<PAGE> 1
[American AAdvantage Mileage Funds(R) Logo]
- --------------------------------------- --------------------------------------
SEMI-ANNUAL REPORT
[AMERICAN AADVANTAGE FUNDS EAGLE LOGO]
EQUITY FUNDS
Balanced Fund
Large Cap Value Fund
Small Cap Value Fund
International Equity Fund
BOND FUNDS
Intermediate Bond Fund
Short-Term Bond Fund
MONEY MARKET FUND
Money Market Fund
Municipal Money Market Fund
U.S. Government Money Market Fund
<PAGE> 2
[BILL QUINN PICTURE] DEAR FELLOW SHAREHOLDER:
We are pleased to report to you on the
performance of the American AAdvantage
Mileage Funds and to provide you with a copy
of the Semi-Annual Report for the six months
ended April 30, 1999.
THE DOMESTIC EQUITY FUNDS
MARKET RECAP
The U.S. economy continued to be strong
with low unemployment and low inflation
throughout the six-month period. By keeping
rates low and steady, the Fed did its part to
continue to stimulate economic growth.
Encouraged by solid economic news, U.S.
stocks continued their surge to record highs
throughout the period with the S&P 500 Index gaining 22.27% for the six months.
Performance of the S&P 500 Index continued to be driven by an ever narrower
group of stocks through the end of March. When cyclical stock companies
announced better than expected first quarter earnings and economic indicators
showed no slowdown, cyclical stocks rebounded in April. The market began to
broaden as evidenced by a dramatic sector rotation from technology, which had
consistently led the narrow market higher and higher, to the basic materials and
energy sectors.
Although large cap growth stocks continued to dominate market performance
for the first five months of the period, April saw many of the trends reverse.
By the end of the six month period, the Dow Jones Industrial Average, which had
lagged the S&P 500 Index, returned 26.61%, 4.34% ahead of the S&P 500 Index.
Small cap stocks, shunned by investors for the first five months, outpaced
larger stocks in April with the Russell 2000 Index returning 8.96% for the
month, 5.15% ahead of the S&P 500 Index for April. The Russell 2000 Index
returned 15.16% for the six-month period, considerably narrowing the gap
relative to the S&P 500 Index. One of the major trends that held in 1998 and
persisted during the first five months of the period was the dominance of growth
over value across the capitalization spectrum. The Barra Growth Index returned
22.80% for the five months, 10.79% ahead of the Barra Value Index for the same
period. April, however, also saw this trend reverse with the Barra Value Index
returning 8.62% in April, versus the Barra Growth Index return of -0.19%, which
resulted in six-month returns of 22.56% for the Barra Growth Index versus the
Barra Value Index return of 21.66%.
PERFORMANCE RECAP
Balanced Fund
The Balanced Fund's total return for the six months ended April 30, 1999
was 7.68%. These returns lagged the Lipper Balanced Fund Index return of 12.80%
for the period.
The Fund increased its holdings in stocks from 58.1% in October 1998 to
60.0% in April 1999 and decreased its exposure to bonds as stocks continued to
outperform bonds. The Fund's bond segment returned -0.16% for the six-month
period, in line with the Lehman Govt./Corp. Index return of -0.11%.
The Fund's stock segment returned 14.30% for the six-month period versus
the S&P 500 Index's return of 22.27%. The underperformance was largely due to
the Fund's value investment style and holding stocks with smaller market
capitalizations than the S&P 500 Index (the average market cap for the Fund was
$28.5 billion as of April 30, 1999 versus the S&P 500 Index's average of $97.3
billion). As a result of its value style, the Fund's stock selection and
resulting sector
<PAGE> 3
weightings were very different from the S&P 500. The Fund continues to be
substantially overweighted in the financial and utility sectors. The utilities
sector was the worst performing sector of the S&P 500 Index for the period and a
major detractor from the Fund's performance. Utility stocks, in particular the
electric utilities, continue to be attractively priced, with strong
fundamentals, especially free cash flow generation. The Fund benefited from its
holdings in large banks, as the financial sector was the second best performing
sector of the S&P 500 Index for the period. The Fund held large positions in
BankAmerica Corp. and Chase Manhattan Corp., which outperformed the S&P 500
Index significantly over the six months. As a result of the Fund's value
investment style, health care and technology stocks were significantly
underweighted relative to the S&P 500, as the majority of stocks in these
sectors carry high price-to-earnings multiples. For the period, technology
continued to be the leading sector of the S&P 500 Index. In addition to sector
allocation, the Fund's performance suffered from adverse stock selection. The
largest individual detractors from the Fund's performance were Philip Morris
Companies and Lockheed Martin Corp.
Although the six-month period was a difficult one for value style managers,
the last three months were encouraging. The financial sector bounced back in
February, the energy sector saw pricing improvements in March, and the market
rotation evidenced in April shows promise that a return to valuation
fundamentals may be around the corner.
Large Cap Value Fund
The Large Cap Value Fund's total return for the six months ended April 30,
1999 was 13.85%. These returns lagged the Lipper Growth and Income Fund Index
total return of 17.85% for the period. The Fund's value style of investing was
rewarded by April's market rotation. In the month of April, the Fund returns
were 10.41% versus the Lipper Growth and Income Fund Index total return of 6.48%
for the month.
The Fund utilizes the same investment managers and the same approach to
stock selection as the Balanced Fund. Therefore, it also suffered from
overweight positions in financial and utility stocks and from underweighting
health care and technology stocks.
Small Cap Value Fund
The Small Cap Value Fund commenced operations on March 1, 1999 with a total
return of 7.90% for the two-month period since its inception, slightly lagging
the Lipper Small Cap Fund Index total return of 8.61% for the same period.
While public investors shunned small cap stocks during the first quarter of
1999, strategic buyers and insiders began to capitalize on this small cap
sell-off either through acquisitions or share repurchase programs. Several of
the issuers held by the Fund were bought by other companies at significant
premiums, and others increased their share repurchase activity. The market
rotation evidenced in April and discussed in Market Recap above, was most
visible among small cap stocks, with the Russell 2000 Index gaining 8.96% for
April versus the S&P 500 Index return of 3.81%. The Fund is overweighted in the
energy sector relative to the Russell 2000 Index. An indication that oil prices
might rise sent the very depressed energy stocks soaring, resulting in this
sector being the largest positive contributing factor to the Fund's performance.
Within the overall small cap market, the technology sector had the highest
return for the first calendar quarter, with internet stocks leading the
performance. The Fund's largest sector underweighting is in technology, and it
has almost no internet exposure as these stocks are fundamentally overvalued.
Thus, the technology sector was the largest detractor from the Fund's
performance.
<PAGE> 4
INTERNATIONAL EQUITY FUND
MARKET RECAP
After the third quarter of 1998, in which markets around the world
plummeted, most markets, bounced back over the past six months. The
international markets rallied in the last two months of 1998 as well as March
and April of 1999. The rally at year-end was prompted by central banks around
the world cutting interest rates to provide liquidity and support growth. The
middle two months saw flat to down markets as the euphoria surrounding European
Monetary Union (EMU) was short-lived. EMU took a back seat to economic growth
concerns across Europe and Japan. In Europe, fourth quarter 1998 growth numbers
were weaker in the big three markets of Germany, France and Italy as their
export markets remained soft. In Japan, five consecutive quarters of negative
growth and a burgeoning fiscal deficit left investors wondering if there was an
end in sight. However in March, the Asian markets, led by Japan, rebounded as
the Japanese fiscal year ended and foreign buyers flooded into the markets. The
thinking among foreign buyers was that economic conditions had bottomed and
should improve. In addition, announced corporate restructurings provided hope
that Japanese companies had finally heard the call to restructure and focus on
enhancing shareholder value. April was another strong month across most of the
developed foreign markets, including most of Europe. A cut in interest rates of
50 bps by the European Central Bank reversed investor sentiment that, after a
six-month hiatus, euro-area economic growth appeared poised for a moderate
pickup later in 1999.
PERFORMANCE RECAP
The International Equity Fund's total return for the six month period was
14.25%, compared to a 14.06% return for the Lipper International Index and a
15.28% return for the MSCI EAFE Index.
While the Fund outperformed the Lipper International Index, it trailed the
MSCI EAFE Index primarily due to the Fund's underweighting of the Japanese
market. Although this underweighting has served the Fund well in prior years,
the Japanese market delivered surprisingly strong returns for the six-month
period, up over 25%, and has a weighting in the EAFE index of over 20%. The
average weighting for the Fund in Japan during the six-month period was less
than 12%. Unfortunately, stock selection in Japan was also negative, as the
focus of foreign buying has been on domestically-oriented companies (i.e. banks)
which are not as intent on enhancing shareholder value as the more
export-oriented companies held in the Fund. The Fund continues to underweight
Japan as it entered into its new fiscal year on April 1, 1999: Japanese economic
growth remains poor, unemployment is at record levels and consumer demand is
nonexistent.
Without Japan, the Fund would have outperformed the EAFE Index as stock
selection and country decisions were positive in Europe. Overweighting the
strong Finnish market and underweighting the underperforming markets of Germany
and Switzerland added value. Stock selection was positive in Italy and the
Netherlands as the Fund's overweighting in Telecom Italia and Philips
Electronics added value, respectively. However, stock selection was poor in the
United Kingdom due to overweighting British Aerospace and Tomkins. As of April
30, 1999, the United Kingdom remains the largest weighting in the Fund.
Additionally, the Fund has many small overweightings among the more attractive
smaller European markets.
MANAGER UPDATE
In late February 1999, AMR Investments and Morgan Stanley Asset Management
mutually agreed that Morgan Stanley would no longer serve as subadviser to the
Fund. In March 1999, following approval of the Board of Trustees, AMR
Investments added Lazard Asset Management ("Lazard") and Independence Investment
Associates ("IIA") as subadvisers. Each new manager's strategy complements the
other two subadvisers to the Fund as Lazard utilizes a bottom-up fundamental
approach to identify stocks it perceives to be undervalued versus their local
index, the world index
<PAGE> 5
and their peer group, while IIA seeks to add value by identifying those stocks
that it believes constitute the other managers' "best ideas" and purchases
additional shares in those specific stocks.
THE BOND FUNDS
MARKET RECAP
The apparent malaise that began to weigh on the U.S. markets was quickly
lifted early in the fourth quarter of 1998 by the Federal Reserve's surprise
lowering of the Fed Funds rate. Outside of a FOMC meeting, the Fed lowered rates
25 basis points on October 15th. The FOMC followed with another 25 basis point
cut in rates on November 17th, bringing the Fed Funds rate to 4.75%. Despite
concern that the U.S. economy was beginning to limp under the international
turmoil, fourth quarter 1998 GDP posted a surprising 6.0% increase. Consumers
continued to be the driving force in the economy, buoyed by aggressive mortgage
refinancing and a rapid recovery in the equity markets. During the last quarter
of 1998, personal savings turned negative for the first time on record, while
unemployment data was very robust. The unemployment rate closed the year at
4.3%. Inflation finished the year remarkably tame with continued downward
pressure in the commodity sector, particularly oil.
The only sector of the economy running against trend in late 1998 was the
manufacturing sector, which continued to sag as demand from the international
arena paused. The National Association of Purchasing Managers ("NAPM") Index, a
more forward-looking measure of manufacturing activity, fell steadily during the
fourth quarter to 49.1 at year-end (a rating below 50 is considered
contractionary).
The first four months of 1999 brought significant events: the U.S. Air
Force continued its air strikes in Iraq, the Kosovo conflict escalated into war,
the OPEC nations agreed to cut oil production and the Dow charged past 10,000.
U.S. economic momentum remained unfazed by these events and continued to
demonstrate resilience in generating moderate growth with low inflation. First
quarter 1999 GDP posted a 4.5% increase, while most economists were anticipating
growth of approximately 3.4%. More directly impacting the economy, after
lowering rates three times during the latter part of 1998, the FOMC left
interest rates unchanged through April 30, 1999, signaling the desire to leave
rates alone until faced with an imminent threat of inflation. Unemployment
averaged 4.3% during the first quarter and reached as low as 4.2% in March, a
29-year low. At the producer level, signs of improvement surfaced with the NAPM
Index rebounding to 54.3 in March.
The primary area of concern during the period was the gradual rise in
certain commodity sector prices, particularly oil. While oil reached a low of
under $11 per barrel during February, crude prices closed over $18 per barrel by
the end of April, an increase of over 60% during that short period. A majority
of the increase was spurred by agreed production cuts among OPEC members.
However, the recovery in emerging market economies leads many to believe that
the general demand for commodity products worldwide will begin to firm.
Against this backdrop, the U.S. bond market gradually unwound the
flight-to-quality that occurred during the latter half of 1998. A significant
portion of the increase in interest rates took place in February after the
release of fourth quarter 1998 GDP. The 30-year Bond was at 5.09% at the end of
1998, and closed at 5.65% on April 30. In general, interest rates rose as
thoughts of inflation and an overheated economy once again entered the market.
Short-term interest rates were relatively unaffected as most of the increase in
interest rates occurred in the long-term rates.
PERFORMANCE RECAP
Intermediate Bond Fund
During the six-month period ended April 30, 1999 the Intermediate Bond Fund
gave back some of the excess performance accumulated since inception. The Fund's
performance for the period was
<PAGE> 6
- -0.45%. This return lagged the 0.61% return of the Lipper Intermediate
Investment Grade Debt Average of 268 funds.
The Fund underperformed during the six months ended April 30, 1999 due
primarily to the fact that its duration was longer than that of the benchmark
throughout the period. As interest rates increased, the Fund's longer duration
adversely affected total returns.
Short-Term Bond Fund
The Short-Term Bond Fund's total return for the six-month period ended
April 30, 1999 was 1.05%, lagging the 1.76% return of the Lipper Short
Investment Grade Debt Fund Average of 110 funds.
The Short-Term Bond Fund underperformed during the six months ended April
30, 1999 for similar issues as discussed in connection with the Intermediate
Bond Fund above. The Fund's duration was longer than that of the benchmark when
interest rates began to increase. Note that short-term interest rates were not
as adversely affected as intermediate and long-term interest rates.
THE MONEY MARKET FUNDS
MARKET RECAP
Data released from November through April continued to suggest that
economic activity remains strong. This was evidenced by the fact that
preliminary first quarter 1999 GDP grew at a rate of 4.1%, which was higher that
most economists expected. Remarkably though, despite the strong growth numbers,
inflation remained in check for this period. However, more recently, inflation
has started to rear its ugly head as the Consumer Price Index rose to its
highest monthly level in 9 years in April primarily due to higher energy costs.
Overall, this period can be characterized as one of strong growth and low
inflation.
With Y2K issues continuing to be a concern for the markets, we were careful
in our strategy of adding one year variable rate securities to avoid any early
January 2000 maturities. We feel comfortable holding securities of domestic
issuers, particularly in the regulated banking sector, as any problems with Y2K
should be resolved by the latter half of January. This sector has undergone many
mergers which has had a positive effect on credit quality and in turn has added
relative value to the Funds. Additionally, the regulatory oversight to which
these banks are subject provides us with an added sense of comfort as we head
into the new millennium.
Given the uncertain outlook on inflation, we believe the next move in
interest rates is more likely to be an increase rather than a decrease. As such,
we feel the Funds are well positioned for such a move by the Fed.
PERFORMANCE RECAP
Money Market Fund
For the six month period ending April 30, 1999, the Funds' annualized total
return was 4.75% which outperformed its benchmark, the Lipper Money Market
Instrument Funds' Average of 4.34%. During the same period, the Platinum Class
annualized total return was 4.26%.
Municipal Money Market Fund
FOR THE six month period ending April 30, 1999, the Funds' annualized total
return was 2.62% which outperformed its benchmark, the Lipper Tax-Exempt Money
Market Funds' Average of 2.46%. 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 of bond insurance.
<PAGE> 7
U.S. Government Money Market Fund
For the six month period ending April 30, 1999, the Funds' annualized total
return was 4.51% which outperformed its benchmark, the Lipper U.S. Government
Money Market Funds' Average of 4.30%.
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
<PAGE> 8
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7
<PAGE> 9
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT-
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE TERM
BALANCED VALUE VALUE EQUITY BOND BOND
-------- --------- --------- ------------- ------------ -------
(IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investment in Portfolio, at value.... $ 3,744 $ 10,055 $ 30 $ 5,445 $ 310 $ 896
Receivable for expense reimbursement
(Note 2)........................... 5 8 7 - 5 16
Deferred organization costs, net..... 3 2 - 3 - 3
-------- -------- ------ -------- ------- -------
TOTAL ASSETS..................... 3,752 10,065 37 5,448 315 915
-------- -------- ------ -------- ------- -------
LIABILITIES:
Payable for fund shares redeemed..... - 16 - 33 - -
Accrued organization costs........... 4 4 - 4 1 6
Dividends payable.................... - - - - - 1
Management fees payable (Note 2)..... 1 2 - 1 - -
Other liabilities.................... 14 24 7 14 16 12
-------- -------- ------ -------- ------- -------
TOTAL LIABILITIES................ 19 46 7 52 17 19
-------- -------- ------ -------- ------- -------
NET ASSETS............................... $ 3,733 $ 10,019 $ 30 $ 5,396 $ 298 $ 896
======== ======== ====== ======== ======= =======
ANALYSIS OF NET ASSETS:
Paid-in-capital...................... 2,960 7,002 30 4,126 305 954
Accumulated undistributed investment
income............................. 34 43 - 7 - -
Accumulated net realized gain
(loss)............................. 749 1,470 - 369 - (36)
Unrealized net appreciation
(depreciation) of investments...... (10) 1,504 - 894 (7) (22)
-------- -------- ------ -------- ------- -------
NET ASSETS............................... $ 3,733 $ 10,019 $ 30 $ 5,396 $ 298 $ 896
======== ======== ====== ======== ======= =======
Shares outstanding (no par value)........ 198,344 414,363 2,799 279,230 29,486 94,996
======== ======== ====== ======== ======= =======
Net asset value, offering and redemption
price per share........................ $ 18.82 $ 24.18 $10.79 $ 19.33 $ 10.10 $ 9.43
======== ======== ====== ======== ======= =======
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
8
<PAGE> 10
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES - CONTINUED
April 30, 1999 (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....................... $276,393 $ 24,389 $ 31,034
Receivable for shares of beneficial interest sold....... 274 3,205 29
Receivable for expense reimbursement (Note 2)........... 1 5 7
Deferred organization costs, net........................ 3 3 3
-------- ----------- -----------
TOTAL ASSETS........................................ 276,671 27,602 31,073
-------- ----------- -----------
LIABILITIES:
Payable for shares of beneficial interest redeemed...... 311 3 -
Accrued organization costs.............................. 6 6 6
Dividends payable....................................... 3 4 2
Management and administrative services fees payable
(Note 2).............................................. 99 2 2
Other liabilities....................................... 290 77 25
-------- ----------- -----------
TOTAL LIABILITIES................................... 709 92 35
-------- ----------- -----------
NET ASSETS.................................................. $275,962 $ 27,510 $ 31,038
======== =========== ===========
ANALYSIS OF NET ASSETS:
Paid-in-capital......................................... 275,962 27,510 31,038
-------- ----------- -----------
NET ASSETS.................................................. $275,962 $ 27,510 $ 31,038
======== =========== ===========
Shares outstanding (no par value)........................... N/A 27,510,483 31,037,813
=========== ===========
Net asset value, offering and redemption price per share.... N/A $ 1.00 $ 1.00
=========== ===========
MILEAGE CLASS:
Net asset value, offering and redemption price per share
(119,528,918 shares outstanding)...................... $ 1.00 N/A N/A
========
PLATINUM CLASS:
Net asset value, offering and redemption price per share
(156,432,897 shares outstanding)...................... $ 1.00 N/A N/A
========
</TABLE>
See accompanying notes
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9
<PAGE> 11
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE SHORT-TERM
BALANCED VALUE VALUE EQUITY BOND BOND
-------- --------- -------------- ------------- ------------ ----------
MARCH 1,
SIX MONTHS ENDED TO
APRIL 30, 1999 APRIL 30, 1999 SIX MONTHS ENDED APRIL 30, 1999
-------------------- -------------- -----------------------------------------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME ALLOCATED
FROM PORTFOLIO:
Interest income............ $ 47 $ 4 $ - $ 7 $ 6 $ 37
Dividend income (net of
foreign taxes of $5 in
International Equity
Fund).................... 27 119 - 57 - -
Income derived from
securities lending,
net...................... 1 1 - 2 - -
Portfolio expenses......... (6) (16) - (12) - (2)
---- ------ ------ ---- ---- ----
NET INVESTMENT INCOME
ALLOCATED FROM
PORTFOLIO............ 69 108 - 54 6 35
---- ------ ------ ---- ---- ----
FUND EXPENSES:
Management fees (Note 2)... 5 12 - 7 - 1
Transfer agent fees........ - 3 - 2 - 1
Professional fees.......... 2 1 1 - 1 1
Registration fees and
expenses................. 5 4 3 6 14 7
Distribution fees.......... 5 12 - 7 - 1
Other expenses............. 11 16 3 10 3 2
---- ------ ------ ---- ---- ----
TOTAL FUND EXPENSES.... 28 48 7 32 18 13
---- ------ ------ ---- ---- ----
Less reimbursement of
fund expenses (Note
2)................... 16 15 7 4 17 10
---- ------ ------ ---- ---- ----
NET FUND EXPENSES...... 12 33 - 28 1 3
---- ------ ------ ---- ---- ----
NET INVESTMENT INCOME.......... 57 75 - 26 5 32
---- ------ ------ ---- ---- ----
REALIZED AND UNREALIZED GAIN
(LOSS) ALLOCATED FROM
PORTFOLIO:
Net realized gain (loss) on
investments and foreign
currency transactions.... 107 662 - 286 (1) (9)
Change in net unrealized
appreciation or
depreciation of
investments and foreign
currency translations.... 111 550 - 466 (8) (13)
---- ------ ------ ---- ---- ----
NET GAIN (LOSS) ON
INVESTMENTS.......... 218 1,212 - 752 (9) (22)
---- ------ ------ ---- ---- ----
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................... $275 $1,287 $ - $778 $ (4) $ 10
==== ====== ====== ==== ==== ====
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
10
<PAGE> 12
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF OPERATIONS -- CONTINUED
Six Months Ended April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
MUNICIPAL GOVERNMENT
MONEY MONEY MONEY
MARKET MARKET MARKET
------- --------- ----------
(IN THOUSANDS)
<S> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO:
Interest income......................................... $5,950 $435 $774
Portfolio expenses...................................... (126) (21) (19)
------- ---- ----
NET INVESTMENT INCOME ALLOCATED FROM PORTFOLIO...... 5,824 414 755
------- ---- ----
FUND EXPENSES:
Management fees (Note 2)................................ 115 14 16
Administrative service fees - Platinum Class (Note 2)... 302 - -
Transfer agent fees..................................... - 17 13
Transfer agent fees - Mileage Class..................... 58 - -
Transfer agent fees - Platinum Class.................... 5 - -
Professional fees....................................... 32 3 5
Registration fees and expenses.......................... - 10 9
Distribution fees....................................... - 26 39
Distribution fees - Mileage Class....................... 150 - -
Distribution fees - Platinum Class...................... 133 - -
Other expenses.......................................... 39 6 7
------- ---- ----
TOTAL FUND EXPENSES................................. 834 76 89
------- ---- ----
Less reimbursement of fund expenses (Note 2)........ - 8 11
------- ---- ----
NET FUND EXPENSES................................... 834 68 78
------- ---- ----
NET INVESTMENT INCOME....................................... 4,990 346 677
------- ---- ----
REALIZED GAIN ALLOCATED FROM PORTFOLIO:
Net realized gain on investments........................ 3 - 1
------- ---- ----
NET GAIN ON INVESTMENTS............................. 3 - 1
------- ---- ----
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $4,993 $346 $678
======= ==== ====
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
11
<PAGE> 13
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP
BALANCED LARGE CAP VALUE VALUE INTERNATIONAL EQUITY
------------------------- ------------------------- ----------- -------------------------
SIX SIX SIX
MONTHS MONTHS MONTHS
ENDED YEAR ENDED YEAR MARCH 1, TO ENDED YEAR
APRIL 30, ENDED APRIL 30, ENDED APRIL 30, APRIL 30, ENDED
1999 OCTOBER 31, 1999 OCTOBER 31, 1999 1999 OCTOBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998 (UNAUDITED) (UNAUDITED) 1998
----------- ----------- ----------- ----------- ----------- ----------- -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income....... $ 57 $ 122 $ 75 $ 161 $ - $ 26 $ 71
Net realized gain (loss) on
investments and foreign
currency transactions...... 107 324 662 1,124 - 286 150
Change in net unrealized
appreciation or
depreciation of investments
and foreign currency
translations............... 111 (148) 550 (469) - 466 (207)
------ ------ -------- ------- --- ------- -------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ 275 298 1,287 816 - 778 14
------ ------ -------- ------- --- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income....... (121) (112) (159) (156) -- (73) (76)
Net realized gain on
investments................ - (227) (783) (510) - (129) (118)
------ ------ -------- ------- --- ------- -------
DISTRIBUTIONS TO
SHAREHOLDERS........... (121) (339) (942) (666) - (202) (194)
------ ------ -------- ------- --- ------- -------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of
shares..................... 117 747 707 9,307 30 6,263 16,543
Reinvestment of dividends
and distributions.......... 117 316 902 632 - 192 181
Cost of shares redeemed..... (463) (651) (1,950) (12,587) - (6,991) (16,407)
------ ------ -------- ------- --- ------- -------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
CAPITAL SHARE
TRANSACTIONS........... (229) 412 (341) (2,648) 30 (536) 317
------ ------ -------- ------- --- ------- -------
NET INCREASE (DECREASE) IN NET
ASSETS........................ (75) 371 4 (2,498) 30 40 137
NET ASSETS:
Beginning of period......... 3,808 3,437 10,015 12,513 - 5,356 5,219
------ ------ -------- ------- --- ------- -------
END OF PERIOD*.............. $3,733 $3,808 $ 10,019 $10,015 $30 $ 5,396 $ 5,356
====== ====== ======== ======= === ======= =======
*Includes undistributed net
investment income of....... $ 34 $ 98 $ 43 $ 127 $ - $ 7 $ 54
====== ====== ======== ======= === ======= =======
<CAPTION>
INTERMEDIATE
BOND SHORT-TERM BOND
-------------------------- -------------------------
SIX SIX
MONTHS MONTHS
ENDED ENDED YEAR
APRIL 30, MARCH 2, TO APRIL 30, ENDED
1999 OCTOBER 31, 1999 OCTOBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998
----------- ------------ ----------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income....... $ 5 $ 1 $ 32 $ 82
Net realized gain (loss) on
investments and foreign
currency transactions...... (1) 1 (9) (6)
Change in net unrealized
appreciation or
depreciation of investments
and foreign currency
translations............... (8) 1 (13) 8
---- ---- ------ ------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ (4) 3 10 84
---- ---- ------ ------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income....... (5) (1) (32) (82)
Net realized gain on
investments................ - - - -
---- ---- ------ ------
DISTRIBUTIONS TO
SHAREHOLDERS........... (5) (1) (32) (82)
---- ---- ------ ------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of
shares..................... 272 186 7 688
Reinvestment of dividends
and distributions.......... 3 1 31 80
Cost of shares redeemed..... (26) (131) (614) (502)
---- ---- ------ ------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
CAPITAL SHARE
TRANSACTIONS........... 249 56 (576) 266
---- ---- ------ ------
NET INCREASE (DECREASE) IN NET
ASSETS........................ 240 58 (598) 268
NET ASSETS:
Beginning of period......... 58 - 1,494 1,226
---- ---- ------ ------
END OF PERIOD*.............. $298 $ 58 $ 896 $1,494
==== ==== ====== ======
*Includes undistributed net
investment income of....... $ - $ - $ - $ -
==== ==== ====== ======
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
12
<PAGE> 14
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS -- CONTINUED
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL U.S. GOVERNMENT
MONEY MARKET MONEY MARKET MONEY MARKET
------------------------- ------------------------- -------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED
APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED
1999 OCTOBER 31, 1999 OCTOBER 31, 1999 OCTOBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998 (UNAUDITED) 1998
----------- ----------- ----------- ----------- ----------- -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income...................... $ 4,990 $ 8,449 $ 346 $ 825 $ 677 $ 1,627
Realized gain on investments............... 3 3 - 2 1 -
--------- --------- -------- -------- -------- --------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS....................... 4,993 8,452 346 827 678 1,627
--------- --------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income...................... - - (346) (825) (677) (1,627)
Net investment income - Mileage Class...... (2,749) (5,460) - - - -
Net investment income - Platinum Class..... (2,241) (2,989) - - - -
Net realized gain on investments........... - - - (2) (1) -
Net realized gain on investments - Mileage
Class.................................... (1) (2) - - - -
Net realized gain on investments - Platinum
Class.................................... (2) (1) - - - -
--------- --------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS.......... (4,993) (8,452) (346) (827) (678) (1,627)
--------- --------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares.............. 424,444 459,879 42,154 53,818 19,103 26,451
Reinvestment of dividends and
distributions............................ 30,629 8,293 304 782 642 1,481
Cost of shares redeemed.................... (367,829) (433,585) (39,690) (56,422) (22,420) (23,010)
--------- --------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL SHARE TRANSACTIONS....... 87,244 34,587 2,768 (1,822) (2,675) 4,922
--------- --------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS......... 87,244 34,587 2,768 (1,822) (2,675) 4,922
NET ASSETS:
Beginning of period........................ 188,718 154,131 24,742 26,564 33,713 28,791
--------- --------- -------- -------- -------- --------
END OF PERIOD.............................. $ 275,962 $ 188,718 $ 27,510 $ 24,742 $ 31,038 $ 33,713
========= ========= ======== ======== ======== ========
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
13
<PAGE> 15
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 1999 (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 with nine separate
series as follows: American AAdvantage Balanced Mileage Fund, American
AAdvantage Large Cap Value Mileage Fund, American AAdvantage Small Cap Value
Mileage Fund, American AAdvantage International Equity Mileage Fund, American
AAdvantage Intermediate Bond Mileage Fund, American AAdvantage Short-Term Bond
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"). The
Funds (other than the Intermediate Bond and Small Cap Value Mileage Funds)
commenced active operations on November 1, 1995. The American AAdvantage
Intermediate Bond Mileage Fund commenced active operations on March 2, 1998. The
American AAdvantage Small Cap Value Mileage Fund commenced active operations on
March 1, 1999. 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. Prior to March 1, 1999, the American AAdvantage Large
Cap Value Mileage Fund was known as the American AAdvantage Growth and Income
Mileage Fund.
