N-CSR 1 ncsr0404.txt AADVANTAGE N-CSR FOR APRIL 30 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 801-4984 AMERICAN AADVANTAGE FUNDS (Exact name of registrant as specified in charter) 4151 Amon Carter Boulevard, MD 2450 Fort Worth, Texas 76155 (Address of principal executive offices)-(Zip code) WILLIAM F. QUINN, PRESIDENT 4151 Amon Carter Boulevard, MD 2450 Fort Worth, Texas 76155 (Name and address of agent for service) Registrant's telephone number, including area code: (817) 967-3509 Date of fiscal year end: October 31, 2004 Date of reporting period: April 30, 2004 ITEM 1. REPORTS TO STOCKHOLDERS. (AA EAGLE) 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.
Contents ----------------------------------------- President's Message........... 1 American AAdvantage Funds' Performance................ 2 Market and Performance Overviews.................. 3 American AAdvantage Schedules of Investments Balanced Fund.............. 22 Large Cap Value Fund....... 31 Large Cap Growth Fund...... 35 Small Cap Value Fund....... 39 Emerging Markets Fund...... 45 High Yield Bond Fund....... 51 Enhanced Income Fund....... 57 Intermediate Bond Fund..... 63 Short-Term Bond Fund....... 69 AMR Investment Services Trust Schedules of Investments International Equity Portfolio............... 112 Additional Information........Inside Back Cover
Any opinions herein, including forecasts, reflect our judgement as of the end of the reporting period and are subject to change. Each adviser's strategies and each Fund's portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, AMR Investment Services, Inc. makes no representation as to the completeness or accuracy of the statements contained herein. American AAdvantage Funds April 30, 2004 (BILL QUINN PICTURE) FELLOW SHAREHOLDERS, I am pleased to present you with the Semi-Annual Report for the American AAdvantage Funds for the six months ended April 30, 2004. During this time, the Dow Jones Industrial Average posted gains of 5.43%, the S&P 500 Index increased by 6.27%, while the MSCI EAFE Index returned 12.39%. The bond market, as defined by the Lehman Brothers Aggregate Index, returned 1.24% during the period despite a slight increase in interest rates. Additionally, the Federal Reserve left the Fed Funds Rate at its 40-year low of 1%. All of the equity Funds posted solid performances, as the Institutional Class of each Fund outpaced the respective Lipper peer group for the six-month, one-year and three-year periods as of April 30, 2004. The Small Cap Value Fund continued its strong performance with returns of 12.87%, 51.83%, 19.15% and 16.65% for the six-month, one-year, three-year, and five-year periods, respectively. Additionally, the Emerging Markets Fund continued to benefit from the global economic recovery with returns of 10.66%, 54.63%, and 15.67% for the six-month, one-year, and three-year periods, respectively, as of April 30, 2004. On the fixed-income front, the High Yield Bond, Enhanced Income, Intermediate Bond and Short-Term Bond Funds all posted modest positive returns for the six-month period despite a difficult market for fixed income securities. Once again, the Institutional Class of the Short-Term Bond Fund outperformed its Lipper peer group for the one, three, five, and ten-year periods. Our new Enhanced Income Fund-PlanAhead Class outperformed its respective Lipper peer group with returns of 2.24% for the six-month period and 2.57% since its inception on July 1, 2003. Please review the enclosed market overviews, portfolio listings and detailed financial data. As always, we welcome the opportunity to serve your financial needs. To obtain further details about the American AAdvantage Funds Family or access to your account information, please visit our web site at www.aafunds.com. Thank you for your continued confidence in the American AAdvantage Funds. Sincerely, /s/ WILLIAM F. QUINN William F. Quinn President, American AAdvantage Funds Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain more current performance information, please visit www.aafunds.com or call 1-800-967-9009. 1 AMERICAN AADVANTAGE FUNDS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
AVERAGE ANNUALIZED TOTAL RETURN ------------------------------------------ INCEPTION TICKER 10 YEAR/ DATE SYMBOL 1 YEAR 3 YEAR 5 YEAR SINCE INCEPTION --------- ------ ------ ------ ------ --------------- Balanced Fund -- Institutional 7/17/87 AADBX 22.27% 5.85% 4.50% 9.69% Balanced Fund -- PlanAhead 8/1/94 AABPX 21.64% 5.61% 4.24% 9.39% Balanced Fund -- AMR 8/1/94 AABNX 22.35% 6.18% 4.79% 9.97% Lipper Balanced Funds Index 16.18% 1.62% 2.01% 8.61% Large Cap Value Fund -- Institutional 7/17/87 AADEX 34.94% 4.50% 2.99% 10.88% Large Cap Value Fund -- PlanAhead 8/1/94 AAGPX 34.57% 4.21% 2.71% 10.54% Large Cap Value Fund -- AMR 8/1/94 AAGAX 35.29% 4.79% 3.26% 11.16% Lipper Multi-Cap Value Funds Index 29.14% 2.66% 3.52% 10.99% Large Cap Growth Fund -- Institutional 7/31/00 ALCGX 24.56% -5.79% N/A -13.36% Large Cap Growth Fund -- AMR 7/31/00 ALFIX 24.50% -5.76% N/A -13.27% Lipper Large-Cap Growth Funds Index 18.89% -7.30% N/A -14.23% Small Cap Value Fund -- Institutional 12/31/98 AVFIX 51.83% 19.15% 16.65% 15.25% Small Cap Value Fund -- PlanAhead 3/1/99 AVPAX 51.34% 18.73% 16.35% 14.95% Small Cap Value Fund -- Service 5/1/03 AASSX 50.81% 18.59% 16.27% 14.88% Small Cap Value Fund -- AMR 3/1/99 AASVX 52.21% 19.44% 16.98% 15.55% Lipper Small-Cap Value Funds Index 46.70% 13.32% 13.55% 12.16% International Equity Fund -- Institutional 8/7/91 AAIEX 43.01% 3.83% 3.63% 8.51% International Equity Fund -- PlanAhead 8/1/94 AAIPX 42.69% 3.70% 3.44% 8.24% International Equity Fund -- Service 5/1/03 AAISX 42.20% 3.58% 3.36% 8.20% International Equity Fund -- AMR 8/1/94 AAIAX 43.39% 4.06% 3.88% 8.78% Lipper International Funds Index 38.23% 1.44% 1.32% 5.34% Emerging Markets Fund -- Institutional 7/31/00 AEMFX 54.63% 15.67% N/A 5.00% Emerging Markets Fund -- PlanAhead 10/1/02 AAEPX 54.29% 15.48% N/A 4.87% Emerging Markets Fund -- AMR 7/31/00 AAMRX 55.23% 15.97% N/A 5.29% Lipper Emerging Markets Funds Index 52.89% 13.99% N/A 3.92% High Yield Bond Fund -- Institutional 12/29/00 AYBFX 11.65% 10.79% N/A 10.84% High Yield Bond Fund -- PlanAhead 3/1/02 AHYPX 11.16% 10.24% N/A 10.35% High Yield Bond Fund -- Service 5/1/03 AAHSX 10.14% 9.91% N/A 10.04% Lipper High Yield Bond Funds Index 15.21% 6.69% N/A 6.65% Enhanced Income Fund -- PlanAhead 6/30/03 AANPX N/A N/A N/A 2.57% Lipper Interm. Investment Grade Index N/A N/A N/A 0.57% Intermediate Bond Fund -- Institutional 9/15/97 AAIBX 1.11% 5.74% 6.09% 6.37% Intermediate Bond Fund -- PlanAhead 3/2/98 AAPAX 1.48% 5.70% 5.56% 5.93% Intermediate Bond Fund -- AMR 3/1/99 AABDX 1.74% 6.18% 6.10% 6.32% Lipper Interm. Investment Grade Index 2.42% 6.41% 6.25% 6.40% Short-Term Bond Fund -- Institutional 12/3/87 AADFX 1.77% 4.45% 5.25% 5.44% Short-Term Bond Fund -- PlanAhead 8/1/94 AALPX 1.51% 4.19% 4.96% 5.18% Short-Term Bond Fund -- AMR 8/1/94 AASBX 2.16% 4.68% 5.45% 5.67% Lipper Short Investment Grade Index 1.50% 3.77% 4.72% 5.33%
Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain more current performance information, please visit www.aafunds.com or call 1-800-967-9009. Performance shown for the PlanAhead and AMR Classes prior to their inception dates is that of the Institutional Class. Performance shown for the Service Class prior to its inception date is that of the Institutional and PlanAhead Classes since their inception dates. Fund performance does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2 DOMESTIC EQUITY MARKET OVERVIEW April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- Everything came together for the market and the economy in the fourth quarter of 2003 and continued into the first quarter of 2004. Inflation and interest rates remained low while the dollar declined enough to strengthen America's competitive position. U.S. equity markets responded with strong returns across all styles and capitalization ranges. As evidence of the strength of the recovery in profits became both visible and undeniable in the fourth calendar quarter, stock prices accelerated to the upside. This move was abetted by the sharp decline in the dollar, which greatly improved the competitive position of American companies in world markets and raised the U.S. dollar value of overseas earnings by 20% or more. Despite the continued involvement in Iraq and global geopolitical instability, the economy continues to grow and corporate profits remain strong, far exceeding expectations. The resilient spending patterns of both the government and consumer were accompanied by corporations which have finally started to increase capital spending. This renewed confidence was echoed in the capital markets as mergers and acquisitions activity dramatically improved, up sharply from just a year ago. Until recently, the weak link remained the outlook for job growth, which had been non-existent for some time but is beginning to show signs of life. Corporate profits continued to rebound, and powerful economic growth has helped to remove slack in the market. The growth rate of capital spending has returned to levels not seen since the third quarter of 1999. Lastly, a final positive contribution to the market's performance came from investors pouring money into equity funds after more than a year of extraordinary performance for stocks. Since April 2003, investors have added $207 billion to equity mutual funds. Most areas of the equity market advanced modestly during the six-month period. The one exception was the NASDAQ Index, which fell 0.6%. Similar to 2003, value outperformed growth in the period by 3.9% as measured by the Russell 1000 style indices. More than half of the underperformance of the Growth Index (relative to the Value Index) was due to losses in the Technology sector. Nine of the ten S&P 500 economic sectors achieved positive returns in the period, with less economically sensitive groups such as Consumer Staples, Energy, Utilities, and Health Care performing the best. The worst performing sectors were Information Technology, Financials and Consumer Discretionary stocks. Despite strong earnings over the past year, valuations for the overall market are still high. The P/E ratio of the S&P 500 is 22x reported earnings, well above its long-term historical average of 15x. While 2003 rewarded investors who held stocks of companies with no earnings and paying no dividends, the market has begun to change course in 2004 with companies delivering earnings and paying a dividend beginning to outperform. Returning capital to shareholders via dividends continues to grow in popularity. Favorable tax incentives and investor pressure have been supportive of higher payouts. Since the implementation of the new dividend tax policy, 250 companies in the S&P 500 have initiated or increased their dividend. In the first three months of 2004 alone, 90 companies either initiated or increased their dividend including Citigroup, Washington Mutual, Allstate, and Wal-Mart. The economy appears to be on the right track. Significant government stimulus has fueled growth for three consecutive quarters including strong fourth quarter GDP growth (+4.2%). Expectations for 2004 growth remain optimistic, between 4% and 5%. But with improved economic prosperity comes an increased probability that the Federal Reserve may soon need to take action to avoid a surge in inflation. Many equity investors associate a rising interest rate environment with negative stock performance. History reveals that this result is not always the case. Since 1955, there have been 11 periods in which markets achieved positive results even when short-term rates climbed. Even in a rapidly rising interest rate environment, such as the late 1970's, equities were profitable investments. During 1978-1980, the stock market gained 61%, despite the dramatic rise of 6.6% in the rate of 90-Day T-Bills. Today, the level of short-term rates is similar to those seen in 1958 when 3-Month T-Bills yielded 0.6%. The market rose 36% during the subsequent 14 months. While much of the period analyzed (since 1958) has been a distinctly bull market for equities, there is historical evidence that stocks can go up despite the headwind of a rising interest rate environment. 3 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE BALANCED FUND(SM) April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- The Balanced Fund's Institutional Class returned 7.6% for the six months ended April 30, 2004, outperforming the 60% S&P 500 Barra Value/ 40% Lehman Brothers Aggregate Index benchmark return of 5.2% and the Lipper Balanced Funds Index return of 4.7%.
