<PAGE> 1
AMERICAN AADVANTAGE
MILEAGE FUNDS(R)
[LOGO]
--------------------------------------------------------------------------------
ANNUAL REPORT
OCTOBER 31, 2000
[GRAPHIC OF GLOBE AND EAGLE]
EQUITY FUNDS
Balanced Fund
Large Cap Value Fund
Small Cap Value Fund
International Equity Fund
BOND FUNDS
Intermediate Bond Fund
Short-Term Bond Fund
Managed by AMR Investments
<PAGE> 2
About AMR Investments
--------------------------------
AMR Investments is an
experienced provider of
investment advisory services to
institutional and retail
markets. We act as manager of
the American AAdvantage Funds, a
family of diversified mutual
funds, and offer customized
fixed income portfolio
management services.
Our clients include defined
benefit plans, defined
contribution plans, foundations,
endowments, corporations, and
other institutional investors.
AMR Investments is a wholly
owned subsidiary of AMR
Corporation, the parent company
of American Airlines, Inc.
Incorporated in 1986, we are
directly responsible for the
investment management and
oversight of AMR Corporation's
defined benefit and defined
contribution plans, as well as
its fixed income investments.
<TABLE>
<CAPTION>
Contents
------------------------------------------------
<S> <C>
President's Message......................... 1
Market and Performance Overviews............ 2
Equity Portfolios
Balanced Portfolio....................... 30
Large Cap Value Portfolio................ 38
Small Cap Value Portfolio................ 42
International Equity Portfolio........... 48
Bond Portfolios
Intermediate Bond Portfolio.............. 53
Short-Term Bond Portfolio................ 56
Additional Information.............. Back Cover
</TABLE>
[AA EAGLE]
American AAdvantage Mileage Funds October 31, 2000
<PAGE> 3
[BILL QUINN PICTURE]
FELLOW SHAREHOLDER:
We are pleased to present
you with the Annual Report
for the American
AAdvantage Mileage Funds
for the fiscal year ended
October 31, 2000. This
fiscal year produced
volatile markets and
shifting trends,
emphasizing the importance
of a sound long-term
investment philosophy. We
feel that our approach and
commitment to providing a
broad spectrum of
diversified, low cost
investment vehicles tended
to serve our investors
well during this period.
Some investors
abandon their long-term
plans as they attempt to react to each change in the market. During the last
year, many of these investors preferred to chase short-term market trends rather
than staying with time-tested fundamentals. The market shift in March reminded
shareholders that these investment trends do change. "Hot" technology growth
stocks were trounced as investors sought out so-called "old economy" stocks. Now
these "old economy" stocks are being publicized, by many, as the economy's "old
reliables." Growth at any price investors suddenly found the market acting more
like a glass of stale champagne -- flat, with no bubbles. Toasting this shift
are back-to-basics value investors. At the American AAdvantage Mileage Funds, we
remind our investors that successful investing is based on time in the market,
not timing the market. We believe that adherence to this philosophy rewarded
many of our investors this year when markets were extremely volatile and will
continue to benefit our shareholders in the future.
We thank you for your continued trust in our Funds. As we welcome in the
new year, the American AAdvantage Mileage Funds will strive to provide products
and services that support your financial needs.
Sincerely,
/s/ WILLIAM F. QUINN
William F. Quinn
President
American AAdvantage Mileage Funds
1
<PAGE> 4
DOMESTIC EQUITY MARKET OVERVIEW
--------------------------------------------------------------------------------
During the last two months of 1999, the U.S. equity markets continued to
show strength, ending the decade with a bang as blue chip companies delivered an
unprecedented fifth straight year of double-digit gains. Investors focused on
near-term momentum, seemingly ignoring all valuation concerns. Market leadership
remained narrowly focused, as a select group of technology, communications and
Internet-related stocks enjoyed the majority of the gains. Technology and
telecommunications topped the list of the best performing sectors for the first
fiscal quarter as investors embraced the prospects of electronic and business
commerce over the Internet and bid up the prices of the "dot.coms." The second
fiscal quarter was marked by unprecedented volatility, with significant price
moves on a day-to-day basis as investors continued to exhibit a short-term focus
by reacting to the release of economic data and Fed policy.
Overall, companies that demonstrated the highest growth in earnings and
revenues were handsomely rewarded and there was swift retribution against stocks
that disappointed on their estimates. Market tone changed dramatically in early
March as investors lost their appetite for momentum and technology-oriented
stocks and instead focused on valuations and companies with predictable earnings
growth. In April, investors rotated out of the growth segments of the market,
unnerved by signs of stronger economic growth and inflationary pressures.
Technology stocks, particularly those with extreme valuations and negative
earnings, suffered the brunt of the sell-off as the NASDAQ experienced a loss of
nearly 10% in a single day.
Equity markets encountered a sell-off in May, as the Fed continued its path
of preemptive strikes on inflation, increasing short-term interest rates by
0.50%. Technology and telecommunications relinquished their market leadership
during the period of May through July, for the first time since mid-1999.
Reacting to rising rates and economic slowdown, investors rotated to "defensive"
sectors, with reasonable valuations and consistent earnings. Healthcare stocks,
particularly drug issues, benefited from their steady earnings growth and
attractive price multiples. The strength in the oil and natural gas segments
lifted the performance of the energy sector, as price and demand for oil
remained high. Internet stocks were the primary sources of weakness among
technology names. Telecommunications stocks, with their significantly higher
valuations, were dragged down in an overall flight to quality.
In the third calendar quarter, the S&P 500 Index posted a slight decline,
extending the pattern set in the latter portion of the first half of the year,
which was a continued rotation out of technology and growth sectors and into
more defensive groups. During this period, there was a renewed attention to
corporate profits, as market infatuation with "growth at any price" technology
stocks wore off. In addition, the market had to contend with the negative
influence of higher oil prices and a weakening Euro. Concerns about the global
impact of Euro instability and surging oil prices haunted the markets in
September as domestic stocks erased a majority of their quarterly gains. Further
damage to market sentiment occurred when several high profile companies such as
Intel, Apple and Eastman Kodak announced earnings shortfalls. Among
telecommunications names, wireless stocks were especially weak due to lower
sales of cellular telephones and pricing pressures. Even within technology,
there were selected areas of strength as investors rewarded companies that
continued to exceed quarterly expectations of demand and earnings. Financial
services stocks were one of the biggest beneficiaries of the rotation away from
growth as interest rates stabilized over the quarter, and a boom in merger
activity lifted the prospects of the whole sector. Rising oil and natural gas
prices were responsible for the strong performance of the energy sector. Also,
the soaring demand for power and limited supplies lifted the utilities sector.
The technology-dominated NASDAQ was the worst performing domestic benchmark for
the period, with a loss of 7.4%.
One of the dominant themes between August and the end of October was the
complete outperformance of value over growth. The markets continued to turn more
cautious and rotate towards stocks with more reasonable valuations and
dependable earnings. Continuing the March trend, the utilities, financial, and
energy sectors performed well. Many investors abandoned the pricier growth
issues in an overall "flight to value."
2
<PAGE> 5
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE BALANCED MILEAGE FUND (SM)
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The Balanced Mileage Fund's annualized total return for the twelve months
ended October 31, 2000 was 4.55%.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 10/31/90 THROUGH 10/31/00
<TABLE>
<S> <C> <C> <C> <C>
S&P 500/
Mileage Fund Lipper Balanced Index S&P 500 Index Barra Value Index
10/90 10000.00 10000.00 10000.00 10000.00
10/91 12535.00 12818.00 13353.00 13068.00
10/92 13632.00 13966.00 14680.00 14151.00
10/93 16248.00 16214.00 16865.00 17572.00
10/94 16222.00 16115.00 17526.00 17955.00
10/95 19317.00 18949.00 22147.00 22088.00
10/96 22402.00 21697.00 27476.00 27524.00
10/97 26775.00 26091.00 36310.00 35698.00
10/98 29115.00 28898.00 44301.00 39889.00
10/99 29153.00 32531.00 55691.00 47472.00
10/00 30479.00 35104.00 59083.00 52068.00
<S> <C> <C>
Lehman Gov./Corp. Index Balanced Composite Index
10/90 10000.00 10000.00
10/91 11537.00 12451.00
10/92 12750.00 13613.00
10/93 14491.00 16320.00
10/94 13819.00 16232.00
10/95 16052.00 19529.00
10/96 16917.00 22780.00
10/97 18407.00 27598.00
10/98 20298.00 30885.00
10/99 20164.00 34270.00
10/00 21598.00 37334.00
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS VALUE OF
PERIODS ENDED 10/31/00 $10,000
--------------------------- 10/31/90-
1 YEAR 5 YEARS 10 YEARS 10/31/00
------ ------- -------- ---------
<S> <C> <C> <C> <C>
Mileage Fund(1)...... 4.55% 9.55% 11.79% $30,479
Lipper Balanced...... 7.91% 13.12% 13.38% $35,104
S&P 500.............. 6.09% 21.67% 19.44% $59,083
S&P 500/Barra Value
Index............... 9.68% 18.71% 17.94% $52,068
Lehman Gov./Corp.
Index............... 7.11% 6.12% 8.00% $21,598
Balanced Composite
Index*.............. 8.94% 13.84% 14.08% $37,334
</TABLE>
(1) Past performance is not indicative of future performance.
Performance represents the total returns achieved by the Institutional Class
of the American AAdvantage Balanced Fund from 10/31/90 through 8/1/94, the
returns of the Mileage Class of the American AAdvantage Balanced Fund from
8/1/94 through 10/31/95 and the returns of the American AAdvantage Balanced
Mileage Fund since its 11/1/95 inception. Expenses of the Mileage Class and
Mileage Fund are higher than those of the Institutional Class. Therefore,
total returns shown may be higher than they would have been had the Mileage
Fund been in existence since 10/31/90.
* 60% S&P 500 Index, 40% Lehman Gov't. Corp. Index
We are very pleased with the Fund's recent performance, as investors have
broadened their interest into previously ignored sectors. During the early
portion of the year, investors continued to shift their focus away from
traditional stocks into the "new economy" stocks in the NASDAQ. The
technology-heavy NASDAQ Index climbed beyond expectations and hit its record
high in March. Shortly thereafter, it crumbled under its own weight and showed
its vulnerability throughout the remainder of the fiscal period, making way for
a return to stocks with reasonable valuations and improving fundamentals. The
fixed income segment of the Fund returned 6.48% for the period, which positively
contributed to the overall performance of the Fund.
When the investor sentiment shifted in March, the market leadership moved
away from telecommunication and technology stocks. The losses in the information
technology area eroded huge earlier gains from the period and impacted the Fund
as it held some of the securities affected in this sector. Holdings which
positively impacted the Fund's annual return included Allstate Corp (up 42.4%),
Dynegy (up 260.1%) and Reliant Energy (up 60.1%). These were among the biggest
and most productive names held in the Fund in the financial and utilities
sectors, which staged a comeback when technology and telecommunications moved
out of favor with the slowing economy.
As the new fiscal year begins, the stock market remains volatile, but
conditions appear favorable for an improving bond environment. Due to the Fund's
low price-to-earnings profiles and above-market earnings growth projections, we
believe the Fund is well positioned as long as investors continue to focus on
fundamentals.
TOP TEN EQUITY HOLDINGS AS OF OCTOBER 31, 2000
<TABLE>
<CAPTION>
% OF EQUITIES
-------------
<S> <C>
Philip Morris Companies, Incorporated 2.7%
Honeywell International Incorporated 2.6%
Allstate Corporation 2.5%
Washington Mutual, Incorporated 2.3%
Verizon Communications, Incorporated 2.3%
American Electric Power Company, Incorporated 2.0%
Bank of America Corporation 1.7%
Bristol-Myers Squibb Company 1.7%
Ford Motor Company 1.5%
USX Marathon Group 1.5%
-----
Total 20.8%
Top Ten Equity Holdings as % of Total Net
Assets 11.92%
</TABLE>
PORTFOLIO STATISTICS AS OF OCTOBER 31, 2000
<TABLE>
<CAPTION>
S&P 500/
EQUITY: FUND BARRA VALUE
------- ------------ -------------
<S> <C> <C>
Price/Earnings Ratio 14.9 19.7
Price/Book Ratio 3.4 4.5
Wtd. Avg. Mkt. Cap ($) 35.3 Billion 74.7 Billion
</TABLE>
<TABLE>
<CAPTION>
LEHMAN
FIXED INCOME: FUND GOV./CRED.
------------- -------- ----------
<S> <C> <C>
Avg. Credit Quality Aa2 Aa1
Wtd. Avg. Duration 5.2 yrs. 5.4 yrs.
</TABLE>
3
<PAGE> 6
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE LARGE CAP VALUE MILEAGE FUND (SM)
--------------------------------------------------------------------------------
The Large Cap Value Mileage Fund returned 4.15% for the twelve months ended
October 31, 2000.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 10/31/90 THROUGH 10/31/00
<TABLE>
<S> <C> <C> <C>
Mileage Fund Lipper Multi-Cap Value Index S&P 500 Index
10/90 10000.00 10000.00 10000.00
10/91 13383.00 13142.00 13353.00
10/92 14721.00 14475.00 14680.00
10/93 17885.00 17348.00 16865.00
10/94 18459.00 18005.00 17526.00
10/95 22217.00 21624.00 22147.00
10/96 27276.00 26068.00 27476.00
10/97 34804.00 33698.00 36310.00
10/98 36896.00 35319.00 44301.00
10/99 37383.00 38812.00 55691.00
10/00 38935.00 42639.00 59083.00
<S> <C>
S&P 500/
Barra Value Index
10/90 10000.00
10/91 13068.00
10/92 14151.00
10/93 17572.00
10/94 17955.00
10/95 22088.00
10/96 27524.00
10/97 35698.00
10/98 39889.00
10/99 47472.00
10/00 52068.00
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS VALUE OF
PERIODS ENDED 10/31/00 $10,000
--------------------------- 10/31/90-
1 YEAR 5 YEARS 10 YEARS 10/31/00
------ ------- -------- ---------
<S> <C> <C> <C> <C>
Mileage Fund(1)...... 4.15% 11.88% 14.56% $38,935
Lipper Multi-Cap
Value Index*........ 9.86% 14.54% 15.61% $42,639
S&P 500 Index........ 6.09% 21.67% 19.44% $59,083
S&P 500/Barra Value
Index............... 9.68% 18.71% 17.94% $52,068
</TABLE>
(1) Past performance is not indicative of future performance.
Fund performance represents the total returns achieved by the Institutional
Class of the American AAdvantage Large Cap Value Fund from 10/31/90 through
7/31/94, the returns of the Mileage Class of the American AAdvantage Large
Cap Value Fund from 8/1/94 through 10/31/95 and the returns of the American
AAdvantage Large Cap Value Mileage Fund since its 11/1/95 inception.
Expenses of the Mileage Class and Mileage Fund are higher than those of the
Institutional Class. Therefore, total returns shown may be higher than they
would have been had the Mileage Fund been in existence since 10/31/90.
* The Fund was reclassified from its previous Lipper category,
the Lipper Growth and Income Index, during the past year.
The fiscal year ended October 31, 2000 started slowly for the Large Cap
Value Mileage Fund. However, March proved to be a pivotal month for value
investing, which continued to show strength throughout the remainder of the
fiscal year.
Investor sentiment shifted in March, and market leadership moved away from
telecommunication and technology stocks. Within the S&P 500/Barra Value Index,
telecommunications suffered the most, with a 27.6% overall decline for the
twelve-month period. The Fund largely avoided this detractor from performance
due to its 3.7% average underweight position in this sector. The Fund also
benefited from positive stock selection within the telecommunications sector,
such as U.S. West (up 61.1%) and BCE Inc. (up 102.2%) were among the biggest and
most productive names held in this sector during the fiscal year.
Despite the change in leadership away from technology after March, 2000,
the gains achieved earlier in the year were strong enough that the technology
sector closed the year with a 38.9% return. The Fund's average underweighting at
4.4% to the S&P 500/Barra Value Index, accounted for approximately 5% of its
relative underperformance versus the benchmark.
Overall, the shift towards value that occurred mid-year benefited the Fund
and caused investors to take notice. The Fund is well positioned to reap the
rewards of the shift as long as the trend continues.
TOP TEN HOLDINGS AS OF OCTOBER 31, 2000
<TABLE>
<S> <C>
Philip Morris Companies, Incorporated 2.6%
Honeywell International Incorporated 2.6%
Verizon Communications, Incorporated 2.5%
Allstate Corporation 2.3%
Washington Mutual, Incorporated 2.2%
Bristol-Myers Squibb Company 1.7%
Ford Motor Company 1.6%
BP Amoco, PLC 1.6%
USX Marathon Group 1.6%
Bank of America Corporation 1.6%
</TABLE>
PORTFOLIO STATISTICS AS OF OCTOBER 31, 2000
<TABLE>
<CAPTION>
FUND S&P 500/BARRA VALUE
------------ -------------------
<S> <C> <C>
Price/Earnings Ratio 14.8 19.7
Price/Book Ratio 3.5 4.5
Wtd. Avg. Mkt. Cap ($) 36.7 Billion 74.7 Billion
</TABLE>
4
<PAGE> 7
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE SMALL CAP VALUE MILEAGE FUND (SM)
--------------------------------------------------------------------------------
The Small Cap Value Mileage Fund's annualized total return for the twelve
months ended October 31, 2000 was 16.38%.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 12/31/98* THROUGH 10/31/00
<TABLE>
<S> <C> <C>
Mileage Fund Lipper Small Cap Value Index
12/98 10000.00 10000.00
10/99 9084.00 9513.00
10/00 10572.00 11261.00
<S> <C>
Russell 2000 Value Index
12/98 10000.00
10/99 9508.00
10/00 11153.00
</TABLE>
* Inception of Institutional Class of the American AAdvantage
Small Cap Value Fund.
<TABLE>
<CAPTION>
ANNUALIZED
TOTAL RETURNS
PERIODS ENDED
10/31/00 VALUE OF
---------------- $10,000
SINCE 12/31/98-
1 YEAR INCEP. 10/31/00
------ ------ ---------
<S> <C> <C> <C>
Mileage Fund(1)..................... 16.38% 3.08% $10,572
Lipper Small Cap Value Index........ 18.37% 6.69% $11,261
Russell 2000 Value Index............ 17.30% 6.13% $11,153
</TABLE>
(1) Past performance is not indicative of future performance. Fund
performance represents the total returns achieved by the Institutional Class
of the American AAdvantage Small Cap Value Fund from 12/31/98 up to 3/1/99,
the inception date of the American AAdvantage Small Cap Value Fund Mileage
Fund and the returns of the Mileage Fund since its inception. Expenses of
the Mileage Fund are higher than those of the Institutional Class.
Therefore, total returns shown may be higher than they would have been had
the Mileage Fund been in existence since 12/31/98. A portion of the fees has
been waived since inception of the Mileage Fund. Returns prior to waiving
fees are lower than the actual returns shown.
U.S. equity markets experienced a strong fundamental shift towards value
investing in March of 2000. Earlier in the fiscal year, investors were motivated
by a narrow, intense focus on technology and biotechnology stocks, seemingly
unconcerned about the deep uncertainty attached to their future direction and
profitability. In this environment, some small cap value stocks were shunned,
despite tremendously attractive valuations and improving fundamentals. The value
shift later in the period richly rewarded the Small Cap Value Mileage Fund.
The Fund's returns for the fiscal year were largely the result of strong
stock selection. Selections within the consumer discretionary sector had the
most impact, derived primarily from the ownership of several homebuilders
producing high returns, such as Toll Brothers (up 85.7%), Lennar Corp. (up
96.0%), and Pulte Corp. (up 66.7%). The Fund's investments in the energy sector
also contributed to its performance as the holdings in this sector generated
returns of over 186% for the year. Although stock selection was the key to the
Fund's strong returns, it underperformed the Russell 2000 Value benchmark. Since
the Fund did not own some of the best performers in the healthcare sector, such
as Davita (up 370.3%) and PE Corp. (up 167%).
As of the end of the period, the Fund had an average price-to-earnings
ratio below its benchmark, the Russell 2000 Value Index. At the same time, the
benchmark's valuation is at a historically low level, as compared to large cap
stocks. The investment advisors believe the Fund is well positioned to take
advantage of any movement toward a more reasonable valuation level for small cap
stocks.
TOP TEN HOLDINGS AS OF OCTOBER 31, 2000
<TABLE>
<S> <C>
R G S Energy Group, Incorporated 1.9%
Enhance Financial Services Group, Incorporated 1.7%
Ventas, Incorporated 1.5%
Toll Brothers, Incorporated 1.2%
Horace Mann Educators Corporation 1.2%
THQ, Incorporated 1.2%
Avis Group Holdings, Incorporated 1.2%
Activision, Incorporated 1.1%
Lennar Corporation 1.1%
Mandalay Resort Group 1.1%
</TABLE>
PORTFOLIO STATISTICS AS OF OCTOBER 31, 2000
<TABLE>
<CAPTION>
FUND RUSSELL 2000 VALUE
------------ ------------------
<S> <C> <C>
Price/Earnings Ratio 11.2 15.9
Price/Book Ratio 2.4 9.7
Wtd. Avg. Mkt. Cap ($) 771 Million 893 Million
</TABLE>
5
<PAGE> 8
INTERNATIONAL EQUITY MARKET OVERVIEW
--------------------------------------------------------------------------------
The events of the past twelve months have been volatile. Although the cans
of Spam and powdered milk remain, Y2K uncertainty is but a distant memory. Most
major markets set highs early in the fiscal year, only to grind lower and
achieve 12-month lows in October. Investors began to focus on a host of negative
issues: the uncertainty regarding a soft landing in the U.S., higher inflation
and oil prices, a weaker Euro, and profit warnings at many technology and
telecommunication companies.
Sentiment quickly shifted to value stocks from growth stocks. Technology
and telecommunication stocks went from being "the stocks you couldn't do
without" to the stocks you would later ask, "how could I have paid so much for
stocks that didn't have any earnings?"
The Bank of Japan hiked rates for the first time in 10 years, ending 18
months of 0% interest rates, while the European Central Bank raised rates seven
times. Most governments in Europe must feel like they won the lottery, as
auctions for third generation licenses raised much more than expected with the
final tally nearing 100 billion Euros. Although Greece will become the twelfth
member of the European Monetary Union ("EMU") on January 1, 2001, a
government-supported referendum in Denmark to join EMU was defeated, further
delaying government-supported referendums in Sweden and the UK.
Despite the many changes, a few constants remain. The U.S. continues to be
the growth engine for the world. The much-anticipated U.S. slowdown and more
balanced growth worldwide are now forecast for 2001, having failed to
materialize during 1999 or 2000. Also, the Euro continued to grind lower as
sustained strong growth in the U.S. and credibility issues with the European
Central Bank undermined interest rate hikes.
Given the number of significant economic events that occurred over the past
twelve months, the volatility in the markets should have come as no surprise to
investors. The EAFE Index posted negative returns for the fiscal year, falling
2.9% in U.S. dollar terms. At March-end, the Index was up almost 13% after five
months of the fiscal year. All of the return occurred in November and December
of 1999, as the Index was flat for the first quarter of 2000. From April through
October 2000, five of the seven months were negative, wiping out all the gains
previously achieved and pushing the Index into negative territory for the fiscal
year.