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
Large Cap Value Mileage Fund Large Cap Value Portfolio
Small Cap Value Mileage Fund Small Cap Value Portfolio
International Equity Mileage Fund International Equity Portfolio
Intermediate Bond Mileage Fund Intermediate Bond Portfolio
Short-Term Bond Mileage Fund Short-Term Bond 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 (.33%,
.54%, .12%, .45%, .12%, .89%, 10.83%, 19.89% and 12.62% at April 30, 1999 of the
AMR Investment Services Balanced, Large Cap Value, Small Cap Value,
International Equity, Intermediate Bond, Short-Term Bond, 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.
- --------------------------------------------------------------------------------
14
<PAGE> 16
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
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,
Large Cap Value, Small Cap Value and International Equity Mileage Funds normally
will be declared and paid annually. The Intermediate Bond and the Short-Term
Bond Mileage Funds generally declare 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, 1999, the Short-Term Bond Mileage Fund
had a capital loss carryforward for federal income tax purposes of approximately
$59,000 expiring in years 2004 - 2006.
All dividends paid by the Municipal Money Market Mileage Fund were
"exempt - interest dividends", and therefore are 100% free of any regular
federal income tax. Approximately 31% 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 the Balanced, Large Cap Value, International Equity,
Intermediate Bond, Short-Term Bond, Money Market, Municipal Money Market and
U.S. Government Money Market Mileage Funds in connection with their organization
are being amortized on a straight-line basis over a five-year period.
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
- --------------------------------------------------------------------------------
15
<PAGE> 17
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
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, Large Cap Value, Small Cap Value,
International Equity, Intermediate Bond and Short-Term Bond Mileage Funds and
.10% 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, 1999, the Manager waived distribution fees
totaling $4,584, $12,257, $4,292, $257, $1,403, $8,252 and $10,510 for the
Balanced, Large Cap Value, International Equity, Intermediate Bond, Short-Term
Bond, Municipal Money Market and U.S. Government Money Market Mileage Funds,
respectively. During the same period, the Manager waived $282 for the Money
Market Mileage Fund - Platinum Class.
Other
Certain officers or trustees of the Trust are also current or former
officers or employees 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
- --------------------------------------------------------------------------------
16
<PAGE> 18
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
value of this free airline travel. For the six months ended April 30, 1999, the
cost of air transportation was not material to any of the Funds.
Reimbursement of Expenses
In addition to waiving distribution fees, the Manager reimbursed expenses
totaling $11,058, $2,904, $7,096, $17,466 and $9,025 for the Balanced, Large Cap
Value, Small Cap Value, Intermediate Bond and Short-Term Bond Mileage Funds,
respectively during the six months ended April 30, 1999.
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:
Period Ended April 30, 1999
<TABLE>
<CAPTION>
BALANCED LARGE CAP VALUE SMALL CAP VALUE
MILEAGE FUND MILEAGE FUND MILEAGE FUND
--------------- ---------------- ---------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------- ------ ------
<S> <C> <C> <C> <C> <C> <C>
Shares sold.......................................... 6 $ 117 31 $ 707 3 $30
Reinvestment of dividends............................ 7 117 41 902 - -
Shares redeemed...................................... (25) (463) (85) (1,950) - -
--- ----- --- ------- -- ---
Net increase (decrease) in capital shares
outstanding........................................ (12) $(229) (13) $ (341) 3 $30
=== ===== === ======= == ===
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL INTERMEDIATE SHORT-TERM
EQUITY BOND MILEAGE BOND
MILEAGE FUND FUND MILEAGE FUND
---------------- --------------- ---------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ ------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Shares sold........................................... 354 $6,263 26 $272 1 $ 7
Reinvestment of dividends............................. 11 192 - 3 3 31
Shares redeemed....................................... (390) (6,991) (3) (26) (65) (614)
---- ------- -- ---- --- -----
Net increase (decrease) in capital shares
outstanding......................................... (25) $ (536) 23 $249 (61) $(576)
==== ======= == ==== === =====
</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................................. 183,400 241,044 42,154 19,103
Reinvestment of dividends................... 28,567 2,062 304 642
Shares redeemed............................. (207,282) (160,547) (39,690) (22,420)
-------- -------- ------- -------
Net increase (decrease) in capital shares
outstanding............................... 4,685 82,559 2,768 (2,675)
======== ======== ======= =======
</TABLE>
- --------------------------------------------------------------------------------
17
<PAGE> 19
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Period Ended October 31, 1998
<TABLE>
<CAPTION>
INTERNATIONAL INTERMEDIATE
BALANCED LARGE CAP VALUE EQUITY BOND
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............................ 41 $ 747 395 $ 9,307 879 $ 16,543 18 $ 186
Reinvestment of dividends.............. 19 316 28 632 11 181 - 1
Shares redeemed........................ (37) (651) (523) (12,587) (880) (16,407) (13) (131)
--- ----- ---- -------- ---- -------- --- -----
Net increase (decrease) in capital
shares outstanding................... 23 $ 412 (100) $ (2,648) 10 $ 317 5 $ 56
=== ===== ==== ======== ==== ======== === =====
</TABLE>
<TABLE>
<CAPTION>
SHORT TERM
BOND MONEY MARKET
MILEAGE FUND MILEAGE FUND MUNICIPAL U.S. GOVERNMENT
--------------- ------------------------------ MONEY MARKET MONEY MARKET
SHARES AMOUNT MILEAGE CLASS PLATINUM CLASS MILEAGE FUND MILEAGE FUND
------ ------ ------------- -------------- ------------ ---------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold.................. 72 $ 688 235,466 224,413 53,818 26,451
Reinvestment of dividends.... 8 80 5,369 2,924 782 1,481
Shares redeemed.............. (52) (502) (230,939) (202,646) (56,422) (23,010)
--- ----- -------- -------- ------- -------
Net increase (decrease) in
capital shares
outstanding................ 28 $ 266 9,896 24,691 (1,822) 4,922
=== ===== ======== ======== ======= =======
</TABLE>
- --------------------------------------------------------------------------------
18
<PAGE> 20
AMERICAN AADVANTAGE BALANCED MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, OCTOBER 31,
1999 --------------------------
(UNAUDITED) 1998 1997 1996(A)
----------- ------ ------- -------
<S> <C> <C> <C> <C>
Net asset value, beginning of period(B).................. $18.08 $18.32 $ 16.01 $ 13.97
------ ------ ------- -------
Income from investment operations:
Net investment income(C)............................. 0.33 0.57 0.58 0.49
Net gains on securities (both realized and
unrealized)(C)..................................... 1.03 0.93 2.44 1.65
------ ------ ------- -------
Total from investment operations......................... 1.36 1.50 3.02 2.14
------ ------ ------- -------
Less distributions:
Dividends from net investment income................. (0.62) (0.58) (0.49) (0.10)
Distributions from net realized gains on
securities......................................... - (1.16) (0.22) -
------ ------ ------- -------
Total distributions...................................... (0.62) (1.74) (0.71) (0.10)
------ ------ ------- -------
Net asset value, end of period........................... $18.82 $18.08 $ 18.32 $ 16.01
====== ====== ======= =======
Total return............................................. 7.68% 8.74% 19.52% 15.97%
====== ====== ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands)............. $3,733 $3,808 $ 3,437 $ 2,495
Ratios to average net assets (annualized)(C):
Expenses........................................ 0.99% 0.99% 0.99% 1.01%
Net investment income........................... 3.14% 3.16% 3.45% 3.58%
Decrease reflected in above expense ratio due to
absorption of expenses by the manager.............. 0.86% 0.75% 0.84% 1.92%
</TABLE>
- ---------------
(A) Capital Guardian Trust Company was replaced by Brandywine Asset Management
as an investment adviser to the Balanced Fund on April 1, 1996.
(B) The net asset value per share for the Balanced Mileage Fund has been
adjusted for a stock split which occurred on November 1, 1995 in the ratio
of 1.43169.
(C) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Portfolio.
- --------------------------------------------------------------------------------
19
<PAGE> 21
AMERICAN AADVANTAGE LARGE CAP VALUE MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, OCTOBER 31,
1999(A) ---------------------------
(UNAUDITED) 1998 1997 1996(B)
------------ ------- ------- -------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period(C)............................. $ 23.43 $ 23.72 $ 19.35 $15.94
------- ------- ------- ------
Income from investment operations:
Net investment income(D)............ 0.19 0.45 0.31 0.34
Net gains on securities (both
realized and unrealized)(D)....... 2.84 0.92 4.87 3.16
------- ------- ------- ------
Total from investment operations........ 3.03 1.37 5.18 3.50
------- ------- ------- ------
Less distributions:
Dividends from net investment
income............................ (0.39) (0.39) (0.34) (0.09)
Distributions from net realized
gains on securities............... (1.89) (1.27) (0.47) -
------- ------- ------- ------
Total distributions..................... (2.28) (1.66) (0.81) (0.09)
------- ------- ------- ------
Net asset value, end of period.......... $ 24.18 $ 23.43 $ 23.72 $19.35
======= ======= ======= ======
Total return............................ 13.85% 6.01% 27.60% 22.77%
======= ======= ======= ======
Ratios and supplemental data:
Net assets, end of period (in
thousands)........................ $10,019 $10,015 $12,513 $6,234
Ratios to average net assets
(annualized)(D):
Expenses....................... 0.99% 0.98% 0.99% 1.00%
Net investment income.......... 1.53% 1.46% 1.78% 2.13%
Decrease reflected in above expense
ratio due to absorption of
expenses by the manager........... 0.32% 0.23% 0.32% 0.88%
</TABLE>
- ---------------
(A) Prior to March 1, 1999, the American AAdvantage Large Cap Value Mileage
Fund was known as the American AAdvantage Growth and Income Mileage Fund.
(B) Capital Guardian Trust Company was replaced by Brandywine Asset Management
as an investment adviser to the Large Cap Value Fund on April 1, 1996.
(C) The net asset value per share for the Large Cap Value Mileage Fund has been
adjusted for a stock split which occurred on November 1, 1995 in the ratio
of 1.254705.
(D) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Portfolio.
- --------------------------------------------------------------------------------
20
<PAGE> 22
AMERICAN AADVANTAGE SMALL CAP VALUE MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARCH 1,
TO
APRIL 30,
1999
(UNAUDITED)
--------------
<S> <C>
Net asset value, beginning of period.... $ 10.00
-----------
Income from investment operations:
Net investment income(A)............ -
Net gains on securities (both
realized and unrealized)(A)........ 0.79
-----------
Total from investment operations........ 0.79
-----------
Less distributions:
Dividends from net investment
income............................. -
Distributions from net realized
gains on securities................ -
-----------
Total distributions..................... -
-----------
Net asset value, end of period.......... $ 10.79
===========
Total return............................ 7.90%
===========
Ratios and supplemental data:
Net assets, end of period (in
thousands)......................... $ 30
Ratios to average net assets
(annualized)(A):
Expenses....................... 1.49%
Net investment income.......... 5.31%
Decrease reflected in above expense
ratio due to absorption of expenses
by the Manager..................... 12,003.16%
</TABLE>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Portfolio.
- --------------------------------------------------------------------------------
21
<PAGE> 23
AMERICAN AADVANTAGE INTERNATIONAL EQUITY MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED OCTOBER 31,
APRIL 30, 1999 -----------------------------------------
(UNAUDITED)(C) 1998 1997 1996
-------------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Net asset value, beginning of period(A)....... $17.56 $17.67 $15.31 $13.15
------ ------ ------ ------
Income from investment operations:
Net investment income(B).................. 0.10 0.25 0.25 0.20
Net gains on securities (both realized and
unrealized)(B).......................... 2.35 0.33 2.52 2.03
------ ------ ------ ------
Total from investment operations.............. 2.45 0.58 2.77 2.23
------ ------ ------ ------
Less distributions:
Dividends from net investment income...... (0.25) (0.27) (0.18) (0.07)
Distributions from net realized gains on
securities.............................. (0.43) (0.42) (0.23) -
------ ------ ------ ------
Total distributions........................... (0.68) (0.69) (0.41) (0.07)
------ ------ ------ ------
Net asset value, end of period................ $19.33 $17.56 $17.67 $15.31
====== ====== ====== ======
Total return.................................. 14.25% 3.49% 18.44% 16.58%
====== ====== ====== ======
Ratios and supplemental data:
Net assets, end of period (in
thousands).............................. $5,396 $5,356 $5,219 $3,387
Ratios to average net assets
(annualized)(B):
Expenses............................. 1.48% 1.47% 1.47% 1.48%
Net investment income................ 1.03% 1.32% 1.61% 1.63%
Decrease reflected in above expense ratio
due to absorption of expenses by the
Manager................................. 0.16% 0.18% 0.21% 1.23%
</TABLE>
- ---------------
(A) The net asset value per share for the International Equity Mileage Fund has
been adjusted for a stock split which occurred on November 1, 1995 in the
ratio of 1.520913.
(B) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Portfolio.
(C) Morgan Stanley Asset Management, Inc. was replaced by Lazard Asset
Management and Independence Investment Associates on March 1, 1999.
- --------------------------------------------------------------------------------
22
<PAGE> 24
AMERICAN AADVANTAGE INTERMEDIATE BOND MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
APRIL 30, MARCH 2,
1999 TO OCTOBER 31,
(UNAUDITED) 1998
----------- --------------
<S> <C> <C>
Net asset value, beginning of period........................ $ 10.40 $10.00
------- ------
Income from investment operations:
Net investment income(A)................................ 0.25 0.38
Net gains (losses) on securities (both realized and
unrealized)(A)......................................... (0.29) 0.40
------- ------
Total from investment operations............................ (0.04) 0.78
------- ------
Less distributions:
Dividends from net investment income.................... (0.25) (0.38)
Distributions from net realized gains on securities..... (0.01) -
------- ------
Total distributions......................................... (0.26) (0.38)
------- ------
Net asset value, end of period.............................. $ 10.10 $10.40
======= ======
Total return................................................ (0.45%) 7.94%
======= ======
Ratios and supplemental data:
Net assets, end of period (in thousands)................ $ 298 $ 58
Ratios to average net assets (annualized)(A):
Expenses........................................... 0.87% 0.87%
Net investment income.............................. 4.95% 5.53%
Decrease reflected in above expense ratio due to
absorption of expenses by the Manager.................. 16.82% 116.08%
</TABLE>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Portfolio.
- --------------------------------------------------------------------------------
23
<PAGE> 25
AMERICAN AADVANTAGE SHORT-TERM BOND MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED OCTOBER 31,
APRIL 30, 1999 -------------------------
(UNAUDITED) 1998(A) 1997 1996
-------------- ------- ------ ------
<S> <C> <C> <C> <C>
Net asset value, beginning of period(B)..................... $ 9.60 $ 9.60 $ 9.65 $ 9.83
------ ------ ------ ------
Income from investment operations:
Net investment income(C)................................ 0.27 0.60 0.61 0.59
Net (losses) on securities (both realized and
unrealized)(C)........................................ (0.17) -- (0.05) (0.18)
------ ------ ------ ------
Total from investment operations............................ 0.10 0.60 0.56 0.41
------ ------ ------ ------
Less distributions:
Dividends from net investment income.................... (0.27) (0.60) (0.61) (0.59)
Distributions from net realized gains on securities..... - - - -
------ ------ ------ ------
Total distributions......................................... (0.27) (0.60) (0.61) (0.59)
------ ------ ------ ------
Net asset value, end of period.............................. $ 9.43 $ 9.60 $ 9.60 $ 9.65
====== ====== ====== ======
Total return................................................ 1.05% 6.45% 5.90% 4.55%
====== ====== ====== ======
Ratios and supplemental data:
Net assets, end of period (in thousands)................ $ 896 $1,494 $1,226 $1,168
Ratios to average net assets (annualized)(C):
Expenses........................................... 0.85% 0.85% 0.85% 0.86%
Net investment income.............................. 5.78% 6.24% 6.37% 6.08%
Decrease reflected in above expense ratio due to
absorption of expenses by the Manager................. 1.90% 1.89% 2.16% 2.33%
</TABLE>
- ---------------
(A) Prior to March 1, 1998, the American AAdvantage Short-Term Bond Mileage
Fund was known as the American AAdvantage Limited-Term Income Mileage Fund.
(B) The net asset value per share for the Short-Term Bond Mileage Fund has been
adjusted for a stock split which occurred on November 1, 1995 in the ratio
of 2.034588.
(C) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Portfolio.
- --------------------------------------------------------------------------------
24
<PAGE> 26
AMERICAN AADVANTAGE MONEY MARKET MILEAGE FUNDS
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET(A)
---------------------------------------------------------------------------------------------
MILEAGE CLASS PLATINUM CLASS
-------------------------------------------- ---------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED JANUARY 29,
APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, TO
1999 ------------------------------ 1999 ----------------- OCTOBER 31,
(UNAUDITED) 1998 1997 1996 (UNAUDITED) 1998 1997 1996
----------- -------- -------- -------- ----------- ------- ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period.......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- ------- ------- -------
Income from investment
operations:
Net investment income(B)...... 0.02 0.05 0.05 0.05 0.02 0.05 0.05 0.03
Dividends from net investment
income...................... (0.02) (0.05) (0.05) (0.05) (0.02) (0.05) (0.05) (0.03)
-------- -------- -------- -------- -------- ------- ------- -------
Net asset value, end of period... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ======= ======= =======
Total return..................... 2.33% 5.18% 5.14% 5.12% 2.09% 4.74% 4.71% 4.78%
======== ======== ======== ======== ======== ======= ======= =======
Ratios and supplemental data:
Net assets, end of period (in
thousands).................. $119,529 $114,844 $104,947 $106,709 $156,433 $73,875 $49,184 $15,429
Ratios to average net assets
(annualized)(B):
Expenses.................. 0.61% 0.66% 0.67% 0.67% 1.08% 1.09% 1.09% 1.09%
Net investment income..... 4.59% 5.07% 5.02% 5.02% 4.07% 4.64% 4.64% 4.48%
Decrease reflected in above
expense ratio due to
absorption of expenses by
the Manager................. - 0.03% 0.07% 0.11% - 0.03% 0.05% 0.15%
</TABLE>
- ---------------
(A) 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.
(B) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Portfolio.
- --------------------------------------------------------------------------------
25
<PAGE> 27
AMERICAN AADVANTAGE MUNICIPAL MONEY MARKET MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, OCTOBER 31,
1999 ---------------------------
(UNAUDITED) 1998 1997 1996
----------- ------- ------- -------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- -------
Income from investment operations:
Net investment income(A)................................ 0.01 0.03 0.03 0.03
Dividends from net investment income.................... (0.01) (0.03) (0.03) (0.03)
------- ------- ------- -------
Net asset value, end of period.............................. $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= =======
Total return................................................ 1.29% 3.16% 3.18% 3.19%
======= ======= ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands)................ $27,510 $24,742 $26,564 $28,726
Ratios to average net assets (annualized)(A):
Expenses........................................... 0.65% 0.65% 0.65% 0.66%
Net investment income.............................. 2.55% 3.12% 3.13% 3.14%
Decrease reflected in above expense ratio due to
absorption of expenses by the Manager................. 0.06% 0.18% 0.13% 0.14%
</TABLE>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the respective AMR Investment Services Portfolio.
- --------------------------------------------------------------------------------
26
<PAGE> 28
AMERICAN AADVANTAGE U.S. GOVERNMENT MONEY MARKET MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, OCTOBER 31,
1999 ---------------------------
(UNAUDITED) 1998 1997(A) 1996
----------- ------- ------- -------
<S> <C> <C> <C> <C>
Net asset value, beginning of period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- -------
Income from investment operations:
Net investment income(B).............................. 0.02 0.05 0.05 0.05
Dividends from net investment income.................. (0.02) (0.05) (0.05) (0.05)
------- ------- ------- -------
Net asset value, end of period............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= =======
Total return.............................................. 2.21% 5.13% 5.00% 4.98%
======= ======= ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands).............. $31,038 $33,713 $28,791 $10,638
Ratios to average net assets (annualized)(B ):
Expenses......................................... 0.62% 0.62% 0.62% 0.62%
Net investment income............................ 4.37% 5.02% 4.91% 4.82%
Decrease reflected in above expense ratio due to
absorption of expenses by the Manager............... 0.07% 0.04% 0.16% 0.49%
</TABLE>
- ---------------
(A) 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.
(B) 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.