ANNUALIZED TOTAL RETURNS --------------------------------------- PERIODS ENDED 4/30/04 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1)... 7.59% 22.27% 4.50% 9.69% PlanAhead Class(1,2)..... 7.32% 21.64% 4.24% 9.39% AMR Class(1,2)........... 7.59% 22.35% 4.79% 9.97% Lipper Balanced Funds Index................... 4.74% 16.18% 2.01% 8.61% S&P 500 Index............ 6.27% 22.88% (2.26)% 11.36% S&P 500/Barra Value Index................... 7.92% 27.86% (0.14)% 10.77% Lehman Brothers Aggregate Index................... 1.24% 1.82% 6.66% 7.34% Balanced Composite Index(3)................ 5.24% 16.96% 2.95% 9.74%
* Not Annualized 1 Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain more current performance information, please visit www.aafunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2 Fund performance for the ten-year period represents the total returns achieved by the Institutional Class from 4/30/94 up to 8/1/94, the inception date of the PlanAhead and AMR Classes, and the returns of the PlanAhead and AMR Classes since inception of these Classes. Expenses of the PlanAhead Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 4/30/94. Expenses of the AMR Class are lower than those of the Institutional Class. As a result, total returns shown may be lower than they would have been had the AMR Class been in existence since 4/30/94. 3 60% S&P 500/Barra Value, 40% LB Aggregate Index During the six-month period, the Fund's assets on average were invested 67% in equities (and equitized cash) and 33% in fixed-income securities, ending the period with 68% in equities (and equitized cash) and 32% in fixed-income securities. The equity portion of the Fund returned 12.5%, outperforming the S&P 500 Barra Value Index ("Barra Value Index") return of 7.9%. The Fund added value relative to the Barra Value Index mainly through stock selection, which was positive in eight out of ten sectors, although sector allocation also was positive. Stock selection in the Financials sector contributed most to the Fund's excess performance. The Fund's positions in MGIC Investment Corp. (up 43.7%) and Allstate (up 17.6%) had the largest impact in this sector. Holdings in the Energy, Industrials and Materials sectors were also a source of significant added value. Strong performers included Valero Energy (up 37.9%) and Occidental Petroleum (up 35.6%) in the Energy sector, Tyco (up 31.6%) in the Industrials sector and Eastman Chemical (up 34.1%) in the Materials sector. The Fund's Health Care sector holdings were the largest source of underperformance relative to the Barra Value Index, due mostly to the Fund's position in Tenet Healthcare (down 14.8%). Equity sector allocation had a positive impact on the Fund's relative returns during the six-month period. The Fund benefited from overweighting Consumer Staples, the second best performing sector of the Barra Value Index and from underweighting Financials, the second worst performing sector. The fixed-income portion of the Fund returned 1.6% for the six-month period, ahead of the Lehman Brothers Aggregate Index return of 1.2%. The Fund's outperformance was due mostly to a larger than double weighting in Corporates, the best performing sector of the Lehman Brothers Aggregate Index, and to good issuer selection among the Financial issuers. The sub-advisers continue to focus on the selection of attractive securities in a volatile and changing environment. 4 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE BALANCED FUND(SM) -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS
% OF EQUITIES -------- Bank of America Corporation 2.6% Altria Group, Incorporated 2.5% ConocoPhillips 2.3% Citigroup, Incorporated 2.1% MetLife, Incorporated 2.0% Cendant Corporation 1.9% Allstate Corporation 1.9% Tyco International Limited 1.8% Washington Mutual, Incorporated 1.8% Boeing Company 1.6% ----- Total 20.5% Top Ten Equity Holdings as % of Total Net Assets 12.3%
EQUITY SECTOR ALLOCATION
% OF EQUITIES ---------- Financials 28.7% Industrials 15.0% Consumer Discretionary 11.2% Energy 9.5% Consumer Staples 8.6% Health Care 8.4% Materials 6.4% Utilities 5.5% Information Technology 4.8% Telecommunication Services 1.3% Real Estate 0.6%
FIXED-INCOME SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporates 40.6% Mortgage-Backed 26.2% U.S. Treasury 26.0% Agency 6.7% Asset-Backed 0.5%
5 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE LARGE CAP VALUE FUND(SM) April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- The Institutional Class of the Large Cap Value Fund returned 11.7% for the six months ended April 30, 2004, well ahead of the S&P 500/Barra Value Index ("Index") return of 7.9% and the Lipper Multi-Cap Value Funds Index return of 8.5%.
ANNUALIZED TOTAL RETURNS --------------------------------------- PERIODS ENDED 4/30/04 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1)... 11.70% 34.94% 2.99% 10.88% PlanAhead Class(1,2)..... 11.59% 34.57% 2.71% 10.54% AMR Class(1,2)........... 11.90% 35.29% 3.26% 11.16% Lipper Multi-Cap Value Funds Index............. 8.50% 29.14% 3.52% 10.99% S&P 500 Index............ 6.27% 22.88% (2.26)% 11.36% S&P 500/Barra Value Index................... 7.92% 27.86% (0.14)% 10.77%
* Not Annualized 1 Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain more current performance information, please visit www.aafunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2 Fund performance for the ten-year period represents the total returns achieved by the Institutional Class from 4/30/94 up to 8/1/94, the inception date of the PlanAhead and AMR Classes, and the returns of the PlanAhead and AMR Classes since inception of these Classes. Expenses of the PlanAhead Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 4/30/94. Expenses of the AMR Class are lower than those of the Institutional Class. As a result, total returns shown may be lower than they would have been had the AMR Class been in existence since 4/30/94. The Fund produced positive absolute returns in every sector, and outperformed the Index through strong stock selection and, to a lesser extent, through positive sector allocation. The Fund benefited from its stock selection in eight of the ten economic sectors. The largest contributors were in the Financials sector, led by MGIC Investment Corp. (up 43.7%), Allstate (up 17.6%) and Loews Corp. (up 35.7%). Positive stock selection in Information Technology (primarily Autodesk, Computer Associates and Motorola), Industrials (Tyco and IKON Office Solutions), Energy (Occidental Petroleum and Valero Energy), Consumer Staples (Imperial Tobacco and Altria Group) and Consumer Discretionary (J.C. Penney, Carnival Corp. and MGM Grand) also added meaningful value versus the Index. Sector weightings also added value, primarily through overweighting Consumer Staples, the second best performing sector of the Index, and underweighting Financials, the second worst performing sector of the Index. Unfortunately, underweighting Energy, the best performing sector, offset some of the value otherwise attained through sector allocation. The sub-advisers' philosophy of investing in a broadly diversified portfolio of companies that have attractive valuations and earnings growth potential should allow the Fund to continue to benefit in the current economic environment. TOP TEN HOLDINGS
% OF NET ASSETS ---------- Altria Group, Incorporated 2.2% Bank of America Corporation 2.1% ConocoPhillips 2.1% Citigroup, Incorporated 1.8% Tyco International Limited 1.7% Cendant Corporation 1.7% MetLife, Incorporated 1.7% Allstate Corporation 1.6% Boeing Company 1.6% Washington Mutual, Incorporated 1.4%
SECTOR ALLOCATION
% OF EQUITIES -------- Financials 28.1% Industrials 13.9% Consumer Discretionary 11.2% Consumer Staples 9.9% Health Care 8.6% Energy 8.2% Information Technology 6.2% Materials 6.0% Utilities 5.6% Telecommunication Services 1.8% Real Estate 0.5%
6 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE LARGE CAP GROWTH FUND(SM) April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- The Institutional Class of the Large Cap Growth Fund returned 6.3% for the six months ended April 30, 2004, compared to the Russell 1000(R)Growth Index ("Index") return of 4.1% and the Lipper Large-Cap Growth Funds Index return of 2.7%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/04 ---------------------------------------- SINCE 6 MONTHS* 1 YEAR 3 YEARS INCEPTION --------- ------ ------- --------- Institutional Class(1)............. 6.34% 24.56% (5.79)% (13.36)% AMR Class(1)........... 6.33% 24.50% (5.76)% (13.27)% Lipper Large-Cap Growth Funds Index.......... 2.70% 18.89% (7.30)% (14.23)% Russell 1000 Growth Index......... 4.14% 21.65% (5.93)% (13.68)%
* Not Annualized 1 Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain more current performance information, please visit www.aafunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. As these returns indicate, it has been a positive period for growth stocks, and the Fund participated fully in the upside movement. During the six-month period, eight out of ten sectors in the Index posted positive returns. The Fund added most of its value through good stock selection, although sector weighting decisions were mildly beneficial. From a stock selection standpoint, the largest value added sectors for the Fund relative to the Index were Health Care followed by Consumer Staples. In Health Care, positions in American Pharmaceutical (up 92.8%), Guidant (up 24.6%), and Aetna US Healthcare (up 56.4%) were the largest contributors. Owning Gillette Company (up 23.1%) and Tyson Foods (up 27.2%) contributed most to the Consumer Staples sector's strong relative performance. On a sector basis, the Fund benefited from relative overweights in the two best performing sectors, Telecommunications (up 29.2%) and Energy (up 25.8%) and from underweighting Information Technology, which was the worst performing sector (down 6.3%). Looking forward, the Fund's sub-advisers will continue to maintain a disciplined, long-term approach to equity investing in large capitalization growth companies. TOP TEN HOLDINGS
% OF NET ASSETS ---------- Pfizer, Incorporated 6.2% General Electric Company 4.7% Johnson & Johnson 4.5% Microsoft Corporation 4.2% Intel Corporation 3.5% Proctor & Gamble Company 2.8% Cisco Systems, Incorporated 2.4% Guidant Corporation 2.1% Dell, Incorporated 1.9% Viacom, Incorporated 1.5%
SECTOR ALLOCATION
% OF EQUITIES -------- Health Care 26.8% Information Technology 22.2% Consumer Discretionary 17.5% Industrials 10.2% Consumer Staples 10.1% Financials 9.6% Materials 1.5% Energy 1.1% Telecommunication Services 0.9% Utilities 0.1%
Russell 1000 (R) Growth Index is a service mark of the Frank Russell Company. 7 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE SMALL CAP VALUE FUND(SM) April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- The Institutional Class of the Small Cap Value Fund returned 12.9% for the six months ended April 30, 2004, significantly outperforming the Russell 2000(R) Value Index ("Index") return of 9.1% and the Lipper Small-Cap Value Funds Index return of 10.5% for the same period.