The prevalent theme during the 12-month period was not country selection,
but rather sector selection. Technology was the top-performing sector for the
fiscal year, up over 13%, and one of only two sectors (healthcare was up almost
3%) that had positive performance for the fiscal year. Given the returns of the
technology sector, the shift away from this area discussed for the U.S. equity
market is not readily apparent because of strong returns late in 1999 and early
in 2000. The change in sentiment is more apparent in the telecommunications
sector, as it was the worst performing sector for the year, off over 9%; it was
down almost 40% over the second and third quarters of 2000.
On a country basis, many of the smaller European markets were the top
performers. Denmark, Finland, Italy, Norway and Sweden each returned over 10%
for the fiscal year. Of the major markets, France was the top performer, up
almost 8%, Germany was up 3%. While the UK was down over 6%. Japan followed up a
60% return last fiscal year with a -12% return for the latest fiscal year.
The change in sentiment early in 2000 was swift and conclusive, but similar
to the 1998 Asian crisis, many good technology and telecommunication stocks were
unjustifiably decimated. Thus, the fiscal year ended with many opportunities for
value investors.
6
<PAGE> 9
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE INTERNATIONAL EQUITY MILEAGE FUND (SM)
--------------------------------------------------------------------------------
We are very pleased to report that the International Equity Mileage Fund's
return of 1.84% for the twelve months ended October 31, 2000 exceeded the EAFE
benchmark return of -2.90% by almost 5%.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 8/7/91* THROUGH 10/31/00
<TABLE>
<CAPTION>
LIPPER INTERNATIONAL
MILEAGE FUND INDEX EAFE INDEX
------------- -------------------- ----------
<S> <C> <C> <C>
8/91 10000.00 10000.00 10000.00
10/91 10132.00 10319.00 10674.00
10/92 8909.00 9797.00 9284.00
10/93 12166.00 13134.00 12801.00
10/94 13578.00 14645.00 14130.00
10/95 14575.00 14577.00 14121.00
10/96 16992.00 16416.00 15642.00
10/97 20125.00 18611.00 16410.00
10/98 20828.00 19474.00 18040.00
10/99 24841.00 23961.00 22258.00
10/00 25298.00 24788.00 21612.00
</TABLE>
* Inception of Institutional Class of the American AAdvantage
International Equity Fund
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
PERIODS ENDED 10/31/00 VALUE OF
--------------------------- $10,000
SINCE 8/7/91-
1 YEAR 5 YEARS INCEP. 10/31/00
------ ------- ------ --------
<S> <C> <C> <C> <C>
Mileage Fund(1).......... 1.84% 11.66% 10.58% $25,298
Lipper Int'l. Index...... 3.45% 11.21% 10.25% $24,788
EAFE Index............... (2.90)% 8.65% 8.20% $21,612
</TABLE>
(1) Past performance is not indicative of future performance.
Fund performance represents the total returns achieved by the Institutional
Class of the American AAdvantage International Equity Fund from 8/7/91
through 7/31/94, the returns of the Mileage Class of the American AAdvantage
International Equity Fund from 8/1/94 through 10/31/95 and the returns of
the American AAdvantage International Equity Mileage Fund since its 11/1/95
inception. Expenses of the Mileage Class and Mileage Fund are higher than
those of the Institutional Class. Therefore, total returns shown may be
higher than they would have been had the Mileage Fund been in existence
since 8/7/91.
This past fiscal year has been a time of exceptional market turbulence,
making the international markets a difficult place to invest. After a 27% gain
in 1999, the MSCI EAFE Index was down almost 14% through the first ten months of
2000.
The information technology sector was hit hard during the last few months
of the period. However, because of this sector's exceptional returns in late
1999, it was the best performing sector of the EAFE Index for the fiscal year,
returning 13.6%. Although the Fund underweighted this sector, it had strong
stock selection, adding 1.5% in relative outperformance to the EAFE Index. The
Fund's position in Alcatel returned 96.8% for the period. In addition, by not
owning Softbank Corp., (down 56.6%), the Fund added relative performance
compared to the Index.
From a country perspective, the Fund's underweighting in Japan added 1.3%
in relative outperformance versus EAFE, as the Japanese market was off almost
12%. Good stock selection in this country contributed an additional 1.5% in
relative performance, while strong selections in the Netherlands and the UK
added 1.6% and 0.9%, respectively. This helped offset poor selections in
Finland, which cost the Fund 1.1% relative to the EAFE Index.
Over longer time periods, the International Equity Mileage Fund continues
to perform well. The Fund outperformed the EAFE and Lipper International Indices
for the five-year and since inception time periods.
7
<PAGE> 10
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE INTERNATIONAL EQUITY MILEAGE FUND (SM) -- (CONTINUED)
--------------------------------------------------------------------------------
TOP TEN HOLDINGS AS OF OCTOBER 31, 2000
<TABLE>
<S> <C>
Aventis SA 2.3%
Ing Groep NV 2.1%
Total Fina 1.8%
Akzo Nobel NV 1.8%
Telefonica de Espana 1.7%
E. On Ag 1.7%
BAE Systems 1.7%
Philips Electronics NV 1.6%
United OverSeas Bank 1.6%
Zurich Financial Services Group 1.5%
</TABLE>
PORTFOLIO STATISTICS AS OF OCTOBER 31, 2000
<TABLE>
<CAPTION>
FUND MSCI EAFE
------------ ------------
<S> <C> <C>
Price/Earnings Ratio 19.8 30.2
Price/Book Ratio 3.2 3.8
Wtd. Avg. Mkt. Cap ($) 28.1 Billion 54.6 Billion
</TABLE>
COUNTRY ALLOCATION AS OF OCTOBER 31, 2000
[COUNTRY ALLOCATION CHART]
COUNTRY ALLOCATION AS OF OCTOBER 31, 2000
<TABLE>
<CAPTION>
FUND EAFE
----- -----
<S> <C> <C>
France 9.0% 11.2%
Germany 6.9% 8.6%
Netherlands 6.3% 5.5%
Spain 3.7% 2.9%
Italy 2.9% 4.5%
Ireland 2.3% 0.4%
Finland 2.0% 2.6%
Portugal 1.0% 0.5%
Austria 0.8% 0.2%
Belgium 0.0% 0.8%
----- -----
EURO 34.9% 37.2%
UK 23.0% 21.4%
Switzerland 6.0% 6.1%
Sweden 3.8% 2.9%
Norway 0.9% 0.4%
Denmark 0.2% 0.9%
----- -----
OTHER NON-EURO 10.9% 10.3%
JAPAN 15.2% 25.4%
Hong Kong 3.3% 2.0%
Singapore 3.6% 1.0%
Australia 3.6% 2.6%
New Zealand 1.0% 0.1%
South Korea 0.8% 0.0%
Malaysia 0.2% 0.0%
----- -----
OTHER ASIA 12.5% 5.7%
Mexico 0.5% 0.0%
Canada 3.0% 0.0%
----- -----
OTHER 3.5% 0.0%
</TABLE>
8
<PAGE> 11
U.S. FIXED INCOME MARKET OVERVIEW
--------------------------------------------------------------------------------
The twelve-month period ended October 31, 2000 began in the midst of an
aggressively tightening Federal Reserve Bank campaign. The Fed funds rate was
raised to 6.50% by May 2000, which concluded 175 basis points of tightening.
The federal government was in the spotlight frequently during the past
year. The Treasury announced, for the first time in 30 years, a federal budget
surplus. Additionally, Congress re-ignited an initiative to examine the
rationale of federal support for certain government enterprises, primarily
Fannie Mae and Freddie Mac.
In early 2000, the Congressional Budget Office projected a budget surplus
into the foreseeable future. It was then announced that excess tax receipts
would be used to buy back long-term Treasury debt. Motivated by a potential
scarcity of long-term Treasury securities, investors flocked into the long end
of the Treasury curve sending prices up and yields down.
The confluence of the Fed funds rate hikes and the Treasury debt buy-back
program caused a significant inversion in the yield curve (see chart below). The
rising Fed funds rate pushed the short end of the curve up, and the Treasury
debt purchase announcement pulled the long end of the curve down.
[CHART]
Regarding the government sponsored entity debate, Congressman Richard Baker
introduced legislation to address the government's exposure to agency risks. The
logic is that if the Treasury maintains a surplus, and the large agencies
continue to grow, agency debt may shortly overtake Treasury debt in balances
outstanding (i.e. held by public). As such, the government is looking to limit
its exposure.
Another factor attracting attention during the year was the rise in oil
prices. The price of crude traded over $35/barrel during October 2000 -- a level
not seen since the Persian Gulf War. Despite high energy prices, the
unemployment rate remained at a record low level and core inflation rates were
up only moderately.
Faced with an environment of higher short-term rates, a potentially slowing
economy and high oil prices, the corporate bond market had little from which to
gain comfort. Corporate yields remained high as Treasury yields dropped, which
pushed yield spreads wider (see chart). In fact, spreads widened beyond the
level seen during the "Asian Contagion" of 1998.
[CHART]
Generally, during periods of potentially slowing economic growth,
lower-rated credit sectors are the first to react. As indicated in the table
below, triple-B rated corporates had the lowest returns, followed by single-A
and double-A, respectively.
<TABLE>
<CAPTION>
TOTAL RETURNS
PERIODS ENDED
10/31/00
------------------
SECTOR 6 MONTH 12 MONTH
------ ------- --------
<S> <C> <C>
U.S. Treasury................. 5.50% 8.22%
U.S. Agency................... 6.08% 7.30%
Mortgage Backed............... 6.24% 7.57%
U.S. Credit................... 5.37% 5.48%
Asset Backed.................. 5.53% 7.10%
--------------------------------------------------
Aaa........................... 6.03% 6.90%
Aa............................ 5.95% 6.51%
A............................. 5.27% 5.60%
Baa........................... 5.02% 4.41%
</TABLE>
(Source: Lehman Brothers)
9
<PAGE> 12
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE INTERMEDIATE BOND MILEAGE FUND (SM)
--------------------------------------------------------------------------------
During the fiscal year ended October 31, 2000, the Intermediate Bond
Mileage Fund returned 5.98%.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 9/15/97* THROUGH 10/31/00
<TABLE>
<S> <C> <C>
Mileage Fund Lipper Intermediate Investment Grade Index
9/97 10000.00 10000.00
10/97 10241.00 10118.00
10/98 11319.00 10921.00
10/99 11158.00 10914.00
10/00 11825.00 11551.00
<S> <C> <C>
Lehman Gov./Credit Index Lehman Aggregate Index
9/97 10000.00 10000.00
10/97 10160.00 10295.00
10/98 11203.00 11254.00
10/99 11129.00 11314.00
10/00 11921.00 12140.00
</TABLE>
* Inception of Institutional Class of American AAdvantage
Intermediate Bond Fund
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS
PERIODS ENDED 10/31/00 VALUE OF
--------------------------- $10,000
SINCE 9/15/97-
1 YEAR 3 YEARS INCEP. 10/31/00
------ ------- ------ --------
<S> <C> <C> <C> <C>
Mileage Fund(1,2).... 5.98% 4.91% 5.51% $11,825
Lipper Intermediate
Inv. Gr. Index ..... 6.33% 4.86% 5.36% $11,775
Lehman Gov./Credit
Index............... 7.11% 5.47% 5.86% $11,921
Lehman Aggregate
Index............... 7.30% 5.65% 5.98% $12,140
</TABLE>
(1) Past performance is not indicative of future performance.
Fund performance represents the total returns achieved by the Institutional
Class of the American AAdvantage Intermediate Bond Fund from 9/15/97 through
3/1/98 and returns of the Intermediate Bond Mileage Fund since 3/1/98.
Expenses of the Mileage Fund are higher than those of the Institutional
Class. Therefore, total returns shown may be higher than they would have
been had the Mileage Fund been in existence since 9/15/97.
(2) The Fund's NAV and recent performance shown includes the
effects of a favorable accounting adjustment which occurred during the
processing of a large shareholder redemption on July 6, 2000. In the absence
of this adjustment, the Fund's performance would have been less than
depicted.
Through mid-2000, the Fund maintained its duration slightly short of the
benchmark to reduce exposure to rising interest rates. As the risk of rising
rates mitigated, the Fund's investment advisors gradually returned the portfolio
to a neutral duration posture.
In response to negative trends developing in the lower quality corporate
sector, the Fund maintained its holdings in Treasury securities and increased
its position in the mortgage sector. In this environment, the Fund's investment
advisors continue to seek higher quality, liquid corporate securities.
TOP TEN HOLDINGS AS OF OCTOBER 31, 2000
<TABLE>
<S> <C>
Federal Home Loan Mortgage Corporation Gold Pool
#E00669 4.2%
Federal National Mortgage Association Pool #538285 4.1%
Federal National Mortgage Association Pool #100293 3.0%
United States Treasury Note, Due 5/15/2007 2.7%
Federal National Mortgage Association 2.5%
Federal Home Loan Mortgage Corporation 2.4%
Federal Home Loan Mortgage Corporation Gold Pool
#E69244 2.4%
Federal National Mortgage Association Pool #100292 2.4%
Federated Department Stores, Incorporated 2.4%
United States Treasury Note, Due 8/15/2003 2.0%
</TABLE>
PORTFOLIO STATISTICS AS OF OCTOBER 31, 2000
<TABLE>
<CAPTION>
FUND LEHMAN AGGREGATE
------- ----------------
<S> <C> <C>
Average Credit Quality Aaa Aaa
Weighted Average Duration 4.8 yrs 4.8 yrs
Weighted Average Coupon 7.1% 7.0%
</TABLE>
10
<PAGE> 13
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE SHORT-TERM BOND MILEAGE FUND(SM)
--------------------------------------------------------------------------------
During the fiscal year ended October 31, 2000, the Short-Term Bond Mileage
Fund returned 5.46%.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
FOR THE PERIOD FROM 10/31/90 THROUGH 10/31/00
<TABLE>
<S> <C> <C> <C>
Mileage Fund Linked Lipper Investment Grade Merrill Lynch 1-3 yr Index
10/90 10000.00 10000.00 10000.00
10/91 11187.00 11120.00 11142.00
10/92 12075.00 11953.00 12068.00
10/93 12945.00 12723.00 12791.00
10/94 13003.00 12739.00 12951.00
10/95 14021.00 13841.00 14116.00
10/96 14659.00 14470.00 14963.00
10/97 15524.00 15345.00 15943.00
10/98 16525.00 16255.00 17153.00
10/99 16956.00 16730.00 17707.00
10/00 17882.00 17681.00 18800.00
<S> <C>
Lehman Gov./Credit Index
10/90 10000.00
10/91 11537.00
10/92 12750.00
10/93 14491.00
10/94 13819.00
10/95 16052.00
10/96 16917.00
10/97 18407.00
10/98 20298.00
10/99 20164.00
10/00 21598.00
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED TOTAL RETURNS VALUE OF
PERIODS ENDED 10/31/00 $10,000
--------------------------- 10/31/90-
1 YEAR 5 YEARS 10 YEARS 10/31/00
------ ------- -------- ---------
<S> <C> <C> <C> <C>
Mileage Fund(1).......... 5.46% 4.98% 5.98% $17,882
Linked Lipper Avg.(2).... 5.69% 5.02% 5.87% $17,681
Merrill Lynch 1-3 yr.
Index................... 6.17% 5.90% 6.52% $18,800
Lehman Gov./Credit
Index................... 7.11% 6.12% 8.00% $21,598
</TABLE>
(1) Past performance is not indicative of future performance.
Fund performance represents the total returns achieved by the Institutional
Class of the American AAdvantage Short-Term Bond Fund from 10/31/90 through
7/31/94, the returns of the Mileage Class of the American AAdvantage Short-
Term Bond Fund from 8/1/94 through 10/31/95 and the returns of the American
AAdvantage Short-Term Bond Mileage Fund since its 11/1/95 inception.
Expenses of the Mileage Class and Mileage Fund are higher than those of the
Institutional Class. Therefore, total returns shown may be higher than they
would have been had the Mileage Fund been in existence since 10/31/90.
(2) The Linked Lipper Average is created by linking the Lipper
Short-Term (1-5 year) Investment Grade Debt Average from 10/31/90 through
12/31/95, the Lipper Short-Intermediate Investment Grade Debt Average from
1/1/96 through 7/31/96 and the Lipper Short-Term (1-3 Year) Investment Grade
Debt Average since 8/1/96.
During the first half of 2000, the Fund maintained a duration slightly
short of its benchmark in order to reduce exposure to rising interest rates. As
rates declined, the Fund's duration moved neutral of its benchmark. The Fund
maintained an overweight position in non-Treasury sectors, such as corporates
and mortgages.
Going forward, the Fund plans to maintain a long duration and an overweight
position in corporate and mortgage securities, which the advisor expects to
provide higher yields given current conditions.
TOP TEN HOLDINGS AS OF OCTOBER 31, 2000
<TABLE>
<S> <C>
U.S. Treasury, Due 10/31/2002 8.0%
Fort James Corporation 4.9%
Heller Financial, Incorporated 4.8%
Citibank Credit Card Master Trust I, Series 1997-3 B 4.8%
Philip Morris Companies, Incorporated 4.8%
Occidental Petroleum Corporation 4.0%
FHLMC Pool #E44213 3.7%
Ford Credit Auto Owner Trust 3.3%
Raytheon Company 3.2%
Caterpillar Financial Services Corporation 3.2%
</TABLE>
Additionally, the Fund's holdings in the telecommunications sector
performed well due to merger activity and to its affiliation with the technology
sector. Mortgage-backed securities provided some of the highest total returns of
the fixed-income markets due to their relatively short duration and the slowdown
in refinancing activity.
PORTFOLIO STATISTICS AS OF OCTOBER 31, 2000
<TABLE>
<CAPTION>
MERRILL
LYNCH
FUND 1-3YR
------- -------
<S> <C> <C>
Average Credit Quality A1 Aa2
1.7
Weighted Average Duration 1.7 yrs yrs
Weighted Average Coupon 6.6% 6.3%
</TABLE>
11
<PAGE> 14
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
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
We have audited the accompanying statements of assets and liabilities of
the American AAdvantage Balanced Mileage Fund, the American AAdvantage Large Cap
Value Mileage Fund, the American AAdvantage Small Cap Value Mileage Fund, the
American AAdvantage International Equity Mileage Fund, the American AAdvantage
Intermediate Bond Mileage Fund and the American AAdvantage Short-Term Bond
Mileage Fund (collectively, "the Funds") (separate funds comprising the American
AAdvantage Mileage Funds) as of October 31, 2000, and the related statements of
operations, the statements of changes in net assets, and the financial
highlights for each of the periods indicated therein. These financial statements
and financial highlights are the responsibility of the Funds' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of investments
owned as of October 31, 2000, by correspondence with the custodian. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective American AAdvantage Mileage Funds at October 31, 2000,
the results of their operations, the changes in their net assets, and the
financial highlights for each of the periods indicated therein, in conformity
with accounting principles generally accepted in the United States.
/s/ ERNST & YOUNG
Dallas, Texas
December 15, 2000
--------------------------------------------------------------------------------
12
<PAGE> 15
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 2000
--------------------------------------------------------------------------------
<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.... $ 2,413 $ 5,590 $ 86 $ 5,274 $ 145 $ 862
Receivable for fund shares sold...... - - - 178 - -
Receivable for expense reimbursement
(Note 2)........................... 3 - - - 1 1
Deferred organization costs, net..... - - - 2 - -
-------- -------- ------ -------- ------- -------
TOTAL ASSETS..................... 2,416 5,590 86 5,454 146 863
-------- -------- ------ -------- ------- -------
LIABILITIES:
Accrued organization costs........... - - - 1 2 2
Management fees payable (Note 2)..... - - - 1 - -
Other liabilities.................... 6 12 12 - 3 1
-------- -------- ------ -------- ------- -------
TOTAL LIABILITIES................ 6 12 12 2 5 3
-------- -------- ------ -------- ------- -------
NET ASSETS............................... $ 2,410 $ 5,578 $ 74 $ 5,452 $ 141 $ 860
======== ======== ====== ======== ======= =======
ANALYSIS OF NET ASSETS:
Paid-in-capital...................... $ 1,957 $ 4,497 $ 69 $ 4,329 $ 170 $ 940
Accumulated undistributed net
investment income.................. 73 104 1 47 - -
Accumulated net realized gain
(loss)............................. 788 1,251 (43) 652 (41) (61)
Unrealized net appreciation
(depreciation) of investments,
futures contracts and foreign
currency........................... (408) (274) 47 424 12 (19)
-------- -------- ------ -------- ------- -------
NET ASSETS............................... $ 2,410 $ 5,578 $ 74 $ 5,452 $ 141 $ 860
======== ======== ====== ======== ======= =======
Shares outstanding (no par value)........ 138,603 290,001 7,140 295,994 14,611 93,485
======== ======== ====== ======== ======= =======
Net asset value, offering and redemption
price per share........................ $ 17.39 $ 19.23 $10.42 $ 18.42 $ 9.66 $ 9.20
======== ======== ====== ======== ======= =======
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
13
<PAGE> 16
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF OPERATIONS
Year ended October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE SHORT-TERM
BALANCED VALUE VALUE EQUITY BOND BOND
-------- --------- --------- ------------- ------------ ----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM
PORTFOLIO:
Interest income................... $ 83 $ 17 $ - $ 28 $ 21 $ 61
Dividend income (net of foreign
taxes of $1, $1 and $22 in
Balanced, Large Cap Value and
International Equity Funds)..... 49 192 1 115 - -
Income derived from securities
lending, net.................... 1 1 - 4 - -
Income derived from commission
recapture....................... - 1 - 1 - -
Portfolio expenses................ (9) (20) - (28) (1) (2)
---- ----- --- ----- ---- ----
NET INVESTMENT INCOME
ALLOCATED FROM PORTFOLIO.... 124 191 1 120 20 59
---- ----- --- ----- ---- ----
FUND EXPENSES:
Management fees (Note 2).......... 7 15 - 16 1 2
Transfer agent fees............... 3 5 - 6 - 1
Professional fees................. 1 1 - 1 - -
Registration fees and expenses.... 11 17 17 14 6 11
Distribution fees................. 7 15 - 16 1 2
Other expenses.................... 8 11 2 10 1 4
---- ----- --- ----- ---- ----
TOTAL FUND EXPENSES........... 37 64 19 63 9 20
---- ----- --- ----- ---- ----
Less reimbursement of fund
expenses (Note 2)........... 12 8 19 1 7 15
---- ----- --- ----- ---- ----
NET FUND EXPENSES............. 25 56 - 62 2 5
---- ----- --- ----- ---- ----
NET INVESTMENT INCOME................. 99 135 1 58 18 54
---- ----- --- ----- ---- ----
REALIZED AND UNREALIZED GAIN (LOSS)
ALLOCATED FROM PORTFOLIO:
Net realized gain (loss) on
investments, futures contracts,
and foreign currency
transactions.................... (17) 87 2 637 (35) (16)
Change in net unrealized
appreciation or depreciation of
investments, futures contracts,
and foreign currency
translations.................... (1) (114) 7 (506) 28 7
---- ----- --- ----- ---- ----
NET GAIN (LOSS) ON
INVESTMENTS................. (18) (27) 9 131 (7) (9)
---- ----- --- ----- ---- ----
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS........... $ 81 $ 108 $10 $ 189 $ 11 $ 45
==== ===== === ===== ==== ====
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
14
<PAGE> 17
AMERICAN EAGLE LOGO
--------------------------------------------------------------------------------
15
<PAGE> 18
AMERICAN AADVANTAGE MILEAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED LARGE CAP VALUE
------------------------ -------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, OCTOBER 31,
------------------------ -------------------------
2000 1999 2000 1999
------- ------ ------- -------
(IN THOUSANDS)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................................... $ 99 $ 113 $ 135 $ 147
Net realized gain (loss) on investments, futures
contracts, and foreign currency transactions.......... (17) 198 87 1,199
Change in net unrealized appreciation or depreciation of
investments, futures contracts, and foreign currency
translations.......................................... (1) (286) (114) (1,114)
------- ------ ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................ 81 25 108 232
------- ------ ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income................................... (117) (120) (146) (159)
Net realized gain on investments........................ (35) - (843) (783)
------- ------ ------- -------
DISTRIBUTIONS TO SHAREHOLDERS....................... (152) (120) (989) (942)
------- ------ ------- -------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares........................... 138 151 200 1,129
Reinvestment of dividends and distributions............. 148 117 940 902
Cost of shares redeemed................................. (1,087) (699) (2,923) (3,094)
------- ------ ------- -------
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS................................ (801) (431) (1,783) (1,063)
------- ------ ------- -------
NET INCREASE (DECREASE) IN NET ASSETS....................... (872) (526) (2,664) (1,773)
NET ASSETS:
Beginning of period..................................... 3,282 3,808 8,242 10,015
------- ------ ------- -------
END OF PERIOD*.......................................... $ 2,410 $3,282 $ 5,578 $ 8,242
======= ====== ======= =======
*Includes undistributed net investment income of........ $ 73 $ 91 $ 104 $ 115
======= ====== ======= =======
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
16
<PAGE> 19
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE
SMALL CAP VALUE INTERNATIONAL EQUITY BOND SHORT-TERM BOND
------------------------- --------------------- ------------ ---------------
YEAR ENDED MARCH 1, TO YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
----------- ----------- --------------------- ------------ ---------------
2000 1999 2000 1999 2000 1999 2000 1999
----------- ----------- --------- --------- ----- ---- ----- -------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C> <C>
$ 1 $ 1 $ 58 $ 68 $ 18 $18 $ 54 $ 58
2 16 637 515 (35) (7) (16) (18)
7 40 (506) 502 28 (17) 7 (17)
----- ------- -------- -------- ----- ---- ---- ------
10 57 189 1,085 11 (6) 45 23
----- ------- -------- -------- ----- ---- ---- ------
(1) - (60) (73) (18) (18) (54) (58)
(61) - (583) (129) - - - -
----- ------- -------- -------- ----- ---- ---- ------
(62) - (643) (202) (18) (18) (54) (58)
----- ------- -------- -------- ----- ---- ---- ------
632 3,117 30,565 17,803 16 504 20 32
62 - 614 192 9 11 53 56
(621) (3,121) (31,607) (17,900) (378) (48) (70) (681)
----- ------- -------- -------- ----- ---- ---- ------
73 (4) (428) 95 (353) 467 3 (593)
----- ------- -------- -------- ----- ---- ---- ------
21 53 (882) 978 (360) 443 (6) (628)
53 - 6,334 5,356 501 58 866 1,494
----- ------- -------- -------- ----- ---- ---- ------
$ 74 $ 53 $ 5,452 $ 6,334 $ 141 $501 $860 $ 866
===== ======= ======== ======== ===== ==== ==== ======
$ 1 $ 1 $ 47 $ 49 $ - $ - $ - $ -
===== ======= ======== ======== ===== ==== ==== ======
</TABLE>
--------------------------------------------------------------------------------
17
<PAGE> 20
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 2000
--------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American AAdvantage Mileage Funds (the "Trust") is organized as a
Massachusetts business trust under the Investment Company Act of 1940 (the
"Act"), as amended, as a no-load, open-end management investment company with
ten separate series. The following series are included in this report: 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 and American AAdvantage Short-Term Bond Mileage Fund (each a "Fund" and
collectively the "Funds").