- --------------------------------------------------------------------------------
27
<PAGE> 29
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 12.68%
U.S. TREASURY BILLS - 0.31%
4.325%, Due 7/22/99............ $ 3,645 $ 3,609
----------
TOTAL U. S. TREASURY
BILLS.................... 3,609
----------
U.S. TREASURY BONDS - 5.16%
10.75%, Due 2/15/2003.......... 560 663
14.00%, Due 11/15/2011......... 2,750 4,159
10.375%, Due 11/15/2012........ 5,130 6,756
7.25%, Due 5/15/2016........... 3,500 4,001
8.125%, Due 8/15/2019.......... 8,120 10,201
7.25%, Due 8/15/2022........... 7,635 8,883
6.25%, Due 8/15/2023........... 3,880 4,040
6.00%, Due 2/15/2026........... 2,555 2,588
6.75%, Due 8/15/2026........... 3,205 3,568
6.375%, Due 8/15/2027.......... 6,475 6,902
6.125%, Due 11/15/2027......... 1,165 1,203
5.25%, Due 11/15/2028.......... 6,470 5,979
----------
TOTAL U.S. TREASURY
BONDS.................... 58,943
----------
U.S. TREASURY COUPON STRIP - 0.81%
Due 2/15/2009.................. 12,500 7,225
Due 5/15/2011.................. 4,000 1,996
----------
TOTAL U.S. TREASURY COUPON
STRIP.................... 9,221
----------
U.S. TREASURY NOTES - 6.40%
6.3755, Due 5/15/1999.......... 5,000 5,002
6.00%, Due 6/30/1999........... 1,000 1,002
6.875%, Due 3/31/2000.......... 1,000 1,018
5.63%, Due 4/30/2000........... 1,000 1,007
5.50%, Due 5/31/2000........... 9,440 9,493
6.25%, Due 5/31/2000........... 1,000 1,013
6.00%, Due 8/15/2000........... 2,000 2,024
5.625%, Due 11/30/2000......... 1,500 1,513
6.375%, Due 3/31/2001.......... 1,500 1,535
5.625%, Due 5/15/2001.......... 1,000 1,010
6.625%, Due 7/31/2001.......... 7,030 7,252
5.875%, Due 8/15/2001.......... 2,030 2,149
6.38%, Due 9/30/2001........... 2,000 2,056
7.50%, Due 11/15/2001.......... 1,000 1,055
5.88%, Due 11/30/2001.......... 1,000 1,018
7.50%, Due 5/15/2002........... 1,500 1,595
6.00%, Due 7/31/2002........... 2,750 2,812
6.375%, Due 8/15/2002.......... 1,250 1,292
6.25%, Due 8/31/2002........... 1,335 1,375
6.25%, Due 2/15/2003........... 1,000 1,034
4.75%, Due 2/15/2004........... 775 760
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
7.875%, Due 11/15/2004......... $ 2,000 $ 2,239
5.875%, Due 11/15/2005......... 1,000 1,028
7.00%, Due 7/15/2006........... 4,830 5,281
6.50%, Due 10/15/2006.......... 8,575 9,138
6.625%, Due 5/15/2007.......... 5,235 5,637
5.50%, Due 2/15/2008........... 1,000 1,007
4.75%, Due 11/15/2008.......... 1,755 1,676
----------
TOTAL U.S. TREASURY
NOTES.................... 73,021
----------
TOTAL U.S. TREASURY
OBLIGATIONS.............. 144,794
----------
U.S. AGENCY MORTGAGE-BACKED
OBLIGATIONS - 5.02%
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 2.78%
5.125%, Due 2/26/2002.......... 2,765 2,742
5.73%, Due 8/11/2003........... 1,000 1,002
5.13%, Due 9/15/2003........... 4,220 4,137
5.81%, Due 8/17/2005........... 1,250 1,251
5.85%, Due 1/22/2008........... 1,000 991
6.00%, Due 3/1/2013............ 589 585
5.50%, Due 1/1/2014............ 4,989 4,853
6.50%, Due 10/1/2028........... 1,932 1,923
6.50%, Due 10/1/2028........... 567 564
6.00%, Due 2/1/2029............ 6,039 5,864
6.50%, Due 4/1/2029............ 5,499 5,473
TBA 6.00%, Due 12/31/2099...... 2,000 1,984
TBA 6.50%, Due 12/31/2099...... 400 398
----------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION..... 31,767
----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 2.02%
5.125%, Due 2/13/2004.......... 1,088 1,065
Series 1989-21 G, 10.45%, Due
4/25/2019.................... 96 103
Pool # 306505, 8.00%, Due
3/1/2025..................... 328 342
TBA, 6.09%, Due 9/27/2027...... 2,500 2,393
5.98%, Due 11/12/2027.......... 2,500 2,356
Pool # 481469, 6.00%, Due
2/1/2029..................... 6,046 5,865
Pool # 323706, 7.00%, Due
4/1/2029..................... 2,250 2,299
TBA, 6.50%, Due 12/1/2099...... 4,340 4,311
TBA, 6.50%, Due 12/1/2099...... 4,280 4,315
----------
TOTAL FEDERAL NATIONAL
MORTGAGE ASSOCIATION..... 23,049
----------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
28
<PAGE> 30
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.22%
Pool # 466318, 7.00%,
Due 1/15/2028................ $ 2,441 $ 2,479
----------
TOTAL GOVERNMENT NATIONAL
MORTGAGE
ASSOCIATION.............. 2,479
----------
TOTAL U.S. AGENCY
MORTGAGE-BACKED
OBLIGATIONS.............. 57,295
----------
ASSET-BACKED SECURITIES - 1.29%
Amresco Commercial Mortgage
Funding I, Series 1997-C1 A3,
7.19%, Due 6/17/2029......... 1,510 1,576
Asset Securitization
Corporation, Series 1997-D5
A1C, 6.75%, Due 2/14/2041.... 2,000 2,033
Chase Commercial Mortgage
Securities Corporation,
Series 1997-1 A2, 7.37%,
Due 2/19/2007................ 1,100 1,148
Commercial Mortgage Asset
Trust, 6.64%, Due 9/17/2010.. 2,000 2,000
Ditech Home Owner Trust, 6.71%,
Due 8/15/2018................ 2,225 2,258
Firstplus Home Loan Owner
Trust, 6.32%, Due 8/10/2016.. 3,000 3,021
LB Commercial Conduit Mortgage
Trust, 6.21%, Due
10/15/2008................... 2,440 2,401
Olympic Automobile Receivable,
7.875%, Due 7/15/2001........ 275 275
----------
TOTAL ASSET-BACKED
SECURITIES............... 14,712
----------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 0.84%
CitiCorp Mortgage Securities,
Incorporated,
6.92%, Due 8/25/2027......... 446 448
Credit Suisse First Boston
Mortgage, 7.24%,
Due 6/20/2029................ 400 416
CountryWide, Incorporated,
8.25%, Due 5/25/2010......... 600 615
7.50%, Due 7/25/2011......... 506 516
DLJ Mortgage Acceptance
Corporation, 4.56%, Due
3/25/2024.................... 122 122
Green Tree Financial
Corporation, 7.00%, Due
10/15/2027................... 1,300 1,316
ICI Funding Corporation Secured
Assets Trust, 7.60%, Due
7/25/2028.................... 405 404
Mortgage Capital Funding,
Incorporated,
6.758%, Due 2/20/2004........ 615 626
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Nomura Asset Securities
Corporation,
8.15%, Due 4/4/2027.......... $ 2,500 $ 2,697
Residential Funding Mortgage
Securities I,
6.35%, Due 8/25/2023......... 96 96
The Money Store Home Equity
Trust, 7.66%, Due 8/15/2026.. 1,500 1,545
Securitized Multiple Asset,
7.72%, Due 4/15/2005......... 1,626 731
----------
TOTAL NON-AGENCY
MORTGAGE-BACKED
OBLIGATIONS.............. 9,532
----------
CORPORATE BONDS - 17.51%
BANKS - 1.78%
Amsouth Bancorporation, 6.125%,
Due 3/1/2009................. 2,910 2,818
BankAmerica Corporation,
8.125%, Due 2/1/2002......... 600 634
Capital One Bank MTN, 7.35%,
Due 6/20/2000................ 385 391
Chase Manhattan Corporation,
8.625%, Due 5/1/2002......... 700 751
6.00%, Due 11/1/2005......... 1,650 1,632
Citigroup, Incorporated,
6.875%, Due 2/15/2098........ 910 866
5.80%, Due 3/15/2004......... 1,170 1,160
First Chicago Corporation,
9.875%, Due 8/15/2000........ 1,000 1,052
Inter-American Devel Bank,
5.375%, Due 11/18/2008....... 1,280 1,223
National City Corporation,
6.875%, Due 5/15/2019........ 680 678
NationsBank Corporation, 7.00%,
Due 9/15/2001................ 1,000 1,026
6.60%, Due 5/15/2010......... 1,600 1,608
PNC Funding Corporation,
6.125%, Due 9/1/2003......... 1,520 1,522
Popular, Incorporated, 6.20%,
Due 4/30/2001................ 1,150 1,147
Skandinaviska Enskilda Banken,
6.594%, Due 6/29/2049........ 3,800 3,765
----------
TOTAL BANKS................ 20,273
----------
FINANCE - 5.28%
American General Finance
Corporation, MTN, 5.75%, Due
11/23/2001................... 1,200 1,197
Associates Corporation of North
America, 6.00%, Due
4/15/2003.................... 2,000 1,996
AT&T Capital Corporation,
6.875%, Due 1/16/2001........ 1,020 1,037
5.86%, Due 4/26/2002......... 650 647
Caterpillar Financial Services,
5.99%, Due 3/11/2002......... 2,500 2,509
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
29
<PAGE> 31
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
CIT Group, Incorporated, 5.25%,
Due 2/15/2004................ $ 630 $ 616
CNA Financial Corporation,
6.95%, Due 1/15/2018......... 1,675 1,584
Countrywide Funding
Corporation, MTN, 6.38%, Due
10/8/2002.................... 2,135 2,143
6.25%, Due 4/15/2009......... 3,800 3,690
Credit Suisse First Boston,
6.48%, Due 4/11/2030......... 2,500 2,479
CS First Boston Mortgage
Securities Corporation,
6.60%, Due 6/15/2027......... 2,600 2,644
EOP Oper Limited Partnership,
6.38%, Due 2/15/2012......... 1,120 1,113
Finova Capital Corporation,
6.75%, Due 3/9/2009.......... 2,000 2,012
Ford Motor Credit Company,
6.125%, Due 4/28/2003........ 2,125 2,135
General Electric Capital Corp,
7.875%, Due 12/1/2006........ 1,000 1,109
General Motors Acceptance
Corporation, 5.91%, Due
3/11/2002.................... 1,700 1,701
Household Finance Corporation,
6.50%, Due 11/15/2008........ 2,485 2,477
Lehman Brothers Holdings,
Incorporated,
6.375%, Due 3/15/2001........ 530 532
6.20%, Due 1/15/2002......... 2,250 2,243
6.625%, Due 4/1/2004......... 630 633
Liberty Property Limited
Partnership, 7.75%, Due
4/15/2009.................... 1,500 1,479
Merrill Lynch & Company,
Incorporated,
6.00%, Due 2/12/2003......... 1,000 1,000
6.00%, Due 2/17/2009......... 750 722
Merrill Lynch Mortgage
Investors, Incorporated,
7.12%, Due 6/18/2029......... 660 685
Money Store Trust, 7.55%, Due
2/15/2020.................... 1,170 1,185
Newcourt Credit Group, 6.875%,
Due 2/16/2005................ 1,470 1,506
Paine Webber Group,
Incorporated MTN, 7.74%, Due
1/30/2012.................... 2,200 2,345
PMI Group, Incorporated, 6.75%,
Due 11/15/2006............... 2,000 2,044
Provident Companies,
Incorporated, 7.25%,
3/15/2028.................... 2,070 2,101
Salomon, Incorporated, 6.25%,
Due 5/15/2003................ 2,750 2,770
Simon Debartolo Group LP,
6.625%, Due 6/15/2003........ 1,675 1,660
Texaco, Incorporated MTN,
6.19%, Due 7/9/2003.......... 750 754
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Transamerica Finance
Corporation MTN, 6.125%, Due
11/01/2001................... $ 2,475 $ 2,487
Travelers Property Casualty
Corporation, 6.75%, Due
4/15/2001.................... 2,600 2,636
US West Capital Funding,
Incorporated, 6.50%, Due
11/15/2018................... 2,500 2,400
----------
TOTAL FINANCE.............. 60,271
----------
FOREIGN - 1.09%
Foreningsbk Kredit, 6.656%, Due
12/29/2049................... 3,250 3,163
Nordbanken AB MTN, 6.412%, Due
10/29/2049................... 3,000 2,969
Province of Quebec, 7.50%, Due
7/15/2023.................... 1,600 1,741
5.75%, Due 2/15/2009......... 1,750 1,705
Rio Tinto Limited, 6.00%, Due
8/26/2006.................... 2,865 2,864
----------
TOTAL FOREIGN.............. 12,442
----------
INDUSTRIAL - 7.85%
Akzo Nobel, Incorporated,
6.00%, Due 11/15/2003........ 2,880 2,837
Albertsons, Incorporated,
6.375%, Due 6/1/2000......... 1,000 1,012
Atlantic Richfield Corporation,
8.50%, Due 4/1/2012.......... 1,270 1,508
Bemis, Incorporated, 6.70%, Due
7/1/2005..................... 1,000 1,024
Boise Cascade Office Products
Company, 7.05%, Due
5/15/2005.................... 795 778
Capital Cities ABC,
Incorporated, 8.875%, Due
12/15/2000................... 1,000 1,044
Coca Cola Company, 6.625%, Due
10/1/2002.................... 1,000 1,020
6.75%, Due 9/15/2028......... 1,060 1,041
Comdisco, Incorporated, 5.95%,
Due 4/30/2002................ 840 837
Conoco, Incorporated 5.90%, Due
4/15/2004.................... 625 621
6.95%, Due 4/15/2029......... 3,825 3,770
E.I. DuPont de Nemours &
Company, 6.75%, Due
10/15/2002................... 1,000 1,032
Exxon Corporation, 7.45%, Due
12/15/2001................... 1,000 1,041
Federated Department Stores,
Incorporated, 6.79%, Due
7/15/2027.................... 1,405 1,433
Ford Motor Company, 9.00%, Due
9/15/2001.................... 1,000 1,069
6.63%, Due 10/1/2028......... 1,600 1,534
General Motors Corporation,
6.75%, Due 5/01/2028......... 2,200 2,145
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
30
<PAGE> 32
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Hershey Foods Corporation,
6.95%, Due 3/1/2007.......... $ 1,000 $ 1,054
Ikon Office Solutions,
Incorporated, 6.75%, Due
12/1/2025.................... 1,695 1,364
Ingersoll Rand Company, 6.34%,
Due 12/3/2001................ 2,100 2,118
Kroger Company, 6.80%, Due
12/15/2018................... 1,305 1,264
May Department Stores Company,
7.625%, 8/15/2013............ 1,890 2,046
McDonalds Corporation MTN,
6.50%, Due 8/1/2007.......... 1,000 1,019
Merck & Company, Incorporated,
5.95%, Due 12/1/2028......... 2,550 2,338
Motorola Incorporated, 5.80%,
Due 10/15/2008............... 2,270 2,214
Norfolk Southern Corporation,
7.80%, Due 5/15/2027......... 340 372
7.05%, Due 5/1/2037.......... 1,140 1,190
Occidental Petroleum
Corporation, 6.40%, Due
4/1/2003..................... 1,035 1,021
6.50%, Due 4/1/2005.......... 520 508
8.45%, Due 2/15/2029......... 2,440 2,639
Paramount Communications,
Incorporated, 5.875%, Due
7/15/2000.................... 2,140 2,142
8.25%, Due 8/1/2022.......... 2,200 2,319
Philip Morris Companies,
Incorporated, 8.25%, Due
10/15/2003................... 2,840 3,068
8.375%, Due 1/15/2017........ 343 353
Praxair, Incorporated, 6.15%,
Due 4/15/2003................ 3,800 3,768
Raytheon Corporation, 5.70%,
Due 11/1/2003................ 1,310 1,288
6.15%, Due 11/1/2008......... 1,540 1,509
Rite Aid Corporation, 7.125%,
Due 1/15/2007................ 1,100 1,103
6.00%, Due 12/15/2005........ 1,250 1,189
Safeway, Incorporated, 5.875%,
Due 11/15/2001............... 2,470 2,465
Sara Lee Corporation, 6.00%,
Due 1/15/2008................ 1,200 1,185
Sears Roebuck Acceptance
Corporation MTN, 6.60%, Due
10/9/2001.................... 3,170 3,214
6.71%, Due 9/17/2003......... 2,710 2,760
Service Corporation
International, 6.00%, Due
12/15/2005................... 1,885 1,780
Sysco Corporation, 7.00%, Due
5/1/2006..................... 1,000 1,050
Temple Inland Incorporated,
6.75%, Due 3/1/2009.......... 725 712
Texaco Capital, Incorporated,
5.70%, Due 3/01/2009......... 1,000 949
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Time Warner Asset Trust, 144a,
6.10%, Due 12/30/2001 (Note
B)........................... $ 800 $ 802
Time Warner, Incorporated,
8.18%, Due 8/15/2007......... 760 844
Tribune Company, 5.50%, Due
10/6/2008.................... 1,000 944
Tyco International Group, SA,
6.125%, Due 6/15/2001........ 700 705
6.875%, Due 1/15/2029........ 1,430 1,393
USA Waste Services,
Incorporated. 7.00%, Due
7/15/2028.................... 1,270 1,255
Viacom, Incorporated, 7.75%,
Due 6/1/2005................. 1,075 1,139
Vulcan Materials Company,
6.00%, Due 4/1/2009.......... 2,100 2,055
Walt Disney Company, 6.75%, Due
3/30/2006.................... 1,000 1,035
Williams Companies,
Incorporated, 6.125%, Due
2/1/2001..................... 1,830 1,833
Williams Companies,
Incorporated, 6.50%, Due
8/1/2006..................... 1,170 1,166
WMX Technologies, Incorporated,
6.65%, Due 5/15/2005......... 1,200 1,210
Xerox Corporation MTN, 5.25%,
Due 12/15/2003............... 1,500 1,465
----------
TOTAL INDUSTRIAL........... 89,593
----------
TRANSPORTATION - 0.36%
CSX Corporation, 6.25%, Due
10/15/2008................... 1,985 1,938
NWA Trust, 11.30%, Due
6/21/2014.................... 1,893 2,243
----------
TOTAL TRANSPORTATION....... 4,181
----------
UTILITY - 1.15%
AT&T Corporation, 6.00%, Due
3/15/2009.................... 1,250 1,224
6.50%, Due 3/15/2029......... 1,550 1,484
GTE Corporation, 7.83%, Due
5/1/2023..................... 715 736
Electric Lightwave,
Incorporated, 6.05%, Due
5/15/2004.................... 2,000 1,969
Norman Energy Corporation,
6.375%, Due 11/1/2003........ 1,550 1,553
KN Energy, Incorporated, 6.45%,
Due 11/30/2001............... 1,525 1,539
Sprint Capital Corporation,
6.90%, Due 5/1/2019.......... 1,530 1,506
6.875%, Due 11/15/2028....... 640 620
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
31
<PAGE> 33
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Worldcom, Incorporated, 7.75%,
Due 4/1/2007................. $ 1,530 $ 1,657
6.95%, Due 8/15/2028......... 900 894
----------
TOTAL UTILITY.............. 13,182
----------
TOTAL CORPORATE BONDS...... 199,942
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
--------
<S> <C> <C>
PREFERRED STOCK - 0.12%
Home Ownership Funding
Corporation II, Series
144a+A167 (Note B)........... 1,500 1,362
----------
TOTAL PREFERRED STOCK...... 1,362
----------
COMMON STOCK - 60.10%
BASIC MATERIALS - 4.51%
AGRICULTURAL PRODUCTS - 0.32%
New Holland N.V. (non-income
producing)................... 251,200 3,642
----------
TOTAL AGRICULTURAL
PRODUCTS................. 3,642
----------
ALUMINUM - 0.47%
Alcoa, Incorporated............ 48,000 2,988
Reynolds Metals Company........ 38,000 2,370
----------
TOTAL ALUMINUM PRODUCTS.... 5,358
----------
CHEMICALS - 1.44%
Airgas, Incorporated........... 173,450 2,038
Air Products and Chemicals,
Incorporated................. 59,305 2,787
Dow Chemical................... 15,800 2,073
E.I. DuPont de Nemours &
Company...................... 9,000 636
Eastman Chemical Company....... 28,000 1,559
FMC Corporation (non-income
producing)................... 35,175 2,286
IMC Global, Incorporated....... 50,000 1,250
Imperial Chemical Industries,
PLC.......................... 40,000 1,723
Millenium Chemicals,
Incorporated................. 22,171 599
Witco Corporation.............. 77,300 1,473
----------
TOTAL CHEMICALS............ 16,424
----------
CONSTRUCTION - 0.25%
DeBeers Construction Mines,
Limited...................... 115,100 2,820
----------
TOTAL CONSTRUCTION......... 2,820
----------
CONTAINERS/PACKAGING - 0.37%
Bemis, Incorporated............ 47,300 1,656
Union Camp Corporation......... 32,000 2,540
----------
TOTAL CONTAINERS/
PACKAGING................ 4,196
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
PAPER & FOREST PRODUCTS - 1.33%
Bowater, Incorporated.......... 33,000 $ 1,770
Champion International
Corporation.................. 44,500 2,434
Georgia Pacific Group.......... 16,000 1,480
Georgia Pacific Corporation.... 50,000 1,288
International Paper Company.... 33,000 1,759
Mead Corporation............... 50,000 2,091
Westvaco Corporation........... 56,000 1,673
Weyerhaeuser Company........... 40,500 2,719
----------
TOTAL PAPER & FOREST
PRODUCTS................. 15,214
----------
STEEL - 0.33%
Armco, Incorporated............ 11,300 58
Ucar International,
Incorporated................. 3,100 71
USX US Steel Group............. 121,300 3,669
----------
TOTAL STEEL................ 3,798
----------
TOTAL BASIC MATERIALS...... 51,452
----------
CAPITAL GOODS - 8.24%
AEROSPACE/DEFENSE - 1.72%
Avteam, Incorporated (non-
income producing)............ 42,100 253
Cordant Technologies,
Incorporated................. 62,275 2,872
Lockheed Martin Corporation.... 283,276 12,199
Northrop Corporation........... 68,400 4,373
----------
TOTAL AEROSPACE/ DEFENSE... 19,697
----------
ELECTRICAL EQUIPMENT - 2.23%
The Carbide/Graphite Group
(non-income producing)....... 14,000 182
Emerson Electric Company....... 52,800 3,406
Honeywell, Incorporated........ 157,000 14,876
Koninklijke Philips Electronics
NV........................... 59,500 5,080
Rockwell International
Corporation.................. 35,000 1,807
Stoneridge, Incorporated (non-
income producing)............ 5,900 99
----------
TOTAL ELECTRICAL
EQUIPMENT................ 25,450
----------
MACHINERY-DIVERSIFIED - 0.69%
Deere and Company.............. 67,000 2,881
Denison International PLC ADR
(non-income producing)....... 15,200 203
Dover Corporation.............. 91,000 3,361
Kaydon Corporation............. 43,050 1,453
----------
TOTAL MACHINERY-
DIVERSIFIED.............. 7,898
----------
MANUFACTURING (DIVERSIFIED) - 2.34%
Allied Signal, Incorporated.... 92,400 5,429
Coltec Industries, Incorporated
(non-income producing)....... 150,700 3,259
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
32
<PAGE> 34
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Eaton Corporation.............. 20,000 $ 1,834
Harsco Corporation............. 58,200 1,910
Hawk Corporation (non-income
producing)................... 2,300 20
Millipore Corporation.......... 24,730 759
Stone & Webster, Incorporated.. 1,200 26
Tenneco, Incorporated.......... 166,400 4,493
Textron, Incorporated.......... 96,300 8,872
Titan International,
Incorporated................. 6,000 60
----------
TOTAL MANUFACTURING
(DIVERSIFIED)............ 26,662
----------
WASTE MANAGEMENT - 1.26%
Browning Ferris Industries,
Incorporated................. 35,500 1,416
Waste Management,
Incorporated................. 230,531 13,025
----------
TOTAL WASTE MANAGEMENT..... 14,441
----------
TOTAL CAPITAL GOODS........ 94,148
----------
COMMUNICATION SERVICE - 4.27%
TELEPHONE - 3.81%
Alltel Corporation............. 117,600 7,931
Bell Atlantic Corporation...... 45,656 2,631
GTE Corporation................ 148,500 9,940
SBC Communications............. 182,568 10,224
US West, Incorporated.......... 243,700 12,749
----------
TOTAL TELEPHONE............ 43,475
----------
TELEPHONE LONG DISTANCE - 0.46%
AT&T Corporation............... 61,350 3,098
BCE, Incorporated.............. 47,000 2,147
----------
TOTAL TELEPHONE LONG
DISTANCE................. 5,245
----------
TOTAL COMMUNICATION
SERVICE.................. 48,720
----------
CONSUMER STAPLES - 4.91%
BEVERAGES-ALCOHOLIC - 0.77%
Anheuser Busch Companies,
Incorporated................. 119,400 8,731
Canandaigua Wine, Incorporated
(non-income producing)....... 1,200 62
----------
TOTAL BEVERAGES-
ALCOHOLIC................ 8,793
----------
BROADCASTING (TV RADIO CABLE) - 0.01%
Groupe AB SA................... 38,720 106
----------
TOTAL BROADCASTING (TV
RADIO CABLE)............. 106
----------
FOODS - 0.53%
Dean Foods Company............. 800 29
Interstate Bakeries
Corporation.................. 4,900 109
J & J Snack Foods
Corporation.................. 13,300 289
RJR Nabisco Holdings........... 92,200 2,374
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Sara Lee Corporation........... 143,400 $ 3,191
----------
TOTAL FOODS................ 5,992
----------
HOUSEHOLD PRODUCTS (NON-DURABLE) - 1.13%
Fort James Corporation......... 263,800 10,024
Kimberly Clark Corporation..... 47,700 2,925
----------
TOTAL HOUSEHOLD PROD
(NON-DURABLE)............ 12,949
----------
HOUSEWARES - 0.36%
Fortune Brands, Incorporated... 45,500 1,797
Newell Rubbermaid,
Incorporated................. 47,100 2,234
----------
TOTAL HOUSEWARES........... 4,031
----------
PRINTING - 0.21%
De Luxe Corporation............ 70,000 2,424
----------
TOTAL PRINTING............. 2,424
----------
RETAIL STORES-FOOD CHAINS - 0.24%
Wendy's International,
Incorporated................. 103,400 2,798
----------
TOTAL RETAIL STORES-FOOD
CHAINS................... 2,798
----------
TOBACCO - 1.66%
Gallaher Group PLC, ADR........ 109,400 2,475
Hanson PLC, ADR................ 31,350 1,534
Imperial Tobacco Group PLC..... 78,200 1,544
Philip Morris Companies,
Incorporated................. 382,150 13,399
----------
TOTAL TOBACCO.............. 18,952
----------
TOTAL CONSUMER STAPLES..... 56,045
----------
CONSUMER-CYCLICALS - 8.81%
AUTO PARTS & EQUIPMENT - 1.18%
Dana Corporation............... 159,700 7,526
Goodyear Tire and Rubber
Company...................... 26,400 1,510
ITT Industries, Incorporated... 85,100 3,064
TRW, Incorporated.............. 33,700 1,413
----------
TOTAL AUTO PARTS &
EQUIPMENT................ 13,513
----------
AUTOMOBILES - 1.93%
Ford Motor Company............. 235,400 15,051
General Motors Corporation..... 78,900 7,017
----------
TOTAL AUTOMOBILES.......... 22,068
----------
GAMING LOTTERY & PARIMUTUEL - 0.03%
American Coin Merchandising,
Incorporated (non-income
producing)................... 26,000 145
Circus Circus Enterprises,
Incorporated (non-income
producing)................... 7,100 150
----------
TOTAL GAMING LOTTERY &
PARIMUTUEL............... 295
----------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
33
<PAGE> 35
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
HOUSEHOLD FURNISHINGS & APPLIANCES - 0.44%
Leggett & Platt,
Incorporated................. 110,100 $ 2,539
Whirlpool Corporation.......... 37,500 2,489
----------
TOTAL HOUSEHOLD FURNISHINGS
& APPLIANCES............. 5,028
----------
LEISURE TIME (PRODUCTS) - 1.34%
American Greetings............. 100,600 2,634
Hasbro, Incorporated........... 106,387 3,630
Mattel, Incorporated........... 342,900 8,872
Midway Games, Incorporated
(non-income producing)....... 13,100 112
----------
TOTAL LEISURE TIME
(PRODUCTS)............... 15,248
----------
PUBLISHING - 0.62%
A.H. Belo, Incorporated, Class
A............................ 156,850 3,392
Gannett, Incorporated.......... 48,900 3,463
Playboy Enterprises............ 7,300 228
----------
TOTAL PUBLISHING........... 7,083
----------
RETAIL - 2.45%
Friedmans, Incorporated........ 23,200 244
J.C. Penney Company,
Incorporated................. 199,400 9,098
K Mart Corporation............. 282,100 4,196
Payless Shoesource,
Incorporated (non-income
producing)................... 3,500 170
Sears Roebuck & Company........ 177,600 8,170
Sherwin Williams Company....... 50,800 1,581
Tech Data Corporation.......... 4,300 101
Toys R Us, Incorporated........ 203,400 4,424
----------
TOTAL RETAIL............... 27,984
----------
SERVICES - 0.55%
Cendant Corporation (non-
income producing)............ 202,400 3,643
Firstservice Corporation....... 8,400 122
Mac-Gray Corporation (non-
income producing)............ 8,500 66
Pittston Company............... 88,600 2,337
Ralco Holdings, Incorporated... 7,100 130
----------
TOTAL SERVICES............. 6,298
----------
TEXTILES (APPAREL) - 0.27%
Liz Claiborne, Incorporated.... 65,000 2,149
Russell Corporation............ 43,600 965
----------
TOTAL TEXTILES (APPAREL)... 3,114
----------
TOTAL CONSUMER-
CYCLICALS................ 100,631
----------
ENERGY - 4.10%
OIL & GAS - 1.70%
Abraxas Petroleum Corporation
(non-income producing)....... 9,191 19
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Baker Hughes, Incorporated..... 177,900 $ 5,315
Burlington Resources........... 64,586 2,975
Halliburton, Company........... 221,600 9,446
Triton Energy, Limited......... 10,400 124
Ultramar Diamond Shamrock
Corporation.................. 65,500 1,511
----------
TOTAL OIL & GAS............ 19,390
----------
OIL (DOMESTIC INTEGRATED) - 1.75%
Atlantic Richfield Company..... 90,400 7,588
Occidental Petroleum
Corporation.................. 243,800 4,922
Phillips Petroleum Company..... 110,600 5,599
USX Marathon Group............. 58,700 1,834
----------
TOTAL OIL (DOMESTIC
INTEGRATED).............. 19,943
----------
OIL (INTERNATIONAL INTEGRATED) - 0.65%
BP Amoco, PLC.................. 23,621 2,674
Texaco, Incorporated........... 76,000 4,769
----------
TOTAL OIL (INTERNATIONAL
INTEGRATED).............. 7,443
----------
TOTAL ENERGY............... 46,776
----------
FINANCIALS - 13.49%
BANKS - 6.78%
BankAmerica Corporation........ 161,878 11,655
Bank One Corporation........... 233,120 13,754
