redeemed....................................... (112,236) (11,100) (19,558) (6,659)
-------- -------- ------- -------
Net increase in capital shares outstanding............ 106,615 15,429 28,725 10,637
======== ======== ======= =======
</TABLE>
14
<PAGE> 16
(This page intentionally left blank)
15
<PAGE> 17
AMERICAN AADVANTAGE MILEAGE FUNDS
FINANCIAL HIGHLIGHTS
(Unaudited)
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Balanced Growth and Income International Equity
------------------------- ------------------------- -------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
April 30, October 31, April 30, October 31, April 30, October 31,
1997 1996(1) 1997 1996(1) 1997 1996
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period(4)............................. $16.01 $13.97 $19.35 $15.94 $15.31 $13.15
------ ------ ------ ------ ------ ------
Income from investment operations:
Net investment income(5)............ 0.28 0.49 0.19 0.34 0.10 0.20
Net gains (losses) on securities
(both realized and
unrealized)(5).................... 0.66 1.65 1.55 3.16 1.30 2.03
------ ------ ------ ------ ------ ------
Total from investment operations........ 0.94 2.14 1.74 3.50 1.40 2.23
------ ------ ------ ------ ------ ------
Less distributions:
Dividends from net investment
income............................ (0.49) (0.10) (0.34) (0.09) (0.18) (0.07)
Distributions from net realized
gains on securities............... (0.22) - (0.47) - (0.23) -
------ ------ ------ ------ ------ ------
Total distributions..................... (0.71) (0.10) (0.81) (0.09) (0.41) (0.07)
------ ------ ------ ------ ------ ------
Net asset value, end of period.......... $16.24 $16.01 $20.28 $19.35 $16.30 $15.31
====== ====== ====== ====== ====== ======
Total return (annualized)(6)............ 11.99% 15.97% 18.35% 22.77% 18.56% 16.58%
====== ====== ====== ====== ====== ======
Ratios and supplemental data:
Net assets, end of period (in
thousands)........................ $2,937 $2,495 $7,744 $6,234 $4,076 $3,387
Ratios to average net assets
(annualized)(5)(6):
Expenses....................... 0.99% 1.01% 0.99% 1.00% 1.47% 1.48%
Net investment income.......... 3.54% 3.58% 1.92% 2.13% 1.30% 1.63%
</TABLE>
- ---------------
(1) Capital Guardian Trust Company was replaced by Brandywine Asset Management
as an investment adviser to the Balanced and Growth and Income Funds on
April 1, 1996.
(2) The Platinum Class of the Money Market Mileage Fund commenced active
operations on January 29, 1996 and at that time the existing shares of the
Fund were designated as Mileage Class shares.
(3) Prior to March 1, 1997, the American AAdvantage U.S. Government Money Market
Mileage Fund was known as the American AAdvantage U.S. Treasury Money Market
Mileage Fund and operated under different investment policies.
(4) The net asset value per share for the Balanced, Growth and Income,
International Equity and Limited Term Income Mileage Funds has been adjusted
for a stock split which occurred on November 1, 1995 in the ratio of
1.43169, 1.254705, 1.520913 and 2.034588, respectively.
(5) The per share amounts and ratios reflect income and expenses assuming
inclusion of each Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Portfolio.
(6) Operating results in the year and period indicated below excluded expenses
reimbursed by the Manager. Results prior to expense reimbursements were as
follows:
<TABLE>
<CAPTION>
Balanced Growth and Income International Equity
------------------------- ------------------------- -------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
April 30, October 31, April 30, October 31, April 30, October 31,
1997 1996 1997 1996 1997 1996
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Ratio of expenses to average net assets
(annualized)............................ 2.03% 2.93% 1.44% 1.88% 1.82% 2.71%
Ratio of net investment income to average
net assets (annualized)................. 2.50% 1.66% 1.47% 1.25% 0.95% 0.40%
</TABLE>
16
<PAGE> 18
AMERICAN AADVANTAGE MILEAGE FUNDS
FINANCIAL HIGHLIGHTS
(Unaudited)
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Money Market(2)
-----------------------------------------------------
Limited-Term Income Mileage Class Platinum Class Municipal Money Market
- ------------------------- ------------------------- ------------------------- -------------------------
Six Months Six Months Six Months January 29, Six Months
Ended Year Ended Ended Year Ended Ended 1996 to Ended Year Ended
April 30, October 31, April 30, October 31, April 30, October 31, April 30, October 31,
1997 1996 1997 1996 1997 1996 1997 1996
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
<C> <C> <C> <C> <C> <C> <C> <C>
$ 9.65 $ 9.83 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------ ------ -------- -------- ------- ------- ------- -------
0.31 0.59 0.02 0.05 0.02 0.03 0.02 0.03
(0.09) (0.18) - - - - - -
------ ------ -------- -------- ------- ------- ------- -------
0.22 0.41 0.02 0.05 0.02 0.03 0.02 0.03
------ ------ -------- -------- ------- ------- ------- -------
(0.31) (0.59) (0.02) (0.05) (0.02) (0.03) (0.02) (0.03)
- - - - - - - -
------ ------ -------- -------- ------- ------- ------- -------
(0.31) (0.59) (0.02) (0.05) (0.02) (0.03) (0.02) (0.03)
------ ------ -------- -------- ------- ------- ------- -------
$ 9.56 $ 9.65 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ====== ======== ======== ======= ======= ======= =======
4.35% 4.55% 4.98% 5.12% 4.55% 4.78% 3.02% 3.19%
====== ====== ======== ======== ======= ======= ======= =======
$997 $1,168 $109,891 $106,709 $21,820 $15,429 $27,019 $28,726
0.85% 0.86% 0.67% 0.67% 1.09% 1.09% 0.65% 0.66%
6.42% 6.08% 4.93% 5.02% 4.51% 4.48% 3.00% 3.14%
<CAPTION>
U.S. Government
Limited- Money Market(3)
- ----------- -------------------------
Six Months Six Months
Ended Ended Year Ended
April 30, April 30, October 31,
1997 1997 1996
- ----------- ----------- -----------
<C> <C> <C>
$ 9.65 $ 1.00 $ 1.00
------ ------- -------
0.31 0.02 0.05
(0.09) - -
------ ------- -------
0.22 0.02 0.05
------ ------- -------
(0.31) (0.02) (0.05)
- - -
------ ------- -------
(0.31) (0.02) (0.05)
------ ------- -------
$ 9.56 $ 1.00 $ 1.00
====== ======= =======
4.35% 4.86% 4.98%
====== ======= =======
$997 $12,173 $10,638
0.85% 0.62% 0.62%
6.42% 4.80% 4.82%
</TABLE>
<TABLE>
<CAPTION>
Money Market
-----------------------------------------------------
Limited-Term Income Mileage Class Platinum Class Municipal Money Market
- ------------------------- ------------------------- ------------------------- -------------------------
Six Months Six Months Six Months January 29, Six Months
Ended Year Ended Ended Year Ended Ended 1996 to Ended Year Ended
April 30, October 31, April 30, October 31, April 30, October 31, April 30, October 31,
1997 1996 1997 1996 1997 1996 1997 1996
- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
3.07% 3.19% 0.76% 0.78% 1.18% 1.24% 0.76% 0.80%
4.20% 3.75% 4.84% 4.91% 4.42% 4.33% 2.89% 3.00%
<CAPTION>
U.S. Government
Limited- Money Market
- ----------- -------------------------
Six Months Six Months
Ended Ended Year Ended
April 30, April 30, October 31,
1997 1997 1996
- ----------- ----------- -----------
<S> <C> <C>
3.07% 0.84% 1.11%
4.20% 4.58% 4.33%
</TABLE>
17
<PAGE> 19
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
U.S. GOVERNMENT & AGENCY
OBLIGATIONS - 21.97%
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 0.74%
7.15%, Due 6/27/2000........... $ 2,114 $ 2,116
7.75%, Due 5/22/2006........... 2,299 2,305
7.61%, Due 5/24/2006........... 2,999 3,006
----------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION..... 7,427
----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 0.31%
6.36%, Due 8/16/2000........... 2,090 2,079
7.78%, Due 5/22/2006........... 1,000 1,001
----------
TOTAL FEDERAL NATIONAL
MORTGAGE
ASSOCIATION.............. 3,080
----------
U.S. TREASURY BILLS - 0.69%
6.10%, Due 7/10/1997........... 7,000 6,922
----------
TOTAL U.S. TREASURY
BILLS.................... 6,922
----------
U.S. TREASURY BONDS - 4.87%
11.625%, Due 11/15/2004........ 4,000 5,144
10.375%, Due 11/15/2012........ 7,405 9,293
11.25%, Due 2/15/2015.......... 2,800 3,994
8.75%, Due 5/15/2017........... 3,430 4,047
8.125%, Due 8/15/2019.......... 5,585 6,238
8.75%, Due 8/15/2020........... 2,525 3,005
7.25%, Due 8/15/2022........... 10,000 10,203
6.25%, Due 8/15/2023........... 1,650 1,492
6.75%, Due 8/15/2026........... 5,740 5,548
----------
TOTAL U.S. TREASURY
BONDS.................... 48,964
----------
U.S. TREASURY COUPON STRIPS - 1.45%
Due 11/15/2008................. 796 361
Due 5/15/2011.................. 4,000 1,506
Due 2/15/2017.................. 13,000 3,206
Due 8/15/2018.................. 4,000 887
Due 11/15/2018................. 23,000 5,013
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Due 8/15/2019.................. $ 11,500 $ 2,376
Due 11/15/2019................. 6,000 1,218
----------
TOTAL U.S. TREASURY COUPON
STRIPS................... 14,567
----------
U.S. TREASURY NOTES - 13.91%
5.125%, Due 3/31/1998.......... 1,000 993
5.625%, Due 11/30/1998......... 6,000 5,949
5.75%, Due 12/31/1998.......... 9,600 9,534
5.00%, Due 2/15/1999........... 11,670 11,426
5.875%, Due 2/28/1999.......... 9,160 9,100
5.875%, Due 3/31/1999.......... 2,750 2,731
7.125%, Due 2/29/2000.......... 17,450 17,755
5.50%, Due 4/15/2000........... 1,000 975
5.875%, Due 6/30/2000.......... 960 944
6.125%, Due 7/31/2000.......... 2,000 1,980
6.125%, Due 9/30/2000.......... 4,630 4,578
8.50%, Due 11/15/2000.......... 5,500 5,842
5.625%, Due 11/30/2000......... 3,000 2,916
6.375%, Due 3/31/2001.......... 2,500 2,485
6.25%, Due 4/30/2001........... 7,130 7,059
7.50%, Due 11/15/2001.......... 3,000 3,107
7.50%, Due 5/15/2002........... 4,000 4,158
6.375%, Due 8/15/2002.......... 8,250 8,175
6.25%, Due 2/15/2003........... 4,300 4,223
5.75%, Due 8/15/2003........... 3,000 2,862
5.875%, Due 2/15/2004.......... 4,000 3,828
7.25%, Due 5/15/2004........... 2,000 2,062
7.875%, Due 11/15/2004......... 3,000 3,203
6.50%, Due 5/15/2005........... 7,000 6,902
6.50%, Due 8/15/2005........... 2,000 1,969
5.875%, Due 11/15/2005......... 5,000 4,719
5.625%, Due 2/15/2006.......... 5,000 4,630
6.50%, Due 10/15/2006.......... 4,000 3,931
6.25%, Due 2/15/2007........... 2,000 1,934
----------
TOTAL U.S. TREASURY
NOTES.................... 139,970
----------
TOTAL U.S. GOVERNMENT &
AGENCY OBLIGATIONS....... 220,930
----------
</TABLE>
See accompanying notes
18
<PAGE> 20
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
U.S. AGENCY MORTGAGE-BACKED
OBLIGATIONS - 4.31%
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 0.84%
Series 1194G, 6.50%,
Due 10/15/2006............... $ 1,499 $ 1,470
Pool #E20271, 7.00%
Due 11/1/2011................ 1,542 1,529
Series 1250F, 7.00%,
Due 4/15/2019................ 707 708
Pool #C00436, 7.50%,
Due 12/1/2025................ 4,733 4,707
----------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION..... 8,414
----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 1.97%
Pool #297492, 6.50%,
Due 10/1/2010................ 25 23
Pool #338030, 6.50%,
Due 4/1/2011................. 296 287
Pool #341332, 6.50%,
Due 4/1/2011................. 653 633
Pool #341382, 6.50%,
Due 4/1/2011................. 263 254
Pool #342743, 6.50%,
Due 4/1/2011................. 678 658
Pool #337195, 6.50%,
Due 5/1/2011................. 1,300 1,262
Pool #344287, 6.50%,
Due 5/1/2011................. 478 464
Pool #344429, 6.50%,
Due 4/1/2011................. 126 123
Series 1349PG, 6.50%,
Due 5/15/2014................ 400 399
Pool #66185, 6.366%,
Due 7/1/2018................. 1,719 1,672
Series 1992-143G, 6.75%,
Due 10/25/2018............... 455 455
Series 1989-21G, 10.45%,
Due 4/25/2019................ 191 208
Pool #218949, 7.50%,
Due 12/1/2023................ 862 871
Pool #266196, 7.345%,
Due 1/1/2024................. 1,377 1,386
TBA, 7.50%, Due 9/23/2024...... 1,670 1,658
Pool #306505, 8.00%,
Due 3/1/2025................. 1,298 1,316
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Pool #308798, 7.277%,
Due 4/1/2025................. $ 308 $ 318
Pool #303585, 7.00%,
Due 10/1/2025................ 714 692
Pool #339141, 7.00%,
Due 3/1/2026................. 3,510 3,403
Pool #341041, 7.00%,
Due 4/1/2026................. 28 27
TBA, 8.00%, Due 11/13/2026..... 3,700 3,750
----------
TOTAL FEDERAL NATIONAL
MORTGAGE ASSOCIATION..... 19,859
----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 1.50%
Pool #102932, 10.50%,
Due 9/15/1998................ 5 6
Series 1994-2 Cl O, 7.99125%,
Due 4/16/2010................ 1,309 1,330
Pool #180220, 9.00%,
Due 10/15/2016............... 841 882
TBA, 8.00%, Due 2/1/2020....... 8,240 8,353
Pool #340063, 7.50%,
Due 12/15/2022............... 19 19
Pool #339886, 7.50%,
Due 1/15/2023................ 438 434
Pool #345300, 7.00%,
Due 3/15/2023................ 833 806
Pool #344261, 7.50%,
Due 4/15/2023................ 469 465
Pool #320073, 7.00%,
Due 6/15/2023................ 20 19
Pool #341926, 8.00%,
Due 6/15/2023................ 17 17
Pool #352117, 8.00%,
Due 7/15/2023................ 1,063 1,079