Each Fund invests all of its investable assets in the corresponding
portfolio of the AMR Investment Services Trust, an open-ended diversified
management investment company. Each AMR Investment Services Portfolio (each a
"Portfolio" and collectively the "Portfolios") 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.
<TABLE>
<CAPTION>
% OF PORTFOLIO
HELD BY FUND AT
AMERICAN AADVANTAGE: AMR INVESTMENT SERVICES TRUST: OCTOBER 31, 2000
-------------------- ------------------------------ ----------------
<S> <C> <C>
Balanced Mileage Fund Balanced Portfolio 0.30%
Large Cap Value Mileage Fund Large Cap Value Portfolio 0.73%
Small Cap Value Mileage Fund Small Cap Value Portfolio 0.16%
International Equity Mileage Fund International Equity Portfolio 0.45%
Intermediate Bond Mileage Fund Intermediate Bond Portfolio 0.35%
Short-Term Bond Mileage Fund Short-Term Bond Portfolio 1.39%
</TABLE>
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.
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.
Dividends are determined in accordance with income tax principles which may
treat certain transactions differently than generally accepted accounting
principles.
--------------------------------------------------------------------------------
18
<PAGE> 21
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
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 October 31, 2000, capital loss carryforward
positions for federal income tax purposes were as follows:
<TABLE>
<CAPTION>
FUND AMOUNT EXPIRES
---- ------- ---------
<S> <C> <C>
Intermediate Bond........................................... $29,251 2007-2008
Short-Term Bond............................................. 88,000 2004-2008
</TABLE>
Deferred Organization Expenses
Expenses incurred by the International Equity, Intermediate Bond and
Short-Term Bond 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 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.
Use of Estimates
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States 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 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 0.25% 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.
--------------------------------------------------------------------------------
19
<PAGE> 22
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
Distribution Plan
The Trust has adopted a Distribution Plan (the "Plan") pursuant to Rule
12b-1 under the Act. Under the Plan, as compensation for distribution
assistance, the Manager receives an annual fee of .25% of the average daily net
assets of each 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 year
ended October 31, 2000, the Manager waived distribution fees totaling $6,726,
$7,906, $148, $628, $714 and $2,152 for the Balanced, Large Cap Value, Small Cap
Value, International Equity, Intermediate Bond and Short-Term Bond Mileage
Funds, respectively.
Other
Certain officers or trustees of the Trust are also current or former
officers or employers 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 year ended October 31, 2000, the cost
of air transportation was not material to any of the Portfolios.
Reimbursement of Expenses
In addition to waiving distribution fees, the Manager reimbursed expenses
totaling $4,891, $18,534, $5,998 and $12,779 for the Balanced, Small Cap Value,
Intermediate Bond and Short-Term Bond Mileage Funds, respectively during the
year ended October 31, 2000.
3. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares of the Funds (in
thousands):
Period Ended October 31, 2000
<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............................................... 9 $ 138 11 $ 200 64 $ 632
Reinvestment of dividends................................. 9 148 54 940 186 62
Shares redeemed........................................... (67) (1,087) (158) (2,923) (69) (621)
--- ------ ---- ------- ---- -----
Net increase (decrease) in capital shares outstanding..... (49) $(801) (93) $(1,783) 181 $ 73
=== ====== ==== ======= ==== =====
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL INTERMEDIATE SHORT-TERM
EQUITY BOND BOND
MILEAGE FUND MILEAGE FUND MILEAGE FUND
----------------- --------------- ---------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ -------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Shares sold................................................ 1,571 $ 30,565 2 $ 16 2 $ 20
Reinvestment of dividends.................................. 32 614 1 9 6 53
Shares redeemed............................................ (1,620) (31,607) (40) (378) (8) (70)
------ -------- --- ----- --- ----
Net increase (decrease) in capital shares outstanding...... (17) $ (428) (37) $(353) - $ 3
====== ======== === ===== === ====
</TABLE>
--------------------------------------------------------------------------------
20
<PAGE> 23
AMERICAN AADVANTAGE MILEAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
Period Ended October 31, 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.......................................... 8 $ 151 49 $1,129 283 $ 3,117
Reinvestment of dividends............................ 7 117 41 902 - -
Shares redeemed...................................... (38) (699) (134) (3,094) (277) (3,121)
--- ----- ---- ------- ---- -------
Net increase (decrease) in capital shares
outstanding........................................ (23) $(431) (44) $(1,063) 6 $ (4)
=== ===== ==== ======= ==== =======
</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........................................... 939 $ 17,803 50 $504 3 $ 32
Reinvestment of dividends............................. 11 192 1 11 6 56
Shares redeemed....................................... (941) (17,900) (5) (48) (72) (681)
---- -------- -- ---- --- -----
Net increase (decrease) in capital shares
outstanding......................................... 9 $ 95 46 $467 (63) $(593)
==== ======== == ==== === =====
</TABLE>
--------------------------------------------------------------------------------
21
<PAGE> 24
AMERICAN AADVANTAGE BALANCED MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
OCTOBER 31,
-----------------------------------------------
2000(D) 1999 1998 1997 1996(A)
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period(B).......... $ 17.50 $ 18.08 $ 18.32 $ 16.01 $ 13.97
------- ------- ------- ------- -------
Income from investment operations:
Net investment income(C)..................... 0.69 0.64 0.57 0.58 0.49
Net gains (losses) on securities (both
realized and unrealized)(C)................ 0.03 (0.60) 0.93 2.44 1.65
------- ------- ------- ------- -------
Total from investment operations................. 0.72 0.04 1.50 3.02 2.14
------- ------- ------- ------- -------
Less distributions:
Dividends from net investment income......... (0.64) (0.62) (0.58) (0.49) (0.10)
Distributions from net realized gains on
securities................................. (0.19) - (1.16) (0.22) -
------- ------- ------- ------- -------
Total distributions.............................. (0.83) (0.62) (1.74) (0.71) (0.10)
------- ------- ------- ------- -------
Net asset value, end of period................... $ 17.39 $ 17.50 $ 18.08 $ 18.32 $ 16.01
======= ======= ======= ======= =======
Total return..................................... 4.55% 0.13% 8.74% 19.52% 15.97%
======= ======= ======= ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands)..... $ 2,410 $ 3,282 $ 3,808 $ 3,437 $ 2,495
Ratios to average net assets (annualized)(C):
Expenses................................ 1.25% 0.99% 0.99% 0.99% 1.01%
Net investment income................... 3.68% 3.16% 3.16% 3.45% 3.58%
Decrease reflected in above expense ratio due
to absorption of expenses by the manager... 0.43% 0.76% 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.
(D) GSB Investment Management, Inc. was removed as an investment advisor to the
Balanced Fund on March 1, 2000.
--------------------------------------------------------------------------------
22
<PAGE> 25
AMERICAN AADVANTAGE LARGE CAP VALUE MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
OCTOBER 31,
-----------------------------------------------
2000(E) 1999(D) 1998 1997 1996(A)
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of
period(B)............................. $21.52 $23.43 $ 23.72 $ 19.35 $ 15.94
------ ------ ------- ------- -------
Income from investment operations:
Net investment income(C)............ 0.49 0.39 0.45 0.31 0.34
Net gains (losses) on securities
(both realized and
unrealized)(C).................... 0.10 (0.02) 0.92 4.87 3.16
------ ------ ------- ------- -------
Total from investment operations........ 0.59 0.37 1.37 5.18 3.50
------ ------ ------- ------- -------
Less distributions:
Dividends from net investment
income............................ (0.43) (0.39) (0.39) (0.34) (0.09)
Distributions from net realized
gains on securities............... (2.45) (1.89) (1.27) (0.47) -
------ ------ ------- ------- -------
Total distributions..................... (2.88) (2.28) (1.66) (0.81) (0.09)
------ ------ ------- ------- -------
Net asset value, end of period.......... $19.23 $21.52 $ 23.43 $ 23.72 $ 19.35
====== ====== ======= ======= =======
Total return............................ 4.15% 1.32% 6.01% 27.60% 22.77%
====== ====== ======= ======= =======
Ratios and supplemental data:
Net assets, end of period (in
thousands)........................ $5,578 $8,242 $10,015 $12,513 $ 6,234
Ratios to average net assets
(annualized)(C):
Expenses....................... 1.24% 0.99% 0.98% 0.99% 1.00%
Net investment income.......... 2.17% 1.53% 1.46% 1.78% 2.13%
Decrease reflected in above expense
ratio due to absorption of
expenses by the manager........... 0.13% 0.30% 0.23% 0.32% 0.88%
</TABLE>
---------------
(A) Capital Guardian Trust Company was replaced by Brandywine Asset Management
as an investment adviser to the Large Cap Value Fund on April 1, 1996.
(B) 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.
(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.
(D) Prior to March 1, 1999, the Large Cap Value Fund was known as the Growth
and Income Fund.
(E) GSB Investment Management, Inc. was removed as an investment adviser to the
Large Cap Value Fund on March 1, 2000.
--------------------------------------------------------------------------------
23
<PAGE> 26
AMERICAN AADVANTAGE SMALL CAP VALUE MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARCH 1
YEAR ENDED TO
OCTOBER 31, OCTOBER 31,
2000 1999
---- ----
<S> <C> <C>
Net asset value, beginning of period.... $ 9.95 $10.00
------- ------
Income from investment operations:
Net investment income (loss)(A)..... (0.10) 0.22
Net gains (losses) on securities
(both realized and
unrealized)(A)..................... 1.56 (0.27)
------- ------
Total from investment operations........ 1.46 (0.05)
------- ------
Less distributions:
Dividends from net investment
income............................. (0.02) -
Distributions from net realized
gains on securities................ (0.97) -
------- ------
Total distributions..................... (0.99) -
------- ------
Net asset value, end of period.......... $ 10.42 $ 9.95
======= ======
Total return (not annualized)........... 16.38% (0.50)%
======= ======
Ratios and supplemental data:
Net assets, end of period (in
thousands)......................... $ 74 $ 53
Ratios to average net assets
(annualized)(A):
Expenses....................... 1.47% 1.51%
Net investment income.......... 1.38% 0.45%
Decrease reflected in above expense
ratio due to absorption of expenses
by the Manager..................... 30.80% 8.87%
</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.
--------------------------------------------------------------------------------
24
<PAGE> 27
AMERICAN AADVANTAGE INTERNATIONAL EQUITY MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
OCTOBER 31,
---------------------------------------------------------
2000 1999(C) 1998 1997 1996
------ ------- ------ ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of
period(A)............................. $20.17 $ 17.56 $17.67 $ 15.31 $ 13.15
------ ------- ------ ------- -------
Income from investment operations:
Net investment income(B)............ 0.21 0.23 0.25 0.25 0.20
Net gains on securities (both
realized and unrealized)(B)....... 0.28 3.06 0.33 2.52 2.03
------ ------- ------ ------- -------
Total from investment operations........ 0.49 3.29 0.58 2.77 2.23
------ ------- ------ ------- -------
Less distributions:
Dividends from net investment
income............................ (0.21) (0.25) (0.27) (0.18) (0.07)
Distributions from net realized
gains on securities............... (2.03) (0.43) (0.42) (0.23) -
------ ------- ------ ------- -------
Total distributions..................... (2.24) (0.68) (0.69) (0.41) (0.07)
------ ------- ------ ------- -------
Net asset value, end of period.......... $18.42 $ 20.17 $17.56 $ 17.67 $ 15.31
====== ======= ====== ======= =======
Total return not annualized............. 1.84% 19.27% 3.49% 18.44% 16.58%
====== ======= ====== ======= =======
Ratios and supplemental data:
Net assets, end of period (in
thousands)........................ $5,452 $ 6,334 $5,356 $ 5,219 $ 3,387
Ratios to average net assets
(annualized)(B):
Expenses....................... 1.41% 1.41% 1.47% 1.47% 1.48%
Net investment income.......... 0.91% 1.23% 1.32% 1.61% 1.63%
Decrease reflected in above expense
ratio due to absorption of
expenses by the Manager........... 0.01% 0.08% 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.
--------------------------------------------------------------------------------
25
<PAGE> 28
AMERICAN AADVANTAGE INTERMEDIATE BOND MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
OCTOBER 31, MARCH 2,
--------------- TO OCTOBER 31,
2000 1999 1998
------ ------ ----
<S> <C> <C> <C>
Net asset value, beginning of period........................ $ 9.72 $10.40 $ 10.00
------ ------ --------
Income from investment operations:
Net investment income(A)................................ 0.62 0.53 0.38
Net gains (losses) on securities (both realized and
unrealized)(A)........................................ (0.06) (0.67) 0.40
------ ------ --------
Total from investment operations............................ 0.56 (0.14) 0.78
------ ------ --------
Less distributions:
Dividends from net investment income.................... (0.62) (0.53) (0.38)
Distributions from net realized gains on securities..... - (0.01) -
------ ------ --------
Total distributions......................................... (0.62) (0.54) (0.38)
------ ------ --------
Net asset value, end of period.............................. $ 9.66 $ 9.72 $ 10.40
====== ====== ========
Total return (not annualized)............................... 5.98% (1.43)% 7.94%
====== ====== ========
Ratios and supplemental data:
Net assets, end of period (in thousands)................ $ 141 $ 501 $ 58
Ratios to average net assets (annualized)(A):
Expenses........................................... 0.89% 0.88% 0.87%
Net investment income.............................. 6.36% 5.48% 5.53%
Decrease reflected in above expense ratio due to
absorption of expenses by the Manager................. 2.35% 9.60% 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.
--------------------------------------------------------------------------------
26
<PAGE> 29
AMERICAN AADVANTAGE SHORT-TERM BOND MILEAGE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
OCTOBER 31,
-------------------------------------------
2000 1999 1998(A) 1997 1996
------ ------ ------- ------ ------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period(B)............... $ 9.29 $ 9.60 $ 9.60 $ 9.65 $ 9.83
------ ------ ------ ------ ------
Income from investment operations:
Net investment income(C).......................... 0.58 0.55 0.60 0.61 0.59
Net gains (losses) on securities (both realized
and unrealized)(C).............................. (0.09) (0.31) -- (0.05) (0.18)
------ ------ ------ ------ ------
Total from investment operations...................... 0.49 0.24 0.60 0.56 0.41
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income.............. (0.58) (0.55) (0.60) (0.61) (0.59)
Distributions from net realized gains on
securities...................................... - - - - -
------ ------ ------ ------ ------
Total distributions................................... (0.58) (0.55) (0.60) (0.61) (0.59)
------ ------ ------ ------ ------
Net asset value, end of period........................ $ 9.20 $ 9.29 $ 9.60 $ 9.60 $ 9.65
====== ====== ====== ====== ======
Total return.......................................... 5.46% 2.61% 6.45% 5.90% 4.55%
====== ====== ====== ====== ======
Ratios and supplemental data:
Net assets, end of period (in thousands).......... $ 860 $ 866 $1,494 $1,226 $1,168
Ratios to average net assets (annualized)(C):
Expenses..................................... 0.85% 0.85% 0.85% 0.85% 0.86%
Net investment income........................ 6.29% 5.78% 6.24% 6.37% 6.08%
Decrease reflected in above expense ratio due to
absorption of expenses by the Manager........... 1.73% 1.52% 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.
--------------------------------------------------------------------------------
27
<PAGE> 30
AMERICAN AADVANTAGE MILEAGE FUNDS
ADDITIONAL SHAREHOLDER INFORMATION -- (Unaudited)
--------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
Pursuant to provisions of the Internal Revenue Code, the Funds have
designated the following amounts as long-term capital gain distributions for the
fiscal year ended October 31, 2000:
<TABLE>
<CAPTION>
INTERNATIONAL
EQUITY FUND
-------------
<S> <C>
Amount of Distribution $708,585.55
Dividend Rate per Share $ 2.4945
</TABLE>
The International Equity Mileage Fund has elected to pass through the credit for
taxes paid in foreign countries. The Fund will notify shareholders in January
2001 of amounts for use in preparing 2000 income tax returns.
--------------------------------------------------------------------------------
28
<PAGE> 31
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Shareholders and Board of Trustees
AMR Investment Services Balanced Portfolio
AMR Investment Services Large Cap Value Portfolio
AMR Investment Services Small Cap Value Portfolio
AMR Investment Services International Equity Portfolio
AMR Investment Services Intermediate Bond Portfolio
AMR Investment Services Short-Term Bond Portfolio
We have audited the accompanying statements of assets and liabilities of
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 and the AMR Investment Services
Short-Term Bond Portfolio (collectively, "the Portfolios") (separate portfolios
comprising the AMR Investment Services Trust), including the schedules of
investments, as of October 31, 2000, and the related statements of operations,
the statements of changes in net assets, and the financial highlights for each
of the periods indicated therein. These financial statements and financial
highlights are the responsibility of the Portfolios' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States generally accepted. Those standards require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the amounts
and disclosures in the financial statements. Our procedures included
confirmation of investments owned as of October 31, 2000, by correspondence with
the custodian. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the portfolios of the AMR Investment Services Trust at October 31, 2000,
the results of their operations, the changes in their net assets, and the
financial highlights for each of the periods indicated therein, in conformity
with accounting principles generally accepted in the United States.