Bankers Trust Company New
York......................... 128,125 11,539
Chase Manhattan Corporation.... 177,600 14,696
First Midwest Bank,
Incorporated................. 2,700 108
First Security Corporation..... 85,000 1,615
First Union Corporation........ 153,400 8,495
KeyCorp........................ 92,900 2,874
PNC Bank Corporation........... 129,400 7,489
UnionBanCal Corporation........ 13,300 454
US Bancorp..................... 42,000 1,557
Wells Fargo & Company.......... 75,000 3,239
----------
TOTAL BANKS................ 77,475
----------
CONSUMER FINANCE - 0.21%
Household International,
Incorporated................. 48,832 2,457
----------
TOTAL CONSUMER FINANCE..... 2,457
----------
FINANCIAL - 2.02%
Ace, Limited................... 81,400 2,462
American Express Company....... 26,500 3,463
CIT Group, Incorporated........ 107,900 3,507
Citi Group, Incorporated....... 60,505 4,553
Executive Risk, Incorporated... 3,100 222
Federal National Mortgage
Association.................. 30,000 2,128
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
34
<PAGE> 36
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Financial Securities Assurance
Holdings, Limited............ 28,900 $ 1,651
Fund American Enterprises,
Incorporated................. 7,425 1,069
Morgan Stanley Dean Witter
Discover & Company........... 24,200 2,400
The PMI Group, Incorporated.... 28,000 1,563
----------
TOTAL FINANCIAL............ 23,018
----------
INSURANCE - 3.27%
Allstate Corporation........... 95,200 3,463
American Financial Group,
Incorporated................. 66,100 2,400
Aon Corporation................ 79,450 5,442
Chubb Corporation.............. 22,800 1,351
CMAC Investment Corporation.... 1,100 50
Esg Re Limited................. 18,400 313
Everest Reinsurance............ 46,000 1,394
Healthplan Services
Corporation.................. 22,500 146
Horace Mann Educators
Corporation.................. 2,100 48
IPC Holdings, Limited.......... 6,530 115
Lincoln National Corporation... 81,700 7,848
London Pac Group, LP........... 400 11
MBIA, Incorporated............. 38,100 2,562
Old Republic International
Corporation.................. 59,525 1,164
Renaissancere Holdings......... 58,625 1,828
Safeco Corporation............. 45,700 1,816
Scottish Annuity & Life (non-
income producing)............ 2,600 26
St. Paul Companies,
Incorporated................. 190,500 5,465
Stirling Cooke Brown Holdings.. 13,400 55
Travelers Property Casualty
Corporation.................. 53,000 1,829
----------
TOTAL INSURANCE............ 37,326
----------
INVESTMENT BANKING/BROKERAGE - 0.39%
Paine Webber Group,
Incorporated................. 94,350 4,429
----------
TOTAL INVESTMENT
BANKING/BROKERAGE........ 4,429
----------
SAVINGS & LOAN COMPANIES - 0.82%
Coastal Bancorp,
Incorporated................. 1,075 19
Washington Mutual,
Incorporated................. 226,800 9,327
----------
TOTAL SAVINGS & LOAN
COMPANIES................ 9,346
----------
TOTAL FINANCIALS........... 154,051
----------
HEALTH CARE - 0.82%
Apria Healthcare Group,
Incorporated (non-income
producing)................... 10,500 164
Baxter International,
Incorporated................. 25,000 1,575
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Beckman Coulter, Incorporated.. 700 $ 34
Bristol-Myers Squibb Company... 68,800 4,373
Pharmacia & Upjohn,
Incorporated................. 54,300 3,041
Total Renal Care Holdings,
Incorporated (non-income
producing)................... 10,900 151
----------
TOTAL HEALTH CARE.......... 9,338
----------
TECHNOLOGY - 2.76%
COMPUTERS - 1.02%
Creative Technology, Limited
(non-income producing)....... 9,700 122
Data General Corporation (non-
income producing)............ 97,400 1,138
Hutchinson Technology,
Incorporated................. 4,300 95
Ikon Office Solutions,
Incorporated................. 164,700 1,987
International Business Machines
Corporation.................. 25,000 5,230
Radisys Corporation............ 5,820 183
Seagate Technology............. 106,000 2,955
----------
TOTAL COMPUTERS............ 11,710
----------
ELECTRONICS - 0.76%
Grainger WW, Incorporated...... 8,350 419
Raytheon Company............... 119,793 8,288
----------
TOTAL ELECTRONICS.......... 8,707
----------
SERVICES - 0.98%
Cambridge Technology Partners
(non-income producing)....... 7,100 102
Eastman Kodak Company.......... 34,000 2,537
Inacom Corporation (non-income
producing)................... 20,136 195
Xerox Corporation.............. 141,800 8,331
----------
TOTAL SERVICES............. 11,165
----------
TOTAL TECHNOLOGY........... 31,582
----------
TRANSPORTATION - 1.90%
AIR FREIGHT - 0.02%
Airnet Systems................. 20,400 214
----------
TOTAL AIR FREIGHT.......... 214
----------
RAILROADS - 1.88%
Burlington Northern,
Incorporated................. 53,400 1,956
CSX Corporation................ 201,300 9,914
GATX Corporation............... 33,400 1,148
Norfolk Southern Corporation... 221,300 7,234
Union Pacific Capital Trust.... 20,000 1,200
----------
TOTAL RAILROADS............ 21,452
----------
TOTAL TRANSPORTATION....... 21,666
----------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
35
<PAGE> 37
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
UTILITIES - 6.29%
ELECTRIC COMPANIES - 5.43%
Central & Southwest
Corporation.................. 379,400 $ 9,414
CMP Group, Incorporated........ 10,700 207
CMS Energy Corporation......... 160,000 7,040
Dominion Resources,
Incorporated................. 72,400 2,977
DTE Energy Company............. 109,700 4,477
Edison International........... 90,000 2,205
Entergy Corporation............ 200,300 6,259
GPU, Incorporated.............. 45,000 1,716
Illinova Corporation........... 167,900 4,407
Northeast Utilities............ 330,500 5,288
Potomac Electric Power......... 55,400 1,620
PP & L Resources,
Incorporated................. 39,806 1,112
Reliant Energy, Incorporated... 275,500 7,800
Scana Corporation.............. 60,000 1,410
Texas Utilities Company........ 76,000 3,021
Unicom Corporation............. 77,500 3,008
----------
TOTAL ELECTRIC COMPANIES... 61,961
----------
NATURAL GAS-DISTRIBUTION-PIPE LINE - 0.86%
Equitable Resources,
Incorporated................. 71,100 1,884
MCN Energy Group,
Incorporated................. 80,200 1,599
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Peoples Energy Corporation..... 46,000 $ 1,719
Sempra Energy.................. 8,867 184
Williams Companies,
Incorporated................. 93,969 4,440
----------
TOTAL NATURAL GAS-
DISTRIBUTION- PIPE
LINE..................... 9,826
----------
TOTAL UTILITIES............ 71,787
----------
TOTAL COMMON STOCKS............ 686,196
----------
SHORT-TERM INVESTMENTS (NOTE A) - 14.27%
AMR Investments Enhanced Yield
Business Trust............... 36,682,959 36,683
AMR Investments Strategic Cash
Business Trust............... 92,129,850 92,130
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT
--------
<S> <C> <C>
Goldman Sachs Tri-Party
Repurchase Agreement, 4.85%,
Due 5/3/1999 (Note C)........ $ 34,112 34,112
----------
TOTAL SHORT-TERM
INVESTMENTS.............. 162,925
----------
TOTAL INVESTMENTS - 111.83%
(COST $1,127,311)............ 1,276,758
----------
LIABILITIES, NET OF OTHER
ASSETS - (11.83%)............ (135,082)
----------
TOTAL NET ASSETS - 100%........ $1,141,676
==========
</TABLE>
- ---------------
Based on the cost of investments of $1,129,310 for federal income tax purposes
at April 30, 1999, the aggregate gross unrealized appreciation was $172,358, the
aggregate gross unrealized depreciation was $24,910 and the net unrealized
appreciation of investments was $147,448.
(A) Rates associated with short-term investments represent yield to maturity.
(B) Security exempt from registration under Rule 144a of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $2,164 or 0.19% of net assets.
(C) Collateral held at The Bank of New York Company, Incorporated by Federal
Home Loan Mortgage Corporation, 6.50%, Due 3/1/2019 and Federal Home Loan
Mortgage Corporation, 7.50%, Due 9/1/2012 -Market Value $34,795
ABBREVIATIONS:
ADR - American Depositary Receipt
AB - Company
LP - Limited Partnership
MTN - Medium-Term Note
NV - Company
PLC - Public Limited Corporation
See accompanying notes
- --------------------------------------------------------------------------------
36
<PAGE> 38
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
COMMON STOCKS - 98.00%
BASIC MATERIALS - 6.66%
AGRICULTURAL PRODUCTS - 0.30%
New Holland NV (non-income
producing).................. 381,000 $ 5,525
----------
TOTAL AGRICULTURAL
PRODUCTS................ 5,525
----------
ALUMINUM - 0.76%
Alcoa, Incorporated........... 116,000 7,221
Reynolds Metals Company....... 110,000 6,861
----------
TOTAL ALUMINUM............ 14,082
----------
CHEMICALS - 1.89%
Airgas, Incorporated.......... 699,975 8,225
Air Products and Chemicals,
Incorporated................ 125,475 5,897
Dow Chemical Company.......... 44,000 5,772
E.I. Du Pont de Nemours &
Company..................... 26,000 1,836
FMC Corporation (non-income
producing).................. 97,850 6,360
IMC Global, Incorporated...... 125,600 3,140
Witco Corporation............. 195,600 3,729
----------
TOTAL CHEMICALS........... 34,959
----------
CONTAINERS/PACKAGING
(PAPER) - 0.38%
Union Camp Corporation........ 89,000 7,064
----------
TOTAL CONTAINERS/
PACKAGING (PAPER)....... 7,064
----------
CONSTRUCTION - 0.40%
DeBeers Construction Mines,
Limited..................... 302,400 7,409
----------
TOTAL CONSTRUCTION........ 7,409
----------
PAPER & FOREST PRODUCTS - 2.36%
Bowater, Incorporated......... 102,300 5,486
Champion International
Corporation................. 89,400 4,889
Georgia-Pacific Corporation... 262,100 9,559
International Paper Company... 105,000 5,598
Mead Corporation.............. 132,400 5,536
Westvaco Corporation.......... 180,500 5,392
Weyerhaeuser Company.......... 106,000 7,115
----------
TOTAL PAPER & FOREST
PRODUCTS................ 43,575
----------
STEEL - 0.57%
Armco, Incorporated........... 33,800 173
Ucar International,
Incorporated................ 9,400 216
USX-US Steel Group............ 333,500 10,088
----------
TOTAL STEEL............... 10,477
----------
TOTAL BASIC MATERIALS..... 123,091
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
CAPITAL GOODS - 14.63%
AEROSPACE/DEFENSE - 3.17%
Avteam, Incorporated (non-
income producing)........... 126,700 $ 760
Cordant Technologies,
Incorporated................ 227,200 10,480
Lockheed Martin Corporation... 809,021 34,838
Northrop Grumman
Corporation................. 195,200 12,481
----------
TOTAL AEROSPACE/
DEFENSE................. 58,559
----------
ELECTRICAL EQUIPMENT - 3.76%
The Carbide/Graphite Group
(non-income producing)...... 42,000 546
Emerson Electrical Company.... 166,300 10,726
Honeywell, Incorporated....... 431,200 40,856
Koninklijke Philips
Electronics NV.............. 134,000 11,440
Rockwell International
Corporation................. 110,000 5,679
Stoneridge, Incorporated (non-
income producing)........... 17,400 291
----------
TOTAL ELECTRICAL
EQUIPMENT............... 69,538
----------
MACHINERY - DIVERSIFIED - 1.27%
Deere and Company............. 161,600 6,949
Denison International PLC, ADR
(non-income producing)...... 45,700 611
Dover Corporation............. 274,600 10,143
Kaydon Corporation............ 165,350 5,581
Titan International
Incorporated................ 16,300 162
----------
TOTAL MACHINERY -
DIVERSIFIED............. 23,446
----------
MANUFACTURING
(DIVERSIFIED) - 4.21%
Allied Signal, Incorporated... 239,700 14,082
Coltec Industries,
Incorporated (non-income
producing).................. 532,900 11,524
Eaton Corporation............. 60,000 5,501
Harsco Corporation............ 171,100 5,614
Hawk Corporation (non-income
producing).................. 33,100 285
Millipore Corporation......... 88,575 2,718
Stone and Webster,
Incorporated................ 3,800 83
Tenneco, Incorporated......... 442,100 11,937
Textron, Incorporated......... 282,900 26,062
----------
TOTAL MANUFACTURING
(DIVERSIFIED)........... 77,806
----------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
37
<PAGE> 39
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
WASTE MANAGEMENT -- 2.22%
Browning Ferris Industries,
Incorporated................ 117,800 $ 4,697
Waste Management,
Incorporated................ 643,477 36,356
----------
TOTAL WASTE MANAGEMENT.... 41,053
----------
TOTAL CAPITAL
GOODS................... 270,402
----------
COMMUNICATION SERVICE - 6.69%
TELEPHONE - 6.05%
Alltel Corporation............ 302,700 20,413
Bell Atlantic Corporation..... 129,440 7,459
GTE Corporation............... 384,500 25,737
SBC Communications,
Incorporated................ 480,454 26,905
US West, Incorporated......... 599,300 31,351
----------
TOTAL TELEPHONE........... 111,865
----------
TELEPHONE LONG DISTANCE - 0.64%
AT&T Corporation.............. 135,000 6,818
BCE, Incorporated............. 108,000 4,934
----------
TOTAL TELEPHONE LONG
DISTANCE................ 11,752
----------
TOTAL COMMUNICATION
SERVICE................. 123,617
----------
CONSUMER STAPLES - 8.13%
BEVERAGES - ALCOHOLIC - 1.14%
Anheuser-Busch Companies,
Incorporated................ 284,700 20,819
Canandaigua Wine, Incorporated
(non-income producing)...... 2,200 180
----------
TOTAL BEVERAGES -
ALCOHOLIC............... 20,999
----------
BROADCASTING(TV RADIO CABLE) - 0.01%
Groupe AB SA, ADR (non-income
producing).................. 89,960 247
----------
TOTAL BROADCASTING (TV
RADIO CABLE)............ 247
----------
ENTERTAINMENT - 0.35%
DeLuxe Corporation............ 186,600 6,461
----------
TOTAL
ENTERTAINMENT........... 6,461
----------
FOODS - 0.61%
Dean Foods Company............ 2,400 86
Interstate Bakeries
Corporation................. 14,600 325
J & J Snack Foods,
Corporation................. 37,500 816
Sara Lee Company.............. 449,300 9,997
----------
TOTAL FOODS............... 11,224
----------
HOUSEHOLD PRODUCTS (NON-DURABLE) - 1.99%
Fort James Corporation........ 637,300 24,217
Kimberly Clark Corporation.... 205,250 12,584
----------
TOTAL HOUSEHOLD PRODUCTS
(NON-DURABLE)........... 36,801
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
HOUSEWARES - 0.66%
Fortune Brands,
Incorporated................ 115,900 $ 4,578
Newell Rubbermaid,
Incorporated................ 160,800 7,628
----------
TOTAL HOUSEWARES.......... 12,206
----------
RETAIL STORES - FOOD CHAINS - 0.36%
Wendy's International
Incorporated................ 245,300 6,638
----------
TOTAL RETAIL STORES --
FOOD CHAINS 6,638
----------
TOBACCO - 3.01%
Gallaher Group PLC, ADR....... 261,200 5,910
Hanson PLC, ADR............... 68,287 3,342
Imperial Tobacco Group PLC.... 190,700 3,766
Philip Morris Companies,
Incorporated................ 1,101,250 38,613
RJR Nabisco Holdings
Corporation................. 157,200 4,048
----------
TOTAL TOBACCO............. 55,679
----------
TOTAL CONSUMER STAPLES.... 150,255
----------
CONSUMER - CYCLICALS - 15.14%
AUTO PARTS & EQUIPMENT -- 2.16%
Dana Corporation.............. 478,500 22,549
Goodyear Tire & Rubber
Company..................... 72,400 4,140
ITT Industries,
Incorporated................ 260,100 9,364
TRW, Incorporated............. 92,600 3,883
----------
TOTAL AUTO PARTS &
EQUIPMENT............... 39,936
----------
AUTOMOBILES - 3.11%
Ford Motor Company............ 656,200 41,956
General Motors Corporation.... 174,000 15,475
----------
TOTAL AUTOMOBILES......... 57,431
----------
GAMING LOTTERY & PARIMUTUEL - 0.05%
American Coin Merchandising,
Incorporated (non-income
producing).................. 77,300 430
Circus Circus Enterprises,
Incorporated (non-income
producing).................. 21,200 447
----------
TOTAL GAMING LOTTERY &
PARIMUTUEL.............. 877
----------
HOUSEHOLD FURNISHINGS & APPLIANCES -- 0.83%
Leggett & Platt,
Incorporated................ 362,550 8,361
Whirlpool Corporation......... 106,000 7,036
----------
TOTAL HOUSEHOLD
FURNISHINGS &
APPLIANCES.............. 15,397
----------
LEISURE TIME (PRODUCTS) - 2.17%
Hasbro, Incorporated.......... 372,262 12,703
Midway Games, Incorporated
(non-income producing)...... 39,500 338
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
38
<PAGE> 40
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Mattel, Incorporated.......... 1,049,750 $ 27,085
----------
TOTAL LEISURE TIME
(PRODUCTS).............. 40,126
----------
PUBLISHING - 1.27%
A. H. Belo, Incorporated,
Class A..................... 514,400 11,124
Gannett, Incorporated......... 163,400 11,571
Playboy Enterprises
Incorporated................ 21,700 682
----------
TOTAL PUBLISHING.......... 23,377
----------
RETAIL - 3.58%
Friedman's Incorporated....... 69,000 725
J.C. Penney Company,
Incorporated................ 494,600 22,566
K Mart Corporation............ 641,700 9,545
Payless Shoesource,
Incorporated (non-income
producing )................. 12,600 610
Sears Roebuck & Company....... 481,200 22,135
Tech Data Corporation......... 14,600 341
Toys R Us, Incorporated....... 471,200 10,249
----------
TOTAL RETAIL.............. 66,171
----------
SERVICES - 1.44%
Cendant Corporation (non-
income producing)........... 848,675 15,276
Firstservice Corporation...... 19,900 289
Mac-Gray Corporation (non-
income producing)........... 24,100 188
Pittston Brinks Group......... 399,100 10,526
Ralcorp Holdings Incorporated
New......................... 21,100 388
----------
TOTAL SERVICES............ 26,667
----------
TEXTILES (APPAREL) - 0.53%
Liz Claiborne, Incorporated... 198,000 6,546
Russell Corporation........... 147,600 3,266
----------
TOTAL TEXTILES
(APPAREL)............... 9,812
----------
TOTAL CONSUMER -
CYCLICALS............... 279,794
----------
ENERGY - 6.72%
OIL & GAS - 3.02%
Abraxas Petroleum Corporation
(non-income producing)...... 25,818 52
Baker Hughes, Incorporated.... 460,800 13,766
Burlington Resources.......... 202,141 9,311
Halliburton Company........... 550,700 23,474
MCN Energy Group,
Incorporated................ 221,500 4,416
Triton Energy, Limited........ 31,000 368
Ultramar Diamond Shamrock
Corporation................. 192,600 4,442
----------
TOTAL OIL & GAS........... 55,829
----------
OIL (DOMESTIC INTEGRATED) - 2.42%
Atlantic Richfield
Corporation................. 198,400 16,653
Occidental Petroleum
Corporation................. 587,400 11,858
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Phillips Petroleum Company.... 253,100 $ 12,813
USX Marathon Group............ 110,000 3,438
----------
TOTAL OIL (DOMESTIC
INTEGRATED)............. 44,762
----------
OIL (INTERNATIONAL INTEGRATED) - 1.28%
BP Amoco, PLC................. 71,276 8,068
Texaco, Incorporated.......... 163,500 10,260
YPF Sociedad Anonima.......... 125,800 5,284
----------
TOTAL OIL (INTERNATIONAL
INTEGRATED)............. 23,612
----------
TOTAL ENERGY.............. 124,203
----------
FINANCIALS - 22.02%
BANKS - 10.47%
Banc One Corporation.......... 629,657 37,150
Bank America Corporation...... 398,133 28,666
Bankers Trust Corporation New
York........................ 301,025 27,111
Chase Manhattan Corporation... 418,528 34,633
First Midwest Bancorp,
Incorporated................ 8,200 328
First Security Corporation.... 247,500 4,703
First Union Corporation....... 452,600 25,063
KeyCorp....................... 171,300 5,300
PNC Bank Corporation.......... 279,600 16,182
UnionBanCal Corporation....... 41,500 1,416
US Bancorp.................... 102,000 3,780
Wells Fargo & Company......... 210,200 9,078
----------
TOTAL BANKS............... 193,410
----------
CONSUMER FINANCE - 0.39%
Household International,
Incorporated................ 141,663 7,127
----------
TOTAL CONSUMER FINANCE.... 7,127
----------
FINANCIAL (DIVERSIFIED) - 3.78%
Ace Limited................... 351,150 10,622
American Express Company...... 66,600 8,704
CIT Group, Incorporated....... 359,200 11,674
Citigroup, Incorporated....... 141,386 10,639
Executive Risk,
Incorporated................ 7,300 524
Federal National Mortgage
Association................. 100,000 7,094
Financial Securities Assurance
Holdings, Limited........... 45,000 2,571
Fund American Enterprises,
Incorporated................ 42,750 6,156
Morgan Stanley Dean Witter
Discover & Company.......... 72,900 7,231
The PMI Group, Incorporated... 83,500 4,660
----------
TOTAL FINANCIAL
(DIVERSIFIED)........... 69,875
----------
INSURANCE (LIFE/HEALTH) - 0.40%
Esg Re Limited................ 55,100 937
London Pac Group, LTD......... 1,200 32
Scottish Annuity & Life (non-
income producing)........... 7,900 79
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
39
<PAGE> 41
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
TransAmerica Corporation...... 90,000 $ 6,413
----------
TOTAL INSURANCE
(LIFE/HEALTH)........... 7,461
----------
INSURANCE (MULTI-LINE) - 0.99%
Lincoln National
Corporation................. 190,900 18,338
----------
TOTAL INSURANCE
(MULTI-LINE)............ 18,338
----------
INSURANCE BROKERS - 0.54%
Aon Corporation............... 140,800 9,645
Healthplan Services
Corporation................. 53,100 345
----------
TOTAL INSURANCE BROKERS... 9,990
----------
INSURANCE - PROPERTY - CASUALTY - 3.52%
Allstate Corporation.......... 209,728 7,629
American Financial Group
Incorporated Ohio........... 222,940 8,096
Chubb Corporation............. 82,300 4,876
CMAC Investment
Corporation................. 3,300 151
Horace Mann Educators
Corporation................. 6,400 146
IPC Holdings, Limited......... 15,410 272
MBIA, Incorporated............ 127,800 8,595
Old Republic International
Corporation................. 254,825 4,985
Renaissancere Holdings........ 189,400 5,907
Safeco Corporation............ 134,400 5,342
St. Paul Company,
Incorporated................ 514,000 14,745
Stirling Cooke Brown
Holdings.................... 40,000 165
Travelers Property Casualty
Corporation................. 121,900 4,206
----------
TOTAL INSURANCE PROPERTY -
CASUALTY................ 65,115
----------
INVESTMENT BANKING/BROKERAGE - 0.62%
Paine Webber Group,
Incorporated................ 245,200 11,509
----------
TOTAL INVESTMENT BANKING/
BROKERAGE............... 11,509
----------
SAVINGS & LOAN COMPANIES - 1.31%
Coastal Bancorp,
Incorporated................ 2,521 44
Washington Mutual,
Incorporated................ 586,400 24,116
----------
TOTAL SAVINGS & LOAN
COMPANIES............... 24,160
----------
TOTAL FINANCIALS.......... 406,985
----------
HEALTH CARE - 1.37%
Apria Healthcare Group,
Incorporated (non-income
producing).................. 31,200 488
Baxter International,
Incorporated................ 37,000 2,331
Beckman Coulter,
Incorporated................ 2,100 101
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Bristol-Myers Squibb Company.. 137,700 $ 8,753
Foundation Health Systems..... 276,700 3,822
Pharmacia & Upjohn,
Incorporated................ 163,800 9,173
Total Renal Care Holdings,
Incorporated (non-income
producing).................. 32,600 452
----------
TOTAL HEALTH CARE......... 25,120
----------
TECHNOLOGY - 4.26%
COMPUTERS - 1.52%
Creative Technology, Limited
(non-income producing)...... 28,800 364
Data General Corporation (non-
income producing)........... 223,900 2,617
Hutchison Technology,
Incorporated................ 12,800 282
Ikon Office Solutions,
Incorporated................ 405,400 4,890
International Business
Machines Corporation........ 57,400 12,007
Radisys, Corporation.......... 17,250 541
Seagate Technology............ 262,100 7,306
----------
TOTAL COMPUTERS........... 28,007
----------
ELECTRONICS - 1.17%
Raytheon Company.............. 312,900 21,649
----------
TOTAL ELECTRONICS......... 21,649
----------
SERVICES - 1.57%
Cambridge Technology Partners
(non-income producing)...... 21,350 308
Eastman Kodak Company......... 95,000 7,089
Inacom Corporation (non-
income producing)........... 59,056 572
Xerox Corporation............. 359,600 21,127
----------
TOTAL SERVICES............ 29,096
----------
TOTAL TECHNOLOGY.......... 78,752
----------
TRANSPORTATION - 3.12%
AIR FREIGHT - 0.04%
Airnet Systems,
Incorporated................ 60,700 637
----------
TOTAL AIR FREIGHT......... 637
----------
RAILROADS - 3.08%
Burlington Northern,
Incorporated................ 158,600 5,809
CSX Corporation............... 575,400 28,338
GATX Corporation.............. 54,220 1,864
Norfolk Southern
Corporation................. 641,900 20,982
----------
TOTAL RAILROADS........... 56,993
----------
TOTAL
TRANSPORTATION.............. 57,630
----------
UTILITIES - 9.26%
ELECTRIC COMPANIES - 8.22%
Central and Southwest
Corporation................. 886,300 21,991
CMP Group, Incorporated....... 32,100 622
CMS Energy Corporation........ 456,500 20,086
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
40
<PAGE> 42
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Dominion Resources,
Incorporated................ 174,800 $ 7,189
DTE Energy Company............ 271,500 11,081
Edison International.......... 202,500 4,961
Entergy Corporation........... 527,700 16,491
GPU Incorporated.............. 130,000 4,956
Illinova Corporation.......... 437,900 11,495
Northeast Utilities........... 674,000 10,784
PP&L
Resources, Incorporated..... 134,347 3,753
Potomac Electric Power
Company..................... 153,400 4,487
Reliant Energy,
Incorporated................ 618,400 17,508
Scana Corporation............. 200,000 4,700
Texas Utilities Company....... 130,000 5,168
Unicom Corporation............ 170,700 6,625
----------
TOTAL ELECTRIC
COMPANIES............... 151,897
----------
NATURAL GAS -
DISTRIBUTION - PIPE LINE -
1.04%
Equitable Resources,
Incorporated................ 185,100 4,905
Peoples Energy Corporation.... 68,000 2,542
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Williams Companies,
Incorporated................ 248,968 $ 11,764
----------
TOTAL NATURAL GAS -
DISTRIBUTION - PIPE
LINE.................... 19,211
----------
TOTAL UTILITIES........... 171,108
----------
TOTAL COMMON STOCKS....... 1,810,957
----------
SHORT-TERM INVESTMENTS (NOTE A) - 4.80%
AMR Investments Enhanced Yield
Business Trust.............. 14,412,122 14,412
AMR Investments Strategic Cash
Business Trust.............. 61,501,467 61,501
</TABLE>
<TABLE>
<S> <C> <C>
PAR
AMOUNT
--------
Goldman Sachs Tri-Party
Repurchase Agreement, 4.85%,
Due 5/3/1999 (Note B)......... $ 12,662 12,662
----------
TOTAL SHORT-TERM
INVESTMENTS.............. 88,575
----------
TOTAL INVESTMENTS - 102.80%
(COST $1,535,149)............ 1,899,532
----------
LIABILITIES, NET OF OTHER
ASSETS - (2.80%)............. (51,689)
----------
TOTAL NET ASSETS - 100%........ $1,847,843
==========
</TABLE>
- ---------------
Based on the cost of investments of $1,542,190 for federal income tax purposes
at April 30, 1999, the aggregate gross unrealized appreciation was $414,409, the
aggregate gross unrealized depreciation was $57,067, and the net unrealized
appreciation of investments was $357,342.