Pool #355721, 7.50%,
Due 7/15/2023................ 146 145
Pool #344979, 7.50%,
Due 8/15/2023................ 415 412
Pool #1849, 8.50%,
Due 8/20/2024................ 506 519
TBA, 7.50%, Due 6/1/2025....... 630 625
----------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION..... 15,111
----------
TOTAL U.S. AGENCY
MORTGAGE-BACKED
OBLIGATIONS.............. 43,384
----------
</TABLE>
See accompanying notes
19
<PAGE> 21
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
ASSET-BACKED SECURITIES - 1.10%
Chase Manhattan Auto Owner
Trust, 1996-C A3, 5.95%, Due
11/15/2000................... $ 850 $ 844
Chase Manhattan Credit Card
Master Trust, 1996-4A, 6.73%,
Due 2/15/2003................ 1,550 1,559
Citibank Credit Card Master
Trust I, 1996-1A, Zero
Coupon,
Due 2/7/2003................. 1,410 1,098
ContiMortgage Home Equity
Loan Trust, 1994-4 A2, 7.96%,
Due 9/15/2009................ 1,418 1,439
NationsBank Auto Owner
Trust, 1996-A A3, 6.375%,
Due 7/15/2000................ 2,550 2,554
NB Capital Trust II, 7.83%,
Due 12/15/2026............... 1,580 1,527
Olympic Automobile Receivables
Trust, 1993-CA, 4.50%,
Due 2/15/2000................ 115 115
1995-A, 7.875%, Due
7/15/2001.................... 960 976
Sears Credit Account Master
Trust, 1996-4A, 6.45%,
Due 10/16/2006............... 440 436
UCFC Home Equity Loan,
1994-C1 A2, 7.275%,
Due 6/10/2007................ 125 125
Western Financial Grantor
Trust, 1994-3 A2, 6.65%, Due
12/1/1999.................... 336 337
----------
TOTAL ASSET-BACKED
SECURITIES............... 11,010
----------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 0.80%
Citicorp Mortgage Securities,
Incorporated, 1987-14 A1,
9.50%, Due 9/25/2002......... 509 513
1987-5 A1, 8.50%, Due
4/25/2017.................... 582 580
DLJ Mortgage Acceptance
Corporation, 1994-Q1 2A1,
4.56029%, Due 3/25/2024...... 364 361
General Electric Capital
Mortgage Services,
Incorporated, 1992-4A A4,
8.00%, Due 4/25/2022......... 533 538
Green Tree Financial
Corporation, 1996-8 A4,
7.00%, Due 10/15/2027........ 1,300 1,310
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Independent National Mortgage
Corporation, 1995-F A5,
8.25%, Due 5/25/2010......... $ 600 $ 620
1995W A2, 7.25%, Due
2/25/2026.................... 1,500 1,390
The Money Store Home Equity
Trust, 7.66%, Due 8/15/2026.. 1,500 1,502
Residential Asset
Securitization Trust, 1996-A3
A11, 7.50%,
Due 7/25/2011................ 934 940
Residential Funding Mortgage 1,
1993-S28 A4, 6.35%,
Due 8/25/2023................ 300 293
----------
TOTAL NON-AGENCY
MORTGAGE-BACKED
OBLIGATIONS.............. 8,047
----------
CORPORATE BONDS - 12.18%
FINANCIAL - 5.65%
American General Financial,
7.25%, Due 5/15/2005......... 410 408
Associates Corporation of
North America, 7.50%,
Due 5/15/1999................ 80 81
BankAmerica Corporation,
9.75%, Due 7/1/2000.......... 600 649
7.20%, Due 4/15/2006......... 1,280 1,268
Bankers Trust New York, 8.25%,
Due 5/1/2005................. 980 1,030
BanPonce, 8.327%,
Due 2/1/2027................. 1,000 991
CIT Group Holdings,
6.375%, Due 5/21/1999........ 750 749
Capital One Bank,
6.73%, Due 6/4/1998.......... 2,500 2,505
8.125%, Due 3/1/2000......... 1,690 1,741
7.35%, Due 6/20/2000......... 385 389
Chase Manhattan Corporation,
8.625%, Due 5/1/2002......... 700 746
Chemical Banking Corporation,
FRN, 6.2125%, Due 6/15/2000.. 2,300 2,306
Chemical New York Corporation,
9.75%, Due 6/15/1999......... 900 954
Chrysler Financial Corporation,
6.95%, Due 3/25/2002......... 2,700 2,695
First Chicago Capital I,
6.1125%, Due 2/1/2027........ 2,000 1,966
</TABLE>
See accompanying notes
20
<PAGE> 22
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
First Chicago NBD, 9.875%, Due
8/15/2000.................... $ 1,000 $ 1,087
First Union Corporation, 7.05%,
Due 8/1/2005................. 840 824
Fleet Financial Group, 7.92%,
Due 12/11/2026............... 1,180 1,143
Ford Motor Credit Company,
9.25%, Due 6/15/1998......... 1,000 1,031
7.95%, Due 5/17/1999......... 2,000 2,050
General Electric Capital
Corporation, 7.875%, Due
12/1/2006.................... 1,000 1,053
General Motors Acceptance
Corporation, 5.5625%,
Due 12/9/1999................ 1,500 1,498
Lehman Brothers Holding,
Incorporated, 7.41%,
Due 5/25/1999................ 500 506
7.25%, Due 4/15/2003......... 2,030 2,021
Mellon Capital, Incorporated,
7.72%, Due 12/1/2026......... 890 842
7.995%, Due 1/15/2027........ 1,490 1,448
Mortgage Capital Funding,
Incorporated, 6.758%, Due
2/20/2004.................... 681 667
National Bank of Detroit,
7.125%, Due 5/15/2007........ 700 685
NationsBank Corporation, 7.00%,
Due 9/15/2001................ 1,000 1,003
Paine Webber, 7.74%, Due
1/30/2012.................... 2,200 2,215
PNC Funding Corporation,
6.125%, Due 9/1/2003......... 1,000 943
Salomon Incorporated,
7.05%, Due 1/15/1998......... 800 805
7.00%, Due 1/20/1998......... 390 392
5.53%, Due 1/30/1998......... 1,500 1,493
6.04%, Due 7/9/1998.......... 625 622
6.70%, Due 12/1/1998......... 390 391
Sears Roebuck Acceptance
Corporation,
6.82%, Due 10/17/2002........ 2,710 2,678
6.72%, Due 11/5/2003......... 2,200 2,148
Societe General Corporation,
7.40%, Due 6/1/2006.......... 860 855
Society National Bank, 7.25%,
Due 6/1/2005................. 800 796
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Spieker Properties Corporation,
8.00%, Due 7/19/2005......... $ 290 $ 297
7.125%, Due 12/1/2006........ 260 253
St. Paul Companies, 9.375%, Due
6/15/1997.................... 600 602
Taubman Realty Group, 5.75%,
Due 11/3/1997................ 1,500 1,500
Travelers/Aetna P & C, 6.75%,
Due 4/15/2001................ 1,300 1,289
United Dominion Realty
Corporation, 7.25%, Due
1/15/2007.................... 700 689
Wells Fargo Capital, 7.96%, Due
12/15/2026................... 2,000 1,934
Wells Fargo & Company Delivery
Corporation, 7.96%, Due
12/15/2026................... 2,569 2,484
----------
TOTAL FINANCIAL............ 56,722
----------
INDUSTRIAL - 4.35%
American Home Products, 7.70%,
Due 2/15/2000................ 450 462
Atlantic Richfield Corporation,
8.50%, Due 4/1/2012.......... 1,270 1,429
Bemis Company, Incorporated,
6.70% Due 7/1/2005........... 1,000 965
Capital Cities/ABC, 8.875%, Due
12/15/2000................... 1,000 1,066
Coca-Cola Company, 6.625%, Due
10/1/2002.................... 1,000 985
Coca-Cola Enterprises, 6.70%,
Due 10/15/2036............... 1,120 1,109
Columbia/HCA Health, 7.50%, Due
11/15/2095................... 780 738
Dresser Industries, 6.25%, Due
6/1/2000..................... 2,000 1,977
E.I. DuPont de Nemours &
Company, 6.75%,
Due 10/15/2002............... 1,000 991
ERP Operating Limited
Partnership, 7.95%,
Due 04/15/2002............... 430 439
Exxon Capital Corporation,
7.45%, Due 12/15/2001........ 1,000 1,025
Heinz H.J. Company, 5.50%, Due
9/15/1997.................... 520 519
Hershey Foods Company,
6.95%, Due 3/1/2007.......... 1,000 979
</TABLE>
See accompanying notes
21
<PAGE> 23
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Hilton Hotels Corporation,
7.95%,
Due 4/15/2007................ $ 1,430 $ 1,443
International Business
Machines, Incorporated,
7.125%, Due 12/1/2096........ 1,270 1,154
Keycorp, 7.826%, Due
12/1/2026.................... 2,000 1,917
MGM Grand Hotels, 12%, Due
5/1/2002..................... 2,000 2,107
The May Department Store
Company,
7.625%, Due 8/15/2013........ 775 763
9.75%, Due 2/15/2021......... 400 459
Millennium America,
Incorporated, 7%, Due
11/15/2006................... 1,965 1,887
Millipore Corporation, 7.50%,
Due 4/1/2007................. 700 700
News America Holdings, 8.00%,
Due 10/17/2016............... 800 777
Oracle Corporation, 6.91%, Due
2/15/2007.................... 1,250 1,215
Petroleum Geo-Services
Corporation, 7.50%, Due
3/31/2007.................... 640 636
Philip Morris Companies,
Incorporated,
8.25%, Due 10/15/2003........ 1,940 2,024
7.20%, Due 2/1/2007.......... 3,750 3,642
8.375%, Due 1/15/2017........ 625 626
Phillips 66 Capital 11
Corporation, 8.00%, Due
1/15/2037.................... 1,270 1,233
Pohang Iron & Steel, 7.375%,
Due 5/15/2005................ 1,520 1,494
Service Corporation
International, 7.70%, Due
4/15/2009.................... 1,440 1,457
Stop & Shop Companies, 9.75%,
Due 2/1/2002................. 2,000 2,189
Sysco Corporation, 7.00%, Due
5/1/2006..................... 1,000 990
Texaco Cap, MTN, 6.19%, Due
7/9/2003..................... 750 715
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Texas Utilities, Incorporated,
Floating Rate, 5.96875%, Due
5/1/1999..................... $ 2,700 $ 2,702
Walt Disney, Incorporated,
6.75%, Due 3/30/2006......... 1,000 972
----------
TOTAL INDUSTRIAL........... 43,786
----------
UTILITY - 0.68%
General Telephone Southwest,
Incorporated, 8.50%, Due
11/15/2031................... 600 659
Southern California Edison
Company, 8.25%, Due
2/1/2000..................... 1,425 1,474
U.S. West Capital Funding,
6.85%, Due 1/15/2002......... 1,300 1,287
6.95%, Due 1/15/2037......... 3,500 3,445
----------
TOTAL UTILITY.............. 6,865
----------
FOREIGN BONDS - 1.50%
BCH Cayman Islands Limited,
7.70%, Due 7/15/2006......... 2,080 2,100
Enersis SA, 6.90%, Due
12/1/2006.................... 990 946
Hydro-Quebec,
9.40%, Due 2/1/2021.......... 1,280 1,482
8.875%, Due 3/1/2026......... 1,200 1,326
Korea Development Bank,
5.875%, Due 12/1/1998........ 100 99
6.25%, Due 5/1/2000.......... 770 755
Midland Bank PLC, 7.625%, Due
6/15/2006.................... 910 927
Province of Newfoundland,
9.875%, Due 6/1/2020......... 250 304
Province of Quebec,
7.00%, Due 1/30/2007......... 1,750 1,704
5.735%, Due 3/2/2026......... 890 859
Santander Financial Issuance
Limited,
7.75%, Due 5/15/2005......... 250 255
7.00%, Due 4/1/2006.......... 460 446
</TABLE>
See accompanying notes
22
<PAGE> 24
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Skandinaviska Enskilda Banken,
Floating Rate, 6.59375%, Due
6/29/2049.................... $ 3,800 $ 3,862
----------
TOTAL FOREIGN BONDS........ 15,065
----------
TOTAL CORPORATE BONDS...... 122,438
----------
Shares
--------
PREFERRED STOCK - 0.39%
Home Ownership Funding 2,
Series 144A.................. 1,500 1,476
Kenwood Preferred - 144A....... 1,500 1,491
Marquette Preferred - 144A..... 1,000 980
----------
TOTAL PREFERRED STOCK...... 3,947
----------
COMMON STOCK - 55.15%
FOREIGN STOCKS - 1.85%
Arthur Guinness & Sons, ADR.... 40,000 1,655
British Petroleum PLC, ADR..... 15,089 2,077
Elf Aquitane SA................ 53,100 2,582
Energy Group PLC............... 44,050 1,382
Hanson PLC, ADR................ 44,050 1,068
Imperial Tobacco Group PLC..... 30,000 394
Mid Ocean, Limited............. 23,000 1,055
New Holland, N.V............... 42,000 929
Novartis AG.................... 15,999 1,054
Royal Dutch Petroleum Company,
New York Registry............ 35,500 6,399
----------
TOTAL FOREIGN
STOCKS................... 18,595
----------
CONSUMER STAPLES - 8.79%
DEPARTMENT AND MAIL ORDER - 1.32%
J.C. Penney Company,
Incorporated................. 121,275 5,791
K Mart Corporation............. 359,600 4,900
Sears Roebuck & Company........ 45,000 2,160
Tupperware, Incorporated....... 13,700 456
----------
TOTAL DEPARTMENT AND MAIL
ORDER.................... 13,307
----------
DISTILLERS AND BREWERS - 0.66%
Anheuser-Busch Companies,
Incorporated................. 122,000 5,239
Brown-Foreman, Incorporated.... 26,700 1,348
----------
TOTAL DISTILLERS AND
BREWERS.................. 6,587
----------
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
DRUGS AND HOSPITAL SUPPLY - 2.14%
American Home Products
Corporation.................. 40,000 $ 2,650
Baxter International,
Incorporated................. 55,000 2,633
Bristol-Myers Squibb Company... 37,400 2,450
Columbia HCA Healthcare
Corporation.................. 86,000 3,010
Foundation Health Systems...... 49,500 1,337
Horizon/CMS Healthcare
Corporation.................. 102,275 1,624
Pharmacia & Upjohn,
Incorporated................. 119,100 3,528
Warner Lambert, Incorporated... 43,400 4,253
----------
TOTAL DRUGS AND HOSPITAL
SUPPLY................... 21,485
----------
FOOD PROCESSING - 0.16%
Archer Daniels Midland
Company...................... 28,000 515
I B P Incorporated............. 44,000 1,045
----------
TOTAL FOOD PROCESSING...... 1,560
----------
FOODS - 0.14%
Nabisco Holdings Corporation,
Class A...................... 37,900 1,454
----------
TOTAL FOODS................ 1,454
----------
LEISURE - 0.57%
Hasbro, Incorporated........... 52,800 1,320
Mattel, Incorporated........... 120,800 3,367
Toys R Us, Incorporated........ 37,500 1,069
----------
TOTAL LEISURE.............. 5,756
----------
PHOTOGRAPHY - 0.99%
Eastman Kodak Company.......... 119,400 9,970
----------
TOTAL PHOTOGRAPHY.......... 9,970
----------
PUBLISHING - 0.30%
A.H. Belo, Incorporated,
Class A...................... 84,700 3,049
----------
TOTAL PUBLISHING........... 3,049
----------
</TABLE>
See accompanying notes
23
<PAGE> 25
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- ----------
TOBACCO - 2.51% (dollars in thousands)
<S> <C> <C>
American Brands, 76,400 $ 4,107
Incorporated.................