/s/ ERNST & YOUNG LLP
Dallas, Texas
December 15, 2000
--------------------------------------------------------------------------------
29
<PAGE> 32
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 7.22%
U.S. TREASURY NOTES - 3.40%
5.75%, Due 8/15/2003............... $ 4,300 $ 4,284
7.00%, Due 7/15/2006............... 2,110 2,224
6.50%, Due 10/15/2006.............. 4,750 4,899
6.625%, Due 5/15/2007.............. 5,495 5,720
5.625%, Due 5/15/2008.............. 2,000 1,972
4.25%, Due 1/15/2010............... 5,389 5,552
6.50%, Due 2/15/2010............... 2,445 2,559
----------
TOTAL U.S. TREASURY NOTES...... 27,210
----------
U.S. TREASURY BONDS - 3.82%
10.75%, Due 2/15/2003.............. 2,560 2,816
10.375%, Due 11/15/2012............ 3,730 4,651
7.50%, Due 11/15/2016.............. 2,100 2,419
8.875%, Due 8/15/2017.............. 1,700 2,209
8.125%, Due 8/15/2019.............. 1,785 2,205
5.25%, Due 2/15/2029............... 1,790 1,631
7.75%, Due 4/15/2029............... 2,780 2,791
6.25%, Due 5/15/2030............... 11,100 11,823
----------
TOTAL U.S. TREASURY BONDS...... 30,545
----------
TOTAL U.S. TREASURY
OBLIGATIONS.................. 57,755
----------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 7.40%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.45%
5.85%, Due 1/22/2008............... 1,000 957
5.82%, Due 3/30/2009............... 1,000 942
6.625%, Due 9/15/2009.............. 1,620 1,608
7.00%, Due 3/15/2010............... 3,125 3,188
6.00%, Due 3/1/2013................ 487 469
6.00%, Due 5/1/2014................ 1,775 1,712
6.50%, Due 5/1/2029................ 2,289 2,203
6.50%, Due 6/1/2029................ 374 359
6.50%, Due 7/1/2029................ 4,407 4,241
8.00%, Due 4/1/2030................ 3,875 3,928
----------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION......... 19,607
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.71%
6.75%, Due 8/15/2002............... 367 369
Pool # 253355, 7.50%, Due
6/1/2003......................... 4,937 4,929
MTN, 7.125%, Due 9/19/2005......... 6,000 5,999
7.125%, Due 6/15/2010.............. 2,000 2,062
Series 1989-21 G, 10.45%, Due
4/25/2019........................ 59 63
Pool # 306505, 8.00%, Due
3/1/2025......................... 289 293
Pool # 323706, 7.00%, Due
4/1/2029......................... 1,608 1,611
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Pool # 252805, 7.00%, Due
10/1/2029........................ $ 279 $ 273
Pool # 323967, 7.00%, Due
10/1/2029........................ 3,460 3,393
Pool # 534059, 7.00%, Due
3/1/2030......................... 1,962 1,922
7.125%, Due 1/15/2030.............. 1,025 1,066
Pool # 538554, 7.50%, Due
5/1/2030......................... 797 796
Series 2000, 7.25%, Due 5/15/2030.. 3,805 4,022
TBA, 6.00%......................... 1,765 1,655
TBA, 7.00%......................... 5,200 5,098
TBA, 7.50%......................... 3,020 3,015
TBA, 8.00%......................... 1,103 1,117
----------
TOTAL FEDERAL NATIONAL MORTGAGE
ASSOCIATION.................. 37,683
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.24%
TBA, 7.50%......................... 1,920 1,927
----------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION......... 1,927
----------
TOTAL U.S. AGENCY
MORTGAGE-BACKED
OBLIGATIONS.................. 59,217
----------
ASSET-BACKED SECURITIES - 1.37%
Asset Backed Securities
Corporation, 7.57%, Due
3/21/2024........................ 133 133
Asset Securitization Corporation,
Series 1997-D5 A1C, 6.75%, Due
2/14/2042........................ 1,760 1,727
Chase Commercial Mortgage
Securities Corporation, Series
1997-1 A2, 7.37%, Due
2/19/2008........................ 1,100 1,118
Commercial Financial Services
Corporation, 144a, 7.72%, Due
4/15/2005 (Note A)............... 1,624 383
Firstplus Home Loan Owner Trust,
6.32%, Due 8/10/2016............. 3,000 2,971
LB Commercial Conduit Mortgage
Trust, 6.21%, Due 10/15/2008..... 2,440 2,307
Structured Asset Securities
Corporation, 6.91%, Due
7/25/2024........................ 1,283 1,280
UBS Preferred Funding Trust I,
8.622%, Due 10/29/2049........... 1,000 1,011
----------
TOTAL ASSET-BACKED
SECURITIES................... 10,930
----------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
30
<PAGE> 33
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 0.95%
CitiCorp Mortgage Securities,
Incorporated, 6.92%, Due
8/25/2027........................ $ 2 $ 2
Credit Suisse First Boston
Mortgage,
6.91%, Due 1/15/2008............. 652 650
7.545%, Due 4/15/2010............ 750 769
CountryWide, Incorporated,
8.25%, Due 5/25/2010............. 358 363
7.50%, Due 7/25/2011............. 328 329
4.80%, Due 4/25/2028............. 704 697
DLJ Mortgage Acceptance
Corporation, 4.56%, Due
3/25/2024........................ 39 39
The Money Store Home Trust, 7.66%,
Due 8/15/2026.................... 1,500 1,462
Mortgage Capital Funding,
Incorporated, 6.758%, Due
2/20/2004........................ 542 539
Nomura Asset Securities
Corporation, 8.15%, Due
4/4/2027......................... 2,500 2,605
Southern Pacific Secured Asset
Trust, 6.27%, Due 3/25/2019...... 167 164
----------
TOTAL NON-AGENCY
MORTGAGE-BACKED
OBLIGATIONS.................. 7,619
----------
CORPORATE BONDS - 19.31%
BANKS - 2.08%
Amsouth Bancorporation, 6.125%, Due
3/1/2009......................... 750 664
Bank Austria, AG, 7.25%, Due
2/15/2017........................ 2,790 2,603
Bank of America Corporation,
7.80%, Due 2/15/2010............. 1,680 1,706
7.75%, Due 8/15/2015............. 2,000 1,981
Chase Manhattan Corporation, 6.00%,
Due 11/1/2005.................... 850 807
Citigroup, Incorporated, 6.00%, Due
2/25/2009........................ 1,264 1,236
First Union Corporation,
6.95%, Due 11/1/2004............. 840 827
7.55%, Due 8/18/2005............. 1,040 1,046
Firstar Corporation, 7.125%, Due
12/1/2009........................ 790 769
Inter-American Development Bank,
5.375%, Due 11/18/2008........... 1,280 1,175
International Bank Reconstruction
and Development, Zero Coupon, Due
2/15/2016........................ 7,064 2,410
PNC Funding Corporation, 6.875%,
Due 7/15/2008.................... 1,000 960
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Wells Fargo & Company, 7.55%, Due
6/21/2010........................ $ 425 $ 430
----------
TOTAL BANKS.................... 16,614
----------
FINANCE - 5.04%
All State Corporation, 7.20%, Due
12/1/2009........................ 600 587
Associates Corporation of North
America,
6.00%, Due 4/15/2003............. 2,000 1,963
6.25%, Due 11/1/2008............. 445 413
Barclays Bank, PLC, 144a, 8.55%,
Due 9/29/2049 (Note A)........... 1,300 1,308
CNA Financial Corporation, 6.95%,
Due 1/15/2018.................... 1,675 1,359
Countrywide Funding Corporation,
MTN, 6.85%, Due 6/15/2005........ 2,135 2,117
Caterpillar Financial Services
Corporation, 7.58%, Due
7/7/2003......................... 1,025 1,039
CS First Boston Mortgage Securities
Corporation, 6.60%, Due
6/15/2027........................ 2,600 2,584
EOP Operating Limited Partnership,
6.625%, Due 2/15/2005............ 900 870
6.38%, Due 2/15/2012............. 1,120 1,099
Fleet Financial Group,
Incorporated, 6.70%, Due
7/15/2028........................ 2,000 1,714
Ford Motor Credit Company,
5.75%, Due 2/23/2004............. 1,125 1,073
7.375%, Due 10/28/2009........... 775 755
General Electric Capital
Corporation,
7.375%, Due 9/15/2004............ 1,000 1,018
7.50%, Due 5/15/2005............. 800 818
General Motors Acceptance
Corporation,
7.50%, Due 7/15/2005............. 445 449
Goldman Sachs Group, Incorporated,
7.35%, Due 10/1/2009............. 1,100 1,079
7.80%, Due 1/28/2010............. 445 449
Household Finance Corporation,
6.00%, Due 5/1/2004.............. 700 673
6.50%, Due 11/15/2008............ 2,485 2,302
John Hancock Financial Services,
Incorporated,
7.375%, Due 2/15/2024............ 2,685 2,504
Lehman Brothers Holdings,
Incorporated,
6.625%, Due 2/5/2006............. 850 809
Liberty Mutual Corporation,
7.875%, Due 10/15/2026........... 1,500 1,283
MBNA Master Credit Card Trust II,
6.60%, Due 11/15/2004............ 848 847
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
31
<PAGE> 34
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Merrill Lynch & Company,
Incorporated,
7.08%, Due 10/3/2005............. $ 2,100 $ 2,092
The Money Store Trust,
7.55%, Due 2/15/2020............. 695 694
Phillips Petroleum Company,
8.50%, Due 5/25/2005............. 2,100 2,215
PMI Group, Incorporated,
6.75%, Due 11/15/2006............ 2,000 1,957
Provident Companies, Incorporated,
7.25%, Due 3/15/2028............. 3,000 2,430
Simon Property Group, Incorporated,
144a, 6.625%, Due 6/15/2003 (Note
A)............................... 1,675 1,631
US West Capital Funding,
Incorporated,
6.875%, Due 7/15/2028............ 170 150
----------
TOTAL FINANCE.................. 40,281
----------
FOREIGN - 1.47%
Foreningsbk Kredit,
6.656%, Due 12/29/2049........... 1,250 1,248
LG-Caltex Oil Corporation,
7.14%, Due 10/29/2001............ 1,500 1,500
Nordbanken AB, MTN,
6.412%, Due 10/29/2049........... 1,500 1,492
Osuuspankkien Kesk,
6.012%, Due 9/29/2049............ 1,750 1,742
Pohang Iron and Steel Limited,
7.50%, Due 8/1/2002.............. 1,500 1,484
Province of Quebec,
7.50%, Due 9/15/2029............. 1,445 1,461
Rio Tinto Canada, Incorporated,
6.00%, Due 8/26/2003............. 2,865 2,794
----------
TOTAL FOREIGN.................. 11,721
----------
INDUSTRIAL - 9.09%
Abitibi Consolidated, Incorporated,
8.85%, Due 8/1/2030.............. 3,000 2,888
Akzo Nobel, Incorporated,
6.00%, Due 11/15/2003............ 2,880 2,787
Amerada Hess Corporation,
7.875%, Due 10/1/2029............ 135 135
American General Corporation,
7.50%, Due 8/11/2010............. 925 924
Armstrong World Industries
Incorporated,
6.35%, Due 8/15/2003............. 820 310
Ashland, Incorporated,
6.72%, Due 3/7/2003.............. 1,800 1,794
Atlantic Richfield Corporation,
9.125%, Due 3/1/2011............. 1,425 1,629
Bemis, Incorporated,
6.70%, Due 7/1/2005.............. 1,000 995
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Boise Cascade Office Products
Company,
7.05%, Due 5/15/2005............. $ 795 $ 744
Capital Cities ABC, Incorporated,
8.875%, Due 12/15/2000........... 1,000 1,001
Comdisco, Incorporated,
5.95%, Due 4/30/2002............. 840 630
ConAgra, Incorporated,
7.875%, Due 9/15/2010............ 875 891
Conoco, Incorporated,
6.95%, Due 4/15/2029............. 3,425 3,184
Crown Cork & Seal, Incorporated,
7.125%, Due 9/1/2002............. 2,500 1,951
DaimlerChrysler North America,
8.00%, Due 6/15/2010............. 1,325 1,355
Deutsche Telekom International
Finance Corporation,
8.25%, Due 6/15/2031............. 3,900 3,992
E.I. DuPont de Nemours & Company,
6.75%, Due 10/15/2002............ 1,000 1,001
Federated Department Stores,
Incorporated,
6.79%, Due 7/15/2027............. 1,425 1,384
FMC Corporation,
7.125%, Due 11/25/2002........... 1,765 1,752
Ford Motor Company,
6.63%, Due 10/1/2028............. 630 522
7.45%, Due 7/16/2031............. 1,500 1,383
Hershey Foods Corporation,
6.95%, Due 3/1/2007.............. 1,000 1,000
Lockheed Martin Corporation,
8.50%, Due 12/1/2029............. 2,640 2,825
7.20%, Due 5/1/2036.............. 1,925 1,879
May Department Stores Company,
7.625%, Due 8/15/2013............ 1,890 1,809
McDonalds Corporation, MTN, 6.50%,
Due 8/1/2007..................... 1,000 976
Merck & Company, Incorporated,
5.95%, Due 12/1/2028............. 3,540 3,016
Motorola Incorporated,
5.80%, Due 10/15/2008............ 2,270 2,070
News America, Incorporated, 7.125%,
Due 4/8/2028..................... 135 114
Norfolk Southern Corporation,
7.05%, Due 5/1/2037.............. 1,540 1,527
Paramount Communications,
Incorporated, 8.25%, Due
8/1/2023......................... 1,900 1,844
Petroleum Geological Services,
7.125%, Due 3/30/2028............ 245 214
Philip Morris Companies,
Incorporated,
8.25%, Due 10/15/2003............ 260 262
8.375%, Due 1/15/2017............ 343 325
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
32
<PAGE> 35
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Praxair, Incorporated,
6.15%, Due 4/15/2003............. $ 3,800 $ 3,685
Raytheon Corporation,
5.70%, Due 11/1/2003............. 1,310 1,260
6.15%, Due 11/1/2008............. 2,160 1,982
Reliant Energy Mid Atlantic
Company, 144a, 9.237%, Due
7/2/2017 (Note A)................ 500 509
Rohm and Haas Company,
7.85%, Due 7/15/2029............. 2,000 1,950
Royal Caribbean Cruises, Limited
7.00%, Due 10/15/2007............ 2,000 1,777
8.00%, Due 10/1/2010 144a (Note
A)............................. 1,800 1,767
Sara Lee Corporation,
6.00%, Due 1/15/2008............. 1,200 1,120
Time Warner, Incorporated,
6.85%, Due 1/15/2026............. 1,660 1,643
6.625%, Due 5/15/2029............ 140 120
Unilever Capital, 7.125%, Due
11/1/2010........................ 2,000 1,977
Viacom, Incorporated,
7.75%, Due 6/1/2005.............. 1,075 1,098
7.875%, Due 7/30/2030............ 3,000 3,024
Wal-Mart Stores, Incorporated,
7.55%, Due 2/15/2030............. 480 498
Williams Companies, Incorporated,
6.50%, Due 8/1/2007.............. 1,170 1,125
----------
TOTAL INDUSTRIAL............... 72,648
----------
TRANSPORTATION - 0.60%
CNF Transportation,
Incorporated, 8.875%, Due
5/1/2010......................... 1,445 1,431
CSX Corporation,
6.25%, Due 10/15/2008............ 2,500 2,273
NWA Trust,
11.30%, Due 6/21/2014............ 944 1,063
----------
TOTAL TRANSPORTATION........... 4,767
----------
UTILITY - 1.03%
Consolidated Edison Company of New
York, Incorporated, 7.50%, Due
9/1/2010......................... 800 794
Cox Communications, Incorporated,
7.00%, Due 8/15/2001............. 800 796
Electric Lightwave, Incorporated,
144a, 6.05%, Due 5/15/2004 (Note
A)............................... 2,000 1,947
Entergy Louisiana Incorporated,
8.50%, Due 6/1/2003.............. 1,850 1,902
Scana Corporation,
144a, 6.59%, Due 2/8/2002 (Note
A)............................... 1,000 1,000
Sprint Capital Corporation, 6.90%,
Due 5/1/2019..................... 1,530 1,302
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
-------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Worldcom, Incorporated,
7.75%, Due 4/1/2007.............. $ 500 $ 507
----------
TOTAL UTILITY.................. 8,248
----------
TOTAL CORPORATE
BONDS........................ 154,279
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
----------
<S> <C> <C>
PREFERRED STOCK - 0.14%
Home Ownership Funding
Corporation II, Series 144a
(Note A)..................... 1,500 1,136
---------
TOTAL PREFERRED
STOCK.................... 1,136
---------
COMMON STOCK - 57.25%
CONSUMER DISCRETIONARY - 6.54%
AUTO COMPONENTS - 0.30%
Dana Corporation............... 40,300 894
TRW, Incorporated.............. 35,900 1,507
---------
TOTAL AUTO COMPONENTS...... 2,401
---------
AUTOMOBILES - 0.99%
Ford Motor Company............. 263,041 6,872
General Motors Corporation..... 16,246 1,009
---------
TOTAL AUTOMOBILES.......... 7,881
---------
HOTELS, RESTAURANTS & LEISURE - 0.63%
Wendy's International,
Incorporated................. 232,300 5,053
---------
TOTAL HOTELS, RESTAURANTS &
LEISURE.................. 5,053
---------
HOUSEHOLD DURABLES - 0.60%
Fortune Brands, Incorporated... 94,800 2,791
Konnklijke Philips
Electronics NV............... 49,431 1,973
---------
TOTAL HOUSEHOLD DURABLES... 4,764
---------
LEISURE EQUIPMENT & PRODUCTS - 0.10%
Eastman Kodak Company.......... 17,800 799
---------
TOTAL LEISURE EQUIPMENT &
PRODUCTS................. 799
---------
MEDIA - 0.92%
Fox Entertainment Group,
Incorporated+................ 49,600 1,066
Interpublic Group Companies,
Incorporated................. 104,600 4,490
Seagram Limited................ 31,800 1,817
---------
TOTAL MEDIA................ 7,373
---------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
33
<PAGE> 36
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
MULTILINE RETAIL - 2.40%
Costco Wholesale
Corporation+................. 23,600 $ 864
Federated Department Stores,
Incorporated+................ 108,800 3,543
K Mart Corporation+............ 403,400 2,395
May Department Stores
Company...................... 109,800 2,882
J.C. Penney Company,
Incorporated................. 197,900 2,313
Sears Roebuck & Company........ 137,400 4,085
Target Corporation............. 112,600 3,111
---------
TOTAL MULTILINE RETAIL..... 19,193
---------
SPECIALTY RETAIL - 0.51%
Toys R Us, Incorporated+....... 237,600 4,084
---------
TOTAL SPECIALTY
RETAIL................... 4,084
---------
TEXTILES & APPAREL - 0.09%
Russell Corporation............ 43,600 698
---------
TOTAL TEXTILES & APPAREL... 698
---------
TOTAL CONSUMER
DISCRETIONARY............ 52,246
---------
CONSUMER STAPLES - 3.34%
FOOD PRODUCTS - 0.50%
Sara Lee Company............... 187,000 4,032
---------
TOTAL FOOD
PRODUCTS................. 4,032
---------
HOUSEHOLD PRODUCTS - 0.54%
Fort James Corporation......... 103,800 3,419
Proctor & Gamble Company....... 13,100 936
---------
TOTAL HOUSEHOLD PRODUCTS... 4,355
---------
TOBACCO - 2.30%
Gallaher Group PLC, ADR........ 122,400 2,815
Imperial Tobacco Group PLC..... 155,800 3,038
Philip Morris Companies,
Incorporated................. 342,600 12,548
---------
TOTAL TOBACCO.............. 18,401
---------
TOTAL CONSUMER STAPLES..... 26,788
---------
ENERGY - 5.75%
ENERGY EQUIPMENT & SERVICES - 1.46%
Baker Hughes, Incorporated..... 176,400 6,064
Halliburton Company............ 115,800 4,292
Global Marine, Incorporated+... 51,000 1,352
---------
TOTAL ENERGY EQUIPMENT &
SERVICES................. 11,708
---------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
OIL & GAS - 4.29%
BP Amoco, PLC.................. 131,640 $ 6,705
Conoco, Incorporated........... 112,000 3,045
Occidental Petroleum
Corporation.................. 326,100 6,481
Phillips Petroleum Company..... 89,700 5,539
Texaco, Incorporated........... 79,400 4,690
USX Marathon Group............. 250,700 6,816
Ultramar Diamond Shamrock...... 39,000 1,024
---------
TOTAL OIL & GAS............ 34,300
---------
TOTAL ENERGY............... 46,008
---------
FINANCIALS - 12.73%
BANKS - 5.60%
Bank of America Corporation.... 163,311 7,849
Bank One Corporation........... 100,267 3,660
Chase Manhattan Corporation.... 109,050 4,962
First Union Corporation........ 193,400 5,862
FleetBoston Financial
Corporation.................. 131,300 4,989
KeyCorp........................ 80,600 1,990
PNC Financial Services Group,
Incorporated................. 55,878 3,737
UnionBanCal Corporation........ 22,700 477
US Bancorp, Incorporated....... 24,000 581
Washington Mutual,
Incorporated................. 243,200 10,701
---------
TOTAL BANKS................ 44,808
---------
DIVERSIFIED FINANCIALS - 2.47%
Bear Stearns Companies,
Incorporated................. 48,000 2,910
CIT Group, Incorporated........ 183,300 3,196
CitiGroup, Incorporated........ 65,142 3,428
Federal National Mortgage
Association.................. 24,800 1,910
Household International,
Incorporated................. 29,032 1,461
Morgan Stanley Dean Witter
Discover & Company........... 24,200 1,944
Paine Webber Group,
Incorporated................. 68,350 4,870
---------
TOTAL DIVERSIFIED
FINANCIALS............... 19,719
---------
INSURANCE - 4.66%
Ace Limited.................... 73,000 2,865
Allstate Corporation........... 288,200 11,600
American General Corporation... 30,300 2,439
Aon Corporation................ 60,875 2,523
Jefferson-Pilot Corporation.... 22,800 1,568
Lincoln National Corporation... 81,000 3,918
MBIA, Incorporated............. 22,000 1,599
Metlife, Incorporated+......... 134,280 3,709
Safeco Corporation............. 75,800 1,833
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
34
<PAGE> 37
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
St. Paul Companies,
Incorporated................. 75,000 $ 3,844
XL Capital Limited............. 18,000 1,384
---------
TOTAL INSURANCE............ 37,282
---------
TOTAL FINANCIALS........... 101,809
---------
HEALTH CARE - 3.20%
HEALTH CARE EQUIPMENT & SUPPLIES - 0.39%
Baxter International,
Incorporated................. 37,500 3,082
---------
TOTAL HEALTH CARE EQUIPMENT
&
SUPPLIES................. 3,082
---------
HEALTH CARE PROVIDERS & SERVICES - 0.30%
Aetna, Incorporated............ 40,800 2,359
---------
TOTAL HEALTH CARE PROVIDERS
&
SERVICES................. 2,359
---------
PHARMACEUTICALS - 2.51%
Abbott Laboratories............ 64,000 3,380
Bristol-Myers Squibb
Company...................... 124,400 7,581
Johnson & Johnson.............. 45,500 4,192
Pfizer, Incorporated........... 48,600 2,099
Watson Pharmaceuticals,
Incorporated+................ 44,600 2,790
---------
TOTAL PHARMACEUTICALS...... 20,042
---------
TOTAL HEALTH CARE.......... 25,483
---------
INDUSTRIALS - 7.91%
AEROSPACE & DEFENSE - 2.16%
Honeywell International,
Incorporated................. 220,787 11,881
Lockheed Martin Corporation.... 39,700 1,423
Northrop Grumman Corporation... 35,000 2,940
Raytheon Company............... 31,000 1,060
---------
TOTAL AEROSPACE &
DEFENSE.................. 17,304
---------
AIR FREIGHT & COURIERS - 0.34%
CNF Transportation,
Incorporated................. 102,000 2,722
---------
TOTAL AIR FREIGHT &
COURIERS................. 2,722
---------
COMMERCIAL SERVICES & SUPPLIES - 2.01%
Cendant Corporation+........... 150,100 1,801
DeLuxe Corporation............. 74,800 1,688
First Data Corporation......... 102,000 5,113
Pitney Bowes, Incorporated..... 52,000 1,544
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Waste Management,
Incorporated................. 296,979 $ 5,940
---------