(A) Rates associated with short-term investments represent yield to maturity.
(B) Collateral held at The Bank of New York Company, Incorporated by Federal
Home Loan Mortgage Corporation 6.50%, Due 8/1/2028 - Market Value $12,915.
ABBREVIATIONS:
ADR - American Depositary Receipt
LTD - Limited
NV - Company
PLC - Public Limited Corporation
SA - Company
See accompanying notes
- --------------------------------------------------------------------------------
41
<PAGE> 43
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
BASIC MATERIALS - 9.88%
AGRICULTURAL PRODUCTS - 0.83%
Universal Corporation......... 8,200 $ 209
----------
TOTAL AGRICULTURAL
PRODUCTS................ 209
----------
CHEMICALS - 2.89%
Ethyl Corporation............. 15,500 79
Georgia Gulf Corporation...... 3,900 62
Crompton and Knowles
Corporation................. 12,900 261
General Chemical Group,
Incorporated................ 3,400 62
Hanna M.A. Company............ 1,000 16
International Specialty
Products.................... 9,600 79
Nl Industries, Incorporated... 6,500 77
Schulman A., Incorporated..... 5,300 93
----------
TOTAL CHEMICALS........... 729
----------
CONSTRUCTION - 0.70%
Centex Construction Products,
Incorporated................ 2,600 92
Lone Star Industries,
Incorporated................ 2,400 86
----------
TOTAL CONSTRUCTION........ 178
----------
CONTAINERS/PACKAGING (PAPER) - 0.16%
ACX Technologies,
Incorporated................ 3,600 41
----------
TOTAL CONTAINERS/
PACKAGING (PAPER)....... 41
----------
PAPER & FOREST PRODUCTS - 0.65%
Buckeye Technologies,
Incorporated................ 6,600 96
Glatfelter P H Company........ 5,300 68
----------
TOTAL PAPER & FOREST
PRODUCTS................ 164
----------
STEEL - 4.65%
Armco, Incorporated (non-
income producing)........... 35,800 183
Carpenter Technology
Corporation................. 4,100 128
Cleveland Cliffs,
Incorporated................ 2,100 84
Commercial Metals Company..... 2,700 64
Imco Recycling,
Incorporated................ 2,100 36
Quanex Corporation............ 2,300 59
Rouge Industries,
Incorporated................ 3,600 40
Texas Industries,
Incorporated................ 3,500 108
Ucar International,
Incorporated................ 20,600 473
----------
TOTAL STEEL............... 1,175
----------
TOTAL BASIC MATERIALS..... 2,496
----------
CAPITAL GOODS - 16.17%
AEROSPACE/DEFENSE - 0.84%
Precision Castparts
Corporation................. 4,200 180
Triumph Group, Incorporated... 1,200 33
----------
TOTAL AEROSPACE/
DEFENSE................. 213
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
CONTAINERS-METAL & GLASS - 0.21%
Silgan Holdings,
Incorporated................ 3,100 $ 53
----------
TOTAL CONTAINERS-METAL &
GLASS................... 53
----------
ELECTRICAL EQUIPMENT - 0.76%
Belden, Incorporated.......... 2,000 38
Magnetek, Incorporated........ 5,100 55
Stoneridge, Incorporated (non-
income producing)........... 4,900 82
Woodward Governor Company..... 700 17
----------
TOTAL ELECTRICAL
EQUIPMENT............... 192
----------
MACHINERY - DIVERSIFIED - 4.73%
Agco Corporation.............. 11,100 110
Aviall, Incorporated.......... 600 10
Avteam, Incorporated (non-
income producing)........... 40,700 244
Columbus Mckinnon
Corporation................. 400 8
Denison International PLC
(non-income producing)...... 18,900 253
JLK Direct Distributing,
Incorporated................ 500 5
Milacron, Incorporated........ 5,800 133
Nacco Industries,
Incorporated................ 1,000 81
National Oilwell,
Incorporated................ 6,600 86
Scotsman Industries,
Incorporated................ 1,300 26
Timken Company................ 10,700 239
----------
TOTAL MACHINERY -
DIVERSIFIED............. 1,195
----------
MANUFACTURING (DIVERSIFIED) - 4.73%
Ametek Aerospace Products,
Incorporated................ 4,000 91
Barnes Group, Incorporated.... 2,500 53
Coltec Industries,
Incorporated (non-income
producing).................. 8,000 173
Furon Company................. 900 16
GenCorp, Incorporated......... 6,800 157
Graco, Incorporated........... 3,300 104
Griffon Corporation........... 5,000 37
Harsco Corporation............ 4,200 137
Hawk Corporation (non-income
producing).................. 22,400 193
Kaman Corporation............. 3,900 51
Standex International
Corporation................. 2,100 52
Stewart & Stevenson Services,
Incorporated................ 4,600 47
Wyman Gordon Company.......... 5,900 83
----------
TOTAL MANUFACTURING
(DIVERSIFIED)........... 1,194
----------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
42
<PAGE> 44
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
MANUFACTURING (SPECIALIZED) - 1.89%
Flowserve Corporation......... 6,100 $ 114
Regal Beloit Corporation...... 3,400 74
Reliance Steele & Aluminum
Company..................... 2,200 80
Stone and Webster,
Incorporated................ 7,600 167
Watts Industries,
Incorporated................ 2,700 42
----------
TOTAL MANUFACTURING
(SPECIALIZED)........... 477
----------
METAL FABRICATORS - 1.01%
Kennametal, Incorporated...... 4,900 130
Mueller Industries,
Incorporated................ 700 22
RTI International Metals,
Incorporated................ 3,300 44
Wolverine Tube, Incorporated.. 2,300 58
----------
TOTAL METAL FABRICATORS... 254
----------
OFFICE EQUIPMENT & SUPPLIES - 0.49%
Knoll, Incorporated........... 5,200 125
----------
TOTAL OFFICE EQUIPMENT &
SUPPLIES................ 125
----------
TRUCKS & PARTS - 1.25%
Titan International,
Incorporated................ 25,300 251
Wabash National Corporation... 4,100 64
----------
TOTAL TRUCKS & PARTS...... 315
----------
WASTE MANAGEMENT - 0.26%
Metals USA, Incorporated...... 6,200 66
----------
TOTAL WASTE MANAGEMENT.... 66
----------
TOTAL CAPITAL GOODS....... 4,084
----------
CONSUMER STAPLES - 4.94%
BEVERAGES-ALCOHOLIC - 0.32%
Canandaigua Wine, Incorporated
(non-income producing)...... 1,600 82
----------
TOTAL BEVERAGES -
ALCOHOLIC............... 82
----------
DISTRIBUTORS (FOOD & HEALTH) - 0.07%
Fleming Companies,
Incorporated................ 1,900 17
----------
TOTAL DISTRIBUTORS (FOOD &
HEALTH)................. 17
----------
ENTERTAINMENT - 0.39%
Groupe AB SA (non-income
producing).................. 35,700 98
----------
TOTAL ENTERTAINMENT....... 98
----------
FOODS - 2.88%
Interstate Bakeries
Corporation................. 1,200 27
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
J & J Snack Foods
Corporation................. 18,100 $ 394
Michael Foods, Incorporated... 3,500 80
RalCorp Holdings,
Incorporated................ 11,900 219
Sanderson Farms,
Incorporated................ 600 8
----------
TOTAL FOODS............... 728
----------
HOUSEHOLD PRODUCTS (NON-DURABLE) - 0.17%
Stepan Chemical Company....... 1,200 30
Libbey, Incorporated.......... 400 12
----------
TOTAL HOUSEHOLD PRODUCTS
(NON-DURABLE)........... 42
----------
PERSONAL CARE - 0.12%
Natures Sunshine Products,
Incorporated................ 2,900 31
----------
TOTAL PERSONAL CARE....... 31
----------
RESTAURANTS - 0.28%
Host Marriott Services
Corporation................. 4,200 30
Landry's Seafood Restaurant,
Incorporated................ 4,900 40
----------
TOTAL RESTAURANTS............. 70
----------
SERVICES (EMPLOYMENT) - 0.37%
C D I Corporation............. 3,500 93
----------
TOTAL SERVICES
(EMPLOYMENT)............ 93
----------
SPECIALTY PRINTING - 0.15%
Merrill Corporation........... 2,600 39
----------
TOTAL SPECIALTY PRINTING.... 39
----------
TOBACCO - 0.19%
General Cigar Holdings,
Incorporated................ 3,500 30
Schweitzer Mauduit
International,
Incorporated................ 1,100 18
----------
TOTAL TOBACCO............. 48
----------
TOTAL CONSUMER STAPLES.... 1,248
----------
CONSUMER CYCLICALS - 20.75%
AUTO PARTS & EQUIPMENT - 3.03%
Applied Industrial
Technologies,
Incorporated................ 700 10
Arvin Industries,
Incorporated................ 2,900 106
Intermet Corporation.......... 4,200 62
Mark IV Industries,
Incorporated................ 8,900 159
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
43
<PAGE> 45
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Mascotech, Incorporated....... 6,900 $ 120
Meritor Automotive,
Incorporated................ 12,300 261
Standard Products Company..... 2,600 47
----------
TOTAL AUTO PARTS &
EQUIPMENT............... 765
----------
BUILDING MATERIALS - 0.37%
Apogee Enterprises,
Incorporated................ 3,500 43
Hexcel Corporation............ 3,700 51
----------
TOTAL BUILDING
MATERIALS............... 94
----------
CONSUMER (JEWELRY/NOVELTIES) - 0.15%
Franklin Covey Company........ 4,000 39
----------
TOTAL CONSUMER (JEWELRY/
NOVELTIES).............. 39
----------
FOOTWEAR - 0.31%
Wolverine World Wide,
Incorporated................ 6,600 79
----------
TOTAL FOOTWEAR............ 79
----------
GAMING LOTTERY & PARIMUTUEL - 1.27%
American Coin Merchandising
(non-income producing)...... 50,500 281
Boyd Gaming Corporation....... 3,100 16
Circus Circus Enterprises,
Incorporated (non-income
producing).................. 1,100 23
----------
TOTAL GAMING LOTTERY &
PARIMUTUEL.............. 320
----------
HOMEBUILDING - 4.43%
D.R.Horton, Incorporated...... 11,400 220
Fleetwood Enterprises,
Incorporated................ 6,200 153
Kaufman & Broad Home
Corporation................. 7,100 172
Pulte Corporation............. 7,700 174
Ryland Group, Incorporated.... 2,400 63
Standard Pacific
Corporation................. 4,800 66
Toll Brothers, Incorporated... 6,000 128
U S Home Corporation.......... 2,200 75
Webb Del Corporation.......... 3,000 69
----------
TOTAL HOMEBUILDING........ 1,120
----------
LEISURE TIME (PRODUCTS) - 0.99%
Arctic Cat, Incorporated...... 3,400 29
Midway Games, Incorporated
(non-income producing)...... 23,200 199
Winnebago Industries,
Incorporated................ 1,500 21
----------
TOTAL LEISURE TIME
(PRODUCTS).............. 249
----------
LODGING-HOTELS - 0.31%
Prime Hospitality
Corporation................. 6,500 79
----------
TOTAL LODGING-HOTELS...... 79
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
PUBLISHING - 0.97%
Playboy Enterprises,
Incorporated................ 7,600 $ 245
----------
TOTAL PUBLISHING.......... 245
----------
RETAIL - 1.75%
Dress Barn.................... 4,100 60
Hughes Supply, Incorporated... 3,000 70
Tech Data Corporation......... 13,400 313
----------
TOTAL RETAIL.............. 443
----------
RETAIL SPECIALTY - 2.36%
Burlington Coat Factory
Warehouse................... 300 5
Cato Corporation.............. 500 6
Cole National Corporation..... 1,800 28
Footstar, Incorporated........ 3,100 105
Friedmans, Incorporated....... 22,900 239
General Nutrition Companies,
Incorporated................ 8,500 141
Genesco, Incorporated......... 1,000 11
Goody's Family Clothing,
Incorporated................ 4,200 38
Payless Shoesource,
Incorporated................ 500 24
----------
TOTAL RETAIL SPECIALTY.... 597
----------
SERVICES - 2.78%
Cort Business Services
Corporation................. 1,600 37
Firstservice Corporation...... 1,400 20
Interpool, Incorporated....... 3,400 50
Mac Gray Corporation (non-
income producing)........... 28,300 221
Pittston Brinks Group......... 13,800 364
Service Experts,
Incorporated................ 700 11
----------
TOTAL SERVICES............ 703
----------
TEXTILES (APPAREL) - 0.74%
Fruit of the Loom Limited..... 9,000 96
Nautica Enterprises,
Incorporated................ 4,700 64
Oxford Industries,
Incorporated................ 1,000 26
----------
TOTAL TEXTILES
(APPAREL)............... 186
----------
TEXTILES (SPECIALTY) - 1.29%
Burlington Industries,
Incorporated................ 2,900 24
Guilford Mills,
Incorporated................ 3,800 36
Interface, Incorporated....... 6,500 46
Unifi, Incorporated........... 10,500 147
Wellman, Incorporated......... 5,100 73
----------
TOTAL TEXTILES
(SPECIALTY)............. 326
----------
TOTAL CONSUMER -
CYCLICALS............... 5,245
----------
ENERGY - 5.21%
OIL & GAS (DRILLING & EQUIPMENT) - 3.92%
Friede Goldman International,
Incorporated................ 2,900 54
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
44
<PAGE> 46
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Marine Drilling Companies,
Incorporated................ 1,000 $ 17
Oceaneering International,
Incorporated................ 2,800 46
Offshore Logistics,
Incorporated................ 1,400 17
Pride International,
Incorporated................ 6,300 74
R & B Falcon Corporation...... 21,300 213
Rowan Companies,
Incorporated................ 10,500 168
Seacor Smit, Incorporated..... 1,100 58
Seitel, Incorporated.......... 300 5
Tidewater, Incorporated....... 6,900 183
Tuboscope, Incorporated....... 5,300 72
Varco International,
Incorporated................ 6,500 74
Veritas DGC, Incorporated..... 400 8
----------
TOTAL OIL & GAS (DRILLING
& EQUIPMENT)............ 989
----------
OIL & GAS (EXPLORATION/PRODUCTION) - 1.15%
Brown Tom, Incorporated....... 7,800 117
Triton Energy Limited......... 14,600 173
----------
TOTAL OIL & GAS
(EXPLORATION/
PRODUCTION)............. 290
----------
OIL (INTERNATIONAL INTEGRATED) - 0.14%
Tesoro Petroleum Corporation.. 3,200 36
----------
TOTAL OIL (INTERNATIONAL
INTEGRATED)............. 36
----------
TOTAL ENERGY.............. 1,315
----------
FINANCIALS -- 11.99%
BANKS (REGIONAL) - 0.40%
First Midwest BanCorp,
Incorporated................ 2,500 100
----------
TOTAL BANKS (REGIONAL).... 100
----------
CONSUMER FINANCE - 0.26%
Advanta Corporation........... 4,800 65
----------
TOTAL CONSUMER FINANCE.... 65
----------
FINANCIAL (DIVERSIFIED) - 0.98%
Amresco, Incorporated......... 8,400 55
Landamerica Financial Group,
Incorporated................ 2,500 70
Professional Group,
Incorporated................ 1,500 38
Resource Bancshares Mortgage
Group, Incorporated......... 3,900 48
Stewart Information Services
Corporation................. 900 36
----------
TOTAL FINANCIAL
(DIVERSIFIED)............... 247
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
INSURANCE (LIFE/HEALTH) - 1.34%
Amerus Life Holdings,
Incorporated................ 4,000 $ 89
Arm Financial, Incorporated... 4,400 61
Liberty Financial Companies,
Incorporated................ 7,600 171
London Pac Group, LTD......... 500 13
Scottish Annuity & Life (non-
income producing)........... 400 4
----------
TOTAL INSURANCE
(LIFE/HEALTH)........... 338
----------
INSURANCE (MULTI-LINE) - 1.63%
Esg Re Limited................ 24,200 411
----------
TOTAL INSURANCE
(MULTI-LINE)............ 411
----------
INSURANCE BROKERS - 0.77%
Healthplan Services
Corporation................. 19,300 125
Stirling Cooke Brown
Holdings.................... 16,900 70
----------
TOTAL INSURANCE BROKERS... 195
----------
INSURANCE - PROPERTY - CASUALTY - 5.90%
Acceptance Insurance Company.. 1,800 25
Capital Re Corporation........ 5,600 110
Chartwell Re Corporation...... 1,200 22
Cmac Investment Corporation... 1,400 64
Commerce Group, Incorporated.. 6,400 146
Executive Risk,
Incorporated................ 4,500 323
Fidelity National Financial,
Incorporated................ 5,100 93
Harleysville Group,
Incorporated................ 4,700 88
Horace Mann Educators
Corporation................. 3,600 82
IPC Holdings Limited.......... 7,700 136
Orion Cap Corporation......... 4,800 141
Reliance Group Holdings,
Incorporated................ 20,200 151
Selective Insurance Group,
Incorporated................ 4,600 89
Trenwick Group, Incorporated.. 700 20
----------
TOTAL INSURANCE-
PROPERTY - CASUALTY..... 1,490
----------
SAVINGS & LOAN COMPANIES - 0.71%
Coastal BanCorp,
Incorporated................ 200 3
Downey Financial Corporation.. 5,200 104
First Republic Bank San
Francisco................... 1,100 28
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
45
<PAGE> 47
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
FirstFed Financial
Corporation................. 2,600 $ 45
----------
TOTAL SAVINGS & LOAN
COMPANIES............... 180
----------
TOTAL FINANCIALS.......... 3,026
----------
HEALTH CARE - 4.14%
Apria Healthcare Group,
Incorporated (non-income
producing).................. 18,100 282
Beckman Coulter,
Incorporated................ 100 5
Beverly Enterprises,
Incorporated................ 12,800 83
First Health Group
Corporation................. 1,200 20
Genesis Health Ventures,
Incorporated................ 5,300 37
Herbalife International,
Incorporated................ 4,700 49
Integrated Health Services,
Incorporated................ 9,200 44
Quorum Health Group,
Incorporated................ 9,000 111
Safeskin Corporation.......... 9,100 89
Sierra Health Services,
Incorporated................ 4,400 55
Sola International,
Incorporated................ 4,100 61
Sun Healthcare Group,
Incorporated................ 1,100 2
Total Renal Care Holdings,
Incorporated (non-income
producing).................. 14,900 207
----------
TOTAL HEALTH CARE......... 1,045
----------
TECHNOLOGY - 5.48%
COMMUNICATIONS EQUIPMENT - 0.25%
Cable Design Technologies
Corporation................. 4,200 62
----------
TOTAL COMMUNICATIONS
EQUIPMENT............... 62
----------
COMPUTERS (PERIPHERALS) - 2.38%
Creative Technology, Limited
(non-income producing)...... 22,000 278
Hutchinson Technology,
Incorporated (non-income
producing).................. 5,900 130
Radisys Corporation........... 6,200 195
----------
TOTAL COMPUTERS
(PERIPHERALS)........... 603
----------
COMPUTERS SOFTWARE/SERVICES - 0.44%
Personal Group of America,
Incorporated................ 5,900 54
Systems & Computer
Technology.................. 4,200 58
----------
TOTAL COMPUTERS
SOFTWARE/SERVICES....... 112
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
ELECTRONICS (COMPONENT DIST) - 0.06%
Marshall Industries,
Incorporated................ 700 $ 11
Pioneer Standard Electronics,
Incorporated................ 500 4
----------
TOTAL ELECTRONICS
(COMPONENT DIST)........ 15
----------
ELECTRONICS (INSTRUMENT) - 0.17%
Bio Rad Laboratories,
Incorporated................ 1,500 42
----------
TOTAL ELECTRONICS
(INSTRUMENT)............ 42
----------
ELECTRONICS-SEMICONDUCTORS - 0.37%
General Semiconductor,
Incorporated................ 6,000 45
Neomagic Corporation.......... 4,200 49
----------
TOTAL ELECTRONICS-
SEMICONDUCTORS.......... 94
----------
SERVICES (COMPUTER SYSTEMS) - 1.81%
Banctec, Incorporated......... 600 10
Cambridge Technology Partners
(non-income producing)...... 6,950 100
CHS Electronics,
Incorporated................ 4,700 24
Inacom Corporation (non-
income producing)........... 33,291 323
----------
TOTAL SERVICES (COMPUTER
SYSTEMS)................ 457
----------
TOTAL TECHNOLOGY.......... 1,385
----------
TRANSPORTATION - 1.09%
AIR FREIGHT - 0.13%
Airnet Systems,
Incorporated................ 3,200 34
----------
TOTAL AIR FREIGHT......... 34
----------
RAILROADS - 0.68%
Varlen Corporation............ 700 20
Wisconsin Central
Transportation
Corporation................. 8,300 153
----------
TOTAL RAILROADS........... 173
----------
TRUCKERS - 0.28%
Roadway Express,
Incorporated................ 400 7
Us Freightways Corporation.... 500 19
Consolidated Freightways
Corporation................. 3,900 44
----------
TOTAL TRUCKERS............ 70
----------
TOTAL TRANSPORTATION...... 277
----------
UTILITIES - 2.41%
ELECTRIC COMPANIES - 2.41%
CMP Group, Incorporated....... 20,700 401
El Paso Electric Company...... 9,100 73
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
46
<PAGE> 48
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Public Service Company........ 7,500 $ 134
----------
TOTAL ELECTRIC
COMPANIES............... 608
----------
TOTAL UTILITIES........... 608
----------
SHORT-TERM INVESTMENTS (NOTE A) - 25.86%
AMR Investments Enhanced Yield
Business Trust.............. 449,386 449
AMR Investments Strategic Cash
Business Trust.............. 1,712,724 1,713
</TABLE>
<TABLE>
<CAPTION>
PAR AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Goldman Sachs Tri-Party
Repurchase Agreement, 4.85%,
Due 5/3/1999 (Note B)....... $ 4,369 $ 4,369
----------
TOTAL SHORT-TERM
INVESTMENTS............. 6,531
----------
TOTAL INVESTMENTS - 107.92%
(COST $25,469).............. 27,260
----------
LIABILITIES, NET OF OTHER
ASSETS - (7.92%)............ (2,001)
----------
TOTAL NET ASSETS -- 100%...... $ 25,259
==========
</TABLE>
- ---------------
Based on the cost of investments of $25,469 for federal income tax purposes at
April 30, 1999, the aggregate gross unrealized appreciation was $2,560, the
aggregate gross unrealized depreciation was $769, and the net unrealized
appreciation of investments was $1,791.
(A) Rates associated with short-term investments represent yield to maturity.