Philip Morris Companies,
Incorporated................. 455,967 17,954
RJR Nabisco Holdings........... 105,700 3,145
----------
TOTAL TOBACCO.............. 25,206
----------
TOTAL CONSUMER STAPLES..... 88,374
----------
INTEREST SENSITIVE - 20.37%
BANKS - 6.34%
Banc One Corporation........... 21,400 907
BankAmerica Corporation........ 99,200 11,594
Bank of Boston Corporation..... 16,200 1,179
Bankers Trust Company
New York..................... 29,100 2,368
Chase Manhattan Corporation.... 155,300 14,385
First Chicago NBD.............. 135,681 7,632
First of America Bank
Corporation.................. 27,000 1,796
First Security Corporation..... 60,000 2,138
First Union Corporation........ 20,000 1,680
Fleet Financial Group,
Incorporated................. 38,000 2,318
J.P. Morgan & Company,
Incorporated................. 24,500 2,496
Norwest Corporation............ 183,900 9,172
PNC Bank Corporation........... 115,000 4,729
Wells Fargo and Company........ 5,000 1,334
----------
TOTAL BANKS................ 63,728
----------
BUILDING AND MATERIALS - 0.30%
PPG Industries, Incorporated... 56,500 3,072
----------
TOTAL BUILDING AND
MATERIALS................ 3,072
----------
FINANCE - 0.64%
Beneficial Corporation......... 35,000 2,240
Household International,
Incorporated................. 25,000 2,200
Paine Webber Group,
Incorporated................. 58,900 2,003
----------
TOTAL FINANCE.............. 6,443
----------
INSURANCE - LIFE AND
MULTI-LINE - 2.15%
American Financial Group,
Incorporated................. 67,900 2,368
American General Corporation... 28,600 1,248
</TABLE>
<TABLE>
<CAPTION>
Shares Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Aon Corporation................ 114,300 $ 7,601
Lincoln National Corporation... 45,000 2,520
Old Republic International
Corporation.................. 121,000 3,418
Travelers Corporation.......... 80,437 4,454
----------
TOTAL INSURANCE - LIFE AND
MULTI-LINE............... 21,609
----------
INSURANCE - PROPERTY AND
CASUALTY - 1.06%
Allstate Corporation........... 73,300 4,801
Chubb Corporation.............. 67,000 3,869
TIG Holdings, Incorporated..... 70,000 1,943
----------
TOTAL INSURANCE - PROPERTY
AND CASUALTY............. 10,613
----------
SAVINGS AND LOAN - 0.58%
Great Western Financial
Corporation.................. 75,000 3,150
H.F. Ahmanson & Company........ 70,000 2,669
----------
TOTAL SAVINGS AND LOAN..... 5,819
----------
UTILITIES - ELECTRIC - 3.64%
Central and Southwest
Corporation.................. 48,500 976
CMS Energy Corporation......... 60,000 1,905
DTE Energy Company............. 94,700 2,533
Edison International........... 80,000 1,680
Entergy Corporation............ 386,900 9,044
Houston Industries,
Incorporated................. 101,200 2,024
Illinova Corporation........... 80,000 1,800
Northeast Utilities............ 387,200 3,194
Peco Energy Company............ 67,000 1,323
Potomac Electric Power......... 35,400 797
PP&L Resources, Incorporated... 24,000 471
Public Service Enterprise
Group, Incorporated.......... 50,400 1,216
Rochester Gas and Electric,
Incorporated................. 30,000 559
Unicom Corporation............. 418,900 9,111
----------
TOTAL UTILITIES -
ELECTRIC................. 36,633
----------
</TABLE>
See accompanying notes
24
<PAGE> 26
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- ----------
(dollars in thousands)
UTILITIES - NATURAL GAS - 1.05%
<S> <C> <C>
Consolidated Natural Gas
Company...................... 171,700 $ 8,649
Peoples Energy Corporation..... 58,000 1,958
----------
TOTAL UTILITIES - NATURAL
GAS...................... 10,607
----------
UTILITIES - TELEPHONE - 2.38%
Alltel Corporation............. 57,000 1,796
AT&T Corporation............... 221,600 7,424
NYNEX Corporation.............. 46,000 2,381
SBC Communications............. 97,984 5,438
US West, Incorporated.......... 194,200 6,821
----------
TOTAL UTILITIES -
TELEPHONE................ 23,860
----------
MISCELLANEOUS - INTEREST
SENSITIVE - 2.23%
American Express Company....... 186,800 12,305
Dean Witter Discover &
Company...................... 45,200 1,729
Federal Home Loan Mortgage
Corporation.................. 83,200 2,652
Federal National Mortgage
Association.................. 117,200 4,820
Fund American Enterprises,
Incorporated................. 8,800 879
----------
TOTAL MISCELLANEOUS -
INTEREST SENSITIVE....... 22,385
----------
TOTAL INTEREST
SENSITIVE................ 204,769
----------
CONSUMER CYCLICALS - 4.10%
AUTOMOBILE AND TRUCK - 3.80%
Dana Corporation............... 224,100 7,143
Eaton Corporation.............. 25,000 1,872
First Brands Corporation....... 117,100 2,971
Ford Motor Company............. 463,300 16,100
General Motors Corporation..... 175,300 10,145
----------
TOTAL AUTOMOBILE AND
TRUCK.................... 38,231
----------
ELECTRICAL HOUSEHOLD
EQUIPMENT - 0.11%
Whirlpool Corporation.......... 24,400 1,141
----------
TOTAL ELECTRICAL HOUSEHOLD
EQUIPMENT................ 1,141
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
TIRE AND RUBBER - 0.19%
Goodyear Tire & Rubber
Company...................... 35,800 $ 1,884
----------
TOTAL TIRE AND
RUBBER................... 1,884
----------
TOTAL CONSUMER CYCLICALS... 41,256
----------
INTERMEDIATE GOODS & SERVICES - 12.32%
CHEMICALS - 1.62%
ARCO Chemical Company.......... 35,000 1,479
Dow Chemical................... 25,000 2,122
E.I. DuPont de Nemours &
Company...................... 20,000 2,123
Eastman Chemical Company....... 90,100 4,595
FMC Corporation (non-income
producing)................... 65,600 4,403
Great Lakes Chemical
Corporation.................. 27,000 1,144
Millenium Chemicals,
Incorporated................. 31,171 553
----------
TOTAL CHEMICALS............ 16,419
----------
FOREST PRODUCTS - 1.04%
Boise Cascade Corporation...... 54,700 1,819
Georgia-Pacific Corporation.... 15,000 1,170
International Paper Company.... 40,000 1,690
Louisiana Pacific
Corporation.................. 59,200 1,103
Mead Corporation............... 22,000 1,235
Union Camp Corporation......... 28,000 1,362
Weyerhaeuser Company........... 45,000 2,059
----------
TOTAL FOREST
PRODUCTS................. 10,438
----------
METALS - ALUMINUM - 0.51%
Alumax, Incorporated........... 73,000 2,665
Aluminum Company of America.... 30,000 2,096
Newport News Shipbuilding,
Incorporated................. 23,000 345
----------
TOTAL METALS - ALUMINUM.... 5,106
----------
METALS - MINING - 0.12%
Cyprus Amax Minerals
Corporation.................. 52,000 1,164
----------
TOTAL METALS - MINING...... 1,164
----------
</TABLE>
See accompanying notes
25
<PAGE> 27
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
NATURAL GAS TRANSMISSION - 0.28%
Coastal Corporation............ 40,700 $ 1,933
El Paso Natural Gas Company.... 15,344 892
----------
TOTAL NATURAL GAS
TRANSMISSION............. 2,825
----------
OIL - 5.13%
Amoco Corporation.............. 120,500 10,077
Atlantic Richfield
Corporation.................. 20,000 2,723
Chevron Corporation............ 30,000 2,055
Exxon Corporation.............. 125,200 7,089
Louisiana Land and Exploration
Company...................... 60,800 3,040
Mobil Corporation.............. 10,000 1,300
Occidental Petroleum
Corporation.................. 105,800 2,341
Oryx Energy Company............ 80,200 1,604
Phillips Petroleum Company..... 239,400 9,426
Tenneco, Incorporated.......... 110,600 4,410
Ultramar Diamond Shamrock
Corporation.................. 70,000 2,249
Union Pacific Resources Group,
Incorporated................. 100,600 2,729
Union Texas Petroleum Holdings,
Incorporated................. 132,700 2,505
----------
TOTAL OIL.................. 51,548
----------
OIL SERVICE - 0.97%
Baker Hughes, Incorporated..... 282,600 9,750
----------
TOTAL OIL SERVICE.......... 9,750
----------
TRANSPORTATION - 1.61%
Burlington Northern,
Incorporated................. 5,500 433
Conrail, Incorporated.......... 15,293 1,747
CSX Corporation................ 128,300 5,982
Norfolk Southern Corporation... 89,500 8,044
----------
TOTAL
TRANSPORTATION........... 16,206
----------
MISCELLANEOUS - INTERMEDIATE
GOODS & SERVICES - 1.04%
Browning-Ferris Industries..... 71,500 2,029
Dresser Industries,
Incorporated................. 146,700 4,383
Federal-Mogul Corporation...... 29,200 807
</TABLE>
<TABLE>
<CAPTION>
Shares Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
GATX Corporation............... 40,000 $ 2,190
Mapco, Incorporated............ 33,800 1,001
----------
TOTAL MISCELLANEOUS -
INTERMEDIATE GOODS &
SERVICES................. 10,410
----------
TOTAL INTERMEDIATE GOODS &
SERVICES................. 123,866
----------
CAPITAL GOODS - 7.72%
AEROSPACE - 3.83%
Coltec Industries, Incorporated
(non-income producing)....... 120,700 2,444
Harsco Corporation............. 50,000 1,844
Lockheed Martin Corporation.... 118,738 10,627
Northrop Corporation........... 25,000 2,088
Raytheon Company............... 125,900 5,492
Rockwell International
Corporation.................. 30,000 1,995
Textron, Incorporated.......... 82,200 9,155
Thiokol Corporation............ 45,400 2,962
United Technologies
Corporation.................. 25,000 1,891
----------
TOTAL AEROSPACE............ 38,498
----------
ELECTRICAL EQUIPMENT - 1.18%
Dover Corporation.............. 6,800 360
Honeywell, Incorporated........ 40,300 2,846
ITT Industries, Incorporated... 119,500 3,017
MEMC Electronic Materials,
Incorporated................. 45,600 1,248
Westinghouse Electric
Corporation.................. 258,900 4,401
----------
TOTAL ELECTRICAL
EQUIPMENT................ 11,872
----------
ELECTRONICS - INDUSTRIAL - 0.13%
Lam Research Corporation....... 16,000 464
VLSI Technology,
Incorporated................. 44,300 880
----------
TOTAL ELECTRONICS -
INDUSTRIAL............... 1,344
----------
MACHINERY - 0.70%
Caterpillar Tractor Company.... 13,000 1,157
Deere and Company.............. 73,000 3,358
Millipore Corporation.......... 41,800 1,578
Tecumseh Products Company...... 17,900 967
----------
TOTAL MACHINERY............ 7,060
----------
</TABLE>
See accompanying notes
26
<PAGE> 28
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- ----------
OFFICE EQUIPMENT - 1.88% (dollars in thousands)
<S> <C> <C>
International Business Machines 38,300 $ 6,157
Corporation..................
Storage Tech Group............. 54,200 1,904
Xerox Corporation.............. 175,700 10,806
----------
TOTAL OFFICE
EQUIPMENT................ 18,867
----------
TOTAL CAPITAL GOODS........ 77,641
----------
TOTAL COMMON STOCK......... 554,501
----------
Par
Amount
--------
SHORT-TERM INVESTMENTS (NOTE A) - 3.95%
Bank of Tokyo Mitsubishi,
Limited, New York, BA 5.59%,
Due 5/28/1997................ $ 2,000 1,993
Banque Paribas, Euro TD,
5.7505%, Due 5/1/1997........ 5,418 5,418
</TABLE>
<TABLE>
<CAPTION>
Shares Value
-------- ----------
(dollars in thousands)
<S> <C> <C>
Dai-Ichi Kangyo Bank, Limited,
Los Angeles, BA, 5.63%, Due
5/15/1997.................... $ 5,700 $ 5,688
Dai-Ichi Kangyo Bank, Limited,
New York, BA, 5.70%, Due
5/30/1997.................... 6,600 6,570
Skandinaviska Enskilda Banken,
Euro TD, 5.75%, Due
5/1/1997..................... 20,000 20,000
----------
TOTAL SHORT-TERM
INVESTMENTS.............. 39,669
----------
TOTAL INVESTMENTS - 99.85%
(COST $872,176).............. 1,003,926
----------
OTHER ASSETS, NET OF
LIABILITIES - 0.15%.......... 1,499
----------
TOTAL NET ASSETS - 100%........ $1,005,425
==========
</TABLE>
- ---------------
Based on the cost of investments of $873,281 for federal income tax purposes at
April 30, 1997, the aggregate gross unrealized appreciation was $149,925, the
aggregate gross unrealized depreciation was $19,280 and the net unrealized
appreciation of investments was $130,645.
(A) Rates associated with short-term investments represent yield to maturity.
ABBREVIATIONS:
ADR - American Depositary Receipt
AG - Company
BA - Bankers Acceptance
FRN - Floating Rate Note
NV - Company
PLC - Public Limited Corporation
SA - Company
TBA - To Be Announced
TD - Time Deposit
See accompanying notes
27
<PAGE> 29
AMR INVESTMENT SERVICES GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
COMMON STOCK - 96.00%
FOREIGN STOCKS - 3.39%
Arthur Guinness & Sons, ADR... 127,000 $ 5,254
British Petroleum PLC, ADR.... 39,293 5,407
Elf Aquitane SA............... 110,100 5,353
Energy Group, PLC............. 91,087 2,857
Hanson PLC, ADR............... 81,087 1,965
Imperial Tobacco Group PLC.... 108,400 1,424
Mid Ocean, Limited............ 48,000 2,201
New Holland N.V............... 185,000 4,092
Novartis AG................... 19,333 1,274
Royal Dutch Petroleum Company,
New York
Registry.................... 73,100 13,176
----------
TOTAL FOREIGN STOCKS...... 43,003
----------
CONSUMER STAPLES - 16.76%
DEPARTMENT AND MAIL ORDER - 2.07%
J.C. Penney Company,
Incorporated................ 283,000 13,513
K Mart Corporation............ 640,600 8,728
Sears Roebuck & Company....... 60,000 2,880
Tupperware, Incorporated...... 31,800 1,057
----------
TOTAL DEPARTMENT AND MAIL
ORDER................... 26,178
----------
DISTILLERS AND BREWERS - 1.54%
Anheuser-Busch Companies,
Incorporated................ 293,500 12,584
Brown-Foreman, Incorporated... 137,300 6,934
----------
TOTAL DISTILLERS AND
BREWERS................. 19,518
----------
DRUGS AND HOSPITAL SUPPLY - 3.94%
American Home Products
Corporation................. 50,000 3,313
Baxter International,
Incorporated................ 65,000 3,112
Bristol-Myers Squibb
Company..................... 166,000 10,873
Columbia HCA Healthcare
Corporation................. 222,000 7,770
Foundation Health Systems..... 100,800 2,722
Horizon/CMS Healthcare
Corporation................. 429,200 6,814
Pharmacia & Upjohn,
Incorporated................ 248,400 7,359
Warner Lambert,
Incorporated................ 81,200 7,958
----------
TOTAL DRUGS AND HOSPITAL
SUPPLY.................. 49,921
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
FOOD PROCESSING - 0.27%
Archer Daniels Midland
Company..................... 64,000 $ 1,176
Heinz H.J. Company............ 5,000 208
I B P Incorporated............ 88,000 2,090
----------
TOTAL FOOD PROCESSING..... 3,474
----------
FOODS - 0.64%
Nabisco Holdings Corporation,
Class A..................... 212,900 8,170
----------
TOTAL FOODS............... 8,170
----------
LEISURE - 1.54%
Hasbro, Incorporated.......... 305,100 7,628
Mattel, Incorporated.......... 339,400 9,461
Toys R Us, Incorporated....... 83,700 2,385
----------
TOTAL LEISURE............. 19,474
----------
PHOTOGRAPHY - 1.57%
Eastman Kodak Company......... 238,900 19,948
----------
TOTAL PHOTOGRAPHY......... 19,948
----------
PUBLISHING - 0.67%
A.H. Belo, Incorporated,
Class A..................... 235,600 8,482
----------
TOTAL PUBLISHING.......... 8,482
----------
TOBACCO - 4.52%
American Brands,
Incorporated................ 166,900 8,971
Philip Morris Companies,
Incorporated................ 969,000 38,154
RJR Nabisco Holdings.......... 344,020 10,235
----------
TOTAL TOBACCO............. 57,360
----------
TOTAL CONSUMER STAPLES.... 212,525
----------
INTEREST SENSITIVE - 31.91%
BANKS - 8.77%
Banc One Corporation.......... 54,200 2,297
BankAmerica Corporation....... 193,700 22,639
Bank of Boston Corporation.... 31,600 2,299
Bankers Trust Company New
York........................ 92,000 7,487
Chase Manhattan Corporation... 289,814 26,844
First Chicago NBD............. 226,965 12,767
First of America Bank
Corporation................. 52,000 3,458
First Security Corporation.... 120,500 4,293
First Union Corporation....... 17,000 1,428
Fleet Financial Group,
Incorporated................ 72,000 4,392
J.P. Morgan & Company,
Incorporated................ 92,600 9,434
NationsBank Corporation....... 80,000 4,830
</TABLE>
See accompanying notes
28
<PAGE> 30
AMR INVESTMENT SERVICES GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
PNC Bank Corporation.......... 219,600 $ 9,031
----------
TOTAL BANKS............... 111,199
----------
BUILDING AND MATERIALS - 0.55%
PPG Industries,
Incorporated................ 130,100 7,074
----------
TOTAL BUILDING AND
MATERIALS............... 7,074
----------
FINANCE - 0.86%
Beneficial Corporation........ 60,000 3,840
Household International,
Incorporated................ 45,000 3,960
Paine Webber Group,
Incorporated................ 91,300 3,104
----------
TOTAL FINANCE............. 10,904
----------
INSURANCE - LIFE AND MULTI-LINE - 3.86%
American Financial Group,
Incorporated................ 210,150 7,329
American General
Corporation................. 69,000 3,010
Aon Corporation............... 181,400 12,063
Lincoln National
Corporation................. 70,000 3,920
Old Republic International
Corporation................. 370,900 10,478
TransAmerica Corporation...... 50,000 4,238
Travelers Corporation......... 142,791 7,907
----------
TOTAL INSURANCE - LIFE AND
MULTI-LINE.............. 48,945
----------
INSURANCE - PROPERTY AND CASUALTY - 1.39%
Allstate Corporation.......... 134,714 8,824
Chubb Corporation............. 85,000 4,909
TIG Holdings, Incorporated.... 141,000 3,913
----------
TOTAL INSURANCE - PROPERTY
AND CASUALTY............ 17,646
----------
SAVINGS AND LOAN - 0.71%
Great Western Financial
Corporation................. 105,000 4,410