TOTAL COMMERCIAL SERVICES &
SUPPLIES................. 16,086
---------
ELECTRICAL EQUIPMENT - 0.73%
Cooper Industries,
Incorporated................. 71,000 2,716
Emerson Electrical Company..... 42,600 3,128
---------
TOTAL ELECTRICAL
EQUIPMENT................ 5,844
---------
INDUSTRIAL CONGLOMERATES - 0.97%
ITT Industries, Incorporated... 163,100 5,311
Tyco International Limited..... 42,800 2,426
---------
TOTAL INDUSTRIAL
CONGLOMERATES............ 7,737
---------
MACHINERY - 0.58%
Caterpillar, Incorporated...... 42,000 1,473
Deere and Company.............. 65,000 2,393
Harsco Corporation............. 37,900 765
---------
TOTAL MACHINERY............ 4,631
---------
ROAD & RAIL - 0.89%
Burlington Northern,
Incorporated................. 94,400 2,508
CSX Corporation................ 133,900 3,389
Norfolk Southern Corporation... 84,300 1,191
---------
TOTAL ROAD & RAIL.......... 7,088
---------
TRADING COMPANIES & DISTRIBUTION - 0.23%
Genuine Parts Company.......... 86,000 1,833
---------
TOTAL TRADING COMPANIES &
DISTRIBUTION............. 1,833
---------
TOTAL INDUSTRIALS.......... 63,245
---------
INFORMATION TECHNOLOGY - 2.05%
COMMUNICATIONS EQUIPMENT - 0.48%
Avaya, Incorporated+........... 2,533 34
ECI Telecom Limited............ -- --
Lucent Technologies,
Incorporated................. 30,400 709
Motorola, Incorporated......... 58,200 1,451
Tellabs, Incorporated+......... 32,300 1,613
---------
TOTAL COMMUNICATIONS
EQUIPMENT................ 3,807
---------
COMPUTERS & PERIPHERALS - 0.41%
International Business Machines
Corporation.................. 24,200 2,384
Storage Technology
Corporation+................. 93,000 907
---------
TOTAL COMPUTERS &
PERIPHERALS.............. 3,291
---------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
35
<PAGE> 38
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
ELECTRONIC EQUIPMENT AND INSTRUMENTATION - 0.08%
Diebold, Incorporated.......... 25,000 $ 650
---------
TOTAL ELECTRONIC EQUIPMENT
AND INSTRUMENTATION...... 650
---------
OFFICE ELECTRONICS - 0.15%
Ikon Office Solutions,
Incorporated................. 164,700 535
Xerox Corporation.............. 75,000 633
---------
TOTAL OFFICE ELECTRONICS... 1,168
---------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.20%
National Semiconductor
Corporation+................. 33,900 881
Teradyne, Incorporated+........ 23,200 725
---------
TOTAL SEMICONDUCTOR
EQUIPMENT & PRODUCTS..... 1,606
---------
SOFTWARE - 0.73%
Computer Assoc. International,
Incorporated................. 136,300 4,345
Electronics For Imaging,
Incorporated+................ 98,000 1,519
---------
TOTAL SOFTWARE............. 5,864
---------
TOTAL INFORMATION
TECHNOLOGY............... 16,386
---------
MATERIALS - 5.23%
CHEMICALS - 2.35%
Crompton Corporation........... 257,013 2,056
Dow Chemical Company........... 137,300 4,205
Eastman Chemical Company....... -- --
Hercules, Incorporated......... 119,600 2,190
Imperial Chemical Industries,
PLC.......................... 104,000 2,574
Lyondell Chemical Company...... 230,100 3,308
Millennium Chemicals,
Incorporated................. 90,271 1,456
PPG Industries, Incorporated... 67,000 2,990
---------
TOTAL CHEMICALS............ 18,779
---------
CONTAINERS & PACKAGING - 0.15%
Pactiv Corporation+............ 114,600 1,203
---------
TOTAL CONTAINERS &
PACKAGING................ 1,203
---------
METALS & MINING - 0.82%
Alcan Aluminum Limited......... 44,000 1,389
Alcoa, Incorporated............ 128,596 3,689
USX-US Steel Group............. 91,700 1,461
---------
TOTAL METALS &
MINING................... 6,539
---------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
PAPER & FOREST PRODUCTS - 1.91%
Georgia-Pacific Corporation.... 138,000 $ 3,709
Georgia-Pacific Corporation,
The Timber Group............. 53,100 1,503
International Paper Company.... 65,826 2,411
Mead Corporation............... 147,000 4,254
Sappi Limited.................. 230,000 1,610
Weyerhaeuser Company........... 37,800 1,774
---------
TOTAL PAPER & FOREST
PRODUCTS................. 15,261
---------
TOTAL MATERIALS............ 41,782
---------
TELECOMMUNICATION SERVICES - 3.48%
DIVERSIFIED TELECOMMUNICATION - 3.48%
AT&T Corporation............... 59,050 1,369
Alltel Corporation............. 32,900 2,120
BCE, Incorporated.............. 36,000 974
Bellsouth Corporation.......... 85,600 4,136
SBC Communications,
Incorporated................. 100,748 5,812
Sprint Corporation............. 51,680 1,318
Verizon Communications,
Incorporated................. 179,936 10,403
WorldCom, Incorporated+........ 72,000 1,710
---------
TOTAL DIVERSIFIED
TELECOMMUNICATION........ 27,842
---------
TOTAL TELECOMMUNICATION
SERVICES................. 27,842
---------
UTILITIES - 7.02%
ELECTRIC UTILITIES - 5.60%
American Electric Power
Company, Incorporated........ 218,100 9,051
CMS Energy Corporation......... 32,800 886
CNH Global NV.................. 149,800 1,451
Dominion Resources,
Incorporated................. 20,844 1,242
DTE Energy Company............. 113,100 4,086
Edison International........... 69,700 1,664
Entergy Corporation............ 172,400 6,605
Northeast Utilities............ 291,600 5,941
PPL Corporation................ 39,806 1,640
Potomac Electric Power
Company...................... 70,400 1,610
Public Service Enterprise
Group........................ 11,300 469
Reliant Energy, Incorporated... 142,700 5,895
TXU Corporation................ 113,500 4,207
---------
TOTAL ELECTRIC UTILITIES... 44,747
---------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
36
<PAGE> 39
AMR INVESTMENT SERVICES BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
GAS UTILITIES - 0.89%
Equitable Resources,
Incorporated................. 49,200 $ 2,854
MCN Energy Group,
Incorporated................. 136,200 3,354
Peoples Energy Corporation..... 27,000 928
---------
TOTAL GAS UTILITIES........ 7,136
---------
MULTI-UTILITIES - 0.53%
Scana Corporation.............. 44,444 1,178
Williams Companies,
Incorporated................. 74,069 3,097
---------
TOTAL MULTI-UTILITIES...... 4,275
---------
TOTAL UTILITIES............ 56,158
---------
TOTAL COMMON STOCK......... 457,747
---------
<CAPTION>
PAR
AMOUNT
----------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 12.12%
UNITED STATES TREASURY BILLS - 0.57%
5.885%, Due 12/14/2000 (Note
B)........................... $ 4,600 4,568
---------
TOTAL UNITED STATES
TREASURY BILLS........... 4,568
---------
<CAPTION>
SHARES VALUE
---------- ---------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
OTHER SHORT-TERM INVESTMENTS - 11.55%
American Select Cash Reserve
Fund......................... 81,815,009 $ 81,815
AMR Investments Enhanced Yield
Business Trust............... 10,494,430 10,494
---------
TOTAL OTHER SHORT-TERM
INVESTMENTS.............. 92,309
---------
TOTAL SHORT-TERM
INVESTMENTS.............. 96,877
---------
TOTAL INVESTMENTS - 105.76%
(COST $817,349).............. 845,560
---------
LIABILITIES, NET OF OTHER
ASSETS - (5.76%)............. (46,053)
---------
TOTAL NET ASSETS - 100%........ $ 799,507
=========
</TABLE>
---------------
Based on the cost of investments of $820,652 for federal income tax purposes at
October 31, 2000, the aggregate gross unrealized appreciation was $78,185, the
aggregate gross unrealized depreciation was $53,277 and the net unrealized
depreciation of investments was $24,908.
(A) 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 $9,681 or 1.21% of net assets.
(B) At October 31, 2000, security held as collateral for open futures contracts.
ABBREVIATIONS:
ADR - American Depositary Receipt
MTN - Medium-Term Note
TBA - To Be Announced
+ - non-income producing
See accompanying notes
--------------------------------------------------------------------------------
37
<PAGE> 40
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
COMMON STOCK - 94.3%
CONSUMER DISCRETIONARY - 11.61%
AUTO COMPONENTS - 0.37%
Dana Corporation.............. 72,000 $ 1,598
TRW, Incorporated............. 28,700 1,204
----------
TOTAL AUTO COMPONENTS..... 2,802
----------
AUTOMOBILES - 1.85%
Ford Motor Company............ 477,824 12,483
General Motors Corporation.... 25,509 1,585
----------
TOTAL AUTOMOBILES......... 14,068
----------
HOTELS, RESTAURANTS & LEISURE - 1.09%
Wendy's International,
Incorporated................ 382,900 8,328
----------
TOTAL HOTELS, RESTAURANTS
& LEISURE............... 8,328
----------
HOUSEHOLD DURABLES - 1.18%
Fortune Brands,
Incorporated................ 167,300 4,925
Konnklijke Philips Electronics
NV.......................... 101,966 4,071
----------
TOTAL HOUSEHOLD
DURABLES................ 8,996
----------
LEISURE EQUIPMENT & PRODUCTS - 0.11%
Eastman Kodak Company......... 18,500 830
----------
TOTAL LEISURE EQUIPMENT &
PRODUCTS................ 830
----------
MEDIA - 1.65%
Fox Entertainment Group,
Incorporated+............... 87,300 1,877
Interpublic Group Companies,
Incorporated................ 178,500 7,663
Seagram Limited............... 52,700 3,010
----------
TOTAL MEDIA............... 12,550
----------
MULTILINE RETAIL - 4.42%
Costco Wholesale
Corporation+................ 41,500 1,520
Federated Department Stores,
Incorporated+............... 190,500 6,203
K Mart Corporation+........... 593,500 3,524
May Department Stores
Company..................... 196,200 5,150
J.C. Penney Company,
Incorporated................ 396,600 4,635
Sears Roebuck & Company....... 225,700 6,710
Target Corporation............ 213,800 5,906
----------
TOTAL MULTILINE RETAIL.... 33,648
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
SPECIALTY RETAIL - 0.87%
Toys R Us, Incorporated+...... 386,000 $ 6,634
----------
TOTAL SPECIALTY RETAIL.... 6,634
----------
TEXTILES & APPAREL - 0.07%
Russell Corporation........... 32,400 518
----------
TOTAL TEXTILES &
APPAREL................. 518
----------
TOTAL CONSUMER
DISCRETIONARY........... 88,374
----------
CONSUMER STAPLES - 5.45%
FOOD PRODUCTS - 0.79%
Sara Lee Company.............. 277,700 5,988
----------
TOTAL FOOD PRODUCTS....... 5,988
----------
HOUSEHOLD PRODUCTS - 0.87%
Fort James Corporation........ 153,700 5,062
Proctor & Gamble Company...... 22,200 1,586
----------
TOTAL HOUSEHOLD
PRODUCTS................ 6,648
----------
TOBACCO - 3.79%
Gallaher Group PLC, ADR....... 187,200 4,306
Imperial Tobacco Group PLC.... 230,300 4,491
Philip Morris Companies,
Incorporated................ 549,000 20,107
----------
TOTAL TOBACCO............. 28,904
----------
TOTAL CONSUMER STAPLES.... 41,540
----------
ENERGY - 9.52%
ENERGY EQUIPMENT & SERVICES - 2.22%
Baker Hughes, Incorporated.... 245,700 8,446
Halliburton Company........... 173,700 6,438
Global Marine,
Incorporated+............... 77,800 2,062
----------
TOTAL ENERGY EQUIPMENT &
SERVICES................ 16,946
----------
OIL & GAS - 7.3%
BP Amoco, PLC................. 242,640 12,359
Conoco, Incorporated.......... 157,000 4,268
Occidental Petroleum
Corporation................. 483,300 9,606
Phillips Petroleum Company.... 141,600 8,744
Texaco, Incorporated.......... 111,600 6,591
USX Marathon Group............ 451,925 12,287
Ultramar Diamond Shamrock..... 67,200 1,764
----------
TOTAL OIL & GAS........... 55,619
----------
TOTAL ENERGY.............. 72,565
----------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
38
<PAGE> 41
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
FINANCIALS - 19.9%
BANKS - 9.2%
Bank of America Corporation... 245,803 $ 11,814
Bank One Corporation.......... 123,000 4,490
Chase Manhattan Corporation... 155,342 7,068
First Union Corporation....... 327,700 9,933
FleetBoston Financial
Corporation................. 247,800 9,416
KeyCorp....................... 133,300 3,291
PNC Financial Services Group,
Incorporated................ 85,127 5,693
UnionBanCal Corporation....... 47,600 1,000
U. S. Bancorp................. 24,000 581
Washington Mutual,
Incorporated................ 381,500 16,786
----------
TOTAL BANKS............... 70,072
----------
DIVERSIFIED FINANCIALS - 3.13%
Bear Stearns Companies,
Incorporated................ 66,000 4,001
CIT Group, Incorporated....... 300,900 5,247
CitiGroup, Incorporated....... 91,938 4,838
Federal National Mortgage
Association................. 43,000 3,311
Household International,
Incorporated................ 46,263 2,328
Morgan Stanley Dean Witter
Discover & Company.......... 50,900 4,088
----------
TOTAL DIVERSIFIED
FINANCIALS.............. 23,813
----------
INSURANCE - 7.57%
Ace Limited................... 71,000 2,787
Allstate Corporation.......... 441,828 17,784
American General Corporation.. 47,300 3,808
Aon Corporation............... 92,700 3,841
Jefferson-Pilot Corporation... 33,200 2,283
Lincoln National
Corporation................. 135,000 6,531
MBIA, Incorporated............ 34,000 2,471
Metlife, Incorporated+........ 223,000 6,160
Safeco Corporation............ 126,800 3,067
St. Paul Companies,
Incorporated................ 125,800 6,447
XL Capital Limited............ 32,000 2,460
----------
TOTAL INSURANCE........... 57,639
----------
TOTAL FINANCIALS.......... 151,524
----------
HEALTH CARE - 5.24%
HEALTH CARE EQUIPMENT & SUPPLIES - 0.58%
Baxter International,
Incorporated................ 53,800 4,422
----------
TOTAL HEALTH CARE
EQUIPMENT & SUPPLIES.... 4,422
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
HEALTH CARE PROVIDERS & SERVICES - 0.52%
Aetna, Incorporated........... 68,300 $ 3,949
----------
TOTAL HEALTH CARE
PROVIDERS & SERVICES.... 3,949
----------
PHARMACEUTICALS - 4.14%
Abbott Laboratories........... 120,000 6,338
Bristol-Myers Squibb Company.. 210,000 12,797
Johnson & Johnson............. 53,000 4,883
Pfizer, Incorporated.......... 80,000 3,455
Watson Pharmaceuticals,
Incorporated+............... 64,400 4,029
----------
TOTAL PHARMACEUTICALS..... 31,502
----------
TOTAL HEALTH CARE......... 39,873
----------
INDUSTRIALS - 13.17%
AEROSPACE & DEFENSE - 3.72%
Honeywell International
Incorporated................ 361,200 19,437
Lockheed Martin Corporation... 53,800 1,929
Northrop Grumman
Corporation................. 62,900 5,284
Raytheon Company.............. 50,000 1,709
----------
TOTAL AEROSPACE &
DEFENSE................. 28,359
----------
AIR FREIGHT & COURIERS - 0.61%
CNF Transportation,
Incorporated................ 173,500 4,630
----------
TOTAL AIR FREIGHT &
COURIERS................ 4,630
----------
COMMERCIAL SERVICES & SUPPLIES - 3.14%
Cendant Corporation+.......... 174,900 2,099
DeLuxe Corporation............ 106,000 2,392
First Data Corporation........ 159,500 7,995
Pitney Bowes, Incorporated.... 74,000 2,197
Waste Management,
Incorporated................ 462,795 9,256
----------
TOTAL COMMERCIAL SERVICES
& SUPPLIES.............. 23,939
----------
ELECTRICAL EQUIPMENT - 1.1%
Cooper Industries,
Incorporated................ 102,700 3,928
Emerson Electrical Company.... 60,900 4,472
----------
TOTAL ELECTRICAL
EQUIPMENT............... 8,400
----------
INDUSTRIAL CONGLOMERATES - 1.97%
ITT Industries,
Incorporated................ 334,700 10,899
Tyco International, Limited... 73,100 4,144
----------
TOTAL INDUSTRIAL
CONGLOMERATES........... 15,043
----------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
39
<PAGE> 42
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
MACHINERY - 0.63%
Caterpillar, Incorporated..... 63,000 $ 2,209
Deere and Company............. 70,000 2,577
----------
TOTAL MACHINERY........... 4,786
----------
ROAD & RAIL - 1.68%
Burlington Northern,
Incorporated................ 184,600 4,903
CSX Corporation............... 235,600 5,964
Norfolk Southern
Corporation................. 136,800 1,932
----------
TOTAL ROAD & RAIL......... 12,799
----------
TRADING COMPANIES & DISTRIBUTION - 0.32%
Genuine Parts Company......... 116,000 2,472
----------
TOTAL TRADING COMPANIES &
DISTRIBUTION............ 2,472
----------
TOTAL INDUSTRIALS......... 100,428
----------
INFORMATION TECHNOLOGY - 3.51%
COMMUNICATIONS EQUIPMENT - 0.84%
Lucent Technologies,
Incorporated................ 57,200 1,333
Motorola, Incorporated........ 98,600 2,459
Tellabs, Incorporated+........ 52,600 2,627
----------
TOTAL COMMUNICATIONS
EQUIPMENT............... 6,419
----------
COMPUTERS & PERIPHERALS - 0.69%
International Business
Machines Corporation........ 42,500 4,186
Storage Technology
Corporation+................ 107,000 1,043
----------
TOTAL COMPUTERS &
PERIPHERALS............. 5,229
----------
OFFICE ELECTRONICS - 0.26%
Ikon Office Solutions,
Incorporated................ 277,600 902
Xerox Corporation............. 125,200 1,056
----------
TOTAL OFFICE
ELECTRONICS............. 1,958
----------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.37%
National Semiconductor
Corporation+................ 60,200 1,565
Teradyne, Incorporated+....... 41,500 1,297
----------
TOTAL SEMICONDUCTOR
EQUIPMENT & PRODUCTS.... 2,862
----------
SOFTWARE - 1.35%
Computer Association
International,
Incorporated................ 255,100 8,131
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Electronics For Imaging,
Incorporated+............... 137,000 $ 2,124
----------
TOTAL SOFTWARE............ 10,255
----------
TOTAL INFORMATION
TECHNOLOGY.............. 26,723
----------
MATERIALS - 8.5%
CHEMICALS - 3.95%
Crompton Corporation.......... 316,708 2,534
Dow Chemical Company.......... 261,000 7,993
Hercules, Incorporated........ 207,000 3,791
Imperial Chemical Industries,
PLC......................... 163,200 4,039
Lyondell Chemical Company..... 301,100 4,328
Millennium Chemicals,
Incorporated................ 142,800 2,303
PPG Industries,
Incorporated................ 115,000 5,132
----------
TOTAL CHEMICALS........... 30,120
----------
CONTAINERS & PACKAGING - 0.27%
Pactiv Corporation+........... 195,600 2,054
----------
TOTAL CONTAINERS &
PACKAGING............... 2,054
----------
METALS & MINING - 1.17%
Alcan Aluminum Limited........ 70,000 2,209
Alcoa, Incorporated........... 185,868 5,332
USX-US Steel Group............ 84,700 1,350
----------
TOTAL METALS & MINING..... 8,891
----------
PAPER & FOREST PRODUCTS - 3.11%
Georgia-Pacific Corporation... 305,700 8,351
International Paper Company... 108,482 3,973
Mead Corporation.............. 199,400 5,770
Sappi Limited................. 402,000 2,814
Weyerhaeuser Company.......... 58,800 2,760
----------
TOTAL PAPER & FOREST
PRODUCTS................ 23,668
----------
TOTAL MATERIALS........... 64,733
----------
TELECOMMUNICATION SERVICES - 6.09%
DIVERSIFIED TELECOMMUNICATION - 6.09%
AT&T Corporation.............. 99,100 2,298
Alltel Corporation............ 58,000 3,737
Bellsouth Corporation......... 159,700 7,715
SBC Communications,
Incorporated................ 154,122 8,891
Sprint Corporation............ 87,360 2,228
Verizon Communications,
Incorporated................ 330,432 19,103
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
40
<PAGE> 43
AMR INVESTMENT SERVICES LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
WorldCom, Incorporated+....... 101,000 $ 2,399
----------
TOTAL DIVERSIFIED TELE-
COMMUNICATION........... 46,371
----------
TOTAL TELECOMMUNICATION
SERVICES................ 46,371
----------
UTILITIES - 11.31%
ELECTRIC UTILITIES - 8.79%
American Electric Power
Company, Incorporated....... 274,400 11,388
CMS Energy Corporation........ 58,300 1,574
CNH Global NV................. 241,430 2,339
DTE Energy Company............ 209,100 7,554
Edison International.......... 119,600 2,855
Entergy Corporation........... 293,400 11,241
Northeast Utilities........... 412,000 8,395
PPL Corporation............... 71,547 2,947
Potomac Electric Power
Company..................... 183,400 4,195
Public Service Enterprise
Group....................... 19,800 822
Reliant Energy,
Incorporated................ 224,300 9,266
TXU Corporation............... 118,100 4,377
----------
TOTAL ELECTRIC
UTILITIES............... 66,953
----------
GAS UTILITIES - 1.67%
Equitable Resources,
Incorporated................ 86,400 5,011
MCN Energy Group,
Incorporated................ 241,500 5,947
Peoples Energy Corporation.... 50,400 1,733
----------
TOTAL GAS UTILITIES....... 12,691
----------
MULTI-UTILITIES - 0.85%
Scana Corporation............. 79,202 2,099
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Williams Companies,
Incorporated................ 104,868 $ 4,385
----------
TOTAL MULTI- UTILITIES.... 6,484
----------
TOTAL UTILITIES........... 86,128
----------
TOTAL COMMON
STOCK................... 718,259
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
AMOUNT
------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 7.81%
U. S. TREASURY BILLS - 0.64%
U. S. Treasury Bill, 5.885%, Due
12/14/2000 (Note A)........... $4,900 4,866
--------
TOTAL U. S. TREASURY
BILLS..................... 4,866
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
----------
<S> <C> <C>
OTHER SHORT-TERM INVESTMENTS - 7.17%
American Select Cash
Reserve..................... 40,835,548 40,836
AMR Investments Enhanced Yield
Business Trust.............. 13,774,136 13,774
---------
TOTAL OTHER SHORT-TERM
INVESTMENTS............. 54,610
---------
TOTAL SHORT-TERM
INVESTMENTS............. 59,476
---------
TOTAL INVESTMENTS - 102.11%
(COST $752,369)............. 777,735
---------
LIABILITIES, NET OF OTHER
ASSETS - (2.11%)............ (16,054)
---------
TOTAL NET ASSETS - 100%....... $ 761,681
=========
</TABLE>
------------
Based on the cost of investments of $764,227 for federal income tax purposes at
October 31, 2000, the aggregate gross unrealized appreciation was $101,730, the
aggregate gross unrealized depreciation was $88,222, and the net unrealized
appreciation of investments was $13,508.
(A) At October 31, 2000, security held as collateral for open futures contracts.