(B) Collateral held at The Bank of New York Company, Incorporated by Federal
Home Loan Mortgage Corporation 7.50%, Due 8/1/2027 - Market Value $4,456
ABBREVIATIONS:
ADR - American Depositary Receipt
NV - Company
PLC - Public Limited Corporation
SA - Company
See accompanying notes
- --------------------------------------------------------------------------------
47
<PAGE> 49
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
AUSTRALIA COMMON STOCKS - 4.83%
Australia & New Zealand
Banking Group............. 1,651,152 $ 13,099
Broken Hill Property........ 335,260 3,796
Cable and Wireless Optus.... 1,544,000 3,479
Mayne Nickless, Limited..... 965,000 3,364
News Corporation Preferred
Rights.................... 345,000 2,701
News Corporation, Limited... 210,000 1,763
Pioneer International,
Limited................... 5,412,306 13,236
QBE Insurance Group,
Limited................... 2,038,828 9,134
RGC Gold Unsecured Notes.... 550,000 171
WestPac Banking Group....... 451,135 3,449
Westralian Sands............ 360,594 808
WMC, Limited................ 785,000 3,397
------------
TOTAL AUSTRALIA COMMON
STOCKS................ 58,397
------------
AUSTRIA - 0.87%
PREFERRED STOCKS - 0.28%
Bank Austria AG............. 54,000 3,354
------------
TOTAL AUSTRIA PREFERRED
STOCKS................ 3,354
------------
COMMON STOCKS - 0.59%
Boehler-Uddeholm............ 70,465 4,148
Evn Energie-Versorgung
Niederoesterreich AG...... 7,960 1,190
Mayr-Melnhof Karton AG...... 16,000 778
VA Technologie AG........... 11,000 1,047
------------
TOTAL AUSTRIA COMMON
STOCKS................ 7,163
------------
TOTAL AUSTRIA........... 10,517
------------
CANADA COMMON STOCKS - 2.73%
Alcan Aluminum, Limited..... 105,000 3,317
Anderson Exploration,
Limited................... 170,000 2,043
Canadian Imperial Bank of
Commerce.................. 243,650 6,274
IMASCO, Limited............. 238,000 5,246
Methanex Corporation........ 275,000 765
Newbridge Network........... 100,000 3,708
Noranda, Incorporated....... 357,525 4,787
Ranger Oil, Limited......... 589,010 3,114
Renaissance Energy.......... 140,000 2,120
Transcanada Pipelines,
Limited................... 117,000 1,623
------------
TOTAL CANADA COMMON
STOCKS................ 32,997
------------
DENMARK COMMON STOCKS - 0.32%
Unidanmark AS, "A".......... 55,640 3,829
------------
TOTAL DENMARK COMMON
STOCKS................ 3,829
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
FINLAND COMMON STOCKS - 2.82%
Enso-Gutzeit OY, "R"........ 212,000 $ 2,478
Nokia AB OY................. 49,500 3,820
Merita Bank, Limited........ 1,503,070 8,985
Metra OY, "B"............... 105,000 2,616
Metsa-Serla OY, "B"......... 100,000 857
Rauma OY.................... 121,467 1,632
UPM-Kymmene OY.............. 450,450 13,653
------------
TOTAL FINLAND COMMON
STOCKS................ 34,041
------------
FRANCE COMMON STOCKS - 10.54%
Alcatel Alsthom CG.......... 59,150 7,272
Axa SA...................... 98,472 12,731
Banque Nationale de Paris... 202,615 16,816
BIC SA...................... 80,193 4,505
CSF (Thomson)............... 237,713 7,796
Elf Aquitaine SA............ 138,500 21,539
La Farge-Coppee SA.......... 94,123 9,161
Michelin (CGDE)............. 39,075 1,776
Pechiney SA................. 51,800 2,192
Pernod-Ricard............... 75,152 5,077
Rhone-Poulenc, "A".......... 215,510 10,260
Saint Gobain................ 25,598 4,401
Seita....................... 59,175 3,568
Societe Generale............ 32,319 5,792
Total Petroleum Company,
"B"....................... 65,582 8,992
Vivendi..................... 23,655 5,533
------------
TOTAL FRANCE COMMON
STOCKS................ 127,411
------------
GERMANY - 6.82%
PREFERRED STOCKS - 0.32%
Dyckerhoff AG............... 14,099 3,878
------------
TOTAL GERMANY PREFERRED
STOCKS................ 3,878
------------
COMMON STOCKS - 6.50%
Allianz AG.................. 11,795 3,762
BASF AG..................... 57,000 2,500
BAYER AG.................... 60,000 2,552
BBS Kraftfahrzeugtechnik.... 1,526 307
Buderus AG.................. 9,725 3,303
Commerzbank AG.............. 134,500 4,354
Daimler Chrysler AG......... 39,155 3,871
Deutsche Bank AG............ 36,000 2,095
Dragerwerk AG............... 150,805 2,074
Hoechst AG.................. 301,106 14,287
Metro AG.................... 102,255 7,400
Muenchener Rueckversicherung
AG........................ 9,038 1,798
Muenchener Rueckversicherung
AG, DEM 10................ 9,038 1,817
Muenchener Rueckversicherung
AG, DEM 5................. 293 10
SGL Carbon.................. 36,630 2,017
Siemens AG.................. 38,120 2,823
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
48
<PAGE> 50
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Thyssen Krupp AG............ 154,800 $ 3,390
Veba AG..................... 299,452 16,442
Volkswagen AG............... 52,500 3,727
------------
TOTAL GERMANY COMMON
STOCKS................ 78,529
------------
TOTAL GERMANY........... 82,407
------------
HONG KONG COMMON STOCKS - 3.47%
Asia Satellite
Telecommunications
Holdings, Limited......... 275,000 497
Cheung Kong Holdings,
Limited................... 655,000 5,958
Hang Lung Development
Company, Limited.......... 3,155,000 4,071
Hong Kong Electric
Holdings.................. 793,400 2,529
HSBC Holdings............... 102,955 3,826
Hutchinson Whampoa,
Limited................... 322,000 2,888
National Mutual of Asia,
Limited................... 1,700,000 1,305
New World Development
Company, Limited.......... 1,164,000 2,884
South China Morning Post.... 7,886,000 4,757
Swire Pacific............... 1,830,200 10,272
Television Broadcast........ 721,000 2,930
------------
TOTAL HONG KONG COMMON
STOCKS................ 41,917
------------
IRELAND COMMON STOCKS - 1.04%
Greencore Group............. 1,362,290 5,188
Jefferson Smurfit........... 2,694,092 7,354
------------
TOTAL IRELAND COMMON
STOCKS................ 12,542
------------
ITALY - 4.11%
PREFERRED STOCKS - 0.25%
Concessioni E Contruzioni
Autostrade................ 425,000 3,057
------------
TOTAL ITALY PREFERRED
STOCKS................ 3,057
------------
COMMON STOCKS - 3.86%
BCA Naz Del Lavoro.......... 602,850 2,060
Burgo (Cartiere) SPA........ 119,420 853
Eni SPA..................... 2,181,775 14,380
Fiat SPA.................... 775,000 2,599
Instituto Nazionale Delle
Assicurazioni............. 1,000,000 2,645
Sao Paolo Imi SPA........... 148,580 2,232
STET Telecom Italia......... 1,335,170 14,224
Telecom Italia SPA.......... 1,319,750 7,107
Unione Immobiliare.......... 1,000,000 573
------------
TOTAL ITALY COMMON
STOCKS................ 46,673
------------
TOTAL ITALY............. 49,730
------------
JAPAN COMMON STOCKS - 10.88%
Asahi Breweries............. 216,000 2,816
Best Denki Company.......... 289,000 2,145
Hitachi Zosen Corporation... 212,000 290
Hitachi, Limited............ 225,000 1,644
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Japan Tobacco............... 686 $ 6,897
Kanamoto Company............ 310,000 1,961
KAO Corporation............. 185,000 4,696
Kokusai Electric............ 722,000 5,504
Kyocera Corporation......... 123,300 7,324
Makita Corporation.......... 105,000 1,128
Matsushita Electric
Industrial Company........ 342,800 6,519
Matsuzakaya Company......... 500,000 2,241
Namco....................... 374,900 8,480
Nichicon Corporation........ 410,000 5,410
Nintendo Company, Limited... 175,900 16,402
Nippon Telephone & Telegraph
Company................... 285 3,104
NTT Mobile Communication.... 110 6,451
Okumura Corporation......... 700,000 2,821
Orix Corporation............ 69,400 5,588
Promise Company, Limited.... 296,000 16,863
Ricoh Company............... 310,100 2,988
Sankyo Company.............. 118,000 2,476
Showa Sangyo Company........ 850,000 1,723
Sony Corporation............ 82,700 7,725
Sumitomo Trust & Banking.... 609,000 2,990
TDK Corporation............. 3,000 227
Toyo Seikan Kaisha.......... 1,000 20
Yamato Kogyo Company,
Limited................... 120,000 814
Yodogawa Steel Works........ 541,000 2,280
Yoshitomi Pharmaceutical.... 185,000 1,985
------------
TOTAL JAPAN COMMON
STOCKS................ 131,512
------------
MALAYSIA COMMON STOCKS - 0.15%
Golden Hope Plantations
BHD....................... 2,603,000 1,783
Hicom Holdings BHD.......... 80,863 29
------------
TOTAL MALAYSIA COMMON
STOCKS................ 1,812
------------
MEXICO COMMON STOCKS - 0.65%
Alfa, SA.................... 436,000 1,734
Consorcio Grupo Dina Sa De C
V......................... 590,000 664
Grupo Mexico SA............. 1,047,300 4,058
Industrias Penoles.......... 215,000 727
Vitro SA.................... 335,000 703
------------
TOTAL MEXICO COMMON
STOCKS................ 7,886
------------
NETHERLANDS COMMON STOCKS - 6.87%
ABN AMRO Holdings NV........ 372,080 8,877
Akzo Nobel NV............... 315,250 14,258
Fortis NL................... 103,308 3,683
Hollandsche Beton Groep NV.. 289,160 4,115
Ing Groep NV................ 309,629 19,098
Kon KPN NV.................. 200,345 8,372
Philips Electronics......... 273,321 23,567
TNT Post Groep NV........... 42,500 1,147
------------
TOTAL NETHERLANDS COMMON
STOCKS................ 83,117
------------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
49
<PAGE> 51
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
NEW ZEALAND COMMON STOCKS - 0.92%
Brierley Investments,
Limited................... 1,753,762 $ 500
Carter Holt Harvey,
Limited................... 605,889 888
Fisher & Paykel, Limited.... 880,000 3,225
Fletcher Challenge
Building.................. 2,564,979 4,248
Fletcher Challenge Forest... 2,778,284 1,492
Fletcher Challenge Paper.... 765,000 715
------------
TOTAL NEW ZEALAND COMMON
STOCKS................ 11,068
------------
NORWAY COMMON STOCKS - 1.05%
Den Norsk Bank, Series A.... 270,000 978
Kvaerner Industries AS...... 151,269 3,031
Kvaerner Industries AS...... 18,000 294
Norsk Hydro AS.............. 60,000 2,693
Nycomed AS, Series B........ 324,320 2,635
Saga Petroleum.............. 220,175 2,446
Unitor AS................... 80,000 658
------------
TOTAL NORWAY COMMON
STOCK................. 12,735
------------
SINGAPORE COMMON STOCKS - 1.42%
Development Bank of
Singapore................. 665,000 7,068
Inchcape Motors............. 325,000 480
Creative Technology......... 332,750 4,185
Overseas Chinese Bank....... 113,000 1,061
Singapore Finance,
Limited................... 387,000 569
United OverSeas Bank........ 484,300 3,746
------------
TOTAL SINGAPORE COMMON
STOCK................. 17,109
------------
SPAIN COMMON STOCKS - 3.28%
Argentaria C/P HIP.......... 203,590 4,795
Banco Popular Espanol....... 28,000 1,985
Banco Santander SA.......... 306,889 6,675
Endesa SA................... 137,945 3,071
Iberdrola SA................ 170,357 2,388
Repsol SA (RG).............. 111,000 1,808
Telefonica de Espana........ 396,285 369
Telefonica de Espana........ 396,285 18,594
------------
TOTAL SPAIN COMMON
STOCKS................ 39,685
------------
SOUTH KOREA COMMON STOCKS - 0.19%
Korea Electric Power
Corporation............... 80,860 2,327
------------
TOTAL SOUTH KOREA COMMON
STOCKS................ 2,327
------------
SWEDEN COMMON STOCKS - 4.50%
ABB AB...................... 210,000 2,934
Assidoman AB................ 56,000 1,159
Astrazeneca................. 199,813 7,816
Autoliv Incorporated........ 125,000 4,355
Electrolux AB, "B".......... 812,050 16,510
Esselte AB, Class "A"....... 2,000 31
Esselte AB, Class "B"....... 17,000 266
Foreningssparbk............. 72,000 1,584
Granges AB.................. 15,000 255
Nordbanken AS............... 274,100 1,727
SKF AB, "B" Free............ 80,000 1,379
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Stora Enso OY............... 62,062 $ 697
Stora Enso OY............... 152,602 1,751
Svedala Industries, "A"
Free...................... 90,000 1,584
Svenska Handelsbanken....... 73,830 2,774
Volvo AB.................... 361,160 9,554
------------
TOTAL SWEDEN COMMON
STOCK................. 54,376
------------
SWITZERLAND COMMON STOCKS - 4.29%
ABB AG...................... 1,650 2,411
Nestle SA................... 1,270 2,355
Novartis AG................. 6,585 9,658
Saurer AG................... 7,031 4,124
Schweitz Ruckversiche....... 2,329 5,106
Sig Schweitz Industries
AG........................ 16,804 10,673
Sulzer AG................... 13,298 8,464
Zurich Allied AG............ 14,025 9,056
------------
TOTAL SWITZERLAND COMMON
STOCK................. 51,847
------------
UNITED KINGDOM COMMON STOCKS - 21.63%
Allied Domecq, PLC.......... 800,964 6,242
Allied Zurich............... 738,532 9,798
Arcadia Group............... 41,875 189
Arriva...................... 205,000 1,314
BG, PLC..................... 529,411 2,983
BOC Group................... 351,053 5,551
BP Amoco.................... 356,865 6,780
British Aerospace........... 1,285,785 9,627
British American Tobacco
Industries, PLC........... 1,141,042 9,627
British Energy, PLC......... 300,000 2,550
British Telecommunications.. 380,000 6,351
Cadbury Schweppes........... 179,460 2,395
Coats Viyella, PLC.......... 3,874,530 2,838
Commercial Union, PLC....... 368,590 5,763
Cookson Group, PLC.......... 4,022,815 11,335
Cortaulds Textiles, PLC..... 150,000 421
Debenhams Retail............ 83,750 645
Diageo...................... 422,543 4,871
Express Dairies............. 250,000 447
Fairview Holdings, PLC...... 37,500 84
General Electric............ 435,000 4,609
Granada Group............... 255,405 5,453
Hanson, PLC................. 1,113,395 11,079
Hillsdown Holdings, PLC..... 2,788,870 3,682
Imperial Chemical
Industries, PLC........... 583,095 6,337
Inchcape, PLC............... 300,000 729
Invensys.................... 2,736,755 13,924
Laporte, PLC................ 844,213 9,991
Lloyds TSB Group, PLC....... 510,365 8,234
Marks & Spencer............. 500,000 3,432
Medeva, PLC................. 4,237,717 7,915
National Grid Group, PLC.... 255,000 1,761
National Power, PLC......... 300,000 2,420
National Westminster Bank,
PLC....................... 673,547 16,213
Next, PLC................... 190,000 2,352
Northern Foods, PLC......... 1,000,000 1,964
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
50
<PAGE> 52
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Prudential Corporation...... 353,865 $ 5,037
Reckitt & Colman, PLC....... 371,625 4,416
Royal & Sun Alliance
Insurance Group........... 549,000 4,751
Safeway, PLC................ 509,677 2,125
Scapa Group................. 785,000 1,706
Shell Transportation &
Trading Company, PLC...... 535,000 4,014
Storehouse.................. 1,480,000 3,455
Tate & Lyle, PLC............ 405,000 2,788
Tesco, PLC.................. 2,468,287 7,342
Thames Water Group, PLC..... 173,983 2,405
TI Group, PLC............... 1,450,550 12,145
Tomkins..................... 1,879,908 7,991
Transport Development
Group..................... 28,260 104
Unilever, PLC............... 325,565 2,896
United News & Media PLC..... 262,368 3,194
Vickers Group............... 693,333 1,853
Williams, PLC............... 778,970 5,393
------------
TOTAL UNITED KINGDOM.... 261,521
------------
UNITED STATES - 22.99%
FOREIGN SECURITIES DENOMINATED IN U.S. DOLLARS - 1.73%
G P Batteries International,
Limited................... 436,000 729
Kookmin Bank GDR............ 162,377 2,253
Jardine Matheson Holding,
Limited................... 871,000 3,710
New Holland NV.............. 160,000 2,320
Nova Chemical Corporation,
ADR....................... 23,400 491
Sk Telecom, Limited......... 169,282 2,349
Stolt-Nielsen SA, "B"....... 38,000 579
Telmex ADR.................. 113,000 8,560
------------
TOTAL FOREIGN SECURITIES
DENOMINATED IN U.S.
DOLLARS............... 20,991
------------
PAR
AMOUNT
---------
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS (NOTE
A) - 2.87%
FEDERAL FARM CREDIT BANK - 0.24%
Discount Note, 4.76%, Due
5/14/1999................. $ 2,480 2,476
Discount Note, 4.76%, Due
6/4/1999.................. 440 438
------------
TOTAL FEDERAL FARM
CREDIT BANK........... 2,914
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 1.60%
Discount Note, 4.75%, Due
5/12/1999................. 380 379
Discount Note, 4.78%, Due
5/18/1999................. 2,485 2,479
Discount Note, 4.76%, Due
5/25/1999................. 1,580 1,575
PAR
AMOUNT VALUE
--------- ------------
Discount Note, 4.78%, Due
6/8/1999.................. $ 1,015 $ 1,010
Discount Note, 4.76%, Due
6/11/1999................. 2,080 2,069
Discount Note, 4.72%, Due
7/7/1999.................. 2,450 2,428
Discount Note, 4.69%, Due
7/21/1999................. 9,448 9,348
------------
TOTAL FEDERAL HOME LOAN
MORTGAGE
CORPORATION........... 19,288
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.75%
Discount Note, 4.73%, Due
5/10/1999................. 1,305 1,303
Discount Note, 4.62%, Due
6/7/1999.................. 2,939 2,925
Discount Note, 4.70%, Due
7/2/1999.................. 1,625 1,612
Discount Note, 4.70%, Due
7/15/1999................. 3,285 3,253
------------
TOTAL FEDERAL NATIONAL
MORTGAGE
ASSOCIATION........... 9,093
------------
U.S. TREASURY BILLS - 0.28%
Due 5/27/1999............... 1,014 1,011
Due 10/14/1999.............. 2,437 2,388
------------
TOTAL U.S. TREASURY
BILLS................. 3,399
------------
TOTAL UNITED STATES
GOVERNMENT AND AGENCY
OBLIGATIONS........... 34,694
------------
SHARES
---------
SHORT TERM INVESTMENTS - 18.39%
AMR Investments Enhanced Yield Business
Trust......................46,830,301 46,830
AMR Investments Strategic Cash Business
Trust.....................156,880,662 156,881
PAR
AMOUNT
---------
State Street Bank Euro...... $ 18,703 18,703
------------
TOTAL SHORT TERM
INVESTMENTS........... 222,414
------------
TOTAL UNITED STATES....... 278,099
------------
TOTAL INVESTMENTS - 116.37%
(COST $1,232,045)......... 1,406,882
------------
LIABILITIES, NET OF OTHER
ASSETS - (16.37%)......... (197,862)
------------
TOTAL NET ASSETS - 100%..... $ 1,209,020
============
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
51
<PAGE> 53
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Based on the cost of investments of $1,232,282 for federal income tax purposes
at April 30, 1999, the aggregate gross unrealized appreciation was $222,212, the
aggregate gross unrealized depreciation was $47,612, and the net unrealized
appreciation of investments was $174,600.
(A) 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)
CG - Company General (France)
GDR - Global Depository Receipt (United States)
NV - Company (Netherlands, United States)
OY - Company (Finland, Sweden)
PLC - Public Limited Corporation (United Kingdom)
RG - (Spain)
SA - Company (France, Mexico, Spain, Switzerland, United States )
SPA - Company (Italy)
INDUSTRY DIVERSIFICATION
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
----------
<S> <C>
Capital Goods............................................... 8.36%
Consumer Durables........................................... 4.88%
Consumer Non-Durables....................................... 15.45%
Energy...................................................... 10.35%
Finance..................................................... 25.78%
Materials & Services........................................ 20.38%
Technology.................................................. 6.28%
Transportation.............................................. 21.00%
Utilities................................................... 3.42%
Fixed Income................................................ 2.87%
Short-Term Investments...................................... 18.39%
Other Assets (Liabilities).................................. (16.37%)
-------
NET ASSETS........................................ 100.00%
=======
</TABLE>
- --------------------------------------------------------------------------------
52
<PAGE> 54
AMR INVESTMENT SERVICES INTERMEDIATE BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
--------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 21.02%
U.S. TREASURY BONDS - 13.44%
10.75%, Due 2/15/2003....................................... $ 5,820 $ 6,886
10.375%, Due 11/15/2012..................................... 4,235 5,577
7.50%, Due 11/15/2016....................................... 4,000 4,684
8.125%, Due 8/15/2019....................................... 6,245 7,845
8.50%, Due 2/15/2020........................................ 6,500 8,472
6.125%, Due 11/15/2027...................................... 1,880 1,941
--------
TOTAL U.S. TREASURY BONDS............................... 35,405
--------
U.S. TREASURY NOTES - 7.58%
5.625%, Due 11/30/2000...................................... 4,345 4,383
6.25%, Due 8/31/2002........................................ 3,470 3,574
6.625%, Due 5/15/2007....................................... 9,205 9,913
6.125%, Due 8/15/2007....................................... 2,000 2,091
--------
TOTAL U.S. TREASURY NOTES............................... 19,961
--------
TOTAL U.S. TREASURY OBLIGATIONS......................... 55,366
--------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 18.43%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 10.45%
2125 QE, 5.50%, Due 12/15/2007.............................. 3,000 2,954
2108 PE, 5.50%, Due 4/15/2008............................... 2,500 2,473
2124 MB, 5.00%, Due 10/15/2011.............................. 4,000 3,878
Gold Pool #E00540, 6.00%, Due 3/1/2013...................... 634 630
Gold Pool #E69244, 6.00%, Due 3/1/2013...................... 1,263 1,255
2112 PB, 5.50%, Due 11/15/2016.............................. 4,234 4,152
1574 PF, 6.00%, Due 1/15/2019............................... 1,000 996
1914 B, 6.30%, Due 2/15/2020................................ 2,479 2,479
2038 PB, 5.50%, Due 12/15/2026.............................. 3,000 2,917
Gold Pool #C00658, 6.50%, Due 10/1/2028..................... 966 961
Gold Pool #C16078, 6.50%, Due 10/1/2028..................... 373 371
TBA, Gold, 6.00%, Due 12/31/2099............................ 2,500 2,487
TBA, Gold, 6.50%, Due 12/31/2099............................ 2,000 1,984
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 27,537
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 7.98%
Pool #330551, 7.00%, Due 11/15/2022......................... 2,303 2,346
Pool #344185, 7.50%, Due 12/15/2022......................... 2,227 2,301
Pool #356688, 7.00%, Due 7/15/2023.......................... 2,296 2,337
Pool #370820, 6.50%, Due 9/15/2023.......................... 3,144 3,144
Pool #354665, 6.50%, Due 10/15/2023......................... 1,532 1,528
Pool #367249, 6.50%, Due 12/15/2023......................... 3,087 3,079
Pool #386441, 8.00%, Due 8/15/2024.......................... 2,134 2,226
Pool #780570, 7.00%, Due 5/15/2027.......................... 1,053 1,069
Pool #491467, 6.50%, Due 5/15/2029.......................... 3,000 2,980
--------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 21,010
--------
TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 48,547
--------
ASSET-BACKED SECURITIES - 0.99%
Ford Credit Auto Owner Trust, 5.81%, Due 3/15/2002.......... 2,600 2,613
--------
TOTAL ASSET-BACKED SECURITIES........................... 2,613
--------
COMMERCIAL MORTGAGE-BACKED OBLIGATIONS - 1.95%
General Motors Acceptance Corporation Commercial Mortgage
Securities, Incorporated 6.869%, Due 8/15/2007............ 5,000 5,150
--------
TOTAL COMMERCIAL MORTGAGE-BACKED OBLIGATIONS............ 5,150
--------
CORPORATE OBLIGATIONS - 56.59%
FINANCIAL - 27.79%
Aetna Services, Incorporated, 6.75%, Due 8/15/2001.......... 2,500 2,517
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
53
<PAGE> 55
AMR INVESTMENT SERVICES INTERMEDIATE BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
--------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
American Express Credit Corporation, 6.125%, Due
6/15/2000................................................. $ 2,000 $ 2,014
Amsouth Bancorporation, 6.125%, Due 3/1/2009................ 1,025 993
A T & T Capital Corporation, 5.86%, Due 4/26/2002........... 1,300 1,294
BankAmerica Corporation,
9.20%, Due 5/15/2003...................................... 2,300 2,554
7.20%, Due 4/15/2006...................................... 1,280 1,328
Bear Stearns Company, Variable Rate, 4.20%, Due 7/10/2000... 5,000 4,984
Cendant Corporation, 7.75%, Due 12/1/2003................... 3,000 3,094
Chase Manhattan Corporation, 7.125%, Due 6/15/2009.......... 2,200 2,303
CIT Group, Incorporated, 5.50%, Due 2/15/2004............... 660 646
CitiCorp, 7.20%, Due 6/15/2007.............................. 2,400 2,506
Citigroup, Incorporated,
5.80%, Due 3/15/2004...................................... 1,605 1,592
6.875%, Due 2/15/2098..................................... 810 771
Countrywide Funding Corporation, MTN, 6.38%, Due
10/8/2002................................................. 1,360 1,365
EOP Oper Limited Partnership,
6.38%, Due 2/15/2012...................................... 1,315 1,307
6.50%, Due 1/15/2004...................................... 3,250 3,226
First Union Bank of North Carolina, 5.80%, Due 12/1/2008.... 3,000 2,864
Ford Motor Credit Corporation, Variable Rate, 6.125%, Due
4/28/2003................................................. 2,490 2,502
General Motors Acceptance Corporation, 5.91%, Due
3/11/2002................................................. 2,000 2,001
Mellon Bank, N.A., 7.375%, Due 5/15/2007.................... 3,000 3,168
Merrill Lynch and Company,
Variable Rate, 4.47%, Due 6/27/2000....................... 5,000 4,977
5.05%, Due 2/17/2009...................................... 785 756
National City Corporation, 6.875%, Due 5/15/2019............ 990 987
NationsBank Corporation, 6.60%, Due 5/15/2010............... 3,350 3,367
Newcourt Credit Group, Incorporated, 6.875%, Due
2/16/2005................................................. 2,060 2,111
Sears Roebuck Acceptance Corporation,
6.93%, Due 10/03/2002..................................... 2,000 2,050
6.72%, Due 11/5/2003...................................... 2,200 2,242
Simon Debartolo Group LP, 6.625%, Due 6/15/2003............. 1,950 1,933
Simon Property Group, Incorporated, 7.125%, Due 2/9/2009.... 3,000 2,968
Swiss Bank Corporation, 7.375%, Due 7/15/2015............... 3,000 3,099
Travelers Property Casualty Corporation, 6.75%, Due
4/15/2001................................................. 4,000 4,056
Wells Fargo and Company, 6.875%, Due 5/10/2001.............. 1,600 1,637
--------
TOTAL FINANCIAL......................................... 73,212
--------
INDUSTRIAL - 21.32%
Coca Cola Company, Incorporated, 6.00%, Due 3/15/2001....... 4,000 4,016
Conoco, Incorporated, 6.95%, Due 4/15/2029.................. 1,140 1,124
Cooper Industries, Incorporated, 6.70%, Due 9/22/2005....... 2,000 2,042
Dana Corporation, 6.25%, Due 3/1/2004....................... 1,070 1,069
Federated Department Stores, Incorporated, 6.79%, Due
7/15/2027................................................. 1,475 1,505
Fort James Corporation, 6.625%, Due 9/15/2004............... 2,000 2,035
General Motors, Incorporated 7.70%, Due 4/15/2016........... 3,000 3,254
Honeywell Incorporated, 6.625%, Due 6/15/2028............... 2,500 2,381
Ikon Office Solutions, Incorporated, 6.75%, Due 12/1/2025... 1,800 1,448
Ingersoll Rand Company, 6.34%, Due 12/3/2001................ 2,000 2,017
J. C. Penney and Company, 7.375%, Due 6/15/2004............. 2,000 2,053
Loews Corporation, 6.75%, Due 12/15/2006.................... 2,000 1,984
Martin Marietta Material, Incorporated, 6.90%, Due
8/15/2007................................................. 1,500 1,558
Norfolk Southern Corporation, 7.05%, Due 5/1/2037........... 1,300 1,357
Occidental Petroleum Corporation,
6.40%, Due 4/1/2003....................................... 1,310 1,292
6.50%, Due 4/1/2005....................................... 3,710 3,625
Paramount Communications, 8.25%, Due 8/1/2022............... 2,750 2,899
Philip Morris Companies, Incorporated, 7.20%, Due
2/1/2007.................................................. 2,000 2,072
Phillips Petroleum Company, 6.375%, Due 3/30/2009........... 3,000 2,976
Raytheon Company, 7.00%, Due 11/1/2028...................... 1,080 1,080
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
54
<PAGE> 56
AMR INVESTMENT SERVICES INTERMEDIATE BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
--------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Service Corporation, International, 6.00%, Due 12/15/2005... $ 2,575 $ 2,432
Temple Inland Incorporated, 6.75%, Due 3/1/2009............. 820 805
Time Warner Asset Trust, 6.10%, Due 12/30/2001.............. 2,820 2,828
Union Oil Company of California, 7.20%, Due 5/15/2005....... 3,800 3,917
USA Waste Services, Incorporated, 7.00%, Due 7/15/2028...... 1,500 1,482
Williams Companies, Incorporated, 6.50%, Due 8/1/2006....... 1,515 1,510
WMX Technologies, Incorporated, 6.65%, Due 5/15/2005........ 1,375 1,387
--------
TOTAL INDUSTRIAL........................................ 56,148
--------
SOVEREIGN - 0.80%
Province of Quebec, 5.75%, Due 2/15/2009.................... 2,170 2,115
--------
TOTAL SOVEREIGN......................................... 2,115
--------
UTILITIES - 6.68%
GTE Corporation, 7.83%, Due 5/1/2023........................ 750 773
KN Energy, 6.45%, Due 11/30/2001............................ 1,600 1,615
Noram Energy Corporation, 6.375%, Due 11/1/2003............. 1,780 1,783
Puget Sound Power & Light Company, 7.75%, Due 2/1/2007...... 3,000 3,264
Sprint Capital Corporation,
6.125%, Due 11/15/2008.................................... 3,000 2,899
6.90%, Due 5/1/2019....................................... 2,235 2,199
Western Resources, Incorporated, 6.875%, Due 8/1/2004....... 2,000 2,043
WorldCom Incorporated, 6.40%, Due 8/15/2005................. 3,000 3,013
--------
TOTAL UTILITIES......................................... 17,589
--------
TOTAL CORPORATE OBLIGATIONS............................. 149,064
--------
SHORT-TERM INVESTMENTS (NOTE A) - 18.18%
</TABLE>
<TABLE>
<CAPTION>
SHARES
----------
--------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
AMR Investments Enhanced Yield Business Trust............... 10,506,751 10,507
AMR Investments Strategic Cash Business Trust............... 27,955,912 27,956
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT
--------
<S> <C> <C>
Goldman Sachs Treasury Tri-Party Repurchase Agreement,
4.85%,
Due 5/3/1999 (Note B)..................................... $ 9,430 9,430
--------
TOTAL SHORT-TERM INVESTMENTS............................ 47,893
--------
TOTAL INVESTMENTS - 117.16% (COST $310,511)............. 308,633
--------
LIABILITIES, NET OF OTHER ASSETS - (17.16%)............. (45,202)
--------
TOTAL NET ASSETS - 100%................................. $263,431
========
</TABLE>
- ---------------
Based on the cost of investments of $310,550 for federal income tax purposes at
April 30, 1999, the aggregate gross unrealized appreciation was $636, the
unrealized depreciation was $2,553, and the net unrealized depreciation of
investments was $1,917.