H.F. Ahmanson & Company....... 120,000 4,575
----------
TOTAL SAVINGS AND LOAN.... 8,985
----------
UTILITIES - ELECTRIC - 6.44%
Central and Southwest
Corporation................. 175,000 3,522
CMS Energy Corporation........ 130,000 4,128
DTE Energy Company............ 256,800 6,869
Edison International.......... 187,500 3,938
Entergy Corporation........... 826,700 19,324
Houston Industries,
Incorporated................ 186,300 3,726
Illinova Corporation.......... 170,000 3,825
New York State Electric & Gas
Corporation................. 70,000 1,470
</TABLE>
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
Northeast Utilities........... 684,600 $ 5,648
Peco Energy Company........... 204,000 4,029
Potomac Electric Power........ 80,300 1,807
PP&L Resources,
Incorporated................ 52,000 1,021
Public Service Enterprise
Group, Incorporated......... 172,100 4,152
Rochester Gas and Electric,
Incorporated................ 60,000 1,118
Unicom Corporation............ 785,500 17,085
----------
TOTAL UTILITIES -
ELECTRIC................ 81,662
----------
UTILITIES - NATURAL GAS - 1.39%
Consolidated Natural Gas
Company..................... 305,300 15,379
Peoples Energy Corporation.... 65,000 2,194
----------
TOTAL UTILITIES - NATURAL
GAS..................... 17,573
----------
UTILITIES - TELEPHONE - 3.56%
Alltel Corporation............ 98,000 3,087
AT&T Corporation.............. 438,900 14,703
NYNEX Corporation............. 100,000 5,175
SBC Communications............ 165,577 9,190
US West, Incorporated......... 368,900 12,958
----------
TOTAL UTILITIES -
TELEPHONE............... 45,113
----------
MISCELLANEOUS - INTEREST SENSITIVE - 4.38%
American Express Company...... 355,100 23,392
Dean Witter Discover &
Company..................... 116,400 4,452
Federal Home Loan Mortgage
Corporation................. 314,400 10,022
Federal National Mortgage
Association................. 328,000 13,489
Fund American Enterprises,
Incorporated................ 41,375 4,132
----------
TOTAL MISCELLANEOUS -
INTEREST SENSITIVE...... 55,487
----------
TOTAL INTEREST
SENSITIVE............... 404,588
----------
CONSUMER CYCLICALS - 6.67%
AUTOMOBILE AND TRUCK - 6.06%
Dana Corporation.............. 457,800 14,592
Eaton Corporation............. 60,000 4,493
First Brands Corporation...... 340,500 8,640
Ford Motor Company............ 845,800 29,392
General Motors Corporation.... 339,700 19,660
----------
TOTAL AUTOMOBILE AND
TRUCK................... 76,777
----------
</TABLE>
See accompanying notes
29
<PAGE> 31
AMR INVESTMENT SERVICES GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
ELECTRICAL HOUSEHOLD EQUIPMENT - 0.31%
Whirlpool Corporation......... 85,000 $ 3,974
----------
TOTAL ELECTRICAL HOUSEHOLD
EQUIPMENT............... 3,974
----------
TIRE AND RUBBER - 0.30%
Goodyear Tire & Rubber
Company..................... 73,000 3,842
----------
TOTAL TIRE AND RUBBER..... 3,842
----------
TOTAL CONSUMER
CYCLICALS............... 84,593
----------
INTERMEDIATE GOODS & SERVICES - 22.90%
CHEMICALS - 2.94%
ARCO Chemical Company......... 95,000 4,014
Dow Chemical.................. 50,000 4,244
E.I. DuPont de Nemours &
Company..................... 40,000 4,245
Eastman Chemical Company...... 177,775 9,067
FMC Corporation (non-income
producing).................. 183,200 12,297
Great Lakes Chemicals
Corporation................. 49,100 2,081
Millenium Chemicals,
Incorporated................ 82,671 1,466
----------
TOTAL CHEMICALS........... 37,414
----------
FOREST PRODUCTS - 1.66%
Boise Cascade Corporation..... 124,000 4,123
Georgia-Pacific Corporation... 36,000 2,808
International Paper Company... 80,000 3,380
Louisiana Pacific
Corporation................. 111,400 2,075
Mead Corporation.............. 43,000 2,413
Union Camp Corporation........ 52,000 2,529
Weyerhaeuser Company.......... 80,000 3,660
----------
TOTAL FOREST PRODUCTS..... 20,988
----------
METALS - ALUMINUM - 0.74%
Alumax, Incorporated.......... 136,800 4,993
Aluminum Company of
America..................... 52,000 3,634
Newport News Shipbuilding,
Incorporated................ 50,540 758
----------
TOTAL METALS - ALUMINUM... 9,385
----------
METALS - MINING - 0.18%
Cyprus Amax Minerals
Corporation................. 100,000 2,238
----------
TOTAL METALS - MINING..... 2,238
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
NATURAL GAS TRANSMISSION - 0.69%
Coastal Corporation........... 111,200 $ 5,282
El Paso Natural Gas Company... 59,759 3,473
----------
TOTAL NATURAL GAS
TRANSMISSION............ 8,755
----------
OIL - 10.97%
Amoco Corporation............. 215,900 18,055
Atlantic Richfield
Corporation................. 159,800 21,753
Chevron Corporation........... 55,000 3,768
Exxon Corporation............. 234,200 13,262
Louisiana Land and Exploration
Company..................... 181,625 9,081
Mobil Corporation............. 21,500 2,795
Occidental Petroleum
Corporation................. 178,700 3,954
Oryx Energy Company........... 250,900 5,018
Phillips Petroleum Company.... 462,100 18,195
Tenneco, Incorporated......... 226,800 9,044
Texaco, Incorporated.......... 143,100 15,097
Ultramar Diamond Shamrock
Corporation................. 120,000 3,855
Union Pacific Resources Group,
Incorporated................ 267,700 7,261
Union Texas Petroleum
Holdings, Incorporated...... 418,400 7,897
----------
TOTAL OIL................. 139,035
----------
OIL SERVICE - 1.51%
Baker Hughes, Incorporated.... 556,100 19,185
----------
TOTAL OIL SERVICE......... 19,185
----------
TRANSPORTATION - 2.45%
Burlington Northern,
Incorporated................ 6,900 543
Conrail, Incorporated......... 30,586 3,494
CSX Corporation............... 248,900 11,605
Norfolk Southern
Corporation................. 171,300 15,396
----------
TOTAL TRANSPORTATION...... 31,038
----------
MISCELLANEOUS - INTERMEDIATE GOODS
& SERVICES - 1.76%
Browning-Ferris Industries.... 129,300 3,669
Dresser Industries,
Incorporated................ 229,800 6,865
Federal-Mogul Corporation..... 39,100 1,080
GATX Corporation.............. 72,900 3,991
Mapco, Incorporated........... 224,600 6,654
----------
TOTAL MISCELLANEOUS -
INTERMEDIATE GOODS &
SERVICES................ 22,259
----------
TOTAL INTERMEDIATE GOODS &
SERVICES................ 290,297
----------
</TABLE>
See accompanying notes
30
<PAGE> 32
AMR INVESTMENT SERVICES GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
CAPITAL GOODS - 14.37%
AEROSPACE - 7.54%
Coltec Industries,
Incorporated (non-income
producing).................. 465,700 $ 9,430
Harsco Corporation............ 110,000 4,056
Lockheed Martin Corporation... 267,898 23,977
Northrop Corporation.......... 55,000 4,593
Raytheon Company.............. 262,800 11,465
Rockwell International
Corporation................. 60,000 3,990
Textron, Incorporated......... 203,800 22,698
Thiokol Corporation........... 166,900 10,890
United Technologies
Corporation................. 60,000 4,538
----------
TOTAL AEROSPACE........... 95,637
----------
ELECTRICAL EQUIPMENT - 1.88%
Dover Corporation............. 34,000 1,802
Honeywell, Incorporated....... 91,200 6,441
ITT Industries,
Incorporated................ 208,800 5,272
MEMC Electronic Materials,
Incorporated................ 84,100 2,302
Westinghouse Electric
Corporation................. 469,200 7,976
----------
TOTAL ELECTRICAL
EQUIPMENT............... 23,793
----------
ELECTRONICS - INDUSTRIAL - 0.20%
Lam Research Corporation...... 27,000 783
VLSI Technology,
Incorporated................ 90,500 1,799
----------
TOTAL ELECTRONICS -
INDUSTRIAL.............. 2,582
----------
MACHINERY - 1.46%
Caterpillar Tractor Company... 23,000 2,047
Deere and Company............. 147,000 6,762
Millipore Corporation......... 122,100 4,609
Tecumseh Products Company..... 94,400 5,098
----------
TOTAL MACHINERY........... 18,516
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
---------- ----------
(dollars in thousands)
<S> <C> <C>
OFFICE EQUIPMENT - 3.29%
International Business
Machines Corporation........ 74,300 $ 11,944
Storage Tech Group............ 121,400 4,264
Xerox Corporation............. 413,700 25,443
----------
TOTAL OFFICE EQUIPMENT.... 41,651
----------
TOTAL CAPITAL
GOODS................... 182,179
----------
TOTAL COMMON
STOCK................... 1,217,185
----------
Par
Amount
----------
SHORT-TERM INVESTMENTS (NOTE A) - 3.70%
Industrial Bank of Japan, Limited,
New York, BA, 5.51%, Due
5/27/1997................... $ 15,000 14,939
Skandinaviska Enskilda Banken,
Euro TD, 5.75%, Due
5/1/1997.................... 31,949 31,949
----------
TOTAL SHORT-TERM
INVESTMENTS............. 46,888
----------
TOTAL INVESTMENTS - 99.70%
(COST $1,006,155)........... 1,264,073
----------
OTHER ASSETS, NET OF
LIABILITIES - 0.30%......... 3,759
----------
TOTAL NET ASSETS - 100%....... $1,267,832
==========
</TABLE>
- ---------------
Based on the cost of investments of $1,007,708 for federal income tax purposes
at April 30, 1997, the aggregate gross unrealized appreciation was $287,133, the
aggregate gross unrealized depreciation was $30,768, and the net unrealized
appreciation of investments was $256,365.
(A) Rates associated with short-term investments represent yield to maturity.
ABBREVIATIONS:
ADR - American Depositary Receipt
AG - Company
BA - Bankers Acceptance
NV - Company
PLC - Public Limited Corporation
SA - Company
TD - Time Deposit
See accompanying notes
31
<PAGE> 33
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- -----------
(dollars in thousands)
<S> <C> <C>
AUSTRALIA COMMON STOCKS - 4.19%
Australia & New Zealand
Banking Group.............. 843,442 $ 5,400
Brambles Industries,
Limited.................... 179,000 3,247
Burns Philip & Company,
Limited.................... 400,000 667
CSR, Limited................. 633,000 2,345
Coles Myer, Limited
Australian................. 323,000 1,574
Davids, Limited.............. 688,173 667
GIO Australia Holdings,
Limited.................... 486,509 1,445
Goodman Fielder, Limited..... 1,150,000 1,510
News Corporation, Limited.... 210,000 970
News Corporation Preferred
Rights..................... 230,000 879
North, Limited............... 136,000 481
Pioneer International,
Limited.................... 960,000 3,167
QBE Insurance Group,
Limited.................... 429,197 2,459
-----------
TOTAL AUSTRALIA COMMON
STOCKS................. 24,811
-----------
AUSTRIA COMMON STOCKS - 0.88%
Boehler-Uddeholm............. 31,185 2,250
Evn Energie-Versorgung
Niederroesterreich AG...... 3,960 491
Mayr-Melnhof Karton AG....... 16,000 758
VA Technologie AG............ 11,000 1,710
-----------
TOTAL AUSTRIA COMMON
STOCKS................. 5,209
-----------
BELGIUM COMMON STOCKS - 0.41%
GIB Holdings, Limited, NPV... 22,000 955
Solvay Et Cie, NPV........... 2,500 1,498
-----------
TOTAL BELGIUM COMMON
STOCKS................. 2,453
-----------
CANADA COMMON STOCKS - 1.97%
Anderson Exploration,
Limited.................... 115,000 1,329
Bank of Nova Scotia.......... 67,839 2,575
Canadian Imperial Bank of
Commerce................... 120,000 2,756
IMASCO, Limited.............. 119,000 3,240
Noranda, Incorporated........ 70,500 1,488
Oshawa Group, Limited........ 16,700 262
-----------
TOTAL CANADA COMMON
STOCKS................. 11,650
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
--------- -----------
(dollars in thousands)
<S> <C> <C>
DENMARK COMMON STOCKS - 0.98%
Den Danske Bank.............. 16,000 $ 1,384
Novo Nordisk AS, "B"......... 10,400 1,029
Teledanmark AS, "B".......... 16,700 803
Unidanmark AS, "A"........... 52,200 2,582
-----------
TOTAL DENMARK COMMON
STOCKS................. 5,798
-----------
FINLAND COMMON STOCKS - 2.40%
Enso-Gutzeit OY.............. 187,000 1,545
Huhtamaki Group I Free....... 25,000 1,083
Merita Bank, Limited......... 785,000 2,549
Metsa-Serla OY, "B".......... 100,000 749
Nokia OY, "A"................ 48,500 3,024
UPM-Kymmene OY............... 231,400 5,292
-----------
TOTAL FINLAND COMMON
STOCKS................. 14,242
-----------
FRANCE COMMON STOCKS - 7.84%
Adecco SA.................... 3,855 1,287
Alcatel Alsthom CG........... 43,100 4,793
Axa SA....................... 37,542 1,695
Banque Nationale de Paris.... 90,500 3,861
Bertrande Faure.............. 29,500 1,413
Bongrain SA.................. 2,370 897
Elf Aquitaine SA............. 75,500 7,322
Groupe Danone................ 14,700 2,141
La Farge-Coppee SA........... 86,208 5,654
Pechiney SA.................. 35,858 1,339
Pernod-Ricard................ 49,107 2,523
Peugot SA.................... 9,100 906
Rhone-Poulenc, "A"........... 50,000 1,682
Sa Des Galeries Lafayette.... 162 65
Saint Gobain................. 11,739 1,573
Scor SA...................... 26,000 1,016
Schneider SA................. 12,600 710
Total Petroleum Company,
"B"........................ 49,900 4,138
Usinor Sacilor............... 191,856 2,899
Valeo SA..................... 8,350 515
-----------
TOTAL FRANCE COMMON
STOCKS................. 46,429
-----------
GERMANY - 5.10%
PREFERRED STOCKS - 0.72%
Herlitz AG................... 8,947 902
Spar Handels AG.............. 3,400 44
Volkswagen AG................ 6,800 3,338
-----------
TOTAL GERMANY PREFERRED
STOCKS................. 4,284
-----------
</TABLE>
See accompanying notes
32
<PAGE> 34
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- -----------
(dollars in thousands)
<S> <C> <C>
COMMON STOCKS - 4.38%
BASF AG...................... 49,900 $ 1,925
BAYER AG..................... 162,925 6,481
Commerzbank AG............... 143,000 3,856
Deutsche Bank AG............. 36,000 1,900
Hoechst AG................... 29,300 1,150
Karstadt AG.................. 6,500 1,951
Mannesmann AG................ 1,940 763
Muenchener Rueckversicherungs
AG......................... 300 494
Varta AG (non-income
producing)................. 1,520 233
Veba AG...................... 69,200 3,591
Viag AG...................... 4,350 1,939
Volkswagen AG................ 2,650 1,680
-----------
TOTAL GERMANY COMMON
STOCKS................. 25,963
-----------
TOTAL GERMANY............ 30,247
-----------
HONG KONG COMMON STOCKS - 4.21%
Cheung Kong Holdings,
Limited.................... 235,000 2,063
China Light and Power
Company.................... 789,000 3,555
Dickson Concepts
(International), Limited... 643,000 2,374
Hang Lung Development
Company, Limited........... 1,268,000 2,341
Hong Kong Electric
Holdings................... 308,400 1,091
Hong Kong Telecommunications,
Limited.................... 1,790,400 3,074
HSBC Holdings, Limited....... 114,500 2,897
Hutchinson Whampoa,
Limited.................... 200,000 1,485
National Mutual of Asia,
Limited.................... 1,700,000 1,756
New Asia Realty and Trust
Company, Limited........... 135,000 498
New World Development
Company, Limited........... 459,000 2,649
Peregrine Investments
Holdings, Limited.......... 550,000 845
Peregrine Investments
Holdings, Limited
Warrants................... 55,000 8
Swire Pacific, Limited,
"A"........................ 40,000 309
-----------
TOTAL HONG KONG COMMON
STOCKS................. 24,945
-----------
IRELAND COMMON STOCKS - 0.50%
Jefferson Smurfit............ 1,199,242 2,936
-----------
TOTAL IRELAND COMMON
STOCKS................. 2,936
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
--------- -----------
(dollars in thousands)
<S> <C> <C>
ITALY - 2.61%
PREFERRED STOCK - 0.17%
Concessioni E Costruzioni
Autostrade................. 525,000 $ 1,012
-----------
TOTAL ITALY PREFERRED
STOCK.................. 1,012
-----------
COMMON STOCKS - 2.44%
Burgo (Cartiere) SPA......... 220,000 1,217
Danieli Group Risp........... 473,960 1,705
Fiat SPA..................... 700,000 2,310
Instituto Nazionale Delle
Assicurazioni.............. 770,000 1,032
Merloni Elettrodomestici
SPA........................ 185,500 467
Olivetti Ing C & Co.......... 711,000 208
Sasib SPA.................... 500,000 929
Sta Finanziaria Telefonica
Torino..................... 1,015,000 3,765
STET Risp Non Convertible.... 550,000 2,601
Telecom Italia, SPA Non
Convertible Risp........... 110,000 237
-----------
TOTAL ITALY COMMON
STOCKS................. 14,471
-----------
TOTAL ITALY.............. 15,483
-----------
JAPAN COMMON STOCKS - 11.65%
Aisin Seiki Company,
Limited.................... 123,000 1,783
Aoyama Trading Company....... 18,000 508
Bridgestone Corporation...... 54,000 1,149
Canon, Incorporated.......... 74,000 1,755
Chudenko Corporation......... 28,000 715
Daibiru Corporation.......... 143,000 1,577
Daicel Chemical.............. 184,000 693
Daikin Industries............ 14,000 110
Dainippon Ink & Chemical..... 57,000 213
Daiwa House Industry Company,
Limited.................... 166,000 1,857
East Japan Railway Company... 313 1,354
Fuji Photo Film.............. 193,000 7,376
Hitachi Koki Company,
Limited.................... 70,000 444
Hitachi, Limited............. 383,000 3,471
Isuzu Motors, Limited........ 67,000 252
KAO Corporation.............. 180,000 2,099
Kioto Manufacturing Company,
Limited.................... 108,000 655
Kirin Brewery Company,
Limited.................... 38,000 329
Matsushita Electric
Industrial Company......... 226,000 3,615
MOS Food Services............ 89,000 1,206
NKK Corporation.............. 461,000 995
Nichicon Corporation......... 234,000 2,563