ABBREVIATIONS:
ADR - American Depositary Receipt
+ - non-income producing
See accompanying notes
--------------------------------------------------------------------------------
41
<PAGE> 44
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
COMMON STOCK - 76.01%
CONSUMER DISCRETIONARY - 23.21%
AUTO COMPONENTS - 2.69%
Arvinmeritor, Incorporated.... 9,300 $ 156
Bandag, Incorporated.......... 5,700 178
Borg-Warner Automotive,
Incorporated................ 5,300 200
Cooper Tire & Rubber
Company..................... 18,200 199
Hawk Corporation+............. 50,400 293
Hayes Lemmerz International,
Incorporated+............... 7,700 84
Intermet Corporation.......... 9,900 74
Lear Corporation+............. 4,700 128
Mascotech, Incorporated....... 8,600 144
Tower Automotive,
Incorporated+............... 3,200 35
----------
TOTAL AUTO COMPONENTS..... 1,491
----------
AUTOMOBILES - 0.14%
Winnebago Industries,
Incorporated................ 6,600 76
----------
TOTAL AUTOMOBILES......... 76
----------
DISTRIBUTORS - 0.02%
Brightpoint, Incorporated+.... 2,000 13
----------
TOTAL DISTRIBUTORS........ 13
----------
HOTELS RESTAURANTS & LEISURE - 4.30%
American Coin Merchandising+.. 96,900 218
Boyd Gaming Corporation+...... 21,700 85
Churchill Downs,
Incorporated................ 6,800 190
Gtech Holdings Corporation+... 11,700 203
IHOP Corporation+............. 22,600 477
Mandalay Resort Group+........ 27,900 581
Prime Hospitality
Corporation+................ 17,500 166
Ryan's Family Steak Houses,
Incorporated+............... 11,400 95
Taco Cabana, Incorporated+.... 43,600 367
----------
TOTAL HOTELS RESTAURANTS &
LEISURE................. 2,382
----------
HOUSEHOLD DURABLES - 9.82%
Activision, Incorporated+..... 44,600 616
Centex Corporation............ 13,200 488
Champion Enterprises,
Incorporated+............... 9,300 36
Clayton Homes, Incorporated... 22,300 205
D.R.Horton, Incorporated...... 23,152 428
Fleetwood Enterprises,
Incorporated................ 11,600 153
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Furniture Brands
International,
Incorporated+............... 27,100 $ 457
Kaufman & Broad Home
Corporation................. 13,500 402
Lennar Corporation............ 19,000 610
Libbey, Incorporated.......... 400 11
M.D.C. Holdings,
Incorporated................ 9,700 266
Mohawk Industries,
Incorporated+............... 3,500 76
Oneida Limited................ 2,600 28
Palm Harbor Homes,
Incorporated+............... 5,800 85
Pulte Corporation............. 13,400 446
Ryland Group, Incorporated.... 4,400 142
Springs Industries,
Incorporated................ 5,000 118
Standard Pacific
Corporation................. 9,800 184
Toll Brothers,
Incorporated+............... 20,800 676
Westpoint Stevens,
Incorporated................ 3,000 22
----------
TOTAL HOUSEHOLD
DURABLES................ 5,449
----------
LEISURE EQUIPMENT & PRODUCTS - 1.89%
Brunswick Corporation......... 3,000 58
Midway Games, Incorporated+... 57,500 446
Musicland Stores,
Incorporated+............... 13,300 108
Polaris Industries,
Incorporated................ 12,600 438
----------
TOTAL LEISURE EQUIPMENT &
PRODUCTS................ 1,050
----------
MEDIA - 0.81%
Playboy Enterprises,
Incorporated+............... 34,300 444
----------
TOTAL MEDIA............... 444
----------
MULTILINE RETAIL - 1.89%
Buckle, Incorporated+......... 6,200 104
Burlington Coat Factory
Warehouse................... 8,300 131
Dillards, Incorporated........ 8,900 93
Genesco, Incorporated+........ 31,200 554
ShopKo Stores,
Incorporated+............... 8,500 54
Whitehall Jewellers,
Incorporated+............... 14,000 112
----------
TOTAL MULTILINE RETAIL.... 1,048
----------
SPECIALTY RETAIL - 0.85%
Cato Corporation.............. 5,200 62
Footstar, Incorporated+....... 6,800 244
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
42
<PAGE> 45
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Handleman Company+............ 2,000 $ 20
Hughes Supply, Incorporated... 7,700 144
----------
TOTAL SPECIALTY RETAIL.... 470
----------
TEXTILES & APPAREL - 0.80%
Kellwood Company.............. 7,300 142
Nautica Enterprises,
Incorporated+............... 8,500 107
Quiksilver, Incorporated+..... 7,300 140
Wolverine World Wide,
Incorporated................ 5,100 55
----------
TOTAL TEXTILES &
APPAREL................. 444
----------
TOTAL CONSUMER
DISCRETIONARY........... 12,867
----------
CONSUMER STAPLES - 3.21%
FOOD & DRUG RETAILING - 0.34%
Longs Drug Stores
Corporation................. 8,600 188
----------
TOTAL FOOD & DRUG
RETAILING............... 188
----------
FOOD PRODUCTS - 1.85%
Earthgrains Company........... 6,000 122
IBP, Incorporated............. 23,600 485
Interstate Bakeries
Corporation................. 1,600 22
Michael Foods, Incorporated... 4,100 110
Pilgrims Pride Corporation.... 7,200 49
RalCorp Holdings,
Incorporated+............... 17,100 240
----------
TOTAL FOOD PRODUCTS....... 1,028
----------
HOUSEHOLD PRODUCTS - 0.12%
Herbalife International,
Incorporated................ 7,900 67
----------
TOTAL HOUSEHOLD
PRODUCTS................ 67
----------
PERSONAL PRODUCTS - 0.29%
Nu Skin Enterprises,
Incorporated+............... 29,200 159
----------
TOTAL PERSONAL PRODUCTS... 159
----------
TOBACCO - 0.61%
Schweitzer Mauduit
International,
Incorporated................ 4,100 66
Universal Corporation......... 9,700 272
----------
TOTAL TOBACCO............. 338
----------
TOTAL CONSUMER STAPLES.... 1,780
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
ENERGY - 0.60%
OIL & GAS - 0.60%
Valero Energy Corporation..... 10,000 $ 331
----------
TOTAL OIL & GAS........... 331
----------
TOTAL ENERGY.............. 331
----------
FINANCIALS - 20.85%
BANKS - 6.88%
American Financial Holdings,
Incorporated................ 19,000 340
Astoria Financial
Corporation................. 1,900 71
Bank United Corporation....... 8,800 499
Citizens Banking Corporation
of Michigan................. 11,200 267
Coastal Bancorp,
Incorporated................ 6,100 109
Colonial Bancgroup,
Incorporated................ 29,500 260
Commercial Federal
Corporation................. 12,600 220
Community First Bankshares,
Incorporated................ 8,600 133
Corus Bankshares,
Incorporated................ 5,200 206
First Citizens Bancshares,
Incorporated................ 4,400 325
First Midwest BanCorp,
Incorporated................ 11,400 286
First Republic Bank of San
Francisco+.................. 3,300 89
FirstFed Financial
Corporation+................ 6,600 168
MAF Bancorp, Incorporated..... 5,400 130
Provident Financial Group,
Incorporated................ 1,900 57
Republic Bancorp,
Incorporated................ 2,000 19
Republic Security Financial
Corporation................. 11,900 81
Riggs National Corporation.... 600 7
Washington Federal,
Incorporated................ 12,500 279
Webster Financial Corporation
of Waterbury................ 10,200 249
Westcorp, Incorporated........ 1,200 19
----------
TOTAL BANKS............... 3,814
----------
DIVERSIFIED FINANCIALS - 1.77%
Advanta Corporation........... 3,900 40
Grove Property Trust.......... 27,900 473
Liberty Financial Companies,
Incorporated................ 14,600 394
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
43
<PAGE> 46
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
PFF Bancorp, Incorporated..... 2,500 $ 46
Tucker Anthony Sutro
Corporation................. 1,200 28
----------
TOTAL DIVERSIFIED
FINANCIALS.............. 981
----------
INSURANCE - 6.10%
American Financial Group,
Incorporated................ 2,200 47
AmerUs Group Company.......... 9,100 240
E. W. Blanch Holdings,
Incorporated................ 2,300 43
Commerce Group, Incorporated.. 8,100 207
Delphi Financial Group,
Incorporated+............... 6,072 225
Enhance Financial Services
Group, Incorporated......... 79,600 925
Esg Re Limited................ 61,000 177
Fidelity National Financial,
Incorporated................ 7,100 174
Horace Mann Educators
Corporation................. 40,200 676
IPC Holdings Limited.......... 8,300 169
Landamerica Financial Group,
Incorporated................ 4,200 124
Mutual Risk Management
Limited..................... 10,700 194
National Western Life
Insurance Company+.......... 900 80
Scottish Annuity & Life....... 400 4
State Auto Financial
Corporation................. 7,400 100
----------
TOTAL INSURANCE........... 3,385
----------
REAL ESTATE - 6.10%
Amerco+....................... 8,900 180
Avis Group Holdings,
Incorporated+............... 21,400 639
Camden Property Trust......... 7,200 206
Del Webb Corporation+......... 10,800 290
Dollar Thrifty Automotive
Group+...................... 27,900 429
Firstservice Corporation+..... 1,300 18
Glenborough Realty Trust,
Incorporated................ 13,800 222
Interpool, Incorporated....... 8,800 113
Mack-Cali Realty
Corporation................. 6,600 179
McGrath Rentcorp.............. 900 16
Trammell Crow Company+........ 9,600 129
Ventas, Incorporated.......... 170,600 853
Winston Hotels,
Incorporated................ 15,100 112
----------
TOTAL REAL ESTATE......... 3,386
----------
TOTAL FINANCIALS.......... 11,566
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
HEALTH CARE - 1.57%
HEALTH CARE EQUIPMENT & SUPPLIES - 0.36%
Ocular Sciences,
Incorporated+............... 700 $ 8
Thermo Cardiosystems,
Incorporated+............... 23,300 191
----------
TOTAL HEALTH CARE
EQUIPMENT & SUPPLIES.... 199
----------
HEALTH CARE PROVIDERS & SERVICES - 1.21%
Apria Healthcare Group,
Incorporated+............... 8,000 160
Service Corporation
International+.............. 10,400 24
Stewart Enterprises,
Incorporated................ 32,800 70
US Oncology, Incorporated+.... 77,701 418
----------
TOTAL HEALTH CARE
PROVIDERS & SERVICES.... 672
----------
TOTAL HEALTH CARE......... 871
----------
INDUSTRIALS - 13.56%
AEROSPACE & DEFENSE - 1.07%
Alliant Techsystems,
Incorporated+............... 5,300 477
GenCorp, Incorporated......... 13,400 112
Kaman Corporation............. 400 6
----------
TOTAL AEROSPACE &
DEFENSE................. 595
----------
AIR FREIGHT & COURIERS - 0.10%
CNF Transportation,
Incorporated................ 2,100 56
----------
TOTAL AIR FREIGHT &
COURIERS................ 56
----------
BUILDING PRODUCTS - 1.30%
Dal-Tile International,
Incorporated+............... 11,400 141
Griffon Corporation+.......... 4,400 34
NCI Building Systems,
Incorporated+............... 6,200 97
Nortek, Incorporated+......... 3,000 56
Universal Fastener Products,
Incorporated................ 5,500 74
USG Corporation............... 3,000 51
York International
Corporation................. 9,800 266
----------
TOTAL BUILDING PRODUCTS... 719
----------
COMMERCIAL SERVICES & SUPPLIES - 1.95%
C D I Corporation+............ 5,600 89
Deluxe Corporation............ 5,200 117
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
44
<PAGE> 47
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Galileo International,
Incorporated................ 6,500 $ 128
Mac Gray Corporation+......... 25,500 88
Mail-Well, Incorporated+...... 13,800 68
New England Business Service,
Incorporated................ 2,100 37
Pittston Brinks Group......... 15,400 244
Spherion Corporation+......... 7,700 91
Standard Register Company..... 4,900 59
Unifirst Corporation.......... 7,500 72
Wallace Computer Services,
Incorporated................ 5,900 86
----------
TOTAL COMMERCIAL SERVICES
& SUPPLIES.............. 1,079
----------
ELECTRICAL EQUIPMENT - 1.79%
A O Smith Corporation......... 4,700 66
Ametek Aerospace Products,
Incorporated................ 3,200 70
Generale Cable Corporation.... 9,300 56
National Service Industries,
Incorporated................ 7,100 145
SLI, Incorporated............. 1,400 11
Tecumseh Products Company..... 13,300 530
Triumph Group, Incorporated+.. 3,400 116
----------
TOTAL ELECTRICAL
EQUIPMENT............... 994
----------
INDUSTRIAL CONGLOMERATES - 0.59%
Gentek, Incorporated.......... 2,700 45
Standex International
Corporation................. 4,300 79
U.S. Industries,
Incorporated................ 22,700 201
----------
TOTAL INDUSTRIAL
CONGLOMERATES........... 325
----------
MACHINERY - 4.41%
Albany International
Corporation+................ 5,352 57
Avteam, Incorporated+......... 64,000 64
Briggs & Stratton
Corporation................. 5,900 210
Cummins Engine Company,
Incorporated................ 1,700 58
Denison International PLC+.... 35,800 472
Graco, Incorporated........... 2,600 93
JLG Industries,
Incorporated................ 11,700 163
Lincoln Electric Holdings,
Incorporated................ 11,100 191
Manitowoc Company,
Incorporated................ 4,600 125
Milacron, Incorporated........ 11,100 177
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Nacco Industries,
Incorporated................ 2,200 $ 84
Regal Beloit Corporation...... 3,800 64
Reliance Steele & Aluminum
Company..................... 2,600 62
Terex Corporation+............ 7,300 90
Titan International,
Incorporated................ 43,100 197
Trinity Industries,
Incorporated................ 2,600 62
USEC, Incorporated............ 3,500 18
Wabash National Corporation... 6,100 49
Watts Industries,
Incorporated................ 3,900 44
Woodward Governor Company..... 3,700 166
----------
TOTAL MACHINERY........... 2,446
----------
MARINE - 0.99%
Knightsbridge Tankers
Limited..................... 25,500 550
----------
TOTAL MARINE.............. 550
----------
ROAD & RAIL - 1.36%
American Freightways
Corporation+................ 1,000 16
Arkansas Best Corporation+.... 2,600 42
Arnold Industries,
Incorporated................ 8,100 142
Kansas City Southern
Industries, Incorporated+... 14,100 122
Roadway Express,
Incorporated................ 400 8
Rollins Truck Leasing
Corporation................. 7,600 40
US Freightways Corporation.... 1,200 31
Wabtec Corporation............ 13,700 139
Wisconsin Central
Transportation
Corporation+................ 6,800 87
Yellow Corporation+........... 7,200 130
----------
TOTAL ROAD & RAIL......... 757
----------
TOTAL INDUSTRIALS......... 7,521
----------
INFORMATION TECHNOLOGY - 3.83%
COMMUNICATIONS EQUIPMENT - 0.35%
Cable Design Technologies
Corporation+................ 8,350 193
----------
TOTAL COMMUNICATIONS
EQUIPMENT............... 193
----------
COMPUTERS & PERIPHERALS - 0.17%
Creative Technology Limited... 5,500 93
----------
TOTAL COMPUTERS &
PERIPHERALS............. 93
----------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
45
<PAGE> 48
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.18%
Pioneer Standard Electronics,
Incorporated................ 400 $ 5
Tech Data Corporation+........ 2,200 92
----------
TOTAL ELECTRONIC EQUIPMENT
& INSTRUMENTS........... 97
----------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.05%
Kulicke & Soffa Industries,
Incorporated+............... 1,900 28
----------
TOTAL SEMICONDUCTOR
EQUIPMENT & PRODUCTS.... 28
----------
SOFTWARE - 3.08%
Avant! Corporation+........... 10,400 175
AVT Corporation+.............. 27,600 173
Fair Issac & Company,
Incorporated................ 6,400 262
Gerber Scientific,
Incorporated................ 14,000 112
JDA Software Group,
Incorporated+............... 23,300 351
THQ, Incorporated+............ 31,200 640
----------
TOTAL SOFTWARE............ 1,713
----------
TOTAL INFORMATION
TECHNOLOGY.............. 2,124
----------
MATERIALS - 5.35%
CHEMICALS - 2.34%
Crompton Corporation.......... 15,800 126
Cytec Industries,
Incorporated+............... 12,500 433
Georgia Gulf Corporation...... 2,200 29
International Specialty
Products+................... 9,900 62
NL Industries, Incorporated... 16,600 392
Polyone Corporation+.......... 10,400 82
Schulman A., Incorporated..... 7,200 79
Solutia, Incorporated......... 7,600 97
----------
TOTAL CHEMICALS........... 1,300
----------
CONSTRUCTION MATERIALS - 0.32%
Centex Construction Products,
Incorporated................ 3,300 86
Lafarge Corporation........... 5,000 94
----------
TOTAL CONSTRUCTION
MATERIALS............... 180
----------
CONTAINERS & PACKAGING - 1.14%
Ball Corporation.............. 5,800 204
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Myers Industries,
Incorporated................ 3,450 $ 46
Owens-Illinois,
Incorporated+............... 1,200 7
Pactiv Corporation+........... 19,400 204
Silgan Holdings,
Incorporated+............... 4,300 36
Sonoco Products Company....... 7,100 137
----------
TOTAL CONTAINERS &
PACKAGING............... 634
----------
METALS & MINING - 0.94%
AK Steel Holdings
Corporation................. 19,100 177
Commercial Metals Company..... 4,200 115
Quanex Corporation............ 4,700 93
Ryerson Tull, Incorporation... 1,100 8
Steel Dynamics,
Incorporated+............... 3,200 38
Wolverine Tube,
Incorporated+............... 2,800 38
Worthington Industries,
Incorporated................ 5,600 54
----------
TOTAL METALS & MINING..... 523
----------
PAPER & FOREST PRODUCTS - 0.61%
Georgia-Pacific Corporation... 6,100 173
Glatfelter PH Company......... 4,600 48
Louisiana-Pacific
Corporation................. 9,200 78
Rock Tenn Company............. 4,500 40
----------
TOTAL PAPER & FOREST
PRODUCTS................ 339
----------
TOTAL MATERIALS........... 2,976
----------
UTILITIES - 3.83%
ELECTRIC UTILITIES - 3.26%
CH Energy Group,
Incorporated................ 4,700 185
Cleco Corporation............. 5,900 281
MDU Resource Group,
Incorporated................ 4,200 123
Public Service Company........ 3,400 94
R G S Energy Group,
Incorporated................ 35,900 1,059
UIL Holdings Corporation...... 1,400 65
----------
TOTAL ELECTRIC
UTILITIES............... 1,807
----------
GAS UTILITIES - 0.57%
UGI Corporation............... 13,600 315
----------
TOTAL GAS UTILITIES....... 315
----------
TOTAL UTILITIES........... 2,122
----------
TOTAL COMMON STOCK........ 42,158
----------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
46
<PAGE> 49
AMR INVESTMENT SERVICES SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
SHORT-TERM INVESTMENTS - 36.56%
U. S. TREASURY BILLS - 1.83%
U. S. Treasury Bill, 11.845%,
Due 12/14/2000 (Note A)..... $ 1,020 $ 1,013
----------
TOTAL U. S. TREASURY
BILLS................... 1,013
----------
<CAPTION>
SHARES
----------
<S> <C> <C>
OTHER SHORT-TERM INVESTMENTS - 34.73%
American Select Cash Reserve
Fund........................ 14,815,735 14,816
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
AMR Investments Enhanced Yield
Business Trust.............. 4,449,386 $ 4,449
----------
TOTAL OTHER SHORT-TERM
INVESTMENTS............. 19,265
----------
TOTAL SHORT-TERM
INVESTMENTS............. 20,278
----------
TOTAL INVESTMENTS - 112.57%
(COST $63,199).............. 62,436
----------
LIABILITIES, NET OF OTHER
ASSETS - (12.57%)........... (6,970)
----------
TOTAL NET ASSETS - 100%....... $ 55,466
==========
</TABLE>
------------
Based on the cost of investments of $63,212 for federal income tax purposes at
October 31, 2000, the aggregate gross unrealized appreciation was $5,250, the
aggregate gross unrealized depreciation was $6,026, and the net unrealized
depreciation of investments was $776.
(A) At October 31, 2000, security held as collateral for open futures contracts.