(A) Rates associated with short-term investments represent yield to maturity.
(B)Collateral held at The Bank of New York, by Federal Home Loan Mortgage Note,
6.50%, Due 2/1/2029 - Market Value $9,618.
ABBREVIATIONS:
LP - Limited Partnership
MTN - Medium-Term Note
- --------------------------------------------------------------------------------
55
<PAGE> 57
AMR INVESTMENT SERVICES SHORT-TERM BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 16.01%
Federal Home Loan Mortgage Corporation, M H-1 A
REMIC, 10.15%, Due 4/15/2006.............................. $ 34 $ 34
REMIC, 5.50%, Due 12/15/2007.............................. 2,000 1,969
REMIC, 5.00%, Due 10/15/2011.............................. 4,000 3,878
REMIC, 5.50%, Due 11/15/2016.............................. 4,000 3,923
Government National Mortgage Association, Pool #780173,
9.50%, Due 12/15/2019..................................... 5,820 6,283
--------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS.............. 16,087
--------
CORPORATE OBLIGATIONS - 72.73%
FINANCIAL - 36.55%
Aetna Services, Incorporated, 6.75%, Due 8/15/2001.......... 2,000 2,013
Associates Corporation of North America, 6.45%, Due
10/15/2001................................................ 3,000 3,050
BankAmerica Corporation, 9.50%, Due 4/1/2001................ 2,380 2,537
Bear Stearns Company, Variable Rate, 4.96%, Due 7/10/2000... 5,000 4,984
Cendant Corporation, 7.75%, Due 12/1/2003................... 1,590 1,640
Chase Manhattan Corporation, 8.50%, Due 2/15/2002........... 2,200 2,342
CitiCorp, 8.625%, Due 12/1/2002............................. 2,000 2,167
Heller Financial, Incorporated, 5.875%, Due 11/1/2000....... 3,000 3,008
Lehman Brothers Holdings, Incorporated, 6.15%, Due
3/15/2000................................................. 3,000 3,007
Merrill Lynch and Company, Variable Rate, 5.05%, Due
6/27/2000................................................. 6,000 5,973
PHH Corporation, 5.92%, Due 9/18/2000....................... 2,000 2,002
PHH Corporation, 5.43%, Due 9/18/2000....................... 1,000 999
Prudential Funding Corporation, 5.024%, Due 12/21/2000...... 3,000 2,995
--------
TOTAL FINANCIAL......................................... 36,717
--------
INDUSTRIAL - 22.92%
Fort James Corporation, 8.375%, Due 11/15/2001.............. 3,000 3,149
General Motors Corporation, 9.125%, Due 7/15/2001........... 4,000 4,266
Occidental Petroleum Corporation, 6.50%, Due 4/1/2005....... 2,500 2,443
Philip Morris Companies, Incorporated, 7.25%, Due
1/15/2003................................................. 3,000 3,104
Tandy Corporation, MTN, 6.31%, Due 12/17/2001............... 4,000 3,986
Union Camp Corporation, 9.54%, Due 12/15/2000............... 2,000 2,106
Union Oil Company of California, 6.375%, Due 2/1/2004....... 2,880 2,880
Weyerhaeuser Company, 9.05%, Due 2/1/2003................... 1,000 1,093
--------
TOTAL INDUSTRIAL........................................ 23,027
--------
UTILITY - 9.97%
Puget Sound Power & Light Company, MTN, 6.50%, Due
9/14/1999................................................. 3,000 3,013
Sprint Capital Corporation, 5.70%, Due 11/15/2003........... 3,000 2,951
Texas Utilities Electric Company, 7.375%, Due 8/1/2001...... 1,000 1,033
WorldCom Incorporated, 6.25%, Due 8/15/2003................. 3,000 3,018
--------
TOTAL UTILITY........................................... 10,015
--------
FOREIGN - 3.29%
Province of Quebec, 8.80%, Due 4/15/2003.................... 3,000 3,301
--------
TOTAL FOREIGN........................................... 3,301
--------
TOTAL CORPORATE OBLIGATIONS............................. 73,060
--------
ASSET-BACKED SECURITIES - 5.59%
Citibank Credit Card Master Trust I, Series 1997 3B, 6.989%,
Due 2/10/2004............................................. 3,000 3,063
Honda Auto Receivables, 144a, 5.50%, Due 7/15/2004 (Note
B)........................................................ 2,553 2,553
--------
TOTAL ASSET-BACKED SECURITIES........................... 5,616
--------
NON-AGENCY MORTGAGE BACKED OBLIGATIONS - 2.15%
Resolution Trust Corporation,
1992-1 A1, 7.014%, Due 5/25/2028.......................... 853 853
1992-4 A2, 7.091%, Due 7/25/2028.......................... 1,313 1,308
--------
TOTAL NON-AGENCY MORTGAGE BACKED OBLIGATIONS............ 2,161
--------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
56
<PAGE> 58
AMR INVESTMENT SERVICES SHORT-TERM BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
SHORT-TERM INVESTMENTS (NOTE A) - 3.09%
AMR Investments Strategic Cash Business Trust............... 657,200 $ 657
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT
--------
<S> <C> <C>
Goldman Sachs Treasury Tri-Party Repurchase Agreement,
4.85%, Due 5/3/1999 (Note C).............................. $ 2,443 2,443
--------
TOTAL SHORT-TERM INVESTMENTS............................ 3,100
--------
TOTAL INVESTMENTS - 99.57% (COST $100,836).................. 100,024
--------
OTHER ASSETS, NET OF LIABILITIES - 0.43%.................... 432
--------
TOTAL NET ASSETS - 100%..................................... $100,456
========
</TABLE>
- ---------------
Based on the cost of investments of $100,836 for federal income tax purposes at
April 30, 1999, the aggregate gross unrealized appreciation was $99, the
unrealized depreciation was $911, and the net unrealized depreciation of
investments was $812.
(A)Rates associated with short-term investments represent yield to maturity.
(B)Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $2.553 or 0.03% of net assets.
(C)Collateral held at The Bank of New York, N.A., by Federal Home Loan Mortgage
Note, 6.00%, Due 5/1/2003 - Market Value $2,492.
ABBREVIATIONS:
MTN - Medium-Term Note
See accompanying notes
- --------------------------------------------------------------------------------
57
<PAGE> 59
AMR INVESTMENT SERVICES MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
REPURCHASE AGREEMENTS (NOTES A AND E) - 7.15%
Goldman Sachs Tri-Party Government Repurchase Agreement,
4.85%, Due 5/3/1999....................................... $182,568 $ 182,568
----------
TOTAL REPURCHASE AGREEMENTS............................. 182,568
----------
BANKERS ACCEPTANCES (NOTE A) - 5.66%
Bank of Tokyo-Mitsubishi, Limited,
Due 6/1/1999.............................................. 36,750 36,596
Due 6/15/1999............................................. 108,050 107,895
----------
TOTAL BANKERS ACCEPTANCES............................... 144,491
----------
CERTIFICATES OF DEPOSIT (NOTE A) - 17.13%
FOREIGN BANKS - 4.70%
Instituto San Paolo DiTorino, Variable Rate, 4.90%, Due
6/8/1999.................................................. 95,000 94,993
AB Spintab, Variable Rate, 4.941%, Due 5/26/1999............ 25,000 24,999
----------
TOTAL FOREIGN BANKS..................................... 119,992
----------
DOMESTIC BANKS - 12.43%
Banco Popular de Puerto Rico, Variable Rate, 5.688%, Due
5/10/1999 (Note D)........................................ 50,000 50,000
Branch Banking & Trust Company, Variable Rate, 5.056%, Due
4/28/2000................................................. 9,000 9,011
First Union National Bank, Variable Rate, 4.926%, Due
4/19/2000................................................. 130,000 130,000
Key Bank, NA, Variable Rate
4.981%, Due 1/28/2000..................................... 50,000 50,009
4.97%, Due 2/18/2000...................................... 38,000 38,009
5.00%, Due 4/20/2000...................................... 40,000 40,023
----------
TOTAL DOMESTIC BANKS.................................... 317,052
----------
TOTAL CERTIFICATES OF DEPOSIT........................... 437,044
----------
PROMISSORY NOTES (NOTE A) - 24.69%
Combined Insurance Company of America, Variable Rate, 5.10%,
Due 12/10/1999 (Note C)................................... 50,000 50,000
First Allmerica Financial Life Insurance Company, Variable
Rate, 5.00%, Due 11/5/1998 (Note C)....................... 90,000 90,000
General American Life Insurance Company, Variable Rate,
5.05%, Due 11/19/1999 (Note B)............................ 110,000 110,000
5.05%, Due 2/9/2000 (Note B).............................. 5,000 5,000
Goldman Sachs Group L.P., Variable Rate, 4.97%, Due
7/12/1999 (Note B)........................................ 120,000 120,000
Jackson National Life Insurance Company, Variable Rate,
5.04%, Due 9/1/1999 (Note B).............................. 100,000 100,000
Security Life of Denver Insurance Company, Variable Rate,
5.05%, Due 3/24/2000 (Note C)............................. 60,000 60,000
5.08%, Due 11/19/1999 (Note C)............................ 65,000 65,000
Transamerica Life & Annuity Insurance Company, Variable
Rate, 5.00%, Due 5/14/1999 (Note B)....................... 30,000 30,000
----------
TOTAL OTHER PROMISSORY NOTES............................ 630,000
----------
COMMERCIAL PAPER (NOTE A) - 13.07%
Associates First Capital Corporation,
4.87%, Due 5/5/1999....................................... 50,000 49,973
4.75%, Due 7/30/1999...................................... 50,000 49,406
BBL North America Funding Corporation, Incorporated, 144a,
4.83%, Due 7/13/1999 (Note F)............................. 50,000 49,510
General Electric Capital Corporation, Variable Rate, 4.94%,
Due 12/10/1999............................................ 140,000 140,000
Merita North America, Incorporated, 4.82%, Due 7/21/1999.... 45,000 44,512
----------
TOTAL COMMERCIAL PAPER.................................. 333,401
----------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
58
<PAGE> 60
AMR INVESTMENT SERVICES MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
VARIABLE RATE MEDIUM-TERM NOTES (NOTE A) - 32.19%
American Honda Finance Corporation, 144a, (Note F)
5.00%, Due 2/23/2000...................................... $ 20,000 $ 20,000
4.95%, Due 4/17/2000...................................... 65,000 64,982
BankAmerica Corporation,
5.17%, Due 10/12/1999..................................... 10,000 10,010
5.04%, Due 10/15/1999..................................... 9,000 9,004
5.10%, Due 10/18/1999..................................... 20,000 20,015
5.22%, Due 11/18/1999..................................... 10,000 10,016
Chase Manhattan Corporation, 5.20%, Due 4/20/2000........... 25,000 25,061
Citicorp Incorporated, 4.98%, Due 9/17/1999................. 25,000 25,006
Citigroup, Incorporated, 5.069%, Due 2/3/2000............... 10,000 10,013
Fleet National Bank,
5.117%, Due 4/26/2000..................................... 30,000 30,049
5.15%, Due 5/15/2000...................................... 50,000 50,108
General Motors Acceptance Corporation,
5.02%, Due 2/2/2000 (Note C).............................. 115,000 115,000
4.97%, Due 2/24/2000...................................... 10,000 10,001
Goldman Sachs Group, LP, 144a, (Note F)
5.076%, Due 1/31/2000..................................... 16,000 16,007
5.074%, Due 2/4/2000...................................... 9,000 9,005
J.P. Morgan & Company, Incorporated,
4.976%, Due 3/2/2000...................................... 25,000 25,004
4.95%, Due 4/6/2000....................................... 25,000 25,002
Morgan Stanley Dean Witter, Discover Company,
5.06%, Due 2/23/2000...................................... 25,000 25,021
5.074%, Due 2/28/2000..................................... 50,000 50,048
Sanwa Business Credit Corporation, 144a, 5.10%, Due
5/14/1999 (Notes B and F)................................. 50,000 50,000
Wells Fargo & Company, 4.891%, Due 3/10/2000................ 135,000 134,938
AB Spintab, 5.03%, Due 12/30/1999........................... 87,000 87,024
----------
TOTAL VARIABLE RATE MEDIUM-TERM NOTES....................... 821,314
----------
TOTAL INVESTMENTS - 99.89% (COST $2,548,818)................ 2,548,818
----------
OTHER ASSETS, NET OF LIABILITIES - 0.11%.................... 2,926
----------
TOTAL NET ASSETS - 100%..................................... $2,551,744
==========
</TABLE>
- ---------------
Based on the cost of investments of $2,548,818 for federal income tax purposes
at April 30, 1999, 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 an unconditional put back to the issuer with seven
calendar days notice.
(C) Obligation is subject to an unconditional put back to the issuer with ninety
calendar days notice.
(D) Obligation is subject to a credit quality put back to the issuer with seven
calendar days notice.
(E) Collateral held at The Bank of New York Company, Incorporated by Federal
National Mortgage Association, 6.00% to 6.50%, Due 5/1/2009 to 5/1/2029 and
Federal Home Loan Mortgage Corporation, 5.50% to 8.00%, Due 4/1/2006 to
4/1/2029 - Market Value $186,219.
(F) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $209,504 or 8.21% of net assets.
ABBREVIATION:
AB - Company
L.P. - Limited Partnership
See accompanying notes
- --------------------------------------------------------------------------------
59
<PAGE> 61
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
MUNICIPAL OBLIGATIONS - 93.72%
COMMERCIAL PAPER (NOTE A) - 18.92%
Carbon County, Pennsylvania Industrial Development Authority
Resource Recovery Bonds, (Panther Creek Project), Series
1991A, 3.15%, Due 6/9/1999, LOC National Westminster Bank,
PLC....................................................... $ 2,000 $ 2,000
City of Austin, Texas Combined Utility Systems Commercial
Paper Notes (Travis and Williamson Counties Project),
3.05%, Due 6/9/1999, LOC Morgan Guaranty Trust............ 4,000 4,000
City of Austin, Texas Combined Utility Systems Commercial
Paper Notes (Travis and Williamson Counties Project),
2.75%, Due 6/15/1999, LOC Morgan Guaranty Trust........... 1,200 1,200
The Economic Development Corporation of the Township of
Cornell Michigan Environmental Improvement Revenue Bonds,
(Mead-Escanala Paper Company Project), Series 1986, 3.10%,
Due 7/22/1999, LOC Credit Suisse.......................... 3,500 3,500
Montgomery County, Maryland Consolidated Commercial Paper
Bond Anticipation Notes, Series 1995, 3.10%, Due 5/5/1999
LOC Union Bank of Switzerland............................. 1,500 1,500
Palm Beach County, Florida Health Facilities Authority
Pooled Hospital Loan Program, 3.05%, Due 7/7/1999, Bond
Insurance MBIA, SPA Credit Suisse......................... 2,300 2,300
Palm Beach County, Florida Health Facilities Authority
Pooled Hospital Loan Program, 2.65%, Due 8/4/1999, Bond
Insurance MBIA, SPA Credit Suisse......................... 2,500 2,500
Sweetwater County, Wyoming Customized Purchase Pollution
Control Revenue Refunding Bonds (PacifiCorp Project),
Series 1988 A, 2.70%, Due 5/7/1999, LOC Union Bank of
Switzerland............................................... 4,500 4,500
Toledo-Lucas County, Ohio Port Facility Refunding Revenue
Bonds (CSX Transportation, Incorporated), Series 1992,
2.70%, Due 5/12/1999, LOC Bank of Nova Scotia............. 1,700 1,700
----------
TOTAL COMMERCIAL PAPER.................................. 23,200
----------
VARIABLE RATE DEMAND OBLIGATIONS
(NOTE A) - 74.80%
ARIZONA - 6.77%
Arizona Health Facilities Authority Revenue Bonds (Pooled
Loan Program), Bond Insurance - FGIC, 4.00%, Due
10/1/2015, LOC Chase Manhattan Bank....................... 3,495 3,495
Maricopa County, Arizona Pollution Control Corporation
Pollution Control Revenue Bonds (El Paso Electric Company
Project, Palo Verde), 3.95%, Due 12/1/2014, LOC Barclays
Bank...................................................... 2,200 2,200
Pima County, Arizona Industrial Development Authority
(Tucson Electric Power Company Retirement Project), 4.00%,
Due 10/1/2022, LOC Societe Generale....................... 2,600 2,600
----------
TOTAL ARIZONA........................................... 8,295
----------
CALIFORNIA - 1.63%
California Pollution Control Finance Authority Resource
Recovery Revenue Bonds (Wadham Energy Limited
Partnership), Series 1987A, 4.10%, Due 1/11/2017, LOC
Banque Paribas............................................ 2,000 2,000
----------
TOTAL CALIFORNIA........................................ 2,000
----------
COLORADO - 1.55%
Moffat County, Colorado Pollution Control Revenue Bonds (Ute
Electric Company Project), Bond Insurance - AMBAC
Indemnity Corporation, Series 1984, 4.05%, Due 7/1/2010,
SPA Societe Generale...................................... 1,900 1,900
----------
TOTAL COLORADO.......................................... 1,900
----------
DISTRICT OF COLUMBIA - 0.57%
District of Columbia General Obligation Bonds, Series B-1,
4.40%, Due 6/1/2003, LOC Societe Generale................. 700 700
----------
TOTAL DISTRICT OF COLUMBIA.............................. 700
----------
FLORIDA - 2.41%
Broward County, Florida Housing Finance Authority
Multifamily Housing Revenue Bonds (Welleby Apartments
Project), 3.90%, Due 12/1/2006, LOC Bank of America....... 2,950 2,950
----------
TOTAL FLORIDA........................................... 2,950
----------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
60
<PAGE> 62
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
GEORGIA - 2.85%
Thomaston-Upson County Industrial Development Revenue
Authority (Yamaha Music Manufacturing, Incorporated
Project), Series 1988, 5.05%, Due 8/1/2018, LOC Bank of
Tokyo-Mitsubishi, Limited................................. $ 3,500 $ 3,500
----------
TOTAL GEORGIA........................................... 3,500
----------
ILLINOIS - 3.51%
City of Chicago, Illinois Multi-Family Housing Revenue Bonds
(Waveland Associates Project), Series 1985 A, 4.00%, Due
11/1/2010, LOC Union Bank of Switzerland.................. 1,500 1,500
Illinois Development Finance Authority (Illinois Power
Project), Series 1987B, 3.80%, Due 3/1/2017, LOC Bank of
Tokyo-Mitsubishi, Limited................................. 900 900
Illinois Health Facilities Authority (Loyola University
Health System B Revenue Bonds), Bond Insurance - MBIA,
3.85%, Due 7/1/2024, SPA Credit Suisse.................... 1,900 1,900
----------
TOTAL ILLINOIS.......................................... 4,300
----------
INDIANA - 0.82%
Fort Wayne, Indiana Industrial Economic Development Revenue
Bonds (ND-Tech Corporation Project), Series 1989, 4.10%,
Due 7/1/2009, LOC Societe Generale........................ 1,000 1,000
----------
TOTAL INDIANA........................................... 1,000
----------
IOWA - 1.51%
Dubuque, Iowa Industrial Development Revenue Bonds (Swiss
Valley Farms Company Project), Series 1987, 4.05%, Due
12/1/2001, LOC Rabobank Nederland Bank.................... 950 950
Polk County, Iowa Hospital Equipment and Improvement, Bond
Insurance - MBIA, 4.00%, Due 12/1/2005, SPA Bank of New
York Company, Incorporate................................. 905 905
----------
TOTAL IOWA.............................................. 1,855
----------
LOUISIANA - 1.75%
Jefferson Parish, Louisiana Hospital District #1 (West
Jefferson Medical Center Project), Series 1986, 4.00%, Due
1/1/2026, LOC Rabobank Nederland Bank..................... 1,185 1,185
Louisiana Public Facilities Finance Authority (College &
University Equipment & Capital Facilities Revenue Bonds),
Bond Insurance - FGIC, Series 1985, 4.00%, Due 9/1/2010,
LOC Societe Generale...................................... 965 965
----------
TOTAL LOUISIANA......................................... 2,150
----------
MINNESOTA - 1.63%
Steele County, Minnesota Industrial Development Authority
Revenue Bonds (Blount Incorporated Project), 4.15%, Due
12/1/2004, LOC Bank of America............................ 2,000 2,000
----------
TOTAL MINNESOTA......................................... 2,000
----------
MISSOURI - 4.49%
Missouri Higher Education Loan Authority Revenue Bonds,
Series 1988A, 4.10%, Due 6/1/2017, LOC National
Westminster Bank, PLC..................................... 5,500 5,500
----------
TOTAL MISSOURI.......................................... 5,500
----------
NEVADA - 3.55%
Nevada Housing Division Multi-Unit Housing Revenue Bonds
(Oakmont at Reno Project), 4.20%, Due 5/1/2026, LOC Banque
Paribas................................................... 4,350 4,350
----------
TOTAL NEVADA............................................ 4,350
----------
NEW YORK - 1.63%
New York State Dormitory Authority Revenue Bonds (Miriam
Osborne Memorial Home Project), 3.90%, Due 7/01/2024, LOC
Banque Paribas............................................ 2,000 2,000
----------
TOTAL NEW YORK.......................................... 2,000
----------
OHIO - 2.69%
Ohio State Air Quality Development Authority Revenue Bonds
(JMG-Funding Limited Partnership Project), Series 1994A,
3.95%, Due 4/01/2029, LOC Societe Generale................ 3,300 3,300
----------
TOTAL OHIO.............................................. 3,300
----------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
61
<PAGE> 63
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
OREGON - 2.45%
State of Oregon (Toyo Tanso USA), Series CXLVII, 3.98%, Due
2/1/2012, LOC Bank of Tokyo-Mitsubishi, Limited........... $ 3,000 $ 3,000
----------
TOTAL OREGON............................................ 3,000
----------
PENNSYLVANIA - 11.81%
Delaware Valley, Pennsylvania Regional Finance Authority
Local Government Revenue Bonds, Series D, 3.90%, Due
12/1/2020................................................. 2,000 2,000
Gettysburg Area Industrial Development Authority Refunding
Bonds (Dal-Tile Corporation), Series 1987B, 4.10%, Due
3/1/2004, LOC Credit Suisse............................... 1,155 1,155
Northumberland County, Pennsylvania Industrial Development
Authority Resource Recovery Revenue Bonds (Foster Wheeler
Mt. Carmel, Incorporated Project), Series 1987A, 4.05%,
Due 2/1/2010, LOC Union Bank of Switzerland............... 1,000 1,000
Northumberland County, Pennsylvania Industrial Development
Authority Resource Recovery Revenue Bonds (Foster Wheeler
Mt. Carmel, Incorporated Project), Series 1987B, 4.05%,
Due 2/1/2010, LOC Union Bank of Switzerland............... 1,120 1,120
Philadelphia, Pennsylvania Water and Wastewater Revenue
Bonds, Bond Insurance - AMBAC Indemnity Corporation,
Series B, 3.85%, Due 8/1/2027, SPA Commerzbank AG......... 6,000 6,000
Schuykill County, Pennsylvania Industrial Development
Authority Revenue Bonds, 3.90%, Due 12/1/2002, LOC Mellon
Bank, N.A................................................. 3,200 3,200
----------
TOTAL PENNSYLVANIA...................................... 14,475
----------
SOUTH CAROLINA - 0.98%
Florence County, South Carolina Solid Waste Disposal and
Wastewater Treatment Center Revenue Bonds (Roche Carolina
Incorporated Project), 4.30%, Due 4/1/2027, LOC Union Bank
of Switzerland............................................ 1,200 1,200
----------
TOTAL SOUTH CAROLINA.................................... 1,200
----------
TEXAS - 6.62%
Bexar County, Texas Health Facilities Development
Corporation (Army Retirement Community), Series B, 3.60%,
Due 7/01/2011, LOC Rabobank Nederland Bank................ 2,925 2,925
Texas Higher Education Authority, Incorporated Educational
Facilities Revenue Bonds, Series 1985 B, 4.00%, Due
12/1/2025, Bond Insurance FGIC............................ 1,195 1,195
Texas Small Business Industrial Development Corporation
Revenue Bond (Texas Public Facilities Capital Access),
4.05%, Due 7/1/2026, LOC National Westminster Bank, PLC... 4,000 4,000
----------
TOTAL TEXAS............................................. 8,120
----------
UTAH - 3.26%
Utah State Board of Regents Student Loan Revenue Bonds, Bond
Insurance - AMBAC Indemnity Corporation, Series 1988C,
4.10%, Due 11/1/2013, SPA Dresdner Bank AG................ 1,000 1,000
Utah Student Board of Regents Student Loan Revenue Bonds,
Bond Insurance - AMBAC Indemnity Corporation, Series B,
4.00%, Due 11/1/2000, SPA Dresdner Bank AG................ 3,000 3,000
----------
TOTAL UTAH.............................................. 4,000
----------
VERMONT - 1.22%
Vermont, Industrial Development Authority (Ryegate Project),
Series 1990, 4.105%, Due 12/1/2015, LOC ABN/AMRO Holding,
NV........................................................ 1,500 1,500
----------
TOTAL VERMONT........................................... 1,500
----------
WASHINGTON - 8.97%
Pierce County, Washington Economic Development Corporation
Dock & Warf Facilities Revenue Bonds (SCS Industries
Project), Series 1995, 4.10%, Due 7/1/2030, LOC Bank of
Nova Scotia............................................... 3,585 3,585
Port Kalama, Washington Public Corp Port Facility Revenue
Bonds (Con Agra Incorporated Project), 4.05%, Due
1/1/2004, LOC Morgan Guaranty Trust....................... 1,265 1,265
Port of Vancouver Washington Adjustable Tender Refunding
Revenue Bonds United Grain Corporation of Oregon Project,
Series 1984, 3.90%, Due 12/1/2009, LOC Bank of America.... 3,100 3,100
Washington State Housing Finance Authority, Community
Nonprofit Housing Revenue Bonds (Nikkei Manor Project),
3.95%, Due 10/1/2021, LOC Bank of America................. 3,050 3,050
----------
TOTAL WASHINGTON........................................ 11,000
----------
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
62
<PAGE> 64
AMR INVESTMENT SERVICES MUNICIPAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
WEST VIRGINIA - 0.91%
Marion County, West Virginia Solid Waste Disposal Facility
Revenue Bonds, Series 1990B, 4.10%, Due 10/1/2017, LOC
National Westminster Bank, PLC............................ $ 115 $ 115
Marion County, West Virginia Solid Waste Disposal Facility
Revenue Bonds, Series 1990C, 4.10%, Due 10/1/2017,
National Westminster Bank, PLC............................ 1,000 1,000
----------
TOTAL WEST VIRGINIA..................................... 1,115
----------
WISCONSIN - 1.22%
Wisconsin State Health and Education Facilities Authority
Revenue Bonds (Felician Services Project), Bond
Insurance - AMBAC Indemnity Corporation, Series A, 4.00%,
Due 1/1/2020, SPA First Chicago NBD Corporation........... 1,500 1,500
----------
TOTAL WISCONSIN......................................... 1,500
----------
TOTAL VARIABLE RATE DEMAND OBLIGATIONS.................. 91,710
----------
TOTAL MUNICIPAL OBLIGATIONS................................. 114,910
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
----------
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
OTHER INVESTMENTS - 5.14%
Alliance Capital Management Institutional Reserves Tax-Free
Portfolio (#38)........................................... 4,949,249 4,949
Dreyfus Municipal Cash Management Plus...................... 1,347,152 1,347
----------
TOTAL OTHER INVESTMENTS..................................... 6,296
----------
TOTAL INVESTMENTS - 98.86% (COST $121,206).................. 121,206
----------
OTHER ASSETS, NET OF LIABILITIES - 1.14%.................... 1,396
----------
TOTAL NET ASSETS - 100%..................................... $ 122,602
==========
</TABLE>
- ---------------
Based on the cost of investments of $121,206 for federal income tax purposes at
April 30, 1999, 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
SPA - Support Agreement
See accompanying notes
- --------------------------------------------------------------------------------
63
<PAGE> 65
AMR INVESTMENT SERVICES U.S. GOVERNMENT MONEY MARKET
PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. GOVERNMENT REPURCHASE AGREEMENTS (NOTE A) - 38.85%
Goldman Sachs Tri-Party Government Repurchase Agreement,
4.85%, Due 5/3/1999 (Collateral held at The Bank of New
York Company, Incorporated by Federal National Mortgage
Association, 7.50%, Due 5/1/2027 and Federal Home Loan
Mortgage Corporation 6.50%, Due 1/1/2005 through Federal
Home Loan Mortgage Corporation 7.00%, Due
3/1/2029 -- Market Value -- $97,408)...................... $95,498 $ 95,498
--------
TOTAL U.S. GOVERNMENT REPURCHASE AGREEMENTS............. 95,498
--------
U.S. GOVERNMENT AGENCY INSTRUMENTS (NOTE A) - 40.66%
Federal Home Loan Bank, Variable Rate, 4.78%, Due
5/27/1999................................................. 25,000 24,999
4.76%, Due 2/3/2000....................................... 25,000 24,991
Federal National Mortgage Association, 4.77%, Due
5/5/2000.................................................. 25,000 24,989
Student Loan Marketing Association, Variable Rate, 4.76%,
Due 2/7/2000.............................................. 25,000 24,990
--------
TOTAL U.S. GOVERNMENT AGENCY INSTRUMENTS................ 99,969
--------
TOTAL INVESTMENTS - 79.51% (COST $195,467).................. 195,467
--------
OTHER ASSETS, NET OF LIABILITIES - 20.49%................... 50,380
--------
TOTAL NET ASSETS - 100%..................................... $245,847
========
</TABLE>
- ---------------
Based on the cost of investments of $195,467 for federal income tax purposes at
April 30, 1999, 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.