</TABLE>
See accompanying notes
33
<PAGE> 35
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- -----------
(dollars in thousands)
<S> <C> <C>
Nichido Fire & Marine
Insurance.................. 304,000 $ 1,636
Nintendo Company, Limited.... 37,300 2,727
Nippon Fire and Marine
Insurance.................. 287,000 1,131
Nippon Telegraph & Telephone
Corporation................ 193 1,361
Promise Company, Limited..... 77,000 3,185
Ryosan Company............... 12,000 254
Sekisui Chemical Company,
Limited.................... 332,000 3,192
Shionogi & Company........... 36,000 240
Sony Corporation............. 88,800 6,465
Sumitomo Marine & Fire
Insurance.................. 402,000 2,474
Sumitomo Rubber Industries... 124,000 811
Suzuki Motor Company,
Limited.................... 193,000 2,053
TDK Corporation.............. 25,000 1,802
Toyo Seikan Kaisha........... 121,000 2,221
Yamanouchi Pharmaceutical.... 110,000 2,349
Yamato Kogyo Company,
Limited.................... 35,000 303
Yodogawa Steel Works......... 375,000 2,122
-----------
TOTAL JAPAN COMMON
STOCKS................. 69,045
-----------
MEXICO COMMON STOCKS - 0.16%
Alfa, SA..................... 175,000 945
-----------
TOTAL MEXICO COMMON
STOCKS................. 945
-----------
MALAYSIA COMMON STOCKS - 1.19%
Arab Malaysian Finance....... 780,000 1,709
Bolton Properties............ 909,000 1,441
Golden Hope Plantations
BHD........................ 752,000 1,192
Hicom Holdings BHD........... 195,300 432
Kedah Cement Holdings BHD.... 729,000 1,133
Malaysian International
Shipping Corporation BHD... 505,666 1,138
-----------
TOTAL MALAYSIA COMMON
STOCKS................. 7,045
-----------
NETHERLANDS COMMON STOCKS - 7.02%
ABN AMRO Holdings NV......... 58,900 4,048
Aegon NV..................... 40,000 2,834
Akzo Nobel NV................ 55,030 7,090
Fortis Amev NV............... 76,054 2,869
Hollandsche Beton Groep NV... 15,804 3,432
Internationale Nederlanden
Groep NV................... 242,845 9,536
Koninklijke Bijenkorf Beheer
NV......................... 17,400 1,148
</TABLE>
<TABLE>
<CAPTION>
Shares Value
--------- -----------
(dollars in thousands)
<S> <C> <C>
Phillips Electronics......... 114,900 $ 5,998
Royal PTT Nederland NV....... 76,480 2,717
Unilever NV.................. 10,000 1,945
-----------
TOTAL NETHERLANDS COMMON
STOCKS................. 41,617
-----------
Par
Amount
---------
NEW ZEALAND - 1.00%
FOREIGN BONDS - 0.01%
Brierley Investments, Limited
Subordinated Convertible,
9.00%, Due 6/30/1998....... $ 63 53
-----------
TOTAL NEW ZEALAND FOREIGN
BONDS.................. 53
-----------
Shares
---------
COMMON STOCKS - 0.99%
Brierley Investments,
Limited.................... 1,400,000 1,233
Fisher & Paykel, Limited..... 210,000 754
Fletcher Challenge Paper..... 382,500 849
Fletcher Challenge
Building................... 775,250 2,177
Lion Nathan, Limited......... 355,000 854
-----------
TOTAL NEW ZEALAND COMMON
STOCKS................. 5,867
-----------
TOTAL NEW ZEALAND........ 5,920
-----------
NORWAY COMMON STOCKS - 2.14%
Den Norsk Bank, Series A..... 462,200 1,668
Kvaerner Industries AS....... 49,789 2,475
Norsk Hydro AS............... 40,000 1,949
Nycomed AS, Series B......... 278,500 4,009
Saga Petroleum, Series B
Free....................... 100,000 1,615
Unitor AS.................... 80,000 977
-----------
TOTAL NORWAY COMMON
STOCKS................. 12,693
-----------
SINGAPORE COMMON STOCKS - 0.78%
Hong Kong Land............... 869,149 1,808
Inchcape Berhad.............. 275,000 960
Sembawang Corporation........ 258,000 1,115
Singapore Finance, Limited... 27,000 40
Van Der Horst................ 240,000 690
-----------
TOTAL SINGAPORE COMMON
STOCKS................. 4,613
-----------
SPAIN COMMON STOCKS - 3.76%
Banco Espana Credito SA...... 7,000 62
Banco Popular Espanol........ 7,000 1,486
Banco Santander SA........... 40,860 3,077
Iberdrola SA................. 329,957 3,727
Repsol SA (BR)............... 120,100 5,040
Telefonica de Espana......... 308,600 7,912
</TABLE>
See accompanying notes
34
<PAGE> 36
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- -----------
(dollars in thousands)
<S> <C> <C>
Uralita (non-income
producing)................. 119,250 $ 992
-----------
TOTAL SPAIN COMMON
STOCKS................. 22,296
-----------
SWEDEN COMMON STOCKS - 3.20%
Assidoman AB................. 48,000 1,202
Astra AB, "B" Free........... 20,700 822
Electrolux AB, "B"........... 44,100 2,529
Esselte AB, Class "A"........ 2,000 43
Esselte AB, Class "B"........ 17,000 388
Fastighets AB Tornet......... 1,970 21
Marieberg Tidnings........... 77,267 1,802
Nordbanken AS................ 29,900 918
Pharmacia & Upjohn,
Incorporated............... 24,400 703
Skandia Forsakrings AB....... 23,100 668
SKF AB, "B" Free............. 97,300 2,108
Sparbanken Sverige AB, "A"... 91,700 1,636
Stora Kopparsbergs Bergslags,
"A"........................ 42,100 582
Stora Kopparsbergs Bergslags,
"B"........................ 25,800 354
Svedala Industries, "A"
Free....................... 90,000 1,652
Svenska Cellulosa, "B"
Free....................... 53,900 1,154
Svenska Handelsbanken, "A"... 3,200 88
Volvo AB..................... 90,000 2,266
-----------
TOTAL SWEDEN COMMON
STOCKS................. 18,936
-----------
SWITZERLAND COMMON STOCKS - 6.50%
ABB AG....................... 1,100 1,333
Ciba Specialty Chemicals
AG......................... 2,453 211
Forbo Holding AG............. 3,280 1,322
Holderbank Financial
Glarus-B................... 2,030 1,580
Nestle SA.................... 7,065 8,583
Novartis AG.................. 5,332 7,028
Schindler Holding AG......... 1,110 1,345
SGS Holding SA (Reg)......... 4,200 1,633
SGS Holding SA (BR).......... 240 497
SIG AG....................... 1,540 4,228
Sulzer AG (Reg).............. 1,800 1,240
Sulzer AG (Part Cert)........ 4,907 3,377
Swiss Reinsurance Company.... 4,316 4,997
Zurich Versicherungs......... 3,400 1,117
-----------
TOTAL SWITZERLAND COMMON
STOCKS................. 38,491
-----------
UNITED KINGDOM COMMON STOCKS - 17.11%
Albert Fisher Group, PLC..... 262,500 168
Allied Domecq, PLC........... 516,910 3,661
Associated British Foods
Group, PLC................. 42,400 367
</TABLE>
<TABLE>
<CAPTION>
Shares Value
--------- -----------
(dollars in thousands)
<S> <C> <C>
Bank of Scotland............. 166,700 $ 1,001
Barclays, PLC................ 27,900 520
Barratt Developments, PLC.... 350,000 1,474
BAT Industries, PLC.......... 672,800 5,688
BG, PLC...................... 1,150,000 3,340
British Telecommunications... 503,500 3,697
BTR, PLC..................... 1,315,600 5,390
Burmah Castrol, PLC.......... 124,800 2,050
Burton Group, PLC............ 335,000 829
Chubb Security............... 167,200 1,215
Coats Viyella, PLC........... 1,573,000 3,357
Commercial Union, PLC........ 172,500 1,910
Cortaulds, PLC............... 285,000 1,538
Energy Group, PLC............ 124,000 981
English China Claylord
Group...................... 139,544 464
Grand Metropolitan, PLC...... 500,800 4,193
Hanson, PLC.................. 468,500 2,269
Harrisons & Crosfield, PLC... 1,391,800 2,766
Hillsdown Holdings, PLC...... 1,013,100 2,984
Hyder, PLC................... 238,000 3,315
Imperial Chemical Industries,
PLC........................ 27,000 307
Imperial Tobacco Group....... 195,100 1,282
Kwik Save Group, PLC......... 198,900 976
Lex Service.................. 350,000 2,002
London Pacific Group, PLC.... 130,000 451
National Grid Group, PLC..... 203,053 736
National Power, PLC.......... 50,000 433
National Westminster Bank,
PLC........................ 326,400 3,866
Northern Foods, PLC.......... 500,000 1,700
Peninsular & Orient Steam
Company.................... 162,350 1,582
PowerGen, PLC................ 351,790 3,693
Racal Electronics, PLC....... 203,300 787
Reckitt & Coleman, PLC....... 355,527 4,831
Redland, PLC................. 877,900 4,986
Rolls Royce, PLC............. 201,400 792
Royal & Sun Alliance
Insurance Group............ 263,200 2,086
Safeway, PLC................. 309,677 1,711
Salvesen (Christian), PLC.... 449,977 1,898
Scottish Hydro-Electric,
PLC........................ 78,750 503
Shell Transportation &
Trading, PLC............... 45,000 796
Southern Electric, PLC....... 109,846 780
Storehouse................... 109,900 390
Tate & Lyle, PLC............. 276,600 2,062
Tesco, PLC................... 343,819 1,992
Thames Water Group, PLC...... 189,800 2,086
Unilever, PLC................ 127,300 3,351
</TABLE>
See accompanying notes
35
<PAGE> 37
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- -----------
(dollars in thousands)
<S> <C> <C>
WPP Group, PLC............... 300,000 $ 1,229
Wace Group, PLC.............. 719,700 882
-----------
TOTAL UNITED KINGDOM
COMMON STOCKS.......... 101,367
-----------
UNITED STATES - 11.65%
FOREIGN SECURITIES DENOMINATED IN U.S. DOLLARS - 2.31%
Cho Hung Bank GDR............ 405,800 2,201
Dairy Farm International..... 908,000 672
G P Batteries International,
Limited.................... 137,000 404
G P Batteries Warrants
Expiration 11/15/2000...... 34,250 34
Jardine Matheson Holdings,
Limited.................... 797,000 4,384
Jardine Strategic............ 1,325,000 4,505
Jardine Strategic Holdings
Warrants................... 66,250 24
Telmex ADR................... 35,000 1,444
-----------
TOTAL FOREIGN SECURITIES
DENOMINATED IN U.S.
DOLLARS................ 13,668
-----------
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
--------- -----------
<S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS (NOTE
A) - 6.64%
Federal Farm Credit Banks,
Discount Note, 5.33%, Due
5/19/1997.................. $ 3,485 3,475
Federal Home Loan Mortgage
Corporation, Discount Note,
5.36%, Due 5/13/1997....... 4,855 4,846
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
--------- -----------
<S> <C> <C>
Discount Note, 5.41%, Due
5/14/1997.................. $ 3,005 $ 2,999
Discount Note, 5.40%, Due
5/15/1997.................. 5,800 5,787
Federal National Mortgage
Association, Discount Note,
5.40%, Due 5/2/1997........ 5,780 5,778
Student Loan Mortgage
Association, Discount Note,
5.40%, Due 5/7/1997........ 5,800 5,794
U.S. Treasury Bill,
5.13%, Due 5/8/1997........ 329 329
4.97%, Due 5/15/1997....... 9,185 9,166
4.71%, Due 6/5/1997........ 1,203 1,197
-----------
TOTAL UNITED STATES
GOVERNMENT AND AGENCY
OBLIGATIONS............ 39,371
-----------
SHORT-TERM INVESTMENTS (NOTE B) - 2.70%
Bank of New York, TD,
5.4375%, Due 5/2/1997...... 9,000 9,000
Nestle Capital Corporation,
CP, 5.525%, Due 5/2/1997... 7,000 6,997
-----------
TOTAL SHORT-TERM
INVESTMENTS............ 15,997
-----------
TOTAL UNITED STATES........ 69,036
-----------
TOTAL INVESTMENTS -
97.25% (COST $492,869)..... 576,207
-----------
OTHER ASSETS, NET OF
LIABILITIES - 2.75%........ 16,293
-----------
TOTAL NET ASSETS - 100%...... $ 592,500
===========
</TABLE>
See accompanying notes
36
<PAGE> 38
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
Based on the cost of investments of $493,013 for federal income tax purposes at
April 30, 1997, the aggregate gross unrealized appreciation was $102,432, the
aggregate gross unrealized depreciation was $19,238, and the net unrealized
appreciation of investments was $83,194.
(A) Rates associated with United States Government Bonds represent yield to
maturity from time of purchase.
(B) Rates associated with short-term investments represent yield to maturity or
yield to next reset date.
ABBREVIATIONS:
AB - Company (Sweden)
ADR - American Depository Receipt (United States)
AG - Company (Austria, Germany, Switzerland)
AS - Company (Denmark, Norway, Sweden)
BHD - Berhard (Malaysia)
BR - Bearer (Spain, Switzerland)
CG - Company General (France)
CP - Commercial paper (United States)
GDR - Global Depository Receipt (United States)
NPV - No Par Value (Belgium)
NV - Company (Netherlands)
OY - Company (Finland)
PLC - Public Limited Corporation (UK)
SA - Company (France, Mexico, Spain, Switzerland)
SPA - Company (Italy)
TD - Time Deposit (United States)
See accompanying notes
37
<PAGE> 39
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
INDUSTRY DIVERSIFICATION
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Percent of
Net Assets
----------
<S> <C>
Basic Industry.............................................. 29.05%
Capital Goods............................................... 9.66%
Consumer Goods & Services................................... 21.25%
Energy...................................................... 4.60%
Financing, Insurance & Real Estate.......................... 18.23%
Transportation.............................................. 1.25%
Utilities................................................... 3.87%
Short Term Investments...................................... 9.34%
Other Assets/Liabilities.......................... 2.75%
------
NET ASSETS........................................ 100.00%
======
</TABLE>
See accompanying notes
38
<PAGE> 40
AMR INVESTMENT SERVICES LIMITED-TERM INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
---------- --------
(dollars in thousands)
<S> <C> <C>
CERTIFICATES OF DEPOSIT - 4.09%
Advanta National Bank, CD,
6.43%, Dated 4/30/1996, Due
4/30/1998.................... $ 9,000 $ 8,959
--------
TOTAL CERTIFICATES OF
DEPOSIT.................. 8,959
--------
U.S. GOVERNMENT & AGENCY
OBLIGATIONS - 45.25%
Federal Home Loan Bank, 6.25%,
Due 6/26/1998, Callable
6/26/1997.................... 5,500 5,504
Federal Home Loan Mortgage
Corporation, M H-1 A REMIC,
10.15%, Due 4/15/2006........ 135 135
Federal National Mortgage
Association, Series 1997-20
F, 5.99761%, Due 3/25/2027... 19,725 19,666
Government National Mortgage
Association,
Pool #780426, 9.50%,
Due 11/15/2017............... 24,218 26,274
Pool #780285, 9.50%,
Due 12/15/2017............... 22,100 23,976
Pool #780173, 9.50%,
Due 12/15/2019............... 11,040 11,954
Pool #780010, 9.50%,
Due 3/15/2023................ 10,841 11,702
--------
TOTAL U.S. GOVERNMENT &
AGENCY OBLIGATIONS....... 99,211
--------
CORPORATE OBLIGATIONS - 16.71%
BANK FUNDING - 5.76%
Bank of America, 12.50%, Due
4/1/2001..................... 5,000 5,917
Southtrust Bank of Alabama,
5.58%, Due 2/6/2006, Puttable
2/6/2001..................... 7,000 6,698
--------
TOTAL BANK FUNDING......... 12,615
--------
FOREIGN BONDS - 10.95%
Allied Irish Banks, Euro
Subordinated Bank Note,
Variable Rate, 5.93750%, Due
9/7/2006..................... 9,000 9,014
Argentaria, Euro Subordinated
Bank Note, Variable Rate,
5.95703%, Due 9/28/2007...... 10,000 9,992
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
---------- --------
(dollars in thousands)
<S> <C> <C>
Merita Bank, Euro Subordinated
Bank Note, Variable Rate,
5.90%, Due 5/30/2003......... $ 5,000 $ 5,004
--------
TOTAL FOREIGN BONDS........ 24,010
--------
TOTAL CORPORATE
OBLIGATIONS.............. 36,625
--------
ASSET-BACKED SECURITIES - 10.45%
Citibank Credit Card Master
Trust, Series 1997 3-B,
6.989%, Due 2/10/2004........ 10,000 9,954
Corestates 1996-1, 6.75%, Due
2/15/2005.................... 8,000 8,028
Saxon Asset Securities Trust,
Series 1996-2A2, 6.475%, Due
11/25/2020................... 5,000 4,938
--------
TOTAL ASSET-BACKED
SECURITIES............... 22,920
--------
NON-AGENCY MORTGAGE BACKED OBLIGATIONS - 20.20%
Citicorp Mortgage Securities,
1993-3A4, 6.55%, Due
1/25/2008.................... 10,300 9,987
Collateralized Mortgage
Obligation Trust, 56 A,
9.00%, Due 5/1/2014.......... 152 156
Prudential Home Mortgage
Securities, 1993-20 A6,
6.50%, Due 6/25/2008......... 8,502 8,327
Residential Funding Securities
Corporation, 1995-1 KS1,
6.3375%, Due 6/25/2025....... 3,005 3,024
Resolution Funding Mortgage
Securities, 1992-S36 A3,
6.40%, Due 11/25/2007........ 6,077 5,915
Resolution Trust Corporation,
1992-MH3 B1, 7.25%, Due
12/15/2011................... 6,379 6,387
1992-7 A3, 7.91842%, Due
3/25/2022.................... 2,559 2,518
1992-6 A3, 7.71968%, Due
1/25/2026.................... 2,511 2,535
1992-1 A1, 6.4398%, Due
5/25/2028.................... 2,577 2,600
1992-4 A2, 7.01227%, Due
7/25/2028.................... 2,792 2,834
--------
TOTAL NON-AGENCY MORTGAGE
BACKED OBLIGATIONS....... 44,283
--------
</TABLE>
See accompanying notes
39
<PAGE> 41
AMR INVESTMENT SERVICES LIMITED-TERM INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
---------- --------
(dollars in thousands)
<S> <C> <C>
</TABLE>
SHORT-TERM INVESTMENTS
(NOTE A) - 2.71%
Merrill Lynch Tri-Party
Government Repurchase
Agreement, 5.40%, Due
5/1/1997 (Collateral held at
The Chase Manhattan Bank,
N.A. by FICO Strip Coupons,
Due 5/30/2000 to 11/2/2008,
RFCO Strip Coupons, Due
4/15/2021, $3,284 FHLMC, 0%,
Due 11/29/2019 - Market
Value: $6,065)............... $ 5,945 $ 5,945
--------
TOTAL SHORT-TERM
INVESTMENTS.............. 5,945
--------
TOTAL INVESTMENTS - 99.41%
(COST $218,600).............. 217,943
--------
OTHER ASSETS, NET OF
LIABILITIES - 0.59%.......... 1,290
--------
TOTAL NET ASSETS - 100%........ $219,233
========
- ---------------
Based on the cost of investments of $218,600 for federal income tax purposes at
April 30, 1997, the aggregate gross unrealized appreciation was $197, the
unrealized depreciation was $854, and the net unrealized depreciation of
investments was $657.