ABBREVIATIONS:
+ - non-income producing
See accompanying notes
--------------------------------------------------------------------------------
47
<PAGE> 50
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
STOCKS - 96.21%
AUSTRALIA COMMON STOCKS - 3.45%
Australia & New Zealand Banking
Group........................ 1,646,602 $ 12,158
Broken Hill Property........... 323,260 3,132
Cable and Wireless Optus, 144a
(Note A)..................... 1,407,803 2,982
CSR Limited.................... 1,850,000 3,787
Mayne Nickless Limited......... 965,000 2,560
News Corporation Preferred
Rights....................... 345,000 3,093
Onesteel Limited............... 86,190 41
QBE Insurance Group Limited.... 1,899,848 8,761
Westralian Sands............... 360,594 753
WMC Limited.................... 785,000 3,000
----------
TOTAL AUSTRALIA COMMON
STOCK.................... 40,267
----------
AUSTRIA - 0.75%
PREFERRED STOCK - 0.35%
Bank Austria AG, 144a (Note
A)........................... 76,000 4,107
----------
TOTAL AUSTRIA PREFERRED
STOCK.................... 4,107
----------
COMMON STOCK - 0.40%
Boehler-Uddeholm............... 66,825 2,096
Evn Energie-Versorgung
Niederoesterreich AG......... 13,380 322
VA Technologie AG, 144a (Note
A)........................... 11,000 445
Wienerberger Baust............. 97,000 1,823
----------
TOTAL AUSTRIA COMMON
STOCK.................... 4,686
----------
TOTAL AUSTRIA.............. 8,793
----------
CANADA COMMON STOCK - 2.86%
Alcan Aluminum Limited......... 125,000 3,933
BCE, Incorporated.............. 236,170 6,340
Canadian National Railway
Company...................... 101,300 3,184
Canadian Natural Resources
Limited...................... 33,037 973
Husky Energy Incorporated...... 240,000 1,894
Manulife Financial
Corporation.................. 533,010 13,820
Transcanada Pipelines
Limited...................... 351,000 3,335
----------
TOTAL CANADA COMMON
STOCK.................... 33,479
----------
DENMARK COMMON STOCK - 0.21%
Tele Danmark AS................ 52,000 2,458
----------
TOTAL DENMARK COMMON
STOCK.................... 2,458
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
FINLAND COMMON STOCK - 2.31%
Enso-Gutzeit OY, "R"........... 212,000 $ 2,174
Konecranes International....... 96,000 2,237
Metsa-Serla OY, "B"............ 100,000 627
Metso OYJ...................... 173,869 1,327
Nordic Baltic Holdings......... 882,300 6,656
UPM-Kymmene OY................. 496,390 14,033
----------
TOTAL FINLAND COMMON
STOCK.................... 27,054
----------
FRANCE COMMON STOCK - 8.69%
Alcatel Alsthom CG............. 90,250 5,500
Aventis SA..................... 374,773 27,002
Axa SA......................... 94,007 12,430
Banque Nationale de Paris...... 190,500 16,406
BIC SA......................... 117,845 4,081
Lagardere S.C.A................ 43,500 2,467
Pechiney SA.................... 51,800 1,932
Pernod-Ricard.................. 88,817 4,066
Saint Gobain................... 21,284 2,813
Total Fina..................... 150,472 21,504
Vivendi........................ 47,225 3,391
----------
TOTAL FRANCE COMMON
STOCK.................... 101,592
----------
GERMANY COMMON STOCK - 6.62%
Allianz AG..................... 18,005 6,098
BASF AG........................ 57,000 2,232
BAYER AG....................... 90,000 3,902
Bayer Hypo Vereins............. 105,800 5,807
BBS Kraftfahrzeugt............. 15,260 206
Boss (Hugo) AG................. 26,400 6,722
Depfa DT Pfander............... 64,700 4,771
Dragerwerk AG.................. 93,857 688
E. on AG....................... 395,661 20,083
Gehe AG........................ 118,800 4,320
Krones AG...................... 105,000 2,581
Merck KGAA..................... 94,000 3,570
Muenchener Rueckversicherung
AG, DEM 10................... 13,676 4,295
Muenchener Rueckversicherung
AG, DEM 5.................... 293 26
Thyssen Krupp AG............... 427,800 6,092
Veba AG........................ 395,661 20,083
Volkswagen AG.................. 78,500 3,917
Vossloh AG..................... 138,145 2,049
----------
TOTAL GERMANY COMMON
STOCK.................... 77,359
----------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
48
<PAGE> 51
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
HONG KONG COMMON STOCK - 3.28%
Cheung Kong Holdings
Limited...................... 330,000 $ 3,650
Henderson Land Development
Company...................... 1,581,000 6,812
Hong Kong Electric Holdings.... 2,714,400 8,962
Huaneng Power International.... 9,916,000 3,878
Hutchinson Whampoa Limited..... 165,000 2,052
New World Development Company
Limited...................... 1,803,000 2,138
South China Morning Post....... 7,557,000 5,184
Swire Pacific.................. 918,200 5,663
----------
TOTAL HONG KONG COMMON
STOCK.................... 38,339
----------
IRELAND COMMON STOCK - 1.30%
Allied Irish Banks............. 641,948 6,530
Greencore Group................ 1,471,180 3,429
Jefferson Smurfit.............. 2,945,742 5,244
----------
TOTAL IRELAND COMMON
STOCK.................... 15,203
----------
ITALY COMMON STOCK - 2.79%
Alleanza Assicuraz............. 249,100 3,300
BCA Naz Del Lavoro............. 1,030,000 3,335
Eni SPA........................ 2,374,895 12,844
Sao Paolo Imi SPA.............. 226,980 3,675
STET Telecom Italia............ 811,670 9,391
----------
TOTAL ITALY COMMON STOCK... 32,545
----------
JAPAN COMMON STOCK - 14.60%
Best Denki Company............. 300,000 1,682
Canon, Incorporated............ 367,000 14,554
Circle K Japan Company......... 175,800 5,668
Fujitsu........................ 281,000 5,003
Hitachi Limited................ 483,000 5,176
Kanamoto Company............... 310,000 1,675
KAO Corporation................ 249,000 7,457
Komatsu........................ 711,000 3,152
Makita Corporation............. 105,000 765
Matsushita Electric Industrial
Company...................... 164,000 4,761
Matsuzakaya Company............ 500,000 1,149
Mizuho Holdings................ 749 5,755
Namco.......................... 254,200 6,565
Nikko Securities Company
Limited...................... 311,000 2,683
Nintendo Company Limited....... 93,500 15,457
Nippon Telephone & Telegraph
Company...................... 1,040 9,458
Nissan Motor Company........... 1,921,000 13,178
Nomura Securities.............. 350,000 7,421
NTT Mobile Communication....... 240 5,913
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Okumura Corporation............ 700,000 $ 2,052
Orix Corporation............... 30,900 3,240
Promise Company Limited........ 62,200 4,666
Sakura Bank.................... 690,000 5,023
Sankyo Company................. 288,000 6,344
Sanyo Shinpan Finance
Company...................... 124,000 2,953
Sony Corporation............... 161,300 12,882
Sumitomo Electrical
Industries................... 132,000 2,436
Sumitomo Trust & Banking....... 412,000 3,170
TDK Corporation................ 64,700 6,518
Welfide........................ 501,000 3,602
Yamato Kogyo Company
Limited...................... 87,000 284
----------
TOTAL JAPAN COMMON STOCK... 170,642
----------
LUXEMBOURG COMMON STOCK - 0.24%
Stolt-Nielsen SA, "B".......... 152,000 2,810
----------
TOTAL LUXEMBOURG COMMON
STOCK.................... 2,810
----------
MALAYSIA COMMON STOCK - 0.21%
Golden Hope Plantations BHD.... 2,603,000 2,493
----------
TOTAL MALAYSIA COMMON
STOCK.................... 2,493
----------
MEXICO COMMON STOCK - 0.52%
Industrias Penoles............. 430,000 501
Telmex ADR..................... 104,000 5,610
----------
TOTAL MEXICO COMMON
STOCK.................... 6,111
----------
NETHERLANDS COMMON STOCK - 6.03%
Akzo Nobel NV.................. 463,074 21,059
CNH Global NV.................. 240,000 2,325
Ing Groep NV................... 363,649 24,943
Philips Electronics NV......... 476,312 18,697
Wolters Kluwer................. 150,300 3,379
----------
TOTAL NETHERLANDS COMMON
STOCK.................... 70,403
----------
NEW ZEALAND COMMON STOCK - 0.94%
Carter Holt Harvey Limited..... 1,205,889 799
Fisher & Paykel Limited........ 880,000 2,514
Fletcher Challenge Building.... 2,340,177 1,672
Telecom Corporation of New
Zealand...................... 2,700,477 5,980
----------
TOTAL NEW ZEALAND COMMON
STOCK.................... 10,965
----------
NORWAY COMMON STOCK - 1.16%
DNB Holdings, AS............... 810,000 3,510
Kvaerner Industries AS, Series
A............................ 349,877 3,442
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
49
<PAGE> 52
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Norsk Hydro AS................. 90,000 $ 3,571
Nycomed AS, Series B........... 324,320 2,982
----------
TOTAL NORWAY COMMON
STOCK.................... 13,505
----------
PORTUGAL COMMON STOCK - 0.94%
Electric De Portugal........... 571,600 1,551
Portugal Telecom............... 1,059,125 9,426
----------
TOTAL PORTUGAL COMMON
STOCK.................... 10,977
----------
SINGAPORE COMMON STOCK - 3.43%
Development Bank of Singapore
Group Holdings............... 540,795 6,377
Creative Technology............ 348,350 5,655
Natsteel Electronics........... 2,094,000 5,439
Overseas Chinese Bank.......... 715,650 4,566
United OverSeas Bank........... 2,439,225 18,064
----------
TOTAL SINGAPORE COMMON
STOCK.................... 40,101
----------
SPAIN COMMON STOCK - 3.52%
Banco Popular Espanol.......... 84,000 2,510
Endesa SA...................... 287,545 4,680
Iberdrola SA................... 200,357 2,447
Repsol SA (RG)................. 706,090 11,204
Telefonica de Espana........... 1,062,861 20,244
----------
TOTAL SPAIN COMMON STOCK... 41,085
----------
SOUTH KOREA COMMON STOCK - 0.76%
Hyundai Electrical
Industries................... 340,000 2,089
Kookmin Bank GDR, 144a (Note
A)........................... 208,356 2,396
Korea Electric Power
Corporation.................. 80,860 1,806
LG Electronics, Incorporated... 182,000 2,536
----------
TOTAL SOUTH KOREA COMMON
STOCK.................... 8,827
----------
SWEDEN COMMON STOCK - 3.36%
Assidoman...................... 72,800 23
Assidoman AB, 144a (Note A).... 72,800 1,232
Astrazeneca.................... 27,847 1,312
Autoliv, Incorporated.......... 125,000 2,732
Electrolux AB, "B"............. 918,970 11,556
Foreningssparbk................ 208,000 2,979
Granges AB..................... 15,000 210
Investor AB.................... 389,900 5,137
Nordic Baltic Holdings......... 411,060 3,031
Stora Enso OY, Series A........ 62,062 632
Stora Enso OY, Series R........ 152,602 1,560
Svedala Industries, "A" Free... 180,000 2,677
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Svenska Handelsbanken.......... 230,390 $ 3,610
Volvo AB....................... 170,000 2,613
----------
TOTAL SWEDEN COMMON
STOCK.................... 39,304
----------
SWITZERLAND COMMON STOCK - 5.79%
ABB AG......................... 86,006 7,641
Clariant....................... 12,700 3,871
Novartis AG.................... 4,997 7,579
Roche Holdings AG.............. 421 3,845
Saurer AG...................... 8,469 3,697
Schweitz Ruckversiche.......... 2,500 4,929
Sig Schweitz Industries AG..... 21,225 12,511
Sulzer AG...................... 9,967 6,436
Zurich Financial Services
Group........................ 35,399 17,128
----------
TOTAL SWITZERLAND COMMON
STOCK.................... 67,637
----------
UNITED KINGDOM - 22.45%
Alliance and Lei PLC........... 467,000 3,994
Allied Domecq PLC.............. 2,063,794 10,676
Astrazeneca.................... 95,110 4,458
BAA PLC........................ 1,172,280 9,754
BAE PLC........................ 3,433,083 19,517
BG Group PLC................... 470,587 1,886
BP Amoco....................... 739,330 6,275
British American Tobacco
Industries PLC............... 708,985 4,973
British Energy PLC............. 538,750 1,408
British Telecommunications..... 1,103,810 12,951
Cadbury Schweppes.............. 598,220 3,700
Celltech Group................. 431,137 8,577
Commercial Union PLC........... 305,970 4,096
Cookson Group PLC.............. 2,944,055 8,016
Diageo......................... 502,443 4,746
GKN PLC........................ 186,700 2,141
Great Universal Stores PLC..... 531,900 3,676
Halifax Group PLC.............. 322,500 2,538
Hanson PLC..................... 2,166,340 11,435
HSBC Holdings PLC.............. 381,665 5,442
Imperial Chemical Industries
PLC.......................... 412,000 2,525
Innogy Holdings................ 460,000 1,336
Invensys....................... 1,584,108 3,784
Lasmo PLC...................... 1,340,000 2,851
Lattice Group.................. 470,587 1,005
Lloyds TSB Group PLC........... 630,321 6,425
Marconi PLC.................... 285,000 3,600
Marks & Spencer................ 500,000 1,394
National Grid Group PLC........ 633,400 5,496
National Power PLC............. 460,000 1,857
Next PLC....................... 290,000 2,887
Northern Foods PLC............. 1,000,000 1,625
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
50
<PAGE> 53
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
PowerGen PLC................... 473,000 $ 3,668
Prudential Corporation......... 294,565 3,965
Reed International PLC......... 1,630,020 15,077
Royal Bank of Scotland PLC..... 198,784 4,465
Safeway PLC.................... 709,677 2,952
Scapa Group.................... 471,000 793
Shell Transportation & Trading
Company PLC.................. 535,000 4,308
Smiths Industries PLC.......... 522,900 5,604
Stagecoach Holdings............ 1,370,000 1,373
Tesco PLC...................... 3,925,097 14,976
Thames Water Group PLC......... 173,983 3,052
TI Group PLC................... 681,500 3,681
Tomkins........................ 1,543,478 3,676
Unilever PLC................... 2,230,171 15,099
United News & Media PLC........ 446,072 5,587
Williams PLC................... 1,893,034 9,074
----------
TOTAL UNITED KINGDOM....... 262,394
----------
TOTAL STOCKS............... 1,124,343
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
SHORT TERM INVESTMENTS - 10.99%
American Select Cash Reserve
Fund......................... 60,449,783 $ 60,450
AMR Investments Enhanced Yield
Business Trust............... 68,040,302 68,040
----------
TOTAL SHORT TERM
INVESTMENTS.............. 128,490
----------
TOTAL INVESTMENTS - 107.20%
(COST $1,198,645)............ 1,252,833
----------
LIABILITIES, NET OF OTHER
ASSETS - (7.20%)............. (84,112)
----------
TOTAL NET ASSETS - 100%........ $1,168,721
==========
</TABLE>
---------------
Based on the cost of investments of $1,205,597 for federal income tax purposes
at October 31, 2000, the aggregate gross unrealized appreciation was $172,199,
the aggregate gross unrealized depreciation was $124,963, and the net unrealized
appreciation of investments was $47,236.
(A) 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 $11,162 or 0.96% of net assets.
ABBREVIATIONS:
ADR - American Depository Receipt
GDR - Global Depository Receipt
See accompanying notes
--------------------------------------------------------------------------------
51
<PAGE> 54
AMR INVESTMENT SERVICES INTERNATIONAL EQUITY PORTFOLIO
INTERNATIONAL EQUITY PORTFOLIO DIVERSIFICATION
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
----------
<S> <C>
Consumer Discretionary...................................... 12.35%
Consumer Staples............................................ 6.51%
Energy...................................................... 5.41%
Finance..................................................... 27.13%
Healthcare.................................................. 6.36%
Industrials................................................. 12.68%
Information Technology...................................... 5.27%
Materials................................................... 6.65%
Publishing.................................................. 0.29%
Telecommunication Services.................................. 7.77%
Utilities................................................... 5.79%
Short-Term Investments...................................... 10.99%
Other Assets................................................ (7.20%)
-------
NET ASSETS........................................ 100.00%
=======
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
52
<PAGE> 55
AMR INVESTMENT SERVICES INTERMEDIATE BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 23.32%
U.S. TREASURY BONDS - 9.72%
10.75%, Due 2/15/2003....................................... $ 495 $ 545
7.25%, Due 5/15/2016........................................ 650 731
8.125%, Due 8/15/2019....................................... 540 667
8.75%, Due 8/15/2020........................................ 500 657
6.875%, Due 8/15/2025....................................... 550 613
6.125%, Due 11/15/2027...................................... 730 746
--------
TOTAL U.S. TREASURY BONDS............................... 3,959
--------
U.S. TREASURY NOTES - 13.60%
6.25%, Due 6/30/2002........................................ 500 502
6.25%, Due 2/15/2003........................................ 75 75
5.50%, Due 2/28/2003........................................ 500 495
5.25%, Due 8/15/2003........................................ 500 492
5.75%, Due 8/15/2003........................................ 800 797
5.875%, Due 11/15/2004...................................... 500 500
6.75%, Due 5/15/2005........................................ 750 778
6.625%, Due 5/15/2007....................................... 1,050 1,093
6.125%, Due 8/15/2007....................................... 400 406
6.00%, Due 8/15/2009........................................ 400 404
--------
TOTAL U.S. TREASURY NOTES............................... 5,542
--------
TOTAL U.S. TREASURY OBLIGATIONS......................... 9,501
--------
U.S. AGENCY OBLIGATIONS - 5.32%
Federal Home Loan Mortgage Corporation, 6.25%, Due
7/15/2004................................................. 1,000 991
Federal National Mortgage Association, 6.625%, Due
9/15/2009................................................. 1,000 996
Federal National Mortgage Association, 7.125%, Due
1/15/2030................................................. 175 182
--------
TOTAL U.S. AGENCY OBLIGATIONS........................... 2,169
--------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 31.53%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 6.62%
Gold Pool #E69244, 6.00%, Due 3/1/2013...................... 1,020 984
Gold Pool #E00669, 6.00%, Due 5/1/2014...................... 1,775 1,712
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 2,696
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 15.73%
Pool #323788, 6.50%, Due 6/1/2014........................... 510 500
Pool #535213, 7.00%, Due 3/1/2015........................... 502 499
Pool #100292, 10.00%, Due 9/1/2018.......................... 932 980
Pool #100293, 9.50%, Due 8/1/2029........................... 1,165 1,220
Pool #252805, 7.00%, Due 10/1/2029.......................... 643 630
Pool #534059, 7.00%, Due 3/1/2030........................... 343 336
Pool #538285, 7.50%, Due 5/1/2030........................... 1,673 1,671
TBA, 6.00%.................................................. 220 206
TBA, 7.50%.................................................. 365 365
--------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 6,407
--------
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
53
<PAGE> 56
AMR INVESTMENT SERVICES INTERMEDIATE BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 9.18%
Pool #780085, 11.50%, Due 8/15/2018......................... $ 581 $ 639
Pool #358211, 7.00%, Due 6/15/2023.......................... 450 446
Pool #351417, 7.00%, Due 1/15/2024.......................... 484 479
Pool #354810, 7.50%, Due 4/15/2024.......................... 484 488
Pool #002433, 8.00%, Due 5/20/2027.......................... 480 485
Pool #002457, 7.50%, Due 7/20/2027.......................... 486 485
Pool #780680, 6.50%, Due 11/15/2027......................... 493 478
TBA, 7.50%.................................................. 240 241
--------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 3,741
--------
TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 12,844
--------
CORPORATE OBLIGATIONS - 32.51%
FINANCIAL - 12.23%
American General Corporation, 7.50%, Due 8/11/2010.......... 200 200
Bank of America Corporation, 7.80%, Due 2/15/2010........... 350 355
Chase Manhattan Corporation, 7.125%, Due 6/15/2009.......... 500 486
First United Corporation, 7.55%, Due 8/18/2005.............. 225 226
Ford Motor Credit Corporation, 7.375%, Due 10/28/2009....... 775 755
Goldman Sachs Group, Incorporated, 7.80%, Due 1/28/2010..... 500 505
Mellon Bank National Association, 7.375%, Due 5/15/2007..... 500 505
Merrill Lynch & Company, Incorporated, 7.08%, Due
10/3/2005................................................. 500 498
PNC Funding Corporation, 6.875%, Due 7/15/2007.............. 500 480
Simon Property Group, Incorporated, 144a (Note A), 6.625%,
Due 6/15/2003............................................. 500 487
Swiss Bank Corporation, 7.375%, Due 7/15/2015............... 500 485
--------
TOTAL FINANCIAL......................................... 4,982
--------
INDUSTRIAL - 16.01%
Atlantic Richfield Company, 9.125%, Due 3/1/2011............ 500 572
Caterpillar Financial Services, 7.58%, Due 7/7/2003......... 750 760
Cendant Corporation, 7.75%, Due 12/1/2003................... 500 485
Coca Cola Enterprises, Incorporated, 6.95%, Due
11/15/2026................................................ 200 181
Conagra, Incorporated, 7.875%, Due 9/15/2010................ 200 204
Conoco, Incorporated, 6.95%, Due 4/15/2029.................. 200 186
Corning, Incorporated, 6.85%, Due 3/1/2029.................. 225 198
Federated Department Stores, Incorporated, 6.79%, Due
7/15/2027................................................. 1,000 971
General Motors Corporation, 6.75%, Due 5/1/2028............. 200 174
Honeywell International, Incorporated, 7.50%, Due
3/1/2010.................................................. 200 206
Kimberly Clark Corporation, 7.10%, Due 8/1/2007............. 300 306
Kroger Company, 7.65%, Due 4/15/2007........................ 200 199
Lockheed Martin Corporation, 7.20%, Due 5/1/2036............ 400 391
Martin Marietta Material, Incorporated, 6.90%, Due
8/15/2007................................................. 500 497
Time Warner, Incorporated, 6.85%, Due 1/15/2026 (Note A).... 515 510
Union Oil of California Corporation, 7.90%, Due 4/18/2008... 200 201
Williams Companies, Incorporated, 6.50%, Due 8/1/2006....... 500 481
--------
TOTAL INDUSTRIAL........................................ 6,522
--------
FOREIGN - 1.01%
Nova Scotia Province, Canada, 9.375%, Due 7/15/2002......... 200 208
Quebec Province, Canada, 7.50%, Due 9/15/2029............... 200 202
--------
TOTAL FOREIGN........................................... 410
--------
UTILITIES - 3.26%
Entergy Louisiana, Incorporated, 8.50%, Due 6/1/2003........ 400 411
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
54
<PAGE> 57
AMR INVESTMENT SERVICES INTERMEDIATE BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Deutsche Telekom International Finance Corporation, 8.25%,
Due 6/15/2030............................................. $ 200 $ 205
Sprint Capital Corporation, 6.125%, Due 11/15/2008.......... 800 713
--------
TOTAL UTILITIES......................................... 1,329
--------
TOTAL CORPORATE OBLIGATIONS............................. 13,243
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
SHORT-TERM INVESTMENTS - 28.12% -----------
<S> <C> <C>
American Select Cash Reserve Fund........................... 9,377,478 9,377
AMR Investments Enhanced Yield Business Trust............... 2,078,704 2,079
--------
TOTAL SHORT-TERM INVESTMENTS............................ 11,456
--------
TOTAL INVESTMENTS - 120.80% (COST $49,331).............. 49,213
--------
LIABILITIES, NET OF OTHER ASSETS - (20.80%)............. (8,479)
--------
TOTAL NET ASSETS - 100%................................. $ 40,735
========
</TABLE>
---------------
Based on the cost of investments of $49,370 for federal income tax purposes at
October 31, 2000, the aggregate gross unrealized appreciation was $398, the
unrealized depreciation was $555, and the net unrealized depreciation of
investments was $157.
(A) 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 $997 or 2.45% of net assets.