ANNUALIZED TOTAL RETURNS ---------------------------------------- PERIODS ENDED 4/30/04 ---------------------------------------- SINCE 6 MONTHS* 1 YEAR 5 YEARS INCEPTION --------- ------ ------- --------- Institutional Class(1)............. 12.87% 51.83% 16.65% 15.25% PlanAhead Class(1,2)... 12.72% 51.34% 16.35% 14.95% Service Class(1,3)..... 12.54% 50.81% 16.27% 14.88% AMR Class(1,2)......... 12.96% 52.21% 16.98% 15.55% Lipper Small-Cap Value Funds Index.......... 10.46% 46.70% 13.55% 12.16% Russell 2000 Value Index................ 9.09% 42.45% 12.92% 11.76%
* Not Annualized 1 Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain more current performance information, please visit www.aafunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2 Fund performance for the since inception period represents the total returns achieved by the Institutional Class from 12/31/98 up to 3/1/99, the inception date of the PlanAhead and AMR Classes, and the returns of the PlanAhead and AMR Classes since inception of these Classes. Expenses of the PlanAhead Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 12/31/98. Expenses of the AMR Class are lower than those of the Institutional Class. As a result, total returns shown may be lower than they would have been had the AMR Class been in existence since 12/31/98. 3 Fund performance for the five-year and since inception periods represents the total returns achieved by the Institutional Class from 12/31/98 up to 3/1/99, the returns of the PlanAhead Class from 3/1/99 up to 5/1/03 (the inception date of the Service Class), and the returns of the Service Class since its inception. Expenses of the Service Class are higher than those of the Institutional and PlanAhead Classes. As a result, total returns shown may be higher than they would have been had the Service Class been in existence since 12/31/98. The Fund generated positive returns in every sector and outperformed the Index in seven out of ten sectors during the period. Both stock selection and sector allocation added to the Fund's relative performance. Stock selection in the Industrials sector had the greatest impact. Positions in Valassis Communications (up 19.3%) and Terex Corp. (up 45.6%) were the major contributors to the sector's positive impact on the Fund's performance. Stock selection in the Consumer Discretionary and Financials sectors also contributed significantly to the Fund's excess return. Holdings such as Foot Locker (up 34.7%) and Jack In the Box (up 48.9%) in the Consumer Discretionary sector and Allmerica Financial Corp. (up 30.5%) and LNR Property Corp. (up 22.8%) in Financials helped to produce the positive results. The Fund's overweighting in the Energy sector, which was the best performing sector of the Index, and underweighting in the Information Technology and Financials sectors, the second and third worst performing sectors of the Index, also contributed to relative performance. The sub-advisers' long-term approach to valuation remains unchanged and they continue to uncover opportunities in the current volatile environment, which should result in strong returns for the Fund. TOP TEN HOLDINGS
% OF NET ASSETS --------------- Valassis Communications, Incorporated 2.2% Beazer Homes USA, Incorporated 1.3% Encore Acquisition Company 1.3% Allmerica Financial Corporation 1.3% LNR Property Corporation 1.2% WCI Communities, Incorporated 1.2% MI Developments, Incorporated 1.2% BJ's Wholesale Club, Incorporated 1.1% Northeast Utilities 1.1% The Warnaco Group, Incorporated 1.0%
SECTOR ALLOCATION
% OF EQUITIES ------------- Financials 22.5% Consumer Discretionary 22.1% Industrials 20.3% Utilities 10.4% Materials 6.5% Energy 6.4% Consumer Staples 4.2% Health Care 4.0% Information Technology 3.3% Telecommunication Services 0.3%
Russell 2000(R) Value Index is a service mark of the Frank Russell Company. 8 INTERNATIONAL EQUITY MARKET OVERVIEW April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- Led by the United States and China, the global economy continued to grow during the six months ended April 30, 2004. The developed economies responded favorably to loose monetary policy conditions and to surging commodity prices. These events tempered concerns over deflation and have restored price stability to most regions. Further evidence of the global recovery was particularly evident in Canada, the United Kingdom, Asia, Australia, and New Zealand. Commodity prices continued to rise in the wake of increased global demand. Oil prices, for instance, climbed to nearly forty dollars per barrel by the end of April 2004 versus an average of thirty-one dollars in all of 2003. Chinese imports have become an important source of external demand in the global economy, particularly as this demand pertains to the export growth experienced by Japan, Germany, and Korea. In a still fragile recovery, a slowdown in the Chinese economy implies a potentially significant amount of collateral damage to several of its trading partners. Nonetheless, China's economy grew at a faster than expected rate of 9.7% in the first quarter. In March, the terrorist bombing in Spain sent negative reverberations throughout Europe and shifted French and Spanish politics to more left-leaning parties. Terrorism has cast a dark shadow over Europe and its fragile economic recovery. Germany's annualized CPI rate jumped in April to 1.6% from 1.1% in March. This was the highest rate in two years, pushed up largely by oil prices. The euro zone's current account surplus narrowed slightly in the first few months of 2004, reflecting the loss of competitiveness from the rising euro. Other euro zone economic data points to an increase in manufacturing orders and an uplift in the business climate. Real GDP in the UK reached a 2.6% annual rate in the first quarter, leaving output 3% higher than a year earlier, its strongest growth in nearly four years. As U.S. and European budget imbalances widen, fiscal restraint remains an impediment to future growth. Further concern regarding the U.S. massive trade imbalance, which hit a record $46 billion in March 2004, poses increased risk to the global economy. Central banks in countries such as Australia, Canada, and New Zealand have embarked on a cycle of raising short-term interest rates. The U.S. Federal Reserve may be only a few steps behind, perhaps waiting for the U.S. presidential election. The global economy's prognosis depends, in part, on the Chinese government's ability to achieve a soft landing and slow its domestic economy. Despite the presence of such unpredictable risks, it is believed the global economic climate should remain fairly stable. 9 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND(SM) April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- The Institutional Class of the International Equity Fund returned 13.4% for the six months ended April 30, 2004. The Fund outperformed the MSCI EAFE Index ("Index") return of 12.4% and the Lipper International Funds Index return of 11.0%.
ANNUALIZED TOTAL RETURNS PERIODS ENDED 4/30/04 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1)............ 13.41% 43.01% 3.63% 8.51% PlanAhead Class(1,2).. 13.22% 42.69% 3.44% 8.24% Service Class(1,3).... 13.13% 42.20% 3.36% 8.20% AMR Class(1,2)........ 13.58% 43.39% 3.88% 8.78% Lipper International Funds Index......... 11.00% 38.23% 1.32% 5.34% MSCI EAFE Index....... 12.39% 40.23% (0.73)% 3.88%
* Not Annualized 1 Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain more current performance information, please visit www.aafunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2 Fund performance for the ten-year period represents the total returns achieved by the Institutional Class from 4/30/94 up to 8/1/94, the inception date of the PlanAhead and AMR Classes, and the returns of the PlanAhead and AMR Classes since inception of these Classes. Expenses of the PlanAhead Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 4/30/94. Expenses of the AMR Class are lower than those of the Institutional Class. As a result, total returns shown may be lower than they would have been had the AMR Class been in existence since 4/30/94. 3 Fund performance for the five-year and since inception periods represents the total returns achieved by the Institutional Class from 4/30/94 up to 8/1/94, the returns of the PlanAhead Class from 8/1/94 up to 5/1/03 (the inception date of the Service Class), and the returns of the Service Class since its inception. Expenses of the Service Class are higher than those of the Institutional and PlanAhead Classes. As a result, total returns shown may be higher than they would have been had the Service Class been in existence since 4/30/94. The Fund outperformed the Index over the past six months due to strong stock selection, while country allocation was slightly negative. In France, significant positions in Aventis (up 43.9% and, on average, the Fund's second largest holding during the period), Vinci (up 34.3%) and Total (up 19.0%) contributed nearly 1% in relative performance as compared to the Index. In the UK, the Fund added value by overweighting Reuters (up 54.3%) and Cadbury Schweppes (up 26.3%), while Canadian holdings, Celestica and Manulife Financial (both up over 20%), also contributed to the Fund's outperformance. Country allocation slightly detracted value as the Fund had a 2.5% overweighting in the Netherlands versus the Index, while the Dutch market only gained 7.7% during the period. Similar to country attribution, all of the value added from a sector perspective was achieved through stock selection, as sector allocation was slightly negative. Stock selection was particularly strong in the Health Care, Industrials and Information Technology sectors. Within the Health Care sector, Aventis gained almost 44%, while Industrials stocks Geberit (up 50.7%) and Sig Holding (up 27.1%) added value for the Fund. Within the Information Technology sector, holdings in Celestica, Canon and Dimension Data contributed to the Fund's outperformance. From a sector allocation perspective, the Fund detracted value by overweighting Industrials, the third worst performing Index sector for the period (up less than 10%), and by underweighting Utilities, the second best performing sector (up nearly 20%). Although economic and market conditions vary from period to period, the Fund's primary strategy remains consistent as it focuses on investing in undervalued companies with above-average earnings growth expectations. 10 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND(SM) -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- TOP TEN HOLDINGS
% OF NET ASSETS ---------- Aventis S.A. 2.4% Koninklijke (Royal) Philips Electronics N.V 2.0% GlaxoSmithKline PLC 2.0% Vodafone Group PLC 1.8% Total S.A. 1.7% Unilever PLC 1.5% Royal Bank of Scotland Group PLC 1.5% Canon, Incorporated 1.5% Telefonica S.A. 1.3% ENI S.p.A 1.3%
SECTOR ALLOCATION
% OF EQUITIES ---------- Financials 25.7% Industrials 15.6% Consumer Discretionary 12.4% Telecommunication Services 9.4% Energy 8.4% Health Care 7.9% Consumer Staples 6.9% Materials 6.6% Information Technology 4.3% Utilities 2.8%
REGIONAL ALLOCATION* (PIE CHART) REGIONAL ALLOCATION*
% OF EQUITIES -------- Europe 75.9% Pacific Rim 21.2% North America 2.6% Central America 0.3% * Allocations based upon gross investments in AMR Investment Services Trust International Equity Portfolio.
11 EMERGING MARKETS OVERVIEW April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- During the six months ended April 30, 2004, emerging markets, as measured by the MSCI Emerging Markets Free Index, gained 9.2%. The asset class continued to re-rate given a recovery in global growth, improved domestic economies, rising corporate earnings and attractive valuations. The emerging markets, however, did not escape the six-month period without renewed volatility. After a long period of tranquility, volatility in the emerging markets spiked during the month of April. The asset class posted its weakest performance since September 2002, declining 8.2% in April. It was also the region's first negative monthly performance in over 12 months after gaining 55.8% in 2003 and another 9.6% in the first three months of 2004. The difficulties in emerging markets have been based primarily on exogenous factors, though endogenous reasons exist as well. Externally, fears of future US interest rate hikes, higher oil prices and instability in Iraq hurt all equity markets while concerns of a Chinese economic slowdown has put significant pressure on most commodity prices. Internal to the emerging markets, those countries that appreciated the most in 2003 fell the most during the month of April. Europe, the Middle East and Africa (EMEA) led all emerging market regions, where several countries posted strong gains. Russia was among the best performer of the EMEA region gaining 23.3% given the positive political and economic environment. Russia's top down growth story remains attractive due to high oil prices, continued structural reforms, strong current account balance, high FX reserve levels and strong liquidity. The favorable outcome of the Duma elections held in December 2003, a new streamlined government and the eventual re-election of President Putin in March is expected to boost reform momentum in the country. Despite recent volatility, Turkey also performed well, returning 15.4% on signs of an improving economy, declining interest rates and falling inflation. Egypt was supported by increased stability and greater trade in the region. Hungary (+27.7%), Poland (+12.4%) and the Czech Republic (+29.1%), markets that underperformed during the first half of 2003, played catch-up in the fourth quarter as improving economic indicators and a more optimistic outlook emerged. Mexico (+19.4%), after under-performing in 2003, started the New Year strong leading all major markets in Latin America. Market performance was supported by the appreciating Peso, continued signs of Mexican economic recovery and supportive US data. Brazil, despite underperforming in 2004, gained 6.0% given stronger domestic economic data and supportive fiscal and monetary policy. Brazilian market performance, however, has been hampered this year by concerns over its political environment, rising risk aversion, and uncertainty over the future monetary policy in Brazil and the US. Colombia outperformed all markets, gaining 87.6%, as the country benefited from relatively attractive valuations and an improving political and economic environment. Asian markets also gained strongly during the six-month period, led by Indonesia (+26.6%), Thailand (+16.2%) and South Korea (+13.8%). Strong domestic economic growth and improving fundamentals supported solid gains in these countries. The rapid growth of the Chinese economy resulted in the continued expansion of China's role as an export destination for the region, further bolstering the economies of its neighbors. China (-1.9%), however, after gaining 88% in 2003 has been a laggard this year, as investors worry that China is poised for a hard landing. The recent sell-off that saw stocks fall indiscriminately was not driven by usual triggers such as political scandal, debt default or even devaluation but by markets anticipating a change in liquidity conditions and the subsequent rise in global risk aversion. Emerging markets valuations and fundamentals remain attractive. However, it is expected that near-term trading will be in-line with global risk aversion, in turn a function of U.S. rate concerns and developments in China. Markets are significantly cheaper while stronger fiscal positions and lower interest rates are a boost to growth prospects. In 2004, aggregate GDP growth is expected to average above 6.0%. In addition, emerging market growth has been both export-driven as well as consumer-led, which marks an improvement from foreign investment-led cycles of the late 1990's. 12 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE EMERGING MARKETS FUND(SM) April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- The Institutional Class of the Emerging Markets Fund returned 10.7% for the six months ended April 30, 2004. The Fund outperformed the MSCI EM Free Index ("Index") return of 9.2% and the Lipper Emerging Markets Funds Index return of 10.5%.