See accompanying notes
- --------------------------------------------------------------------------------
64
<PAGE> 66
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT-
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE TERM
BALANCED VALUE VALUE EQUITY BOND BOND
---------- ---------- --------- ------------- ------------ ----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities
at value
(cost - $1,127,311;
$1,535,149; $25,469;
$1,232,045; $310,511;
$100,836,
respectively)*........... $1,276,758 $1,899,532 $27,260 $1,406,882 $308,633 $100,024
Cash, including foreign
currency................. - - - 710 - -
Dividends and interest
receivable............... 7,194 2,701 13 4,457 4,017 1,156
Reclaims receivable........ - - - 1,382 - -
Receivable for investments
sold..................... 18,185 30,113 229 9,786 3,213 -
Deferred organization
costs, net............... - - - - 19 -
Other assets............... 7 23 22 - - -
---------- ---------- ------- ---------- -------- --------
TOTAL ASSETS........... 1,302,144 1,932,369 27,524 1,423,217 315,882 101,180
---------- ---------- ------- ---------- -------- --------
LIABILITIES:
Payable for investments
purchased................ 30,608 6,974 58 6,865 13,880 -
Payable upon return of
securities loaned........ 128,813 75,914 2,162 204,082 38,463 657
Management and investment
advisory fees payable
(Note 2)................. 933 1,460 22 1,836 54 23
Accrued organization
costs.................... 11 11 - 11 16 11
Unrealized depreciation on
foreign currency
contracts................ - - - 455 - -
Other liabilities.......... 103 167 23 948 38 33
---------- ---------- ------- ---------- -------- --------
TOTAL LIABILITIES...... 160,468 84,526 2,265 214,197 52,451 724
---------- ---------- ------- ---------- -------- --------
NET ASSETS APPLICABLE TO
INVESTORS' BENEFICIAL
INTERESTS.................... $1,141,676 $1,847,843 $25,259 $1,209,020 $263,431 $100,456
========== ========== ======= ========== ======== ========
</TABLE>
- ---------------
* Includes repurchase agreements of $34,112, $12,662, $4,369, $9,430 and $2,443
for the Balanced Portfolio, Large Cap Value Portfolio, Small Cap Value
Portfolio, Intermediate Bond Portfolio and Short-Term Bond Portfolio,
respectively.
See accompanying notes
- --------------------------------------------------------------------------------
65
<PAGE> 67
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES -- CONTINUED
April 30, 1999 (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 - $2,548,818;
$121,206; $195,467, respectively)*.................... $2,548,818 $121,206 $195,467
Dividends and interest receivable....................... 13,186 414 790
Receivable for investments sold......................... - 1,000 74,630
Other Assets............................................ 246 - -
---------- -------- --------
TOTAL ASSETS........................................ 2,562,250 122,620 270,887
---------- -------- --------
LIABILITIES:
Payable for investments purchased....................... 10,013 - 24,989
Management and investment advisory fees payable (Note
2).................................................... 210 8 20
Accrued organization costs.............................. 11 10 15
Other liabilities....................................... 272 - 16
---------- -------- --------
TOTAL LIABILITIES................................... 10,506 18 25,040
---------- -------- --------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.... $2,551,744 $122,602 $245,847
========== ======== ========
</TABLE>
- ---------------
* Includes repurchase agreements of $182,568 and $95,498 for the Money Market
and U.S. Government Money Market Portfolios, respectively.
See accompanying notes
- --------------------------------------------------------------------------------
66
<PAGE> 68
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE SHORT-TERM
BALANCED VALUE VALUE EQUITY BOND BOND
-------- --------- ----------------- ------------- ------------ ----------
DECEMBER 31, 1998
SIX MONTHS ENDED TO
APRIL 30, 1999 APRIL 30, 1999 SIX MONTHS ENDED APRIL 30, 1999
-------------------- ----------------- -----------------------------------------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income.................. $14,151 $ 666 $ 39 $ 1,546 $ 6,429 $ 3,789
Dividend income (net of foreign
taxes of $52, $126 and $991 in
Balanced, Large Cap Value and
International Equity
Portfolios, respectively)...... 8,105 22,683 35 11,993 - -
Income derived from commission
recapture (Note 6)............. 9 25 2 11 - -
Income derived from securities
lending, net (Note 5).......... 300 116 - 324 61 16
------- -------- ------ -------- ------- -------
TOTAL INVESTMENT INCOME...... 22,565 23,490 76 13,874 6,490 3,805
------- -------- ------ -------- ------- -------
EXPENSES:
Management and investment
advisory fees (Note 2)......... 1,625 2,742 24 2,202 273 145
Custodian fees................... 120 100 14 305 28 21
Professional fees................ 13 51 2 21 8 -
Other expenses................... 37 80 7 18 5 8
------- -------- ------ -------- ------- -------
TOTAL EXPENSES............... 1,795 2,973 47 2,546 314 174
------- -------- ------ -------- ------- -------
Less fees waived (Note 2)........ - - 22 - - -
------- -------- ------ -------- ------- -------
NET EXPENSES................. 1,795 2,973 25 2,546 314 174
------- -------- ------ -------- ------- -------
NET INVESTMENT INCOME................ 20,770 20,517 51 11,328 6,176 3,631
------- -------- ------ -------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on
investments.................... 31,917 125,873 13 70,819 14 (1,161)
Net realized loss on foreign
currency transactions.......... - - - (9,029) - -
Change in net unrealized
appreciation or depreciation of
investments.................... 31,899 91,921 1,791 6,986 (5,853) (1,063)
Change in net unrealized
depreciation of foreign
currency contracts and
translations................... - - - 76,411 - -
------- -------- ------ -------- ------- -------
NET GAIN (LOSS) ON
INVESTMENTS................ 63,816 217,794 1,804 145,187 (5,839) (2,224)
------- -------- ------ -------- ------- -------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS.................... $84,586 $238,311 $1,855 $156,515 $ 337 $ 1,407
======= ======== ====== ======== ======= =======
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
67
<PAGE> 69
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF OPERATIONS -- CONTINUED
April 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
MONEY MUNICIPAL GOVERNMENT
MARKET MONEY MARKET MONEY MARKET
------- ------------ ------------
(IN THOUSANDS, EXCEPT SHARE AND
PER SHARE AMOUNTS)
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................................... $67,591 $2,128 $6,356
------- ------ ------
TOTAL INVESTMENT INCOME............................. 67,591 2,128 6,356
------- ------ ------
EXPENSES:
Management and investment advisory fees (Note 2)........ 1,301 67 127
Custodian fees.......................................... 24 31 14
Professional fees....................................... 32 2 4
Other expenses.......................................... 60 4 7
------- ------ ------
TOTAL EXPENSES...................................... 1,417 104 152
------- ------ ------
NET INVESTMENT INCOME....................................... 66,174 2,024 6,204
------- ------ ------
REALIZED GAIN ON INVESTMENTS:
Net realized gain on investments........................ 23 - 5
------- ------ ------
NET GAIN ON INVESTMENTS............................. 23 - 5
------- ------ ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $66,197 $2,024 $6,209
======= ====== ======
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
68
<PAGE> 70
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP
BALANCED LARGE CAP VALUE VALUE INTERNATIONAL EQUITY
------------------------- ------------------------- ------------ -------------------------
SIX MONTHS SIX MONTHS DECEMBER 31, SIX MONTHS
ENDED ENDED 1998 ENDED
APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED TO APRIL 30, APRIL 30, YEAR ENDED
1999 OCTOBER 31, 1999 OCTOBER 31, 1999 1999 OCTOBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998 (UNAUDITED) (UNAUDITED) 1998
----------- ----------- ----------- ----------- ------------ ----------- -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income........ $ 20,770 $ 39,355 $ 20,517 $ 40,696 $ 51 $ 11,328 $ 21,857
Net realized gain (loss) on
investments and foreign
currency transactions...... 31,917 85,245 125,873 193,378 13 61,790 27,616
Change in net unrealized
appreciation or
depreciation of investments
and foreign currency
translations............... 31,899 (35,136) 91,921 (127,017) 1,791 83,397 (19,922)
---------- ---------- ---------- ----------- ------- ---------- ----------
NET INCREASE IN NET ASSETS
RESULTING FROM
OPERATIONS............... 84,586 89,464 238,311 107,057 1,855 156,515 29,551
---------- ---------- ---------- ----------- ------- ---------- ----------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS:
Contributions................ 77,189 166,037 162,994 359,223 23,688 381,185 678,114
Withdrawals.................. (98,624) (130,643) (456,519) (231,823) (284) (356,825) (441,193)
---------- ---------- ---------- ----------- ------- ---------- ----------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS................ (21,435) 35,394 (293,525) 127,400 23,404 24,360 236,921
---------- ---------- ---------- ----------- ------- ---------- ----------
NET INCREASE (DECREASE) IN NET
ASSETS........................ 63,151 124,858 (55,214) 234,457 25,259 180,875 266,472
---------- ---------- ---------- ----------- ------- ---------- ----------
NET ASSETS:
Beginning of period.......... 1,078,525 953,667 1,903,057 1,668,600 - 1,028,145 761,673
---------- ---------- ---------- ----------- ------- ---------- ----------
END OF PERIOD................ $1,141,676 $1,078,525 $1,847,843 $ 1,903,057 $25,259 $1,209,020 $1,028,145
========== ========== ========== =========== ======= ========== ==========
- ---------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS:
Expenses to average net
assets (annualized)........ 0.33% 0.32% 0.32% 0.31% 0.72% 0.46% 0.53%
Net investment income to
average net assets
(annualized)............... 3.80% 3.80% 2.20% 2.12% 1.47% 2.04% 2.29%
Portfolio turnover rate...... 53% 87% 17% 40% 13% 47% 24%
Decrease reflected in above
expense ratio due to
absorption of expenses by
the Manager................ - - - - 0.62% - -
<CAPTION>
INTERMEDIATE BOND SHORT-TERM BOND
------------------------- -------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED
APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED
1999 OCTOBER 31, 1999 OCTOBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998
----------- ----------- ----------- -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income........ $ 6,176 $ 12,760 $ 3,631 $ 6,614
Net realized gain (loss) on
investments and foreign
currency transactions...... 14 5,668 (1,161) (453)
Change in net unrealized
appreciation or
depreciation of investments
and foreign currency
translations............... (5,853) 2,101 (1,063) 373
-------- -------- -------- --------
NET INCREASE IN NET ASSETS
RESULTING FROM
OPERATIONS............... 337 20,529 1,407 6,534
-------- -------- -------- --------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS:
Contributions................ 109,633 55,600 24,625 30,059
Withdrawals.................. (25,543) (113,440) (35,913) (19,825)
-------- -------- -------- --------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
TRANSACTIONS IN
INVESTORS' BENEFICIAL
INTERESTS................ 84,090 (57,840) (11,288) 10,234
-------- -------- -------- --------
NET INCREASE (DECREASE) IN NET
ASSETS........................ 84,427 (37,311) (9,881) 16,768
-------- -------- -------- --------
NET ASSETS:
Beginning of period.......... 179,004 216,315 110,337 93,569
-------- -------- -------- --------
END OF PERIOD................ $263,431 $179,004 $100,456 $110,337
======== ======== ======== ========
- ---------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- ----------------------------------------------------------------------------------------------------------------
RATIOS:
Expenses to average net
assets (annualized)........ 0.27% 0.29% 0.30% 0.32%
Net investment income to
average net assets
(annualized)............... 5.33% 6.03% 6.29% 6.74%
Portfolio turnover rate...... 79% 181% 76% 74%
Decrease reflected in above
expense ratio due to
absorption of expenses by
the Manager................ - - - -
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
69
<PAGE> 71
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
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 ENDED ENDED
APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED
1999 OCTOBER 31, 1999 OCTOBER 31, 1999 OCTOBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998 (UNAUDITED) 1998
----------- ------------ ----------- ----------- ----------- -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income..................... $ 66,174 $ 118,252 $ 2,024 $ 4,395 $ 6,204 $ 9,710
Net realized gain on investments.......... 23 41 - 12 5 -
----------- ------------ --------- --------- --------- ---------
TOTAL INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS...................... 66,197 118,293 2,024 4,407 6,209 9,710
----------- ------------ --------- --------- --------- ---------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS:
Contributions............................. 6,134,029 5,610,180 184,994 168,434 322,026 319,177
Withdrawals............................... (6,114,676) (5,233,609) (191,421) (146,527) (334,451) (208,604)
----------- ------------ --------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM TRANSACTIONS IN
INVESTORS' BENEFICIAL INTERESTS...... 19,353 376,571 (6,427) 21,907 (12,425) 110,573
----------- ------------ --------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS........ 85,550 494,864 (4,403) 26,314 (6,216) 120,283
----------- ------------ --------- --------- --------- ---------
NET ASSETS:
BEGINNING OF PERIOD....................... 2,466,194 1,971,330 127,005 100,691 252,063 131,780
----------- ------------ --------- --------- --------- ---------
END OF PERIOD............................. $ 2,551,744 $ 2,466,194 $ 122,602 $ 127,005 $ 245,847 $ 252,063
=========== ============ ========= ========= ========= =========
- ---------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS:
Expenses to average net assets
(annualized)............................ 0.11% 0.16% 0.16% 0.19% 0.12% 0.17%
Net investment income to average net
assets (annualized)..................... 5.09% 5.56% 3.03% 3.55% 4.87% 5.45%
</TABLE>
See accompanying notes
- --------------------------------------------------------------------------------
70
<PAGE> 72
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
April 30, 1999 (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
separate series, each having distinct investment objectives and policies. These
financial statements relate to the AMR Investment Services Balanced Portfolio,
the AMR Investment Services Large Cap Value Portfolio, the AMR Investment
Services Small Cap Value Portfolio, the AMR Investment Services International
Equity Portfolio, the AMR Investment Services Intermediate Bond Portfolio, the
AMR Investment Services Short-Term Bond Portfolio, the AMR Investment Services
Money Market Portfolio, the AMR Investment Services Municipal Money Market
Portfolio and the AMR Investment Services U.S. Government Money Market Portfolio
(each a "Portfolio" and collectively the "Portfolios"). 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. The AMR Investment Services Intermediate Bond
Portfolio commenced active operations on March 2, 1998. The AMR Investment
Services Small Cap Value Portfolio commenced active operations on December 31,
1998. Prior to March 1, 1999, the AMR Investment Services Large Cap Value
Portfolio was known as the AMR Investment Services Growth and Income Portfolio.
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 would
result in a material dilution to shareholders or purchasers, the Board will
promptly consider the appropriate action which should be initiated.
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AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 1999 (Unaudited)
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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.
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 held at the Portfolio's
custodian bank, State Street Bank and Trust Company, or at subcustodian banks.
The collateral is monitored daily by each Portfolio so that the collateral's
market value exceeds the carrying value of the repurchase agreement.
Deferred Organization Expenses
Expenses incurred by the Balanced, Large Cap Value, International Equity,
Intermediate Bond, Short-Term Bond, Money Market, Municipal Money Market and
U.S. Government Money Market Portfolios in connection with their organization
are being amortized on a straight-line basis over a five-year period.
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AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 1999 (Unaudited)
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Use of Estimates
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimated.
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, Large Cap Value, Small Cap Value, International Equity and
Intermediate Bond 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 Balanced, Large
Cap Value, Small Cap Value and International Equity Portfolios an annualized fee
equal to .10% of the average daily net assets plus amounts paid by the Manager
to the investment advisors hired by the Manager to direct investment activities
of the Portfolios. The manager receives an annualized fee of .25% of the average
daily net assets of the Intermediate Bond Portfolio and pays a portion of their
fee to the investment advisor hired by the Manager to direct investment
activities of the Portfolio. Management fees are paid as follows (dollars in
thousands):
<TABLE>
<CAPTION>
AMOUNTS PAID TO NET AMOUNTS
MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY
FEE RATE FEE ADVISORS MANAGER
---------- ---------- --------------- -----------
<S> <C> <C> <C> <C>
Balanced Portfolio................................. .225%-.70% $1,625 $1,054 $571
Large Cap Value Portfolio.......................... .225%-.70% 2,742 1,782 960
Small Cap Value Portfolio.......................... .50%-.66% 24 20 4
International Equity Portfolio..................... .25%-.70% 2,202 1,651 551
Intermediate Bond Portfolio........................ .25% 273 100 173
</TABLE>
The Manager serves as the sole investment adviser to the Short-Term Bond
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 Short-Term Bond Portfolio and .10%
of the average daily net assets of each of the Money Market Portfolios. During
the six months ended April 30, 1999, the Manager waived management fees totaling
$4,000 for the Small Cap Value Portfolio.
Other
Certain officers or trustees of the Trust are also current or former
officers or employees 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, 1999, the
cost of air transportation was not material to any of the Portfolios.
Reimbursement of Expenses
For the six months ended April 30, 1999, the Manager reimbursed expenses
totaling $18,000 for the Small Cap Value Portfolio.
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AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 1999 (Unaudited)
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3. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended April 30, 1999 (excluding
short-term investments) are as follows (in thousands):
<TABLE>
<CAPTION>
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE SHORT-TERM
BALANCED VALUE VALUE EQUITY BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- ------------- ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
Purchases..................... $569,665 $316,667 $20,198 $510,904 $260,226 $81,539
Proceeds from sales........... $565,617 $585,150 $ 1,274 $490,289 $167,786 $81,552
</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, 1999, the
Portfolio had outstanding forward foreign currency contracts as follows:
<TABLE>
<CAPTION>
SETTLEMENT UNREALIZED
CONTRACTS TO DELIVER DATE VALUE GAIN/(LOSS)
-------------------- ---------- ------- -----------
(AMOUNTS IN THOUSANDS)
<C> <S> <C> <C> <C>
1,850 Australian Dollar.......................................... 5/4/99 $ 1,226 $ (8)
24,128 Deutsche Mark.............................................. 11/30/99 13,239 612
113 Euro Currency.............................................. 5/3/99 120 --
108 Euro Currency.............................................. 5/4/99 114 --
13,988 Hong Kong Dollar........................................... 5/3/99 1,805 --
7,203 Hong Kong Dollar........................................... 5/4/99 929 --
7 Pound Sterling............................................. 5/5/99 11 --
56 Pound Sterling............................................. 5/6/99 91 --
820 Pound Sterling............................................. 5/7/99 1,320 (3)
8,500 Pound Sterling............................................. 11/30/99 13,676 20
------- -------
Total contracts to deliver (Receivable amount $33,152).............. $32,531 $ 621
======= =======
CONTRACTS TO RECEIVE
- --------------------------------------------------------------------
(AMOUNTS IN THOUSANDS)
23,333 Deutsche Mark.............................................. 11/30/99 $12,803 $ (894)
1,243 Euro Currency.............................................. 5/3/99 1,315 (4)
717 Euro Currency.............................................. 5/4/99 759 (1)
462 Euro Currency.............................................. 5/5/99 489 --
775 Euro Currency.............................................. 5/28/99 820 (5)
883 Japanese Yen............................................... 5/7/99 7 --
788 Pound Sterling............................................. 5/7/99 1,269 3
8,500 Pound Sterling............................................. 11/30/99 13,676 (175)
------- -------
Total contracts to receive (Payable amount $32,214)................. $31,138 $(1,076)
======= =======
</TABLE>
The Portfolios may purchase securities with delivery or payment to occur at
a later date. At the time the Portfolios enter into a commitment to purchase a
security, the transaction is recorded and the value of the security is reflected
in the net asset value. The value of the security may vary with market
fluctuations. No interest accrues to the Portfolios until payment takes place.
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AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 1999 (Unaudited)
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5. SECURITIES LENDING
The Portfolios participate in a securities lending program under which
securities are loaned to selected institutional investors. 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. The Portfolios may
bear the risk of delay in recovery of, or even loss of rights in, the securities
loaned should the borrower of securities fail financially. The Portfolios
receive the interest on the collateral less any fees and rebates paid to agents
and transferees of securities. The Portfolios also continue to receive interest
on the securities loaned, and any gain or loss in the market price of securities
loaned that may occur during the term of the loan will be for the account of the
Portfolio.
At April 30, 1999, securities with a market value of approximately
$126,821,957, $73,454,332, $2,073,363, $198,982,386, $41,926,219 and $621,511
were loaned by the Balanced, Large Cap Value, Small Cap Value, International
Equity, Intermediate Bond and Short Term Bond Portfolios, respectively. The
Custodian for each Portfolio held investments in the AMR Investments Strategic
Cash Business Trust and in the AMR Investments Enhanced Yield Business Trust
(collectively, the "Business Trusts") totaling $128,812,809, $75,913,589,
$2,162,110, $203,710,964, $38,462,663 and $657,200 for the Balanced, Large Cap
Value, Small Cap Value, International Equity, Intermediate Bond and Short Term
Bond Portfolios, respectively. The Custodian held cash totaling $370,722 for the
International Equity Portfolio. In addition, the Custodian held non-cash
collateral totaling $2,446,835, $3,343,192 and $4,726,300 for the Balanced,
International Equity and Intermediate Bond Portfolios, respectively. The Manager
serves as Trustee and as investment adviser to the Business Trusts. The Manager
receives from the Business Trusts annualized fees equal to 0.10% of the average
daily net assets of the Business Trusts.
6. COMMISSION RECAPTURE
The Portfolios of the Trust have established brokerage commission recapture
arrangements with certain brokers or dealers. If a Portfolio investment adviser
chooses to execute a transaction through a participating broker, the broker
rebates a portion of the commission back to the Portfolio. Any collateral
benefit received through participation in the commission recapture program is
directed exclusively to the Portfolios.
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[AMERICAN AADVANTAGE MILEAGE FUNDS(R) LOGO]
TO OBTAIN MORE INFORMATION ABOUT THE FUNDS:
BY E-MAIL: ON THE INTERNET:
[email protected] Visit our website at www.aafunds.com
-- MILEAGE CLASS(R) --
BY TELEPHONE: BY MAIL:
Call (800) 388-3344 American AAdvantage Funds
P.O. Box 419643
Kansas City, MS 64141-6643
-- PLATINUM CLASS(sm) --
BY TELEPHONE: BY MAIL:
Call (800) 967-9009 American AAdvantage Funds
P.O. Box 619003
DFW Airport, TX 75261-9003
FUND SERVICE PROVIDERS:
CUSTODIAN TRANSFER AGENT
STATE STREET BANK AND TRUST NATIONAL FINANCIAL DATA SERVICES
Boston, Massachusetts Kansas City, Missouri
INDEPENDENT AUDITORS DISTRIBUTOR
ERNST & YOUNG LLP SWS FINANCIAL SERVICES
Dallas, Texas Dallas, Texas
This report is prepared for shareholders of the American AAdvantage Mileage
Funds and may be distributed to others only if preceded or accompanied by a
current prospectus.