ABBREVIATIONS:
TBA-To Be Announced
See accompanying notes
--------------------------------------------------------------------------------
55
<PAGE> 58
AMR INVESTMENT SERVICES SHORT-TERM BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- -------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
U.S. TREASURY NOTE - 8.03%
5.75%, Due 10/31/2002..................................... $ 5,000 $ 4,984
-------
TOTAL U.S. TREASURY NOTE................................ 4,984
-------
U.S. AGENCY OBLIGATIONS - 3.03%
Federal Home Loan Mortgage Corporation, 6.00%, Due
2/15/2004............................................... 912 900
Federal Home Loan Mortgage Corporation, 6.25%, Due
7/15/2004............................................... 1,000 982
-------
TOTAL U.S. AGENCY OBLIGATIONS........................... 1,882
-------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 16.86%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 11.72%
REMIC, M H-1 A, 10.15%, Due 4/15/2006..................... 10 10
Pool #E44213, 7.00%, Due 1/1/2008......................... 2,278 2,281
Pool #A01679, 9.75%, Due 12/1/2016........................ 1,555 1,621
Pool #555436, 8.50%, Due 1/1/2019......................... 1,886 1,918
Pool #100244, 11.00%, Due 7/1/2020........................ 667 723
Pool #A01417, 10.00%, Due 3/1/2021........................ 690 724
-------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 7,277
-------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.56%
Pool #050763, 7.00%, Due 7/1/2008......................... 1,008 1,010
Pool #100089, 13.00%, Due 11/15/2015...................... 517 578
-------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 1,588
-------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.58%
Pool #001429, 7.50%, Due 10/20/2023....................... 1,600 1,605
-------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 1,605
-------
TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 10,470
-------
CORPORATE OBLIGATIONS - 55.40%
FINANCIAL - 25.03%
Associates Corporation of North America, 6.375%, Due
10/15/2002................................................ 1,000 995
Bank of America Corporation, 7.35%, Due 4/3/2002............ 350 352
Caterpillar Financial Services Corporation, 5.45%, Due
1/15/2002................................................. 2,000 1,970
EOP Operating Limited Partnership, 144a, 6.375%, Due
1/15/2002 (Note A)........................................ 1,000 989
Ford Motor Credit Company, 8.20%, Due 2/15/2002............. 500 508
General Motors Acceptance Corporation, 5.48%, Due
12/16/2002................................................ 1,000 971
Goldman Sachs Group, 144a, 7.125%, Due 3/1/2003 (Note A).... 1,000 997
Heller Financial, Incorporated, 5.875%, Due 11/1/2000....... 3,000 3,000
Lehman Brothers Holdings, Incorporated, 6.97%, Due
7/8/2002.................................................. 1,000 1,001
Morgan Stanley Group, Incorporated, 6.375%, Due 8/1/2002.... 1,000 993
Sanwa Business Credit Corporation, 144a, 7.25%, Due
9/15/2001 (Note A)........................................ 195 195
Sears Roebuck Acceptance Corporation
7.13%, Due 6/26/2001...................................... 400 401
6.87%, Due 7/3/2001....................................... 1,000 1,001
Simon Property Group Incorporated, 144a, 6.625%, Due
6/15/2003 (Note A)........................................ 1,200 1,168
Weingarten Realty Investments, 7.23%, Due 7/18/2002......... 1,000 1,001
-------
TOTAL FINANCIAL......................................... 15,542
-------
INDUSTRIAL - 24.24%
Cendant Corporation, 7.75%, Due 12/1/2003................... 1,590 1,542
Fort James Corporation, 8.375%, Due 11/15/2001.............. 3,000 3,013
Occidental Petroleum Corporation, 6.75%, Due 11/15/2002..... 2,500 2,486
Philip Morris Companies, Incorporated, 7.25%, Due
1/15/2003................................................. 3,000 2,964
Raytheon Company, 144a, 7.31%, Due 3/1/2002 (Note A)........ 2,000 2,000
Union Oil Company of California, 6.375%, Due 2/1/2004....... 1,880 1,832
Weyerhaeuser Company, 9.05%, Due 2/1/2003................... 1,000 1,041
Xerox Corporation, MTN, 6.685%, Due 10/23/2001.............. 200 169
-------
TOTAL INDUSTRIAL........................................ 15,047
-------
UTILITY - 6.13%
Airtouch Communications, Incorporated, 7.00%, Due
10/1/2003................................................. 1,000 996
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
56
<PAGE> 59
AMR INVESTMENT SERVICES SHORT-TERM BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
AMOUNT VALUE
---------- -------
(DOLLARS IN THOUSANDS)
<S> <C> <C>
Sprint Capital Corporation, 5.70%, Due 11/15/2003........... $ 1,000 $ 957
TXU Corporation, 7.375%, Due 8/1/2001....................... 1,000 1,002
Verizon Communications, 6.50%, Due 4/15/2002................ 850 848
-------
TOTAL UTILITY........................................... 3,803
-------
TOTAL CORPORATE OBLIGATIONS............................. 34,392
-------
YANKEE SOVEREIGN - 1.97%
Novia Scotia Province, 9.375%, Due 7/15/2002................ 1,175 1,221
-------
TOTAL YANKEE SOVEREIGN.................................. 1,221
-------
ASSET-BACKED SECURITIES - 19.36%
Citibank Credit Card Master Trust I, Series 1997-3 B,
6.989%, Due 2/10/2004..................................... 3,000 2,999
Countrywide Home Loans 2000-5 2 A2, 7.75%, Due 1/25/2003.... 816 817
DaimlerChrysler Auto Trust, 6.66%, 1/8/2005................. 1,000 1,000
Discover Card Master Trust 1999-4 A, 5.65%, Due
11/15/2004................................................ 1,000 983
Ford Credit Auto Owner Trust, 7.07%, 4/15/2004.............. 2,000 2,017
GE Capital Mortgage Services, Incorporated 1994-HE3 A3,
6.52%, Due 8/25/2013...................................... 857 852
Green Tree Lease Financial, LLC 1998-1 A4, 5.74%, Due
1/20/2004................................................. 350 344
Mitsubishi Motor Company of America Auto Owner Trust 2000-1
A2, 6.95%, Due 2/15/2003.................................. 1,000 1,001
Residential Funding Securities II, Incorporated 2000-HI4
AI2, 7.39%, Due 4/25/2011................................. 1,000 998
USAA Auto Owner Trust 2000-1 A3, 6.95%, Due 6/15/2004....... 1,000 1,007
-------
TOTAL ASSET-BACKED SECURITIES........................... 12,018
-------
</TABLE>
<TABLE>
<CAPTION>
SHARES
---------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 1.78%
American Select Cash Reserve Fund........................... 1,110,270 1,110
-------
TOTAL SHORT-TERM INVESTMENTS............................ 1,110
-------
TOTAL INVESTMENTS - 106.43% (COST $66,811).................. 66,077
-------
LIABILITIES, NET OF OTHER ASSETS - (6.43)%.................. (3,991)
-------
TOTAL NET ASSETS - 100%..................................... $62,086
=======
</TABLE>
---------------
Based on the cost of investments of $66,811 for federal income tax purposes at
October 31, 2000, the aggregate gross unrealized appreciation was $81, the
unrealized depreciation was $815 and the net unrealized depreciation of
investments was $734
(A) 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 $5,349 or 8.62% of net assets.
ABBREVIATIONS:
LLC - Limited Liability Corporation
MTN - Medium-Term Note
See accompanying notes
--------------------------------------------------------------------------------
57
<PAGE> 60
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE SHORT-TERM
BALANCED VALUE VALUE EQUITY BOND BOND
--------- ---------- --------- ------------- ------------ ----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities at value*........... $845,560 $ 777,735 $62,436 $1,252,833 $49,213 $66,077
Cash, including foreign currency.............. 550 589 58 4,020 - -
Dividends and interest receivable............. 5,306 1,045 97 1,908 571 961
Reclaims receivable........................... - - - 205 - -
Receivable for Variation Margin on open
futures contracts............................ 1,270 870 334 166 -
Receivable for investments sold............... 1,867 4,759 530 8,173 - 1,978
Other assets.................................. - - - - - -
--------- ---------- ------- ---------- ------- -------
TOTAL ASSETS............................... 854,553 784,998 63,455 1,267,305 49,784 69,016
--------- ---------- ------- ---------- ------- -------
LIABILITIES:
Payable for investments purchased............. 12,804 52 142 1,204 1,310 6,885
Payable upon return of securities loaned...... 41,513 22,541 7,707 94,293 7,713 -
Management and investment advisory fees
payable (Note 2)............................. 619 605 110 1,259 14 16
Accrued organization costs.................... 3 8 - - 4 8
Unrealized depreciation on foreign currency
contracts.................................... - - - 1,444 - -
Other liabilities............................. 107 111 30 384 8 21
--------- ---------- ------- ---------- ------- -------
TOTAL LIABILITIES.......................... 55,046 23,317 7,989 98,584 9,049 6,930
--------- ---------- ------- ---------- ------- -------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL
INTERESTS....................................... $799,507 $ 761,681 $55,466 $1,168,721 $40,735 $62,086
========= ========== ======= ========== ======= =======
* Cost of investments............................ $817,349 $ 752,369 $63,199 $1,198,645 $49,331 $66,811
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
58
<PAGE> 61
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF OPERATIONS
Year Ended October 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAP SMALL CAP INTERNATIONAL INTERMEDIATE SHORT-TERM
BALANCED VALUE VALUE EQUITY BOND BOND
-------- --------- --------- ------------- ------------ ----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income................................. $26,760 $ 2,812 $ 458 $ 6,410 $ 7,113 $ 4,742
Dividend income (net of foreign taxes of $129,
$232, $5,122 and $4 in Balanced, Large Cap
Value, International Equity and Emerging
Markets Portfolios, respectively).............. 15,957 32,795 1,189 26,758 - -
Income derived from commission recapture (Note
6)............................................. 59 200 2 299 - -
Income derived from securities lending, net
(Note 5)....................................... 218 105 33 969 40 -
------- -------- ------ --------- -------- -------
TOTAL INVESTMENT INCOME...................... 42,994 35,912 1,682 34,436 7,153 4,742
------- -------- ------ --------- -------- -------
EXPENSES:
Management and investment advisory fees (Note
2)............................................. 2,603 3,080 402 5,029 256 165
Custodian fees.................................. 224 257 26 1,349 32 18
Professional fees............................... 20 12 4 38 6 -
Other expenses.................................. 55 35 15 7 17 2
------- -------- ------ --------- -------- -------
TOTAL EXPENSES............................... 2,902 3,384 447 6,423 311 185
------- -------- ------ --------- -------- -------
Less fees waived (Note 2)....................... - - - - - -
------- -------- ------ --------- -------- -------
NET EXPENSES................................. 2,902 3,384 447 6,423 311 185
------- -------- ------ --------- -------- -------
NET INVESTMENT INCOME (LOSS)....................... 40,092 32,528 1,235 28,013 6,842 4,557
------- -------- ------ --------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on:
Investments.................................... (3,654) 20,034 1,238 202,261 (12,767) (1,218)
Foreign currency transactions.................. - - - (57,517) - -
Futures contracts.............................. (1,344) (4,949) (30) (1,440) - -
Change in net unrealized appreciation or
(depreciation) of:
Investments.................................... 359 (43,470) 6,316 (8,783) 8,440 497
Foreign currency contracts and translations.... - - - (109,311) - -
Futures contracts.............................. (427) 1,616 (160) 97 - -
------- -------- ------ --------- -------- -------
NET GAIN (LOSS) ON INVESTMENTS............... (5,066) (26,769) 7,364 25,307 (4,327) (721)
------- -------- ------ --------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................... $35,026 $ 5,759 $8,599 $ 53,320 $ 2,515 $ 3,836
======= ======== ====== ========= ======== =======
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
59
<PAGE> 62
AMR INVESTMENT SERVICES TRUST PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED LARGE CAP VALUE SMALL CAP VALUE
------------------------ ------------------------ ----------------------------
DECEMBER 31,
YEAR ENDED YEAR ENDED YEAR ENDED 1998
OCTOBER 31, OCTOBER 31, OCTOBER 31, TO OCTOBER 31,
2000 1999 2000 1999 2000 1999
---------- ----------- ---------- ----------- ----------- --------------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income (loss).............. $ 40,092 $ 41,612 $ 32,528 $ 39,065 $ 1,235 $ 320
Net realized gain (loss) on investments,
futures contracts and foreign currency
transactions............................ (4,998) 59,888 15,085 221,657 1,208 1,165
Change in net unrealized appreciation or
depreciation of investments, futures
contracts and foreign currency
translations............................ (68) (89,696) (41,854) (203,626) 6,156 (7,079)
---------- ---------- ---------- ---------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS........... 35,026 11,804 5,759 57,096 8,599 (5,594)
---------- ---------- ---------- ---------- -------- -------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS:
Contributions............................. 254,079 155,233 156,932 296,048 34,901 90,405
Withdrawals............................... (496,854) (238,306) (859,324) (797,887) (55,048) (17,797)
---------- ---------- ---------- ---------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM TRANSACTIONS IN
INVESTORS' BENEFICIAL INTERESTS..... (242,775) (83,703) (702,392) (501,839) (20,147) 72,608
---------- ---------- ---------- ---------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS........ (207,749) (71,269) (696,633) (444,743) (11,548) 67,014
---------- ---------- ---------- ---------- -------- -------
NET ASSETS:
Beginning of period....................... 1,007,256 1,078,525 1,458,314 1,903,057 67,014 -
---------- ---------- ---------- ---------- -------- -------
END OF PERIOD............................. $ 799,507 $1,007,256 $ 761,681 $1,458,314 $ 55,466 $67,014
========== ========== ========== ========== ======== =======
---------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
---------------------------------------------------------------------------------------------------------------------------------
RATIOS:
Expenses to average net assets
(annualized)............................ 0.33% 0.32% 0.32% 0.32% 0.68% 0.72%
Net investment income to average net
assets (annualized)..................... 4.58% 3.82% 3.10% 2.19% 1.88% 1.13%
Portfolio turnover rate (not
annualized)............................. 121% 90% 58% 33% 63% 31%
Decrease reflected in above expense ratio
due to absorption of expenses by the
Manager................................. - - - - - 0.17%
</TABLE>
--------------------------------------------------------------------------------
60
<PAGE> 63
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INTERMEDIATE BOND SHORT-TERM BOND
------------------------- ----------------------- ----------------------
YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31,
2000 1999 2000 1999 2000 1999
----------- ----------- --------- ----------- -------- -----------
(IN THOUSANDS)
<S> <C> <C> <C> <C> <C>
$ 28,013 $ 27,114 $ 6,842 $ 14,641 $ 4,557 $ 6,202
143,304 111,938 (12,767) (3,536) (1,218) (2,001)
(117,997) 79,728 8,440 (12,532) 497 (1,481)
----------- ---------- --------- -------- -------- --------
53,320 218,780 2,515 (1,427) 3,836 2,720
----------- ---------- --------- -------- -------- --------
1,485,799 948,727 46,108 174,791 16,783 35,387
(1,712,523) (853,527) (261,316) (98,940) (32,884) (74,093)
----------- ---------- --------- -------- -------- --------
(226,724) 95,200 (215,208) 75,851 (16,101) (38,706)
----------- ---------- --------- -------- -------- --------
(173,404) 313,980 (212,693) 74,424 (12,265) (35,986)
----------- ---------- --------- -------- -------- --------
1,342,125 1,028,145 253,428 179,004 74,351 110,337
----------- ---------- --------- -------- -------- --------
$ 1,168,721 $1,342,125 $ 40,735 $253,428 $ 62,086 $ 74,351
=========== ========== ========= ======== ======== ========
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
0.44% 0.37% 0.30% 0.28% 0.28% 0.29%
1.93% 2.27% 6.65% 5.91% 6.92% 6.29%
45% 63% 102% 123% 89% 115%
- - - - - -
</TABLE>
See accompanying notes
--------------------------------------------------------------------------------
61
<PAGE> 64
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS
October 31, 2000
--------------------------------------------------------------------------------
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 and
the AMR Investment Services Short-Term Bond 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.
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 are
valued using the amortized cost method.
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.
--------------------------------------------------------------------------------
62
<PAGE> 65
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
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.
Futures Contracts
The Balanced, Large Cap Value, Small Cap Value and International Equity
Portfolios may enter into financial futures contracts which are contracts to buy
a standard quantity of securities at a specified price on a future date. Upon
entering into a futures contract, the Portfolio is required to deposit with a
financial intermediary an amount ("initial margin") equal to a certain
percentage of the face value indicated in the futures contract. Subsequent
payments ("variation margin") are made or received by the Portfolio dependent
upon the daily fluctuations in the value of the underlying security and are
recorded for financial reporting purposes as unrealized gains or losses by the
Portfolio. When entering into a closing transaction, the Portfolio will realize
a gain or loss equal to the difference between the value of the futures contract
to sell and the futures contract to buy. Futures contracts are valued at the
most recent settlement price established each day by the board of trade or
exchange on which they are traded.
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 and Short-Term Bond Portfolios in connection with their
organization are being amortized on a straight-line basis over a five-year
period.
--------------------------------------------------------------------------------
63
<PAGE> 66
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
Use of Estimates
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States 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% $2,603 $1,728 $ 875
Large Cap Value Portfolio.......................... .225%-.70% 3,080 2,041 1,039
Small Cap Value Portfolio.......................... .50%-.66% 402 337 65
International Equity Portfolio..................... .25%-.70% 5,029 3,579 1,450
Intermediate Bond Portfolio........................ .25% 256 88 168
</TABLE>
The Manager serves as the sole investment adviser to the Short-Term Bond
Portfolio. Pursuant to the Management Agreement, the Manager receives from the
Portfolio an annualized fee equal to .25% of the average daily net assets of the
Short-Term Bond Portfolio.
Other
Certain officers or trustees of the Trust are also current or former
officers or employers 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 year ended October 31, 2000, the cost
of air transportation was not material to any of the Portfolios.
--------------------------------------------------------------------------------
64
<PAGE> 67
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions for the year ended October 31, 2000 (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.................................... $ 995,324 $ 583,507 $36,510 $596,501 $103,477 $56,465
Proceeds from sales.......................... $1,202,912 $1,272,259 $64,855 $795,199 $307,736 $61,416
</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 October 31, 2000, 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>
2,445 Australian Dollar........................................ 11/10/00 $ 1,267 $ 69
3,098 Canadian Dollar.......................................... 11/10/00 2,028 49
407 Euro Currency............................................ 11/2/00 345 (6)
20,892 Euro Currency............................................ 11/10/00 17,738 418
1,864,851 Japanese Yen............................................. 11/10/00 17,123 180
1,663 Pound Sterling........................................... 11/2/00 2,415 (27)
9,451 Pound Sterling........................................... 11/10/00 13,717 65
1,040 Singapore Dollar......................................... 11/1/00 593 --
11,866 Swedish Krona............................................ 11/10/00 1,189 46
5,203 Swiss Franc.............................................. 11/10/00 2,897 61
------- -------
Total contracts to deliver (Receivable amount $60,167).............. $59,312 $ 855
======= =======
CONTRACTS TO RECEIVE
--------------------
(AMOUNTS IN THOUSANDS)
3,093 Australian Dollar........................................ 11/10/00 $ 1,604 $ (167)
4,210 Canadian Dollar.......................................... 11/10/00 2,756 (86)
25,845 Euro Currency............................................ 11/10/00 21,943 (1,164)
2,231,298 Japanese Yen............................................. 11/10/00 20,486 (526)
11,360 Pound Sterling........................................... 11/10/00 16,485 (81)
15,547 Swedish Krona............................................ 11/10/00 1,557 (109)
6,626 Swiss Franc.............................................. 11/10/00 3,689 (166)
------- -------
Total contracts to receive (Payable amount $70,819)................. $68,520 $(2,299)
======= =======
</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.
--------------------------------------------------------------------------------
65
<PAGE> 68
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 2000
--------------------------------------------------------------------------------
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 October 31, 2000, the Portfolios had securities on loan as
follows:
<TABLE>
<CAPTION>
MARKET VALUE OF
PORTFOLIO SECURITIES ON LOAN NON-CASH COLLATERAL CASH COLLATERAL
--------- ------------------ ------------------- ---------------
<S> <C> <C> <C>
Balanced................................ $41,546,576 $1,018,470 $41,513,305
Large Cap Value......................... 21,785,174 -- 22,541,375
Small Cap Value......................... 7,519,393 -- 7,707,265
International Equity.................... 90,607,776 162,712 94,292,512
Intermediate Bond....................... 7,576,364 33,675 7,713,493
</TABLE>
The Custodian for each Portfolio invested the cash collateral in the AMR
Investments Enhanced Yield Business Trust and the American Select Cash Reserve
Fund (the "Funds").
The Manager serves as Trustee and as investment adviser to the Funds. The
Manager receives from the Funds annualized fees equal to 0.10% of the average
daily net assets.
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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<PAGE> 69
AMR INVESTMENT SERVICES TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
October 31, 2000
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7. FUTURES CONTRACTS
A Summary of obligations under these financial instruments at October 31,
2000 is as follows:
<TABLE>
<CAPTION>
UNREALIZED
MARKET APPRECIATION/
TYPE OF FUTURE EXPIRATION CONTRACTS VALUE (DEPRECIATION)
-------------- ---------- --------- ----------- --------------
<S> <C> <C> <C> <C>
BALANCED PORTFOLIO:
S&P 500 Index......................................... Dec. 2000 170 $61,208,500 $ (427,250)
LARGE CAP VALUE PORTFOLIO:
S&P 500 Index......................................... Dec. 2000 120 43,206,000 1,615,725
SMALL CAP VALUE PORTFOLIO:
Russell 2000.......................................... Dec. 2000 55 13,763,750 (160,650)
INTERNATIONAL EQUITY PORTFOLIO:
Hang Seng Index....................................... Nov. 2000 4 385,762 4,122
Spain IBEX Index...................................... Nov. 2000 7 617,201 360
Sweden OMX Index...................................... Nov. 2000 55 646,469 11,814
Australia Allord Index................................ Dec. 2000 13 552,401 (1,749)
Canada S&P Index...................................... Dec. 2000 17 1,267,793 (80,207)
France CAC Index...................................... Dec. 2000 47 2,572,088 72,525
Germany DAX Index..................................... Dec. 2000 13 1,962,448 87,356
Italy MIB Index....................................... Dec. 2000 5 1,014,365 31,679
Japan Nikkei 300 Index................................ Dec. 2000 233 5,861,805 (103,691)
UK FTSE Index......................................... Dec. 2000 52 4,900,546 75,387
</TABLE>
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<PAGE> 70
AMERICAN AADVANTAGE MILEAGE FUNDS
PRIVACY POLICY
(Unaudited)
--------------------------------------------------------------------------------
The American AAdvantage Funds recognizes and respects the privacy of our
shareholders. We are providing this notice to you so you will understand how
shareholder information may be collected and used.
We may collect nonpublic personal information about you from one or more of
the following sources:
- information we receive from you on applications or other forms;
- information about your transactions with us or our service providers; and
- information we receive from third parties.
We do not disclose any nonpublic personal information about our customers
or former customers to anyone, except as permitted by law.
We restrict access to your nonpublic personal information to those
employees or service providers who need to know that information to provide
products or services to you. To ensure the confidentiality of your nonpublic
personal information, we maintain safeguards that comply with federal standards.
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68
<PAGE> 71
[AMERICAN AADVANTAE MILEAGE FUNDS LOGO]
--------------------------------------------------------------------------------
TO OBTAIN MORE INFORMATION ABOUT THE FUNDS:
<TABLE>
<S> <C>
[GRAPHIC] [GRAPHIC]
BY E-MAIL: ON THE INTERNET:
american [email protected] Visit our website at www.aafunds.com
</TABLE>
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<TABLE>
<S> <C>
[GRAPHIC] [GRAPHIC]
BY TELEPHONE: BY MAIL:
Mileage Class(R) American AAdvantage Funds
Call (800) 388-3344 P.O. Box 619003, MD 5645
DFW Airport, TX 75261-9003
</TABLE>
FUND SERVICE PROVIDERS:
<TABLE>
<S> <C> <C> <C>
CUSTODIAN TRANSFER AGENT INDEPENDENT AUDITORS DISTRIBUTOR
STATE STREET BANK AND TRUST NATIONAL FINANCIAL DATA SERVICES ERNST & YOUNG LLP SWS FINANCIAL SERVICES
Boston, Massachusetts Kansas City, Missouri Dallas, Texas Dallas, Texas
</TABLE>
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.
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American Airlines is not responsible for investments made in the American
AAdvantage Mileage Funds. American AAdvantage Mileage Funds is a registered
service mark of AMR Corporation. American AAdvantage Balanced Mileage Fund,
American AAdvantage Large Cap Value Mileage Fund and American AAdvantage Small
Cap Value Mileage Fund, American AAdvantage International Equity Mileage Fund,
American AAdvantage Intermediate Bond Mileage Fund and American AAdvantage
Short-Term Bond Mileage Fund are service marks of AMR Investment Services, Inc.