ANNUALIZED TOTAL RETURNS ---------------------------------------- PERIODS ENDED 4/30/04 ---------------------------------------- SINCE 6 MONTHS* 1 YEAR 3 YEARS INCEPTION --------- ------ ------- --------- Institutional Class(1)............. 10.66% 54.63% 15.67% 5.00% PlanAhead Class(1,2)... 10.57% 54.29% 15.48% 4.87% AMR Class(1)........... 10.92% 55.23% 15.97% 5.29% Lipper Emerging Mkt. Funds Index.......... 10.48% 52.89% 13.99% 3.92% MSCI EM Free Index..... 9.22% 53.17% 13.05% 3.50%
* Not Annualized 1 Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain more current performance information, please visit www.aafunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2 Fund performance represents the total returns achieved by the Institutional Class from 7/31/00 up to 10/1/02, the inception date of the PlanAhead Class, and the returns of the PlanAhead Class since its inception. Expenses of the PlanAhead Class are higher than those of the Institutional Class. Therefore, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 7/31/00. The Fund outperformed the Index over the past six months due to a combination of positive stock selection and country allocation. Stock selection was particularly strong in India and South Africa. Fund holdings in non-Index stocks such as Mahanagar Tel Nigam (up 57.2%), GAIL (up 32.3%), State Bank of India (up 29.6%) and Tata Engineering (up 28.7%) contributed much of the outperformance in India. In South Africa, the Fund added value by overweighting Telkom Sa (up 41.9%), Bidvest Group (up 31.4%), Standard Bank Group Ltd (up 22.1%) and Sasol Ltd. (up 17.5%). Country allocation also contributed positively as the Fund underweighted China (down 1.3%) and Chile (down 2.0%) and overweighted Indonesia (up 26.8%) and Egypt (up 43.6%). Turning to sector attribution, both stock selection and sector allocation added value. Stock selection was particularly strong in the Telecomm Services, Information Technology and Consumer Staples sectors. Within the Telecomm Services sector, the Fund's positions in non-Index stocks including America Movil (up 42.3%), Mahanagar Tel Nigam (up 57.2%) and Mobile Telesystems (up 39.3%) added value. Fund holdings in Check Point Software (up 37.9%), Samsung SDI (up 26.3%) and Samsung Electronics (up 20.9%) contributed to positive stock selection in Information Technology. ITC, KT&G Corporation and Tiger Brands were among the top contributors in the Consumer Staples sector. From a sector allocation perspective, most of the added value was attributable to underweighting the Materials sector which was the worst sector for the period with a gain of only 1.7%. Despite the strong performance of the emerging markets asset class, the Fund's basic philosophy remains focused on investing in undervalued companies with above-average earnings growth expectations. 13 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE EMERGING MARKETS FUND(SM) -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- TOP TEN HOLDINGS
% OF NET ASSETS ---------- Samsung Electronics Company Limited 3.0% Samsung SDI Company Limited 2.0% LUKOIL Oil Company 1.8% Anglo American PLC 1.7% Petroleo Brasileiro S.A. 1.6% Telefonos de Mexico S.A. de C.V. 1.5% Korea Electric Power Corporation 1.5% America Movil S.A. de C.V. 1.1% Grupo Televisa, S.A. 1.0% Sasol Limited 1.0%
SECTOR ALLOCATION
% OF EQUITIES ---------- Financials 17.0% Telecommunication Services 13.3% Information Technology 12.8% Materials 11.6% Consumer Discretionary 11.1% Industrials 10.7% Energy 9.9% Consumer Staples 8.4% Utilities 4.3% Health Care 0.9%
COUNTRY ALLOCATION (PIE CHART) COUNTRY ALLOCATION
% OF EQUITIES -------- South Korea 17.0% South Africa 14.2% Other Europe, Middle East, Africa 13.3% Taiwan 11.1% Brazil 9.2% Other Asia 8.6% India 8.0% Mexico 7.7% China 6.4% Malaysia 2.4% Israel 1.4% Other Latin America 0.7%
14 U.S. FIXED-INCOME MARKET OVERVIEW April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- U.S. FIXED-INCOME During the six-month period ended April 30, 2004, the fixed-income markets, as defined by the Lehman Brothers Aggregate Index (the "Index"), produced a 1.24% total return. According to the Index, the highest returns were in the corporate and mortgage sectors, due primarily to their income advantages, while the Treasury and agency sectors lagged. Within the investment grade credit universe, the lower-rated credits produced the highest total returns as corporate fundamentals continued to improve. Interest rates ended the period slightly higher than the level at which they began reflecting incipient signs of economic expansion.
TOTAL RETURNS ----------------------- PERIODS ENDED 4/30/04 ----------------------- SECTOR 6 MONTH* 12 MONTH ------ -------- -------- Lehman Aggregate 1.24% 1.82% Lehman Gov/Credit 1.17% 1.80% US Treasury 0.75% 0.51% US Agency 1.00% 0.91% Mortgage-Backed 1.39% 1.80% U.S. Credit 1.59% 3.28% Asset-Backed 1.54% 2.58% ----------------------------------------------------- CREDIT RATING Aaa 0.89% 1.34% Aa 1.01% 1.53% A 1.23% 2.44% Baa 2.23% 5.31%
(source: Lehman Brothers) * Not Annualized Interest rates were relatively volatile due to the mixed economic data reported throughout this period. In particular, the employment picture looked bleak as job growth was virtually non-existent. The high level of productivity allowed for strong profitability and increased output without the need for additional workers. Thus, job growth appeared to be the only piece missing from the economic recovery. Just as investors were beginning to question the sustainability of the recovery, the March payroll report, released in early April 2004, indicated a 308K increase in non-farm jobs. This number was substantially higher than all economic predictions and was the first in a series of strong economic reports. Fixed-income markets quickly took note and interest rates rose. In addition to the strong economic data, the inflation data began to creep upwards -- albeit from 40-year lows of around 1%. Pressure from rising commodity prices and the recovering economy began to surface in the inflation indicators. As such, the month of April 2004 was particularly hard on the bond market. The markets adjusted interest rates to reflect both the rising level of inflation and the probability that the Fed would soon end its highly accommodative monetary policy. (US TREASURY YIELD CURVE GRAPH)
U.S. TREASURY YIELD CURVE ---------------------------------------------------- 3 MOS. 6 MOS. 2 YR. 5 YRS. 10 YRS. 30 YRS. ------ ------ ----- ------ ------- ------- 10/31/2003 0.95% 1.04% 1.82% 3.24% 4.29% 5.13% 4/30/2004 0.96% 1.15% 2.32% 3.62% 4.51% 5.28%
(10 YEAR U.S. TREASURY YIELD GRAPH) Mar-03 3.90 Apr-03 3.95 Apr-03 3.97 Apr-03 3.96 Apr-03 3.89 May-03 3.93 May-03 3.68 May-03 3.42 May-03 3.34 May-03 3.37 Jun-03 3.35 Jun-03 3.11 Jun-03 3.37 Jun-03 3.54 Jul-03 3.65 Jul-03 3.63 Jul-03 4.00 Jul-03 4.18 Aug-03 4.39 Aug-03 4.27 Aug-03 4.53 Aug-03 4.48 Aug-03 4.47 Sep-03 4.35 Sep-03 4.25 Sep-03 4.16 Sep-03 4.00 Oct-03 4.20 Oct-03 4.27 Oct-03 4.39 Oct-03 4.23 Oct-03 4.30 Nov-03 4.44 Nov-03 4.22 Nov-03 4.16 Nov-03 4.33 Dec-03 4.23 Dec-03 4.24 Dec-03 4.14 Dec-03 4.15 Jan-04 4.38 Jan-04 4.08 Jan-04 4.03 Jan-04 4.07 Jan-04 4.13 Feb-04 4.08 Feb-04 4.04 Feb-04 4.10 Feb-04 3.97 Mar-04 3.85 Mar-04 3.78 Mar-04 3.77 Mar-04 3.83 Apr-04 4.15 Apr-04 4.19 Apr-04 4.34 Apr-04 4.46 Apr-04 4.51
The U.S. credit sector produced the highest total returns for the six and twelve-month periods ended April 30, 2004. Credit spreads tightened across the credit curve reflecting the improved corporate fundamentals and investor appetite for yield. Although the economic data was mixed, corporate spreads held firm as corporations continued to improve their balance sheets and significantly reduced debt issuance. During the late 90's, companies overspent on capacity relying primarily on the bond market for financing. But as the recession set in, balance sheet strength became a key variable for survival and capital spending decreased dramatically. Cost cutting and productivity were driving forces in corporate America beginning in late 2002, and bondholders became the beneficiaries. Since then, corporate cash flows have been strong and balance sheet repair has been a key variable in the overall economic recovery. 15 U.S. FIXED-INCOME MARKET OVERVIEW -- CONTINUED & HIGH YIELD BOND MARKET OVERVIEW April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- (LB AGGREGATE INDEX CREDIT SPREADS GRAPH)
INDEX AAA CREDIT AA CREDIT A CREDIT BAA CREDIT ----- ---------- --------- -------- ---------- 1/4/02 185 82 112 178 255 1/11/02 185 77 109 178 260 1/18/02 186 77 110 176 263 1/25/02 180 77 105 168 258 2/1/02 188 75 107 179 267 2/8/02 198 76 113 193 277 2/15/02 196 73 108 189 278 2/22/02 197 72 108 192 280 3/1/02 189 70 104 184 266 3/8/02 177 70 97 168 253 3/15/02 183 72 102 175 258 3/22/02 182 74 102 174 258 3/29/02 182 73 103 175 257 4/5/02 185 81 109 176 259 4/12/02 190 89 117 180 264 4/19/02 179 71 103 172 252 4/26/02 187 66 102 160 286 5/3/02 198 70 107 168 305 5/10/02 182 70 105 163 269 5/17/02 180 63 100 158 272 5/24/02 177 61 97 155 272 5/31/02 165 59 92 141 253 6/7/02 171 61 95 147 263 6/14/02 172 62 97 149 263 6/21/02 178 61 99 156 274 6/28/02 189 62 105 160 296 7/5/02 193 64 105 162 305 7/12/02 194 64 105 166 306 7/19/02 201 64 107 171 322 7/26/02 222 65 118 186 366 8/2/02 231 74 129 201 365 8/9/02 235 72 128 211 367 8/16/02 238 71 130 214 374 8/23/02 224 69 125 199 349 8/30/02 220 68 123 199 341 9/6/02 225 70 126 204 348 9/13/02 219 69 121 197 342 9/20/02 225 71 124 205 347 9/27/02 232 72 127 211 362 10/4/02 235 79 130 216 362 10/11/02 254 85 137 240 387 10/18/02 250 80 132 242 378 10/25/02 249 79 128 247 368 11/1/02 240 80 124 237 354 11/8/02 223 74 115 214 337 11/15/02 210 71 114 196 320 11/22/02 203 71 109 195 302 11/29/02 192 67 107 185 286 12/6/02 195 69 107 189 289 12/13/02 189 65 102 183 281 12/20/02 186 65 101 180 277 12/27/02 184 63 98 175 278 1/3/03 180 63 99 174 268 1/10/03 176 62 96 171 261 1/17/03 171 59 94 163 256 1/24/03 173 61 95 164 260 1/31/03 169 59 89 161 257 2/7/03 169 58 90 161 256 2/14/03 167 54 89 158 256 2/21/03 165 54 89 157 251 2/28/03 162 53 85 155 247 3/7/03 167 57 87 163 249 3/14/03 167 56 89 167 245 3/21/03 165 55 90 168 238 3/28/03 161 53 85 161 235 4/4/03 159 53 86 159 229 4/11/03 157 52 85 155 227 4/17/03 149 51 80 146 217 4/25/03 144 48 78 139 210 5/2/03 134 47 76 130 193 5/9/03 128 42 70 125 186 5/16/03 130 43 70 126 191 5/23/03 132 44 72 128 192 5/30/03 128 42 69 125 186 6/6/03 128 43 69 127 184 6/13/03 124 41 66 120 181 6/20/03 123 41 67 120 178 6/27/03 124 41 67 120 179 7/3/03 124 40 67 122 180 7/11/03 122 41 66 118 176 7/18/03 119 42 68 116 169 7/25/03 118 42 69 114 168 8/1/03 128 55 81 124 176 8/8/03 121 45 73 116 171 8/15/03 126 48 76 121 179 8/22/03 121 48 72 115 173 8/29/03 120 48 73 115 169 9/5/03 119 49 54 93 174 9/12/03 117 47 51 91 172 9/19/03 113 46 54 88 165 9/26/03 114 45 53 88 167 10/3/03 115 48 57 89 167 10/10/03 114 44 57 90 165 10/17/03 109 44 56 85 157 10/24/03 112 47 56 86 164 10/31/03 108 45 54 83 156 11/7/03 109 47 55 84 158 11/14/03 102 41 49 78 149 11/21/03 103 41 50 80 151 11/28/03 100 39 48 79 146 12/5/03 101 40 49 80 144 12/12/03 100 39 48 81 143 12/19/03 99 39 50 80 141 12/26/03 98 38 49 79 139 1/2/04 97 39 50 79 136 1/9/04 95 38 49 78 134 1/16/04 95 38 49 78 134 1/23/04 96 40 49 79 134 1/30/04 97 40 49 79 136 2/6/04 100 41 53 82 141 2/13/04 95 36 48 77 135 2/20/04 96 35 48 79 136 2/27/04 96 37 49 78 137 3/5/04 97 38 48 78 138 3/12/04 99 38 48 78 143 3/19/04 99 39 48 79 142 3/26/04 99 39 48 79 142 4/2/04 98 40 48 80 140 4/8/04 97 40 48 80 137 4/16/04 98 40 50 80 138 4/23/04 96 41 50 80 133 4/30/04 97 40 51 80 137