(A) Rates associated with short-term investments represent yield to maturity.
ABBREVIATIONS:
CD - Certificate of Deposit
REMIC - Real Estate Mortgage Investment Conduit
TD - Time Deposit
See accompanying notes
40
<PAGE> 42
AMR INVESTMENT SERVICES MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
---------- ----------
<S> <C> <C>
(dollars in thousands)
EURODOLLAR TIME DEPOSITS (NOTE A) - 7.63%
Banque Paribas, 5.75%, Due
5/1/1997................... $ 65,000 $ 65,000
Skandinaviska Enskilda
Banken, 5.75%, Due
5/1/1997................... 63,121 63,121
----------
TOTAL EURODOLLAR TIME
DEPOSITS............... 128,121
----------
CERTIFICATES OF DEPOSIT (NOTE A) - 30.66%
FOREIGN BANKS - 26.79%
Banca CRT S.p.A., New York,
Variable Rate, 5.47656%,
Due 2/20/1998.............. 15,000 14,999
5.81641%, Due 4/9/1998..... 80,000 80,000
Industrial Bank of Japan,
Limited, New York, Variable
Rate, 5.5725%, Due
8/5/1997................... 80,000 80,000
5.49438%, Due 8/27/1997.... 25,000 25,000
Instituto Bancario San Paolo
S.p.A., Variable Rate,
5.62250%, Due 5/22/1998.... 80,000 80,000
Norinchukin Bank, 5.76%, Due
6/2/1997................... 80,000 80,000
Postipankki, Limited, New
York, Variable Rate Demand,
5.69828%, Due 9/26/1997
(Note C)................... 90,000 90,000
----------
TOTAL FOREIGN BANKS...... 449,999
----------
DOMESTIC BANKS - 3.87%
Banco Popular de Puerto Rico,
Variable Rate, 5.81641%,
Due 4/9/1998 (Note B)...... 40,000 40,000
Corestates Bank N.A.,
Variable Rate, 5.75250%,
Due 4/3/1998............... 25,000 25,000
----------
TOTAL DOMESTIC BANKS..... 65,000
----------
TOTAL CERTIFICATES OF
DEPOSIT................ 514,999
----------
PROMISSORY NOTES (NOTES A AND C) - 14.88%
General American Life
Insurance Company,
5.77001%, Due 11/21/1997... 80,000 80,000
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
---------- ----------
<S> <C> <C>
(dollars in thousands)
Goldman Sachs Group L.P.,
Variable Rate Demand,
5.81984%, Due 10/24/1997... $ 80,000 $ 80,000
Jackson National Life
Insurance Company, Variable
Rate Demand, 5.55906%, Due
9/2/1997................... 90,000 90,000
----------
TOTAL PROMISSORY NOTES... 250,000
----------
COMMERCIAL PAPER (NOTE A) - 5.36%
Bankers Trust New York
Corporation, Variable Rate,
5.52250%, Due 11/3/1997.... 90,000 90,000
----------
TOTAL COMMERCIAL PAPER... 90,000
----------
VARIABLE RATE MEDIUM-TERM NOTES
(NOTE A) - 40.96%
American Honda Finance
Corporation, 144A, 5.8225%,
Due 4/6/1998............... 25,000 24,996
5.8225%, Due 4/8/1998...... 50,000 49,986
Bear Stearns Companies,
Incorporated, 5.45781%, Due
2/13/1998.................. 70,000 70,000
Caterpillar Financial
Services Corporation,
5.76250%, Due 4/13/1998.... 42,000 42,000
General Motors Acceptance
Corporation, Demand,
5.47266%, Due 2/23/1998
(Note D)................... 70,000 70,000
Demand, 5.79594%, Due
10/22/1998 (Note D)........ 25,000 25,000
Lehman Brothers Holdings,
Incorporated, 5.64062%, Due
12/5/1997 (Note C)......... 100,000 100,000
Merrill Lynch & Company,
Incorporated, 5.46906%, Due
3/3/1998................... 38,000 37,994
Salomon Incorporated,
6.05156%, Due 10/31/1997... 95,000 95,000
</TABLE>
See accompanying notes
41
<PAGE> 43
AMR INVESTMENT SERVICES MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
---------- ----------
<S> <C> <C>
(dollars in thousands)
</TABLE>
Sanwa Business Credit
Corporation, 144A,
5.53906%, Due 10/6/1997.... $ 22,000 $ 22,000
5.81641%, Due 1/12/1998.... 38,000 38,000
5.46266%, Due 2/24/1998.... 33,000 33,000
Sears Roebuck Acceptance
Corporation, 5.69828%, Due
10/2/1997.................. 80,000 80,000
----------
TOTAL VARIABLE RATE
MEDIUM-TERM NOTES...... 687,976
----------
TOTAL INVESTMENTS - 99.49%
(COST $1,671,096).......... 1,671,096
----------
OTHER ASSETS, NET OF
LIABILITIES - 0.51%........ 8,645
----------
TOTAL NET ASSETS - 100%...... $1,679,741
==========
- ---------------
Based on the cost of investments of $1,671,096 for federal income tax purposes
at April 30, 1997, there was no unrealized appreciation or depreciation of
investments.
(A) Rates associated with money market securities represent yield to maturity or
yield to next reset date.
(B) Obligation is subject to a same day credit quality put back to issuer.
(C) Obligation is subject to an unconditional put back to the issuer with seven
calendar days notice.
(D) Obligation is subject to an unconditional put back to the issuer with thirty
calendar days notice.
ABBREVIATION:
L.P. - Limited Partnership
See accompanying notes
42
<PAGE> 44
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- -----------
(dollars in thousands)
<S> <C> <C>
COMMERCIAL PAPER (NOTE A) - 1.76%
City of Burlington, Kansas
Customized Purchase Pollution
Control Refunding and
Improvement Revenue Bonds,
Series 1985B, 3.35%,
Due 6/3/97, matures 9/1/2015,
LOC Societe Generale......... $ 1,600 $ 1,600
----------
TOTAL COMMERCIAL PAPER..... 1,600
----------
MUNICIPAL BONDS (NOTE A) - 92.58%
ALASKA - 3.75%
Alaska Industrial Development &
Export Authority Refunding
Revenue Bonds (American
President Lines), Series
1991, 4.30%, Due 11/1/2009,
LOC Industrial Bank Japan,
Limited, VRDO................ 3,405 3,405
----------
TOTAL ALASKA............... 3,405
----------
ARIZONA - 2.64%
Apache County Arizona
Industrial Development
Authority Pollution Control
Revenue (Tucson Electric
Power Company), Series 1981B,
4.65%, Due 10/1/2021, LOC
Bank of Tokyo-Mitsubishi,
Limited, VRDO................ 2,400 2,400
----------
TOTAL ARIZONA.............. 2,400
----------
ARKANSAS - 2.42%
Independence County Arkansas
Industrial Development
Revenue Bonds (Townsends
Arkansas, Incorporated
Project), Series 1996, 4.60%,
Due 11/1/2016, LOC Rabobank
Nederland, VRDO.............. 1,000 1,000
Little River County, Arkansas
Solid Waste Disposal Revenue
Bonds (Georgia-Pacific
Corporation Project), Series
1991, 4.80%, Due 11/1/2026,
LOC Sumitomo Bank, Limited,
VRDO......................... 1,200 1,200
----------
TOTAL ARKANSAS............. 2,200
----------
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- -----------
(dollars in thousands)
<S> <C> <C>
CALIFORNIA - 7.92%
California Pollution Control
Financing Authority Solid
Waste Disposal Revenue
Bonds(Taormina Industries,
Incorporated Project), Series
1994B, 4.55%, Due 8/1/2014,
LOC Sanwa Bank, Limited,
VRDO......................... $ 1,000 $ 1,000
California Statewide Community
Development Authority
Industrial Development
Revenue Bonds (Nichirin-Flex
U.S.A., Incorporated
Project), Series 1989, 4.55%,
Due 10/1/2004, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 2,500 2,500
County of Sacramento,
California Revenue Bonds,
Series 1985A, 4.75%, Due
4/15/2007, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 200 200
County of Sacramento,
California Revenue Bonds,
Series 1985B, 4.75%, Due
4/15/2007, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 100 100
Los Angeles County Industrial
Development Authority (Gary
A. Bandy), 4.75%, Due
12/1/2007, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 345 345
Los Angeles County Industrial
Development Authority
(Bicara, Limited Project),
Series 1987A-II, 4.75%, Due
12/1/2007, LOC Dai-Ichi
Kangyo Bank, Limited, VRDO... 550 550
Los Angeles Multifamily Housing
Revenue Bonds (Channel
Gateway Apartments Project),
Series 1989B, 4.10%, Due
8/1/2019, LOC Fuji Bank,
Limited, Los Angeles, VRDO... 2,500 2,500
----------
TOTAL CALIFORNIA........... 7,195
----------
COLORADO - 1.98%
Adams County, Colorado
Industrial Development
Revenue Bonds (City View Park
Project), Series 1985, 4.05%,
Due 12/1/2015, LOC Barclays
Bank, PLC, VRDO.............. 1,800 1,800
----------
TOTAL COLORADO............. 1,800
----------
</TABLE>
See accompanying notes
43
<PAGE> 45
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- -----------
(dollars in thousands)
<S> <C> <C>
CONNECTICUT - 2.31%
Connecticut Development
Authority Solid Waste
Disposal Facility Revenue
Bonds (Exeter Energy
Project), Series 1989C,
4.60%, Due 12/1/2019, LOC
Sanwa Bank, Limited, VRDO.... $ 1,400 $ 1,400
Connecticut Development
Authority Solid Waste
Disposal Facility Revenue
Bonds (Exeter Energy
Project), Series 1989A,
4.60%, Due 12/1/2019, LOC
Sanwa Bank, Limited, VRDO.... 700 700
----------
TOTAL CONNECTICUT.......... 2,100
----------
FLORIDA - 2.97%
Broward County, Florida Housing
Finance Authority Multifamily
Housing Revenue
Bonds(Parkview Partnership
Limited), 4.75%, Due
12/1/2010, LOC Fuji Bank,
Limited, VRDO................ 1,000 1,000
Dade County, Florida Capital
Asset Acquisition Special
Obligation Bonds, Series
1990, 4.30%, Due 10/1/2010,
LOC Sanwa Bank, Limited,
VRDO......................... 1,700 1,700
----------
TOTAL FLORIDA.............. 2,700
----------
GEORGIA - 5.06%
Industrial Development
Authority of Cartersville
(Sekisui Jushi America,
Incorporated Project), Series
1992, 4.40%, Due 6/1/2012,
LOC Sanwa Bank, Limited,
VRDO......................... 1,100 1,100
Thomaston-Upson County
Industrial Development
Revenue Authority (Yamaha
Music Manufacturing,
Incorporated Project), Series
1988, 4.40%, Due 8/1/2018,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................ 3,500 3,500
----------
TOTAL GEORGIA.............. 4,600
----------
HAWAII - 2.20%
Department of Budget and
Finance of the State of
Hawaii, Special Purpose
Revenue Bonds (G.N. Wilcox
Memorial Hospital Project),
Series 1988, 4.65%, Due
7/1/2018, LOC Fuju Bank,
Limited, VRDO................ 2,000 2,000
----------
TOTAL HAWAII............... 2,000
----------
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- -----------
(dollars in thousands)
<S> <C> <C>
ILLINOIS - 2.85%
Illinois Development Finance
Authority (Illinois Power
Project), Series 1987D,
4.90%, Due 3/1/2017, LOC Bank
of Tokyo-Mitsubishi, Limited,
VRDO......................... $ 900 $ 900
Illinois Housing Development
Authority Multifamily
Mortgage - Revenue Bonds
(Hyde Park Project), Series
1989, 4.95%, Due 2/1/2024,
LOC Sumitomo Bank, Limited,
VRDO......................... 1,260 1,260
Oswego, Illinois Industrial
Development Revenue Bonds
(Griffith Laboratories World
Wide, Incorporated Project),
Series 1995, 4.55%, Due
7/1/2025, LOC ABN AMRO Bank,
N.V., VRDO................... 430 430
----------
TOTAL ILLINOIS............. 2,590
----------
INDIANA - 3.58%
Fort Wayne Industrial Economic
Development Revenue Bonds
(ND-Tech Corporation
Project), Series 1989, 4.55%,
Due 7/1/2009, LOC Societe
Generale, VRDO............... 1,000 1,000
Princeton Industrial
Development Revenue Bonds
(Orion Electric America,
Incorporated Project), Series
1987, 4.70%, Due 4/30/2017,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................ 455 455
Seymour Economic Development
Revenue Bonds (Kobelco Metal
Powder of America,
Incorporated Project), Series
1987, 4.40%, Due 12/15/1997,
LOC Industrial Bank of Japan,
Limited,
VRDO......................... 600 600
Shelbyville, Indiana Economic
Development Revenue Bonds
(Nippisun Indiana Corporation
Project), Series 1991, 5.15%,
Due 9/1/2006, LOC Industrial
Bank of Japan, Limited,
VRDO......................... 1,200 1,200
----------
TOTAL INDIANA.............. 3,255
----------
</TABLE>
See accompanying notes
44
<PAGE> 46
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- -----------
(dollars in thousands)
<S> <C> <C>
IOWA - 0.74%
Dubuque, Iowa Industrial
Development Revenue Bonds
(Swiss Valley Farms Company
Project), Series 1987, 4.10%,
Due 12/1/2001, LOC Rabobank
Nederland, VRDO.............. $ 670 $ 670
----------
TOTAL IOWA................. 670
----------
KENTUCKY - 2.75%
Bowling Green Industrial
Building Revenue Bonds (TWN
Fastener, Incorporated
Project), Series 1988, 4.40%,
Due 3/1/2008, LOC Industrial
Bank of Japan, Limited,
VRDO......................... 900 900
Hopkinsville Industrial
Development Revenue Bonds
(American Precision
Machinery, Incorporated
Project), Series 1990, 4.15%,
Due 5/1/2000, LOC Bank of
Tokyo-Mitsubishi, Limited,
VRDO......................... 1,400 1,400
Hopkinsville, Kentucky
Industrial Building Revenue
Refunding Bonds (Co Par,
Incorporated Project), Series
1994A, 4.95%, Due 4/1/2004,
LOC Dai-Ichi Kangyo Bank,
Limited, VRDO................ 100 100
Shelbyville, Kentucky
Industrial Building Revenue
Bonds (Ichikoh Manufacturing,
Incorporated Project), Series
1987, 4.40%, Due 10/1/1997,
LOC Industrial Bank of Japan,
Limited, VRDO................ 100 100
----------
TOTAL KENTUCKY............. 2,500
----------
LOUISIANA - 6.70%
Jefferson Parish Louisiana
Hospital District #1 (West
Jefferson Medical Center
Project), Series 1986, 4.10%,
Due 1/1/2026, LOC Rabobank
Nederland, VRDO.............. 1,185 1,185
Louisiana Public Facilities
Authority Hospital Equipment
Revenue (CP Program), Series
1985, 4.00%, Due 12/1/2000,
LOC MBIA, VRDO............... 600 600
Louisiana Housing Finance
Agency Multifamily Revenue
Refunding Bonds (New
Orleanian Project), Series
1988, 4.90%, Due 12/1/2025,
LOC Sumitomo Bank, Limited,
VRDO......................... 870 870
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- -----------
(dollars in thousands)
<S> <C> <C>
Louisiana Public Facilities
Authority Capital Facilities
Revenue Bonds, Series 1985A,
4.30%, Due 12/1/2005, LOC
Sumitomo Bank, Limited,
VRDO......................... $ 1,210 $ 1,210
Louisiana State General
Obligation Refunding Bonds,
Series 1987A, 6.60%, Due
8/1/1997, LOC MBIA........... 2,200 2,216
----------
TOTAL LOUISIANA............ 6,081
----------
MISSOURI - 1.54%
Missouri Higher Education Loan
Authority Revenue Bonds,
Series 1988A, 4.60%, Due
6/1/2017, LOC National
Westminster Bank, PLC,
VRDO......................... 1,400 1,400
----------
TOTAL MISSOURI............. 1,400
----------
MONTANA - 0.66%
Forsythe, Montana Pollution
Control Revenue Bonds
(Portland General Electric
Company Colstrip Project),
Series 1983C, 4.50%, Due
6/1/2013, LOC Banque National
de Paris, VRDO............... 600 600
----------
TOTAL MONTANA.............. 600
----------
NEBRASKA - 0.99%
Lancaster County, Nebraska
Industrial Revenue Bonds
(Sun-Husker Foods,
Incorporated Project), Series
1989, 4.40%, Due 8/15/2009,