The mortgage sector of the fixed-income markets also produced relatively attractive returns during the past six months due primarily to the relatively short duration and additional yield. Mortgage refinancing activity increased during the first quarter of 2004 as interest rates declined, but the strong jobs report in April lifted rates and reduced refinancing substantially. The rise in rates and decline in refinancing activity allowed this sector to report attractive total returns during the period. The Treasury and Agency sectors followed with the lowest returns during this period. With interest rates at such low levels, investors continued to look towards the corporate and mortgage sectors for incremental yield. In the past, Treasury and Agencies were desirable, safe-haven investments to protect against geopolitical and corporate instability, but with the economy on the mend, investors continue to look elsewhere for additional yield. As we approach mid-2004, the steep yield curve reflects the likelihood of an economic recovery and an increase in inflation. The Fed is beginning to indicate that its accommodative monetary policy may be replaced by a more balanced approach, which means higher short-term rates. For long-term interest rates, however, the outlook is less clear. While long-term interest rates are likely to rise initially during the recovery, they can't rise too much. The economy is very interest rate sensitive, and the Fed does not want to disrupt consumer spending. The consumer hardly slowed down during the recession, rather corporate spending was slashed dramatically. As such, with the consumer sector heavily debt-laden and very interest rate sensitive, the Fed must be careful. Ideally, the corporate recovery will pull the consumer along until he is ready spend again. After all, a slowing of consumer spending would not be a healthy way to begin an economic recovery. HIGH YIELD BOND During 2003, the high yield market benefited investors who were willing to take risks and extend duration as interest rates were decreasing and credit spreads were tightening. There were five distinct factors for the excellent performance in the high yield market in 2003 and early 2004. These included: 1) the narrowing of credit spreads, 2) increased confidence in audited numbers and corporate management, 3) investors seeking alternatives to 1% money market yields, 4) improving company fundamentals and higher credit quality, and 5) asset allocation from investment grade mandates to high yield by institutions. Other than the already-tight credit spreads, the other four elements are still relevant. Many institutions are currently investing in high yield bonds because they provide a higher yield at a shorter duration. Many experts believe high yield bonds are more defensive than investment grade securities during improving economic conditions. 16 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE HIGH YIELD BOND FUND(SM) April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- The Institutional Class of the High Yield Bond Fund returned 4.9% for the six months ended April 30, 2004. Although the Fund outperformed all of its indices on a year-to-date basis through April 30, 2004, on a six-month basis, the Fund slightly trailed. The Lipper High Current Yield Funds Index returned 5.3% while both the Citigroup High Yield Cash Pay Index and the Lehman Brothers Corporate High Yield Index ("Lehman Index") posted a return of 5.5% for the six-month period.
ANNUALIZED TOTAL RETURNS ---------------------------------------- PERIODS ENDED 4/30/04 ---------------------------------------- SINCE 6 MONTHS* 1 YEAR 3 YEARS INCEPTION --------- ------ ------- --------- Institutional Class(1)....... 4.90% 11.65% 10.79% 10.84% PlanAhead Class(1,2)......... 4.70% 11.16% 10.24% 10.35% Service Class(1,3)........... 4.43% 10.14% 9.91% 10.04% Lipper High Yield Bond Funds Index....................... 5.28% 15.21% 6.69% 6.65% Citigroup High Yield Cash Pay Index....................... 5.46% 14.39% 9.88% 10.51% Lehman Bros. Corp. High Yield Index....................... 5.53% 15.00% 9.02% 9.68%
* Not Annualized 1 Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain more current performance information, please visit www.aafunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2 Fund performance for the since inception period represents the total returns achieved by the Institutional Class from 12/29/00 up to 3/1/02, the inception date of the PlanAhead Class, and the returns of the PlanAhead Class since its inception. Expenses of the PlanAhead Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 12/29/00. 3 Fund performance for the three-year and since inception periods represents the total returns achieved by the Institutional Class from 12/29/00 up to 3/1/02, the returns of the PlanAhead Class from 3/1/02 up to 5/1/03 (the inception date of the Service Class), and the returns of the Service Class since its inception. Expenses of the Service Class are higher than those of the Institutional and PlanAhead Classes. As a result, total returns shown may be higher than they would have been had the Service Class been in existence since 12/29/00. The Fund, relative to the Lehman Index, was underweighted in three of the top four best performing sectors. The Financial sector was the top sector for the period with a return of nearly 9.5%. The Basic Industry and Utility sectors also outperformed the Lehman Index with returns of 8.4% and 6.8%, respectively. The Fund was also impacted by an overweighting in the Technology sector, which lagged the Lehman Index with a return of 4.5%. The Fund had an underweighting in Communications which underperformed the Lehman Index with a return of 3.2%. Additionally, the Fund underweighted Transportation which was the worst sector for the period as it gained just over 1%. The Fund was overweighted in the Consumer Cyclical and Capital Goods sectors, which had returns of 5.3% and 5.1%, respectively. The sub-adviser's "bottom up" investment process, with a focus on companies with strong cash flow and fundamental credit strength, began to come back into favor as the period came to a close. Higher-rated securities reversed course from 2003 and outperformed the lower-rated securities in the first quarter of 2004. The sub-adviser believes that their comprehensive research approach, which has generated outperformance for the Fund in the past, will continue to deliver strong performance over the long term. TOP TEN HOLDINGS
% OF NET ASSETS ---------- Horseshoe Gaming, LLC 2.5% Qwest Services Corporation 2.4% General Motors Corporation 1.5% Turning Stone Casino Resort 1.4% Regal Cinemas Corporation 1.4% Owens-Brockway Glass Containers, Incorporated 1.3% Hexcel Corporation 1.3% Interline Brands, Incorporated 1.3% Star Gas Partners, L.P. 1.3% AMC Entertainment, Incorporated 1.2%
SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporate 100.0%
17 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE ENHANCED INCOME FUND(SM) April 30, 2004 -------------------------------------------------------------------------------- The PlanAhead Class of the Enhanced Income Fund returned 2.2% for the six months ended April 30, 2004. Its benchmark, a blend of 37.5% Lehman Brothers Gov/Credit Intermediate Index, 37.5% Lehman Brothers Intermediate Aggregate Index and 25% Merrill Lynch Convertible Bonds Index (the "Benchmark"), also returned 2.2%. The Fund's peer group, the Lipper Intermediate Investment Grade Index, returned 1.3% over the six months ended April 30, 2004.
TOTAL RETURNS ---------------------- PERIODS ENDED 4/30/04 ---------------------- SINCE 6 MONTHS* INCEPTION --------- --------- PlanAhead Class(1).................... 2.24% 2.57% Lipper Intermediate Investment Grade Index............................... 1.33% 0.57% Enhanced Income Composite Index(2).... 2.22% 3.14%
* Not Annualized 1 Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain more current performance information, please visit www.aafunds.com or call 1-800-967-9009. Fund performance shown in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2 37.5% Lehman Bros. Gov/Credit Intermediate Index, 37.5% Lehman Bros. Aggregate Index, 25% Merrill Lynch Convertibles Index The Fund's assets are allocated approximately 75% to a sub-adviser who invests in income producing, short- and intermediate-term, investment grade bonds. The remaining assets are managed by a sub-adviser who invests in convertible bonds, convertible preferreds, high yield bonds and equities in an effort to enhance the return of the overall Fund. For the six-month period, the investment grade bond portion of the Fund returned 1.3% before fees and expenses as compared to a 1.1% return for its portion of the Benchmark. The sub-adviser's almost triple-weight position in Corporates added the most relative value as Corporates was the best performing segment of the combined Lehman Gov/Credit Intermediate Index and Lehman Aggregate Intermediate Index. In Corporates, a double-weight position in industrials combined with good security selection in that industry contributed the most to relative returns. The duration of the investment grade portion of the Fund did not play a significant role in relative total returns. The remaining portion of the Fund managed by the Fund's other sub-adviser returned 6.9% before fees and expenses. These results not only beat the 5.5% return of its portion of the Benchmark but also enhanced the Fund's overall return. This portion of the Fund benefited most from its convertible securities due to their greater equity sensitivity over a period where stocks outperformed bonds. Convertibles' hybrid nature means that they can behave like bonds or like stocks (depending on the security, market conditions, and the underlying company's stock price). The convertibles portion of the Fund was focused on issues which were especially equity-sensitive in anticipation of the economic recovery and companies which stood to benefit from additional business capital spending. The Fund's investment advisers remain focused on the Fund's investment objective of income and capital appreciation. TOP TEN HOLDINGS
% OF NET ASSETS ---------- US Treasury Notes, 4.00%, Due 2/15/2014 2.4% Prudential Insurance Company of America, 6.375%, Due 7/23/2006 2.1% Citibank Credit Card Master Trust 2000-A1 A1, 6.90%, Due 10/15/2007 2.1% Honda Auto Receivables Owner Trust 2003-4 A4, 2.79%, Due 3/16/2009 2.0% Ford Motor Credit Company, 7.375%, Due 10/28/2009 1.8% HSBC Bank USA, Incorporated, 7.00%, Due 11/1/2006 1.6% Wachovia Corporation, 6.40%, Due 4/1/2008 1.6% Heller Financial, Incorporated, 6.375%, Due 3/15/2006 1.6% Synovus Financial Corporation, 7.25%, Due 12/15/2005 1.6% Federal National Mortgage Association, Pool #545759, 6.50%, Due 7/1/2032 1.6%
FIXED INCOME SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporate 62.5% Corporate Convertibles 15.4% Mortgage-Backed 12.6% Asset-Backed 4.4% Treasury 3.9% Agency 1.2%
EQUITY SECTOR ALLOCATION
% OF EQUITIES -------- Consumer Discretionary 35.8% Financials 26.3% Industrials 14.1% Energy 13.5% Information Technology 10.3%
18 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE INTERMEDIATE BOND FUND(SM) April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- The Institutional Class of the Intermediate Bond Fund returned 0.9% for the six months ended April 30, 2004, trailing the Lehman Brothers Aggregate Index ("Index") return of 1.2% and the Lipper Intermediate Investment Grade Index return of 1.3%.