LOC Bank of Tokyo-Mitsubishi,
Limited, VRDO................ 900 900
----------
TOTAL NEBRASKA............. 900
----------
NEVADA - 4.08%
Clark County, Nevada Industrial
Development Revenue Bonds
Pollution Control Refunding
Revenue Bonds (Nevada Power
Company Project), Series
1995A, 4.15%, Due 10/1/2030,
LOC Barclays Bank, PLC,
VRDO......................... 700 700
</TABLE>
See accompanying notes
45
<PAGE> 47
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- -----------
(dollars in thousands)
<S> <C> <C>
Clark County, Nevada Industrial
Development Revenue Bonds
Pollution Control Refunding
Revenue Bonds (Nevada Power
Company Project), Series
1995C, 4.05%, Due 10/1/2030,
LOC Barclays Bank, PLC,
VRDO......................... $ 3,000 $ 3,000
----------
TOTAL NEVADA............... 3,700
----------
NEW JERSEY - 5.98%
Mercer County, New Jersey
Improvement Authority
Refunding Revenue Solid Waste
Bonds, Series 1992 A, 6.70%,
Due 4/1/2013................. 2,500 2,503
New Jersey Health Care
Facilities Financing
Authority Revenue
Bonds(Carrier Foundation
Project), Series 1985C,
4.40%, Due 7/1/2005, LOC Bond
Insurance Financial Guaranty
Insurance Corporation,
VRDO......................... 2,930 2,930
----------
TOTAL NEW JERSEY........... 5,433
----------
NEW YORK - 5.07%
New York, New York General
Obligation Bonds, Series
1993B-2, 4.25%, Due
8/15/2019, LOC Morgan
Guaranty Trust, VRDO......... 1,100 1,100
New York, New York General
Obligation Bonds, Series
1994B-4, 4.25%, Due
8/15/2023, LOC Union Bank of
Switzerland, VRDO............ 1,000 1,000
New York State Local Government
Assistance Corporation,
Series 1995 B, 4.40%, Due
4/1/2025, LOC Bank of Nova
Scotia, VRDO................. 2,500 2,500
----------
TOTAL NEW YORK............. 4,600
----------
OHIO - 1.65%
Saint Mary's, Ohio Industrial
Development Revenue Bonds
(Setex, Incorporated
Project), Series 1988, 4.40%,
Due 12/1/2001, LOC Industrial
Bank of Japan, Limited,
VRDO......................... 1,500 1,500
----------
TOTAL OHIO................. 1,500
----------
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- -----------
(dollars in thousands)
<S> <C> <C>
PENNSYLVANIA - 6.74%
Cambria County Industrial
Development Authority
Resource Recovery Revenue
Bonds(Cambria Cogen Company
Project), Series 1989 V-1,
4.60%, Due 9/1/2019, LOC ABN
AMRO Bank, N.V., VRDO........ $ 1,000 $ 1,000
Cambria County Industrial
Development Authority
Resource Recovery Revenue
Bonds(Cambria Cogen Company
Project), Series 1989 V-2,
4.60%, Due 9/1/2019, LOC ABN
AMRO Bank, N.V., VRDO........ 900 900
Cambria County Industrial
Development Authority
Resource Recovery Revenue
Bonds (Cambria Cogen Company
Project), Series 1991 V-1,
4.60%, Due 9/1/2019, LOC ABN
AMRO Bank, N.V., VRDO........ 2,150 2,150
Gettysburg Area Industrial
Development Authority
Industrial Development
Refunding Bonds (Dal-Tile
Corporation), Series 1987B,
4.15%, Due 3/1/2004, LOC
Credit Suisse, VRDO.......... 1,470 1,470
Northumberland County
Industrial Development
Authority Resource Recovery
Revenue Bonds (Foster Wheeler
Mt. Carmel, Incorporated
Project), Series 1987A,
4.10%, Due 2/1/2010, LOC
Union Bank of Switzerland,
VRDO......................... 600 600
----------
TOTAL PENNSYLVANIA......... 6,120
----------
TENNESSEE - 0.88%
Blount County Industrial
Development Revenue Bonds
(Advanced Crystal Technology,
Incorporated Project), Series
1988, 4.40%, Due 8/1/2008,
LOC Industrial Bank of Japan,
Limited, VRDO................ 500 500
</TABLE>
See accompanying notes
46
<PAGE> 48
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- -----------
(dollars in thousands)
<S> <C> <C>
Covington, Tennessee Industrial
Development Board Industrial
Development Revenue Bonds
(Charms Company Project),
Series 1992, 4.50%, Due
6/1/2027, LOC Societe
Generale, VRDO............... $ 300 $ 300
----------
TOTAL TENNESSEE............ 800
----------
TEXAS - 2.86%
Harris County, Texas Industrial
Development Revenue Bonds
(Zeon Chemicals Project),
Series 1989, 4.40%, Due
2/1/2009, LOC Industrial Bank
of Japan, Limited, VRDO...... 600 600
Harris County, Texas Industrial
Development Revenue Bonds
(Chusei "USA" Project),
Series 1991C, 4.95%, Due
8/1/2001, LOC Bank of Tokyo-
Mitsubishi, Limited, VRDO.... 100 100
Montgomery County, Texas
Industrial Development
Revenue Bonds(Dal-Tile
Corporation Project), Series
1986B, 4.15%, Due 12/1/2003,
LOC Credit Suisse, VRDO...... 300 300
Texas Higher Education
Authority Inc., Educational
Facility Revenue Bonds,
Series 1985B, 4.00%, Due
12/1/2025, LOC FGIC, VRDO.... 1,595 1,595
----------
TOTAL TEXAS................ 2,595
----------
UTAH - 3.63%
Housing Authority of Provo
City, Utah Multifamily Rental
Housing Revenue Refunding
Bonds(Branbury Park Project),
Series 1987A, 4.80%, Due
12/1/2010, LOC Dai-Ichi
Kangyo Bank, Limited VRDO.... 2,000 2,000
Housing Authority of Provo
City, Utah Multifamily Rental
Housing Revenue Refunding
Bonds (Branbury Park
Project), Series 1987B,
4.90%, Due 12/1/2010, LOC
Dai-Ichi Kangyo, Bank,
Limited, VRDO................ 300 300
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- -----------
(dollars in thousands)
<S> <C> <C>
Utah State Board of Regents
Student Loan Revenue
Bonds(Bond Insurance-AMBAC
Indemnity Corporation),
Series 1988C, 4.60%, Due
11/1/2013, LOC Dresdner Bank
A.G., VRDO................... $ 1,000 $ 1,000
----------
TOTAL UTAH................. 3,300
----------
VIRGINIA - 0.22%
Virginia Housing Development
Authority (AHC Service
Corporation), Series 1987A,
4.50%, Due 9/1/2017, LOC Bank
of Tokyo-Mitsubishi, Limited,
VRDO......................... 200 200
----------
TOTAL VIRGINIA............. 200
----------
WASHINGTON - 9.18%
Pierce County, Washington
Economic Development
Corporation Dock & Warf
Facilities Revenue Bonds (SCS
Industries Project), Series
1995, 4.60%, Due 7/1/2030,
LOC Bank of Nova Scotia,
VRDO......................... 3,585 3,585
Port Angeles Industrial
Development Corporation
(Daishowa America Project),
Series 1992, 4.40%, Due
8/1/2007, LOC Industrial Bank
of Japan, Limited, VRDO...... 200 200
Port Angeles Industrial
Development Corporation
Revenue Bonds, Series 1992B,
4.40%, Due 12/1/2007, LOC
Industrial Bank Of Japan,
Limited, VRDO................ 300 300
Port Everett Revenue Bonds,
Series 1986, 4.40%, Due
12/1/2006, LOC Sumitomo Bank,
Limited, VRDO................ 1,150 1,150
Washington Student Loan Finance
Association Revenue Bonds,
Series 1987A, 4.70%, Due
12/1/2002, LOC Sanwa Bank,
Limited, VRDO................ 2,100 2,100
Washington Student Loan Finance
Association Revenue Bonds,
Series 1987B, 4.70%, Due
12/1/2002, LOC Sanwa Bank,
Limited, VRDO................ 1,000 1,000
----------
TOTAL WASHINGTON........... 8,335
----------
</TABLE>
See accompanying notes
47
<PAGE> 49
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- -----------
(dollars in thousands)
<S> <C> <C>
WEST VIRGINIA - 1.23%
Marion County, West Virginia
Solid Waste Disposal Facility
(Grant Town Cogeneration
Project), Series 1990B,
4.60%, Due 10/1/2017, LOC
National Westminster Bank,
PLC,
VRDO......................... $ 115 $ 115
Marion County, West Virginia
Solid Waste Disposal Facility
(Grant Town Cogeneration
Project), Series 1990C,
4.60%, Due 10/1/2017, LOC
National Westminster Bank,
PLC,
VRDO......................... 1,000 1,000
----------
TOTAL WEST VIRGINIA........ 1,115
----------
TOTAL MUNICIPAL
BONDS.................... 84,094
----------
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- -----------
(dollars in thousands)
<S> <C> <C>
OTHER INVESTMENTS - 5.33%
Alliance Capital Management
Institutional Reserves
Tax-Free Portfolio(#38)...... $ 4,016 $ 4,016
Provident Institutional Funds
Municipal Cash Fund.......... 828 828
----------
TOTAL OTHER
INVESTMENTS.............. 4,844
----------
TOTAL INVESTMENTS - 99.67%
(COST $90,538)............... 90,538
----------
OTHER ASSETS, NET OF
LIABILITIES - 0.33%.......... 296
----------
TOTAL NET ASSETS - 100%........ $ 90,834
==========
</TABLE>
- ---------------
Based on the cost of investments of $90,538 for federal income tax purposes at
April 30, 1997, there was no unrealized appreciation or depreciation of
investments.
(A) Rates associated with money market securities represent yield to maturity or
yield to next reset date.
ABBREVIATIONS:
AG - Company
FGIC - Financial Guaranty Insurance Company
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
NV - Company
PLC - Public Limited Corporation
VRDO - Variable Rate Demand Obligation
See accompanying notes
48
<PAGE> 50
AMR INVESTMENT SERVICES U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par
Amount Value
-------- ---------
(dollars in thousands)
<S> <C> <C>
U.S. TREASURY REPURCHASE
AGREEMENTS (NOTES A
AND B) - 64.80%
Goldman Sachs Tri-Party
Government Repurchase
Agreement, 5.54%, Due 5/1/1997
(Collateral held at The Bank
of New York Company,
Incorporated by Federal Home
Loan Mortgage Corporation
7.00%, Due 12/1/2001 through
Federal National Mortgage
Association 8.00%, Due
4/1/2027 - Market Value
$27,760)...................... $27,216 $ 27,216
Merrill Lynch Tri-Party
Government Repurchase
Agreement, 5.60%, Due 5/1/1997
(Collateral held at The Chase
Manhattan Bank, N.A. by
Government National Mortgage
Association 6.00%, Due
4/15/2024 through Government
National Mortgage Association
8.00%, Due 6/15/2024 - Market
Value $27,542)................ 27,000 27,000
UBS Securities Tri-Party
Government National Mortgage
Association Repurchase
Agreement, 5.53%, Due 5/1/1997
(Collateral held at The Chase
Manhattan Bank, N.A. by
Government National Mortgage
Association 7.00%, Due
4/15/2027 - Market Value
$19,382....................... 19,000 19,000
--------
TOTAL U.S. TREASURY
REPURCHASE AGREEMENTS..... 73,216
--------
</TABLE>
<TABLE>
<CAPTION>
Par
Amount Value
-------- ---------
(dollars in thousands)
<S> <C> <C>
U.S. GOVERNMENT AGENCY
INSTRUMENTS (NOTE A) - 35.26%
Federal Home Loan Bank Discount
Corporation, 5.34%, Due
6/4/1997...................... $10,000 $ 9,950
Federal Home Loan Mortgage
Corporation, Discount Note,
5.30%, Due 5/23/1997.......... 20,000 19,936
Discount Note,
5.34%, Due 6/2/1997........... 10,000 9,953
------- --------
TOTAL U.S. GOVERNMENT AGENCY
INSTRUMENTS............... 39,839
--------
TOTAL INVESTMENTS - 100.06%
(COST - $113,055)............. 113,055
--------
LIABILITIES, NET OF OTHER
ASSETS - (0.06%).............. (71)
--------
TOTAL NET ASSETS - 100%......... $112,984
========
</TABLE>
- ---------------
Based on the cost of investments of $113,055 for federal income tax purposes at
April 30, 1997, there was no unrealized appreciation or depreciation of
investments.
(A) Rates associated with Money Market securities represent yield to maturity.
(B) Repurchase agreements are fully collateralized by U.S. Treasury or
Government agency securities. All collateral is held at the Portfolio's
custodian bank, NationsBank of Texas, N.A., or at subcustodian banks, as
indicated. The collateral is monitored daily by the Portfolio so that its
market value exceeds the carrying value of the repurchase agreement.
See accompanying notes
49
<PAGE> 51
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
---------- ---------- ------------- ------------
(in thousands)
<S> <C> <C> <C> <C>
ASSETS:
Investments in securities at value (cost - $872,176;
$1,006,155; $492,869; $218,600, respectively)....... $1,003,926 $1,264,073 $576,207 $217,943
Cash, including foreign currency...................... - - 21,607 -
Unrealized appreciation on foreign currency
contracts........................................... - - 2,088 -
Dividends and interest receivable..................... 7,853 2,476 2,632 1,510
Reclaims receivable................................... - - 618 -
Receivable for investments sold....................... 14,073 8,192 246 -
Deferred organization costs........................... 30 30 30 30
---------- ---------- -------- --------
TOTAL ASSETS...................................... 1,025,882 1,274,771 603,428 219,483
---------- ---------- -------- --------
LIABILITIES:
Payable for investments purchased..................... 19,238 5,458 9,845 -
Management and investment advisory fees payable
(Note 2)............................................ 1,092 1,370 777 178
Accrued organization costs............................ 41 41 33 41
Other liabilities..................................... 86 70 273 31
---------- ---------- -------- --------
TOTAL LIABILITIES................................. 20,457 6,939 10,928 250
---------- ---------- -------- --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL
INTERESTS............................................... $1,005,425 $1,267,832 $592,500 $219,233
========== ========== ======== ========
</TABLE>
See accompanying notes
50
<PAGE> 52
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Money Municipal U.S. Government
Market Money Market Money Market
---------- ------------ ---------------
(in thousands)
<S> <C> <C> <C>
ASSETS:
Investments in securities at value (cost - $1,671,096;
$90,538; $113,055, respectively)*..................... $1,671,096 $90,538 $113,055
Cash.................................................... - - 5
Dividends and interest receivable....................... 9,604 361 12
Deferred organization costs............................. 30 30 30
Other assets............................................ - 13 -
---------- ------- --------
TOTAL ASSETS........................................ 1,680,730 90,942 113,102
---------- ------- --------
LIABILITIES:
Management and investment advisory fees payable (Note
2).................................................... 878 67 53
Accrued organization costs.............................. 41 41 41
Other liabilities....................................... 70 - 24
---------- ------- --------
TOTAL LIABILITIES................................... 989 108 118
---------- ------- --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.... $1,679,741 $90,834 $112,984
========== ======= ========
</TABLE>
- ---------------
* Includes repurchase agreements of $73,216 for the U.S. Government Money Market
Portfolio.