ANNUALIZED TOTAL RETURNS ---------------------------------------- PERIODS ENDED 4/30/04 ---------------------------------------- SINCE 6 MONTHS* 1 YEAR 5 YEARS INCEPTION --------- ------ ------- --------- Institutional Class(1).............. 0.93% 1.11% 6.09% 6.37% PlanAhead Class(1,2).... 1.16% 1.48% 5.56% 5.93% AMR Class(1,3).......... 1.43% 1.74% 6.10% 6.32% Lipper Intermediate Inv Grade Index........... 1.33% 2.42% 6.25% 6.40% Lehman Bros Aggregate Index................. 1.24% 1.82% 6.66% 6.94%
* Not Annualized 1 Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain more current performance information, please visit www.aafunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares 2 Fund performance for the since inception period represents the total returns achieved by the Institutional Class from 9/15/97 up to 3/2/98, the inception date of the PlanAhead Class, and the returns of the PlanAhead Class since its inception. Expenses of the PlanAhead Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 9/15/97. 3 Fund performance for the since inception period represents the total returns achieved by the Institutional Class from 9/15/97 up to 3/1/99, the inception date of the AMR Class, and the returns of the AMR Class since its inception. Expenses of the AMR Class are lower than those of the Institutional Class. As a result, total returns shown may be lower than they would have been had the AMR Class been in existence since 9/15/97. Prior to the deduction of expenses, the Fund slightly outperformed the Index. Unfortunately, the Fund did not generate enough excess performance to offset its expenses. The Fund added value relative to the Index from its large overweighting in Corporates, the best performing sector of the Index. The Fund's average weighting in Corporates during the six-month period was 53% versus the Index average weighting of 22%, ending the period with a 46% weighting in Corporates versus the Index weighting of 22%. The Fund also added value by underweighting U.S. Treasuries, which was the worst performing sector of the Index. Finally, an overweight in A and BBB rated securities, the best performing among the investment grade quality ranges, also helped relative performance. The Fund's weighted average duration was neutral during the period and therefore did not play a significant role in relative performance. The Fund's sub-advisers remain focused on a conservative approach toward investing in the bond market, focusing on issuer-specific opportunities. TOP TEN HOLDINGS
% OF NET ASSETS ---------- Federal National Mortgage Assn., Pool #555880, 5.50%, Due 11/1/2033 1.6% U.S. Treasury Notes, 1.625%, Due 9/30/2005 1.6% Federal Home Loan Mortgage Corp., 5.00%, Due 3/1/2018 1.6% Government National Mortgage Assn., Pool #003515, 5.50%, Due 2/20/2034 1.5% Federal National Mortgage Assn., Pool #758322, 5.50%, Due 12/1/2033 1.5% Federal National Mortgage Assn., Pool #713706, 5.50%, Due 8/1/2033 1.5% U.S. Treasury Notes, 4.00%, Due 2/15/2014 1.5% U.S. Treasury Notes, 4.625%, Due 5/15/2006 1.4% Federal National Mortgage Assn., TBA, 15 yr, 6.00% 1.2% Federal Home Loan Mortgage Assn., Pool #C01786 5.50%, Due 2/1/2034 1.2%
SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporates 47.2% Mortgage-Backed 34.8% Treasury 8.9% Agency 7.6% Asset-Backed 1.5%
19 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE SHORT-TERM BOND FUND(SM) April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- The Institutional Class of the Short-Term Bond Fund returned 1.0% for the six months ended April 30, 2004, ahead of the Merrill Lynch 1-3 Year Gov/Corp Index return of 0.8% and the Lipper Short Investment Grade Bond Funds Index return of 0.8%.
ANNUALIZED TOTAL RETURNS --------------------------------------- PERIODS ENDED 4/30/04 --------------------------------------- 6 MONTHS* 1 YEAR 5 YEARS 10 YEARS --------- ------ ------- -------- Institutional Class(1)............. 1.00% 1.77% 5.25% 5.44% PlanAhead Class(1,2)... 0.76% 1.51% 4.96% 5.18% AMR Class(1,2)......... 1.13% 2.16% 5.45% 5.67% Lipper Short Inv. Grade Bond Funds Index..... 0.75% 1.50% 4.72% 5.33% Merrill Lynch 1-3 Yr Gov./Corp. Index..... 0.78% 1.65% 5.55% 6.00%
* Not Annualized 1 Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated and may differ from current performance. To obtain more current performance information, please visit www.aafunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. 2 Fund performance for the ten-year period represents the total returns achieved by the Institutional Class from 4/30/94 up to 8/1/94, the inception date of the PlanAhead and AMR Classes, and the returns of the PlanAhead and AMR Classes since inception of these Classes. Expenses of the PlanAhead Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the PlanAhead Class been in existence since 4/30/94. Expenses of the AMR Class are lower than those of the Institutional Class. As a result, total returns shown may be lower than they would have been had the AMR Class been in existence since 4/30/94. By period end, short-term interest rates had begun to rise significantly, reflecting a high probability that the Fed would steadily bring the Fed Funds rate up to a neutral level. The highly accommodative 1.00% Fed Funds rate no longer seemed appropriate given the improvement in the jobs markets, the increase in inflation and the steady GDP growth. The short-term interest rate markets were particularly sensitive to the rise in interest rates given the steepness of the yield curve and the distance that has to be covered to reach a neutral level of interest rates. Despite the rise in rates during this period, the short-term fixed-income markets produced reasonably attractive total returns. According to the Merrill Lynch 1-3 Year Index, the Mortgage sector produced the highest total return, at 1.5%, followed by Corporates at 1.3%, and Treasuries and Agencies at 0.6% and 0.7%, respectively. The Mortgage sector benefited from its relatively low duration in a rising interest rate environment and from a moderation in mortgage prepayment activity. The Corporate sector returns reflected the continued improvement in credit spreads and the general appetite for incremental yield in the low interest rate environment. Lower-rated bonds continued to outperform higher-rated alternatives as credit fundamentals improved and investors maintained their appetite for risk. Treasury and Agency returns were negatively impacted by the rise in interest rates and investors' general desire to look for higher yields elsewhere. The Fund's outperformance relative to its benchmarks was primarily due to its overweight position in the Corporate sector. The best performing industries continued to include telecommunications, cable/media, and autos - all of which the Fund overweighted versus its benchmarks. These industries have historically offered some of the highest yield spreads over Treasuries, and with the credit markets relatively stable, they continued to outperform. Given the positive fundamentals for the short-term credit environment, the Fund is expected to maintain its Corporate overweight for the foreseeable future. The Funds' duration was maintained at neutral during the period and did not play a significant role in relative total returns. 20 PERFORMANCE OVERVIEW AMERICAN AADVANTAGE SHORT-TERM BOND FUND(SM) -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- TOP TEN HOLDINGS
% OF NET ASSETS ---------- Prudential Insurance Company of America, 6.375%, Due 7/23/2006 3.5% General Motors Acceptance Corporation, 6.75%, Due 1/15/2006 3.4% Chemical Master Credit Card Trust 1996-2 A, 5.98%, Due 9/15/2008 3.4% Hertz Corporation, 4.70%, Due 10/2/2006 3.2% Wachovia Corporation, 6.40%, Due 4/1/2008 2.9% Heller Financial, Incorporated, 6.375%, Due 3/15/2006 2.9% Synovus Financial Corporation, 7.25%, Due 12/15/2005 2.9% MetLife, Incorporated, 3.911%, Due 5/15/2005 2.7% FleetBoston Financial Corporation, 3.85%, Due 2/15/2008 2.7% American Express Credit Account Master Trust 2000-1 A, 7.20%, Due 9/17/2007 2.7%
SECTOR ALLOCATION
% OF FIXED INCOME ------------ Corporate 78.2% Asset-Backed 14.0% Mortgage-Backed 7.8%
21 AMERICAN AADVANTAGE BALANCED FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) U.S. TREASURY OBLIGATIONS - 7.78% U.S. TREASURY NOTES - 3.04% 3.25%, Due 5/31/2004........... $ 5,000 $ 5,009 1.625%, Due 9/30/2005*......... 3,500 3,486 4.625%, Due 5/15/2006*......... 4,300 4,493 2.625%, Due 5/15/2008*......... 895 872 3.00%, Due 7/15/2012*.......... 915 989 4.375%, Due 8/15/2012*......... 2,000 2,004 4.00%, Due 2/15/2014*.......... 2,355 2,262 -------- TOTAL U.S. TREASURY NOTES.................... 19,115 -------- U.S. TREASURY BILLS - 3.64% Discount Note, Due 9/23/2004*................... 23,000 22,903 -------- TOTAL U.S. TREASURY BILLS.................... 22,903 -------- U.S. TREASURY BONDS - 1.10% 7.50%, Due 11/15/2016*......... 1,055 1,312 9.125%, Due 5/15/2018*......... 1,000 1,415 6.875%, Due 8/15/2025*......... 1,280 1,527 6.25%, Due 5/15/2030*.......... 900 1,011 5.375%, Due 2/15/2031*......... 1,660 1,682 -------- TOTAL U.S. TREASURY BONDS.................... 6,947 -------- TOTAL U.S. TREASURY OBLIGATIONS.............. 48,965 -------- U.S. AGENCY OBLIGATIONS - 2.20% FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.96% 3.25%, Due 11/15/2004.......... 4,500 4,547 5.125%, Due 10/15/2008*........ 500 527 5.875%, Due 3/21/2011.......... 415 441 4.875%, Due 11/15/2013......... 500 495 -------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION..... 6,010 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.24% 1.875%, Due 12/15/2004......... 3,890 3,903 5.125%, Due 1/2/2014*.......... 515 507 7.25%, Due 5/15/2030*.......... 900 1,076 6.00%, Due 12/11/2033.......... 2,250 2,299 -------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION..... 7,785 -------- TOTAL U.S. AGENCY OBLIGATIONS.............. 13,795 -------- U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 8.13% FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.31% Pool #G10084, 6.50%, Due 3/1/2008..................... 812 858
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Pool #G11202, 6.00%, Due 11/1/2016.................... $ 269 $ 281 Pool #E90777, 5.50%, Due 8/1/2017..................... 154 159 Pool #E96536, 5.00%, Due 3/1/2018..................... 1,580 1,592 Pool #E01386, 5.00%, Due 6/1/2018..................... 510 514 Pool #E97381, 5.50%, Due 6/1/2018..................... 317 325 Pool #B12563, 5.00%, Due 2/1/2019..................... 722 728 Pool #E01602, 4.50%, Due 3/1/2019..................... 1,489 1,468 Pool #C26472, 6.50%, Due 5/1/2029..................... 229 239 Pool #C27089, 6.50%, Due 6/1/2029..................... 39 41 Pool #C00835, 6.50%, Due 7/1/2029..................... 627 653 Pool #C01444, 6.00%, Due 1/1/2033..................... 269 275 Pool #C01598, 5.00%, Due 8/1/2033..................... 1,692 1,642 Pool #A12149, 6.00%, Due 8/1/2033..................... 934 956 Pool #A15436, 5.50%, Due 11/1/2033.................... 891 890 Pool #A15173, 6.00%, Due 11/1/2033.................... 1,089 1,114 Pool #A15374, 6.50%, Due 11/1/2033.................... 144 150 Pool #A16690, 6.00%, Due 12/1/2033.................... 701 717 Pool #C01786, 5.50%, Due 2/1/2034..................... 1,961 1,960 -------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION..... 14,562 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.40% Pool #313522, 7.00%, Due 5/1/2012..................... 835 891 Pool #323309, 6.00%, Due 9/1/2013..................... 308 322 Pool #488099, 5.50%, Due 2/1/2014..................... 542 558 Pool #323789, 6.00%, Due 6/1/2014..................... 440 460 Pool #535846, 6.00%, Due 4/1/2016..................... 303 317 Pool #648511, 6.00%, Due 6/1/2017..................... 1,192 1,243 Pool #254545, 5.00%, Due 12/1/2017.................... 2,001 2,017 Pool #555549, 5.00%, Due 6/1/2018..................... 810 816
See accompanying notes -------------------------------------------------------------------------------- 22 AMERICAN AADVANTAGE BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Pool #254865, 4.50%, Due 9/1/2018..................... $ 1,322 $ 1,303 Pool #100292, 10.00%, Due 9/1/2018..................... 269 302 Pool #761337, 5.00%, Due 4/1/2019..................... 420 423 Pool #581864, 6.50%, Due 7/1/2031..................... 209 217 Pool #705607, 6.00%, Due 6/1/2033..................... 526 539 Pool #713999, 5.50%, Due 7/1/2033..................... 910 909 Pool #713706, 5.50%, Due 8/1/2033..................... 759 757 Pool #730570, 6.00%, Due 8/1/2033..................... 308 316 Pool #727223, 5.50%, Due 9/1/2033..................... 1,529 1,527 Pool #740238, 6.00%, Due 9/1/2033..................... 208 213 Pool #741901, 5.50%, Due 10/1/2033.................... 544 543 Pool #749219, 5.50%, Due 10/1/2033.................... 987 986 Pool #555880, 5.50%, Due 11/1/2033.................... 2,566 2,562 Pool #758322, 5.50%, Due 12/1/2033.................... 2,067 2,064 Pool #725238, 5.00%, Due 3/1/2034..................... 1,479 1,434 Pool #765304, 5.50%, Due 3/1/2034..................... 701 700 -------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION..... 21,419 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.42% Pool #780030, 7.00%, Due 6/15/2024.................... 280 299 Pool #780400, 7.00%, Due 12/15/2025................... 259 276 Pool #781200, 8.00%, Due 12/15/2025................... 302 332 Pool #780615, 6.50%, Due 8/15/2027.................... 471 493 Pool #780651, 7.00%, Due 10/15/2027................... 549 586 Pool #780680, 6.50%, Due 11/15/2027................... 532 557 Pool #780747, 6.50%, Due 3/15/2028.................... 475 497 Pool #780788, 6.50%, Due 4/15/2028.................... 516 539 Pool #780842, 8.50%, Due 8/20/2028.................... 320 351 Pool #780936, 7.50%, Due 12/15/2028................... 581 625
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Pool #781035, 6.50%, Due 5/15/2029.................... $ 461 $ 482 Pool #002754, 6.50%, Due 5/20/2029.................... 326 340 Pool #781273, 6.00%, Due 4/15/2031.................... 644 662 Pool #781288, 6.50%, Due 5/15/2031.................... 881 920 Pool #555732, 6.50%, Due 3/15/2032.................... 407 425 Pool #781564, 6.00%, Due 2/15/2033.................... 1,501 1,539 Pool #616094, 6.00%, Due 11/15/2033................... 529 543 Pool #781690, 6.00%, Due 12/15/2033................... 1,646 1,687 Pool #003515, 5.50%, Due 2/20/2034.................... 3,273 3,274 Pool #003517, 6.00%, Due 2/20/2034.................... 774 793 -------- TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION..... 15,220 -------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS.............. 51,201 -------- ASSET-BACKED SECURITIES - 0.17% Master Asset Securitization Trust, 5.75%, Due 10/25/2017................... 1,024 1,044 -------- TOTAL ASSET-BACKED SECURITIES............... 1,044 -------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 0.39% Banc American Commercial Mortgage 2003-2 A3, 4.342%, Due 3/11/2041........ 445 443 General Electric Commercial Mortgage Corporation 2003-C2 A2, 4.17%, Due 7/10/2037......... 430 429 J P Morgan Chase Commercial Mortgage 2003-CB7 A3, 4.449%, Due 1/12/2038........ 680 670 Morgan Stanley Dean Witter & Company 2003-T11 A2, 4.34%, Due 6/13/2041......... 400 399 Wachovia Bank Commercial Mortgage Trust 2003-C5 A2, 3.989%, Due 6/15/2035........ 570 527 -------- TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS.............. 2,468 --------
See accompanying notes -------------------------------------------------------------------------------- 23 AMERICAN AADVANTAGE BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) CORPORATE BONDS - 13.21% BANKS - 1.50% Banco Popular North America Inc, 4.25%, Due 4/1/2008.......... $ 300 $ 303 Bank of America Corporation, 6.25%, Due 4/1/2008.......... 420 456 Bank One Corporation, 4.90%, Due 4/30/2015*........ 300 286 Branch Banking and Trust Company, 4.875%, Due 1/15/2013*....... 800 786 Capital One, 6.70%, Due 5/15/2008......... 450 489 5.75%, Due 9/15/2010......... 210 218 Citigroup, Incorporated, 6.50%, Due 1/18/2011......... 400 442 Credit Suisse First Boston, 6.50%, Due 5/1/2008.......... 500 543 First Tennessee Bank, NA, 5.75%, Due 12/1/2008......... 475 506 Fleet Norstar Financial Group, Incorporated, 8.625%, Due 1/15/2007........ 400 456 John Hancock Global Funding, 3.75%, Due 9/30/2008, 144A (Note A)..................... 500 495 ING Bank, NV, 5.125%, Due 5/1/2015, 144A (Note A)..................... 300 294 Inter-American Development Bank, 5.375%, Due 11/18/2008....... 1,280 1,369 J P Morgan Chase & Company, 6.75%, Due 3/15/2008......... 650 715 PNC Funding Corporation, 7.50%, Due 11/1/2009......... 525 605 Synovus Financial Corporation, 4.875%, Due 2/15/2013........ 300 294 US Bank, NA, 5.70%, Due 12/15/2008........ 675 722 Washington Mutual Financial Corporation, 6.875%, Due 5/15/2011........ 425 485 -------- TOTAL BANKS................ 9,464 -------- FINANCE - 5.44% Aegon, NV, 8.00%, Due 8/15/2006......... 300 334
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) American General Finance Corporation, 5.375%, Due 9/1/2009......... $ 285 $ 300 Assurant, Incorporated, 5.625%, Due 2/15/2014, 144A (Note A)..................... 315 316 Bear Stearns Companies, Incorporated, 3.00%, Due 3/30/2006......... 500 503 2.875%, Due 7/2/2008......... 300 287 Boeing Capital Corporation, 5.40%, Due 11/30/2009........ 650 681 Capital One Bank, 5.125%, Due 2/15/2014*....... 450 430 Caterpillar Financial Services Corporation, 2.625%, Due 1/30/2007........ 625 617 Cendant Corporation, 6.875%, Due 8/15/2006........ 750 813 Countrywide Home Loan, Incorporated, 3.50%, Due 12/19/2005........ 800 812 3.25%, Due 5/21/2008......... 510 495 Ford Motor Credit Company, 6.50%, Due 1/25/2007......... 375 398 7.375%, Due 10/28/2009....... 1,600 1,730 General Electric Capital Corporation, 3.25%, Due 6/15/2009......... 630 606 General Motors Acceptance Corporation, 6.125%, Due 8/28/2007........ 320 338 7.25%, Due 3/2/2011.......... 1,000 1,075 Goldman Sachs Group, Incorporated, 4.75%, Due 7/15/2013......... 650 618 Household Finance Corporation, 6.375%, Due 11/27/2012....... 280 302 4.75%, Due 7/15/2013......... 400 382 International Lease Finance Corporation, 3.30%, Due 1/23/2008......... 415 406 6.375%, Due 3/15/2009........ 725 789 Liberty Mutual Corporation, 7.875%, Due 10/15/2026, 144A (Note A)..................... 1,500 1,627 Lincoln National Corporation, 4.75%, Due 2/15/2014......... 700 669 MBNA Credit Card Master Trust, 2.65%, Due 11/15/2010........ 820 785
See accompanying notes -------------------------------------------------------------------------------- 24 AMERICAN AADVANTAGE BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Merrill Lynch & Company, Incorporated, 3.00%, Due 4/30/2007......... $ 1,040 $ 1,031 6.56%, Due 12/16/2007........ 800 887 Monumental Global Funding, 3.85%, Due 3/3/2008, 144A (Note A)..................... 800 803 Morgan Stanley Dean Witter & Company, 6.10%, Due 4/15/2006......... 450 480 4.75%, Due 4/1/2014.......... 560 523 PHH Corporation, 6.00%, Due 3/1/2008.......... 300 321 Prudential Financial, Incorporated, 3.75%, Due 5/1/2008.......... 185 184 4.50%, Due 7/15/2013......... 325 306 SLM Corporation, 2.00%, Due 3/15/2005......... 11,000 11,043 3.95%, Due 8/15/2008......... 420 420 4.00%, Due 1/15/2009......... 1,000 994 5.125%, Due 8/27/2012........ 800 803 Sprint Capital Corporation, 6.125%, Due 11/15/2008....... 195 209 8.375%, Due 3/15/2012........ 175 205 Verizon Global Funding Corporation, 4.375%, Due 6/1/2013*........ 400 372 Washington Mutual, Incorporated, 4.625%, Due 4/1/2014......... 350 324 -------- TOTAL FINANCE.............. 34,218 -------- FOREIGN - 0.09% Quebec Province, 4.875%, Due 5/5/2014......... 335 331 United Mexican States, 7.50%, Due 4/8/2033.......... 240 238 -------- TOTAL FOREIGN.............. 569 -------- INDUSTRIAL - 5.36% Anheuser Busch Companies, Incorporated, 6.50%, Due 1/1/2028.......... 722 762 AT&T Broadband Corporation, 8.375%, Due 3/15/2013........ 748 892 AT&T Wireless Services, Incorporated, 7.35%, Due 3/1/2006.......... 855 925 8.125%, Due 5/1/2012......... 900 1,050 8.75%, Due 3/1/2031.......... 265 323