See accompanying notes
51
<PAGE> 53
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF OPERATIONS
Six Months Ended April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Limited- Municipal U.S. Government
Growth and International Term Money Money Money
Balanced Income Equity Income Market Market Market
-------- ---------- ------------- -------- ------- --------- ---------------
(in thousands)
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income.................... $13,768 $ 1,053 $ 1,206 $ 7,557 $49,440 $1,664 $2,760
Dividend income (net of foreign
taxes of $784 in International
Equity
Portfolio)....................... 7,929 16,590 5,539 - - - -
Income derived from securities
lending,
net................................ 100 83 142 - - - -
------- -------- ------- ------- ------- ------ ------
TOTAL INVESTMENT INCOME........ 21,797 17,726 6,887 7,557 49,440 1,664 2,760
------- -------- ------- ------- ------- ------ ------
EXPENSES:
Management and investment advisory
fees (Note 2).................... 1,489 1,926 1,135 259 1,324 69 76
Custodian fees..................... 60 46 218 23 70 3 4
Professional fees.................. 39 40 12 9 51 - -
Organization costs................. 4 4 4 4 4 4 4
Other expenses..................... 30 34 23 13 26 6 9
------- -------- ------- ------- ------- ------ ------
TOTAL EXPENSES................. 1,622 2,050 1,392 308 1,475 82 93
------- -------- ------- ------- ------- ------ ------
Less fees waived (Note 2)...... - - - - - 8 -
------- -------- ------- ------- ------- ------ ------
NET EXPENSES................... 1,622 2,050 1,392 308 1,475 74 93
------- -------- ------- ------- ------- ------ ------
NET INVESTMENT INCOME.................. 20,175 15,676 5,495 7,249 47,965 1,590 2,667
------- -------- ------- ------- ------- ------ ------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on
investments...................... 41,706 65,763 6,344 (916) 26 - 6
Net realized loss on foreign
currency transactions............ - - (1,371) - - - -
Change in net unrealized
appreciation or depreciation of
investments...................... (4,265) 24,557 59,431 (1,178) - - -
Change in net unrealized
depreciation of foreign currency
contracts and translations....... - - (28,041) - - - -
------- -------- ------- ------- ------- ------ ------
NET GAIN (LOSS) ON
INVESTMENTS.................. 37,441 90,320 36,363 (2,094) 26 - 6
------- -------- ------- ------- ------- ------ ------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS...................... $57,616 $105,996 $41,858 $ 5,155 $47,991 $1,590 $2,673
======= ======== ======= ======= ======= ====== ======
</TABLE>
See accompanying notes
52
<PAGE> 54
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Balanced Growth and Income International Equity
---------------------------- ---------------------------- ----------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
April 30, 1997 October 31, April 30, 1997 October 31, April 30, 1997 October 31,
(Unaudited) 1996 (Unaudited) 1996 (Unaudited) 1996
-------------- ----------- -------------- ----------- -------------- -----------
(in thousands)
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income......... $ 20,175 $ 36,765 $ 15,676 $ 27,284 $ 5,495 $ 8,135
Net realized gain (loss) on
investments and foreign
currency transactions....... 41,706 67,731 65,763 77,846 4,973 11,172
Change in net unrealized
appreciation or depreciation
of investments and foreign
currency translations....... (4,265) 27,670 24,557 94,294 31,390 30,752
---------- ---------- ---------- ---------- -------- ----------
NET INCREASE IN NET ASSETS
RESULTING FROM
OPERATIONS............... 57,616 132,166 105,996 199,424 41,858 50,059
---------- ---------- ---------- ---------- -------- ----------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS:
Contributions................. 217,489 1,029,398 215,459 1,053,593 196,875 397,164
Withdrawals................... (165,162) (266,082) (165,780) (140,860) (50,729) (42,727)
---------- ---------- ---------- ---------- -------- ----------
NET INCREASE IN NET ASSETS
RESULTING FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS................ 52,327 763,316 49,679 912,733 146,146 354,437
---------- ---------- ---------- ---------- -------- ----------
NET INCREASE IN NET ASSETS....... 109,943 895,482 155,675 1,112,157 188,004 404,496
---------- ---------- ---------- ---------- -------- ----------
NET ASSETS:
Beginning of period........... 895,482 - 1,112,157 - 404,496 -
---------- ---------- ---------- ---------- -------- ----------
END OF PERIOD................. $1,005,425 $ 895,482 $1,267,832 $1,112,157 $592,500 $ 404,496
========== ========== ========== ========== ======== ==========
- ------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- ------------------------------------------------------------------------------------------------------------------
RATIOS:
Expenses to average net assets
(annualized)................ 0.34% 0.36% 0.34% 0.35% 0.57% 0.56%
Net investment income to
average net assets
(annualized)................ 4.19% 4.26% 2.60% 2.81% 2.27% 2.50%
Portfolio turnover rate....... 45% 76% 19% 40% 6% 19%
Average commission rate paid.. $ 0.0428 $ 0.0409 $ 0.0430 $ 0.0412 $ 0.0141 $ 0.0192
<CAPTION>
Limited-Term Income
----------------------------
Six Months
Ended Year Ended
April 30, 1997 October 31,
(Unaudited) 1996
-------------- -----------
(in thousands)
<S> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income......... $ 7,249 $ 12,102
Net realized gain (loss) on
investments and foreign
currency transactions....... (916) (3,216)
Change in net unrealized
appreciation or depreciation
of investments and foreign
currency translations....... (1,178) 458
-------- ---------
NET INCREASE IN NET ASSETS
RESULTING FROM
OPERATIONS............... 5,155 9,344
-------- ---------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS:
Contributions................. 66,222 292,820
Withdrawals................... (25,321) (128,987)
-------- ---------
NET INCREASE IN NET ASSETS
RESULTING FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS................ 40,901 163,833
-------- ---------
NET INCREASE IN NET ASSETS....... 46,056 173,177
-------- ---------
NET ASSETS:
Beginning of period........... 173,177 -
-------- ---------
END OF PERIOD................. $219,233 $ 173,177
======== =========
- ---------------------------------
FINANCIAL HIGHLIGHTS:
- ---------------------------------
RATIOS:
Expenses to average net assets
(annualized)................ 0.30% 0.31%
Net investment income to
average net assets
(annualized)................ 6.96% 6.67%
Portfolio turnover rate....... 91% 304%
Average commission rate paid.. - -
</TABLE>
See accompanying notes
53
<PAGE> 55
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Money Market Municipal Money Market U.S. Government Money Market
----------------------------- ---------------------------- ----------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
April 30, 1997 October 31, April 30, 1997 October 31, April 30, 1997 October 31,
(Unaudited) 1996 (Unaudited) 1996 (Unaudited) 1996
-------------- ------------ -------------- ----------- -------------- -----------
(in thousands)
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income........... $ 47,965 $ 87,138 $ 1,590 $ 2,196 $ 2,667 $ 4,734
Net realized gain on
investments................... 26 73 - - 6 39
------------ ------------ ------- --------- --------- ---------
TOTAL INCREASE IN NET ASSETS
RESULTING FROM
OPERATIONS................ 47,991 87,211 1,590 2,196 2,673 4,773
------------ ------------ ------- --------- --------- ---------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS:
Contributions................... 9,970,909 14,620,176 85,647 189,085 136,810 275,202
Withdrawals..................... (10,104,081) (12,942,465) (77,661) (110,023) (117,191) (189,283)
------------ ------------ ------- --------- --------- ---------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
TRANSACTIONS IN INVESTORS'
BENEFICIAL
INTERESTS................. (133,172) 1,677,711 7,986 79,062 19,619 85,919
------------ ------------ ------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET
ASSETS............................ (85,181) 1,764,922 9,576 81,258 22,292 90,692
------------ ------------ ------- --------- --------- ---------
NET ASSETS:
Beginning of period............. 1,764,922 - 81,258 - 90,692 -
------------ ------------ ------- --------- --------- ---------
END OF PERIOD................... $ 1,679,741 $ 1,764,922 $90,834 $ 81,258 $ 112,984 $ 90,692
============ ============ ======= ========= ========= =========
- ------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- ------------------------------------------------------------------------------------------------------------------
RATIOS:
Expenses to average net assets
(annualized)*................. 0.17% 0.17% 0.16% 0.13% 0.18% 0.20%
Net investment income to average
net assets (annualized)*...... 5.41% 5.45% 3.48% 3.59% 5.22% 5.18%
</TABLE>
- ---------------
* Operating results of the Municipal Money Market Portfolio in the year and
period indicated below excluded fees waived by the Manager. Results prior to
expenses waived were as follows:
<TABLE>
<CAPTION>
Six Months Ended
April 30, 1997 Year Ended
(Unaudited) October 31, 1996
---------------- ----------------
<S> <C> <C>
Ratio of expenses to average net assets (annualized)........ 0.18% 0.21%
Ratio of net investment income to average net assets
(annualized).............................................. 3.46% 3.51%
</TABLE>
See accompanying notes
54
<PAGE> 56
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
AMR Investment Services Trust (the "Trust") is registered under the
Investment Company Act of 1940, as amended, as a no-load, open-end management
investment company which was organized as a trust under the laws of the State of
New York pursuant to a Declaration of Trust dated as of June 27, 1995 and
amended on August 11, 1995. Beneficial interests in the Trust are divided into
seven separate series, each having distinct investment objectives and policies,
as follows: AMR Investment Services Balanced Portfolio, AMR Investment Services
Growth and Income Portfolio, AMR Investment Services International Equity
Portfolio, AMR Investment Services Limited-Term Income Portfolio, AMR Investment
Services Money Market Portfolio, AMR Investment Services Municipal Money Market
Portfolio and AMR Investment Services U.S. Government Money Market Portfolio
(each a "Portfolio" and collectively the "Portfolios"). Prior to March 1, 1997,
the AMR Investment Services U.S. Government Money Market Portfolio was known as
the AMR Investment Services U.S. Treasury Money Market Portfolio and operated
under different investment policies. The assets of each Portfolio belong only to
that Portfolio, and the liabilities of each Portfolio are borne solely by that
Portfolio and no other. The Trust commenced active operations on November 1,
1995.
AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary
of AMR Corporation, the parent company of American Airlines, Inc. ("American"),
and was organized in 1986 to provide business management, advisory,
administrative and asset management consulting services.
The following is a summary of the significant accounting policies followed
by the Portfolios.
Security Valuation
Equity securities that are primarily traded on domestic securities
exchanges are valued at the last quoted sales price on a designated exchange
prior to the close of trading on the New York Stock Exchange (the "Exchange")
or, lacking any current sales, on the basis of the last current bid price prior
to the close of trading on the Exchange. Portfolio securities that are primarily
traded on foreign securities exchanges are generally valued at the preceding
closing values of such securities on their respective exchanges where primarily
traded. Over-the-counter equity securities are valued on the basis of the last
bid price on that date prior to the close of trading. Debt securities (other
than short-term securities) normally will be valued on the basis of prices
provided by a pricing service and may take into account appropriate factors such
as institution-size trading in similar groups of securities, yield, quality,
coupon rate, maturity, type of issue, trading characteristics and other market
data. In some cases, the prices of debt securities may be determined using
quotes obtained from brokers. Securities for which market quotations are not
readily available are valued at fair value, as determined in good faith and
pursuant to procedures approved by the Trust's Board of Trustees (the "Board").
Investment grade short-term obligations with 60 days or less to maturity and
securities of the Money Market, Municipal Money Market and U.S. Government Money
Market Portfolios (the "Money Market Portfolios") are valued using the amortized
cost method. In the event that a deviation of 1/2 of 1% or more exists between
the $1.00 per share price of the Money Market Portfolios, calculated at
amortized cost, and the price per share calculated by reference to market
quotations, or if there is any other deviation which the Board believes
55
<PAGE> 57
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
would result in a material dilution to shareholders or purchasers, the Board
will promptly consider the appropriate action which should be initiated.
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security
purchase or sale. Dividend income is recorded on the ex-dividend date except
certain dividends from foreign securities which are recorded as soon as the
information is available to the Portfolios. Interest income is earned from
settlement date, recorded on the accrual basis, and adjusted, if necessary, for
amortization of premiums or accretion of discounts on investment grade
short-term securities and zero coupon instruments. For financial and tax
reporting purposes, realized gains and losses are determined on the basis of
specific lot identification.
Currency Translation
All assets and liabilities initially expressed in foreign currency values
are converted into U.S. dollar values at the bid price of such currencies
against U.S. dollars as last quoted by a recognized dealer. Income, expenses and
purchases and sales of investments are translated into U.S. dollars at the rate
of exchange prevailing on the respective dates of such transactions. The
Portfolios include that portion of the results of operations resulting from
changes in foreign exchange rates with net realized and unrealized gain on
investments, as appropriate.
Forward Foreign Currency Contracts
The International Equity Portfolio may enter into forward foreign currency
contracts to hedge the exchange rate risk on investment transactions or to hedge
the value of portfolio securities denominated in foreign currencies. Forward
foreign currency contracts are valued at the forward exchange rate prevailing on
the day of valuation.
Federal Income and Excise Taxes
The Portfolios will be treated as partnerships for federal income tax
purposes. As such, each investor in a Portfolio will be taxed on its share of
the Portfolio's ordinary income and capital gains. It is intended that each
Portfolio's assets will be managed in such a way that an investor in the
Portfolio will be able to satisfy the requirements of sub-chapter M of the
Internal Revenue Code. Accordingly, no provision for United States federal
income or excise tax is necessary.
Repurchase Agreements
Under the terms of a repurchase agreement, securities are acquired by a
Portfolio from a securities dealer or a bank which are subject to resale at a
later date. Repurchase agreements are fully collateralized by U.S. Treasury or
Government agency securities. All collateral is monitored daily by each
Portfolio so that the collateral's market value exceeds the carrying value of
the repurchase agreement.
56
<PAGE> 58
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
Deferred Organization Expenses
Expenses incurred by a Portfolio in connection with its organization are
being amortized on a straight-line basis over a five-year period.
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Trust and the Manager are parties to a Management Agreement which
obligates the Manager to provide or oversee the provision of all administrative,
investment advisory and portfolio management services. Investment assets of the
Balanced, Growth and Income and International Equity Portfolios ("Variable NAV
Portfolios") are managed by multiple investment advisers which have entered into
separate investment advisory agreements with the Manager. As compensation for
performing the duties required under the Management Agreement, the Manager
receives from the Portfolios an annualized fee equal to .10% of the average
daily net assets of the Variable NAV Portfolios plus amounts paid by the Manager
to the investment advisors hired by the Manager to direct investment activities
of the Portfolios. Management fees are paid as follows (dollars in thousands):
<TABLE>
<CAPTION>
Amount paid to Net Amount
Management Management Investment Paid to
Fee Rate Fee Advisors Manager
---------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
Balanced Portfolio.......................................... .225%-.70% $1,489 $1,009 $480
Growth and Income Portfolio................................. .225%-.70% 1,926 1,324 602
International Equity Portfolio.............................. .25%-.90% 1,135 893 242
</TABLE>
The Manager serves as the sole investment adviser to the Limited-Term
Income Portfolio and each of the Money Market Portfolios. Pursuant to the
Management Agreement, the Manager receives from the Portfolios an annualized fee
equal to .25% of the average daily net assets of the Limited-Term Income
Portfolio and .15% of the average daily net assets of each of the Money Market
Portfolios. During the six months ended April 30, 1997, the Manager waived
management fees totaling $7,534 for the Municipal Money Market Portfolio.
Other
Certain officers or trustees of the Trust are also officers of the Manager
or American. The Trust makes no direct payments to its officers. Unaffiliated
trustees and their spouses are provided free unlimited air transportation on
American. However, the Trust compensates each Trustee with payments in an amount
equal to the Trustee's income tax on the value of this free airline travel. For
the six months ended April 30, 1997, the cost of air transportation was not
material to any of the Portfolios.
57
<PAGE> 59
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended April 30, 1997 (excluding
short-term investments) are as follows (in thousands):
<TABLE>
<CAPTION>
Growth and International Limited-Term
Balanced Income Equity Income
Portfolio Portfolio Portfolio Portfolio
--------- ---------- ------------- ------------
<S> <C> <C> <C> <C>
Purchases.............................................. $469,521 $265,579 $146,613 $225,986
Proceeds from sales.................................... $421,047 $218,446 $ 26,221 $183,944
</TABLE>
4. COMMITMENTS
In order to protect itself against a decline in the value of particular
foreign currencies against the U.S. dollar, the International Equity Portfolio
has entered into forward contracts to deliver or receive foreign currency in
exchange for U.S. dollars as described below. The Portfolio bears the market
risk that arises from changes in foreign exchange rates, and accordingly, the
unrealized gain (loss) on these contracts is reflected in the accompanying
financial statements. The Portfolio also bears the credit risk if the
counterparty fails to perform under the contract. At April 30, 1997, the
Portfolio had outstanding forward foreign currency contracts as follows:
<TABLE>
<CAPTION>
Settlement Unrealized
Contracts to Receive Date Value Gain/(Loss)
- -------------------- ---------- ------- -----------
(amounts in thousands)
<S> <C> <C> <C> <C>
3,500 AUD......................................................... 1/12/98 $ 2,734 $ 1
1,246 DEM......................................................... 5/5/97 720 -
10,000 DEM......................................................... 6/19/97 5,796 1,075
300,000 ESP......................................................... 12/2/97 2,064 246
34,000 FRF......................................................... 6/19/97 5,849 949
21,700 FRF......................................................... 6/19/97 3,733 524
18,500 SEK......................................................... 9/16/97 2,372 420
------- -------
Total contracts to deliver
(Receivable amount $26,483).......................................... $23,268 $ 3,215
======= =======
Contracts to Receive
- --------------------
(amounts in thousands)
10,000 DEM......................................................... 6/19/97 $ 5,796 $(1,113)
135 GBP......................................................... 5/1/97 219 (1)
53 GBP......................................................... 5/2/97 86 -
13 GBP......................................................... 5/6/97 22 -
378 HKD......................................................... 5/1/97 49 -
256 IEP......................................................... 5/1/97 384 (13)
1,402 NLG......................................................... 5/5/97 720 -
------- -------
Total contracts to receive
(Payable amount $8,403).............................................. $ 7,276 $(1,127)
======= =======
</TABLE>
58
<PAGE> 60
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1997
(Unaudited) (Continued)
- --------------------------------------------------------------------------------
5. SECURITIES LENDING
The Portfolios participate in a securities lending program under which
securities are loaned to selected institutional investors for a fee. All such
loans require collateralization with cash, securities of the U.S. Government and
its agencies or letters of credit that at all times equal at least 100% of the
market value of the loaned securities plus accrued interest. At April 30, 1997,
securities with a market value of approximately $197,882,000, $136,652,000 and
$82,376,000 were loaned by the Balanced, Growth and Income and International
Equity Portfolios, respectively. The non-cash collateral for these loans totaled
$64,387,000, $45,973,000 and $5,197,000, respectively and the cash collateral
for these loans totaled $138,016,000, $94,968,000 and $81,479,000 for the
Balanced, Growth and Income and International Equity Portfolios, respectively.
59