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Atlantic Richfield Company, 9.125%, Due 3/1/2011......... $ 425 $ 534 Baxter International, Incorporated, 5.25%, Due 5/1/2007.......... 455 478 Bemis, Incorporated, 6.70%, Due 7/1/2005.......... 1,000 1,051 BHP Finance (USA) Limited, 4.80%, Due 4/15/2013......... 300 296 Bunge Limited Financial Corporation, 7.80%, Due 10/15/2012........ 400 462 Cargill, Incorporated, 6.25%, Due 5/1/2006, 144A (Note A)..................... 1,000 1,066 Carnival Corporation, 3.75%, Due 11/15/2007........ 515 513 Cendant Corporation, 6.25%, Due 1/15/2008......... 350 378 Clear Channel Communications, 4.40%, Due 5/15/2011......... 520 500 Comcast Cable Communications, 7.625%, Due 2/15/2008........ 200 222 6.75%, Due 1/30/2011......... 255 279 Conagra Foods, Incorporated, 7.125%, Due 10/1/2026........ 410 457 7.00%, Due 10/1/2028......... 600 648 ConocoPhillips, 3.625%, Due 10/15/2007....... 425 428 Continental Cablevision, Incorporated, 8.30%, Due 5/15/2006......... 270 297 DaimlerChrysler North America, 4.75%, Due 1/15/2008......... 720 730 7.75%, Due 1/18/2011*........ 1,000 1,123 6.50%, Due 11/15/2013........ 350 361 John Deere Capital Corporation, 3.75%, Due 1/13/2009......... 520 512 Dell Computer Corporation, 6.55%, Due 4/15/2008......... 400 439 Deutsche Telekom International, 8.50%, Due 6/15/2010......... 280 331 The Walt Disney Company, 5.375%, Due 6/1/2007......... 235 247
See accompanying notes -------------------------------------------------------------------------------- 25 AMERICAN AADVANTAGE BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) EOG Resources, Incorporated, 4.75%, Due 3/15/2014, 144A (Note A)..................... $ 350 $ 337 EOP Operating Limited Partnership, 4.75%, Due 3/15/2014......... 350 326 France Telecom SA, 8.75%, Due 3/1/2011.......... 550 650 General Motors Corporation, 8.375%, Due 7/15/2033........ 375 406 Harley Davidson, Incorporated, 2.69%, Due 4/15/2011......... 610 607 Hershey Foods Corporation, 6.95%, Due 3/1/2007*......... 1,000 1,107 Hertz Corporation, 4.70%, Due 10/2/2006......... 650 658 Hewlett Packard Company, 5.75%, Due 12/15/2006........ 470 501 International Business Machines Corporation, 4.875%, Due 10/1/2006........ 505 529 4.75%, Due 11/29/2012........ 400 395 Lockheed Martin Corporation, 7.20%, Due 5/1/2036.......... 600 696 Martin Marietta Material, Incorporated, 6.90%, Due 8/15/2007......... 200 221 Norfolk Southern Corporation, 7.05%, Due 5/1/2037.......... 270 289 Northrop Grumman Corporation, 7.125%, Due 2/15/2011........ 905 1,018 Occidental Petroleum Corporation, 6.75%, Due 1/15/2012......... 400 446 Pepsi Bottling Group, Incorporated, 7.00%, Due 3/1/2029.......... 425 474 Pulte Homes, Incorporated, 5.25%, Due 1/15/2014......... 275 263 Reed Elsevier Capital, Incorporated, 6.125%, Due 8/1/2006......... 615 662 Sara Lee Corporation, 6.00%, Due 1/15/2008......... 1,200 1,294 Simon Property Group, 7.625%, Due 5/15/2005, 144A (Note A)..................... 750 788
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Sprint Capital Corporation, 8.75%, Due 3/15/2032......... $ 275 $ 328 Target Corporation, 7.00%, Due 7/15/2031......... 450 501 Time Warner, Incorporated, 7.625%, Due 4/15/2031........ 250 274 Unilever Capital Corporation, 7.125%, Due 11/1/2010........ 2,000 2,289 Univision Communications, Incorporated, 3.875%, Due 10/15/2008....... 365 359 Verizon Communications, Incorporated, 6.36%, Due 4/15/2006......... 550 587 Verizon Virginia, 4.625%, Due 3/15/2013........ 600 568 Verizon Wireless Capital, 5.375%, Due 12/15/2006....... 420 443 Viacom, Incorporated, 5.625%, Due 8/15/2012........ 495 515 Wal-Mart Stores, Incorporated, 7.55%, Due 2/15/2030......... 450 540 Weyerhaeuser Company, 5.95%, Due 11/1/2008......... 340 363 -------- TOTAL INDUSTRIAL........... 33,738 -------- PHARMACEUTICAL - 0.30% Bristol Myers Squibb Company, 4.00%, Due 8/15/2008, 144A (Note A)..................... 465 466 Schering Plough Corporation, 6.50%, Due 12/1/2033......... 610 619 Wyeth Corporation, 6.70%, Due 3/15/2011......... 450 497 5.50%, Due 2/1/2014.......... 325 324 -------- TOTAL PHARMACEUTICAL....... 1,906 -------- TRANSPORTATION - 0.42% CNF Transportation, Incorporated, 8.875%, Due 5/1/2010......... 1,850 2,166 Union Pacific Corporation, 6.50%, Due 4/15/2012......... 450 492 -------- TOTAL TRANSPORTATION....... 2,658 -------- UTILITY - 0.10% AEP Texas Central Company, 6.65%, Due 2/15/2033......... 120 123
See accompanying notes -------------------------------------------------------------------------------- 26 AMERICAN AADVANTAGE BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Appalachian Power Company, 5.95%, Due 5/15/2033......... $ 120 $ 112 Consolidated Natural Gas Company, 6.875%, Due 10/15/2026....... 360 389 -------- TOTAL UTILITY.............. 624 -------- TOTAL CORPORATE BONDS...... 83,177 --------
SHARES ----------- COMMON STOCK - 59.99% CONSUMER DISCRETIONARY - 6.74% AUTO COMPONENTS - 0.10% Delphi Corporation............. 63,200 645 -------- TOTAL AUTO COMPONENTS...... 645 -------- HOTELS, RESTAURANTS & LEISURE - 2.35% Brinker International, Incorporated+................ 67,100 2,581 Carnival Corporation........... 85,900 3,665 McDonald's Corporation......... 79,200 2,157 MGM Mirage, Incorporated+*..... 68,300 3,129 Wendy's International, Incorporated................. 31,000 1,209 Yum Brands, Incorporated+...... 52,400 2,033 -------- TOTAL HOTELS, RESTAURANTS & LEISURE.................. 14,774 -------- HOUSEHOLD DURABLES - 1.28% Centex Corporation............. 93,800 4,498 Fortune Brands, Incorporated... 18,100 1,380 Konnklijke Philips Electronics NV........................... 82,431 2,210 -------- TOTAL HOUSEHOLD DURABLES... 8,088 -------- LEISURE EQUIPMENT & PRODUCTS - 0.52% Eastman Kodak Company.......... 82,000 2,115 Mattel, Incorporated........... 67,600 1,146 -------- TOTAL LEISURE EQUIPMENT & PRODUCTS................. 3,261 -------- MULTILINE RETAIL - 2.09% Federated Department Stores, Incorporated................. 57,500 2,818 May Department Stores Company...................... 48,200 1,485 J.C. Penney Company, Incorporated................. 56,500 1,913 Sears, Roebuck, & Company...... 138,800 5,559 Target Corporation............. 31,100 1,349 -------- TOTAL MULTILINE RETAIL..... 13,124 --------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) TEXTILES & APPAREL - 0.40% Jones Apparel Group, Incorporated................. 36,300 $ 1,329 Liz Claiborne, Incorporated.... 33,000 1,158 -------- TOTAL TEXTILES & APPAREL... 2,487 -------- TOTAL CONSUMER DISCRETIONARY............ 42,379 -------- CONSUMER STAPLES - 5.18% FOOD PRODUCTS - 2.10% Albertson's, Incorporated*..... 80,000 1,869 Conagra, Incorporated.......... 134,900 3,897 Dean Foods Company+............ 35,000 1,175 General Mills, Incorporated.... 25,700 1,253 Kraft Foods, Incorporated...... 84,800 2,791 Sara Lee Company............... 95,474 2,204 -------- TOTAL FOOD PRODUCTS........ 13,189 -------- TOBACCO - 3.08% Altria Group, Incorporated..... 168,600 9,337 Gallaher Group plc, ADR........ 47,400 2,270 Imperial Tobacco Group plc, ADR.......................... 94,800 4,237 UST, Incorporated.............. 94,500 3,516 -------- TOTAL TOBACCO.............. 19,360 -------- TOTAL CONSUMER STAPLES..... 32,549 -------- ENERGY - 5.71% ENERGY EQUIPMENT & SERVICES - 0.57% Duke Energy Corporation........ 169,900 3,578 -------- TOTAL ENERGY EQUIPMENT & SERVICES................. 3,578 -------- OIL & GAS - 5.14% BP plc, ADR.................... 80,380 4,252 ChevronTexaco Corporation...... 43,814 4,009 ConocoPhillips................. 122,688 8,748 Devon Energy Corporation....... 37,100 2,271 El Paso Corporation............ 35,500 249 Equitable Resources, Incorporated................. 28,600 1,344 Kerr-McGee Corporation......... 26,800 1,311 Occidental Petroleum Corporation.................. 112,400 5,305 Royal Dutch Petroleum Company*..................... 26,500 1,289 Valero Energy Corporation...... 56,300 3,590 -------- TOTAL OIL & GAS............ 32,368 -------- TOTAL ENERGY............... 35,946 -------- FINANCIALS - 17.21% BANKS - 6.11% Bank of America Corporation.... 119,909 9,651 Bank One Corporation........... 57,700 2,849 Comerica, Incorporated......... 25,100 1,296
See accompanying notes -------------------------------------------------------------------------------- 27 AMERICAN AADVANTAGE BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Federal Home Loan Mortgage Corporation.................. 45,500 $ 2,657 Keycorp Limited................ 110,600 3,285 PNC Financial Services Group, Incorporated................. 64,178 3,408 UnionBanCal Corporation........ 11,300 604 U.S. Bancorp, Incorporated..... 90,860 2,330 Wachovia Corporation........... 53,500 2,448 Washington Mutual, Incorporated................. 171,700 6,763 Wells Fargo & Company.......... 56,600 3,196 -------- TOTAL BANKS................ 38,487 -------- DIVERSIFIED FINANCIALS - 4.91% American Express Company....... 27,000 1,322 Bear Stearns Companies, Incorporated................. 22,300 1,787 CIT Group, Incorporated........ 55,000 1,890 Citigroup, Incorporated........ 165,842 7,975 Federal National Mortgage Association.................. 30,800 2,117 Goldman Sachs Group, Incorporated................. 9,000 869 J P Morgan Chase & Company..... 138,550 5,209 Merrill Lynch & Company, Incorporated................. 36,600 1,985 Morgan Stanley Dean Witter & Company...................... 37,800 1,943 Principal Financial Group...... 94,400 3,332 SLM Corporation................ 64,900 2,486 -------- TOTAL DIVERSIFIED FINANCIALS............... 30,915 -------- INSURANCE - 6.19% Ace Limited.................... 58,000 2,543 Allstate Corporation........... 153,800 7,059 American International Group, Incorporated................. 13,000 931 Anthem, Incorporated+*......... 14,700 1,302 AON Corporation................ 31,600 823 Assurant, Incorporated+........ 53,900 1,313 Conseco, Incorporated+......... 63,000 1,257 Hartford Financial Services Group, Incorporated.......... 29,900 1,826 Loews Corporation.............. 26,000 1,508 MetLife, Incorporated.......... 219,180 7,562 MGIC Investments Corporation... 42,600 3,136 Prudential Financial, Incorporated................. 90,900 3,994 The St. Paul Travelers Companies, Incorporated...... 81,200 3,302 XL Capital Limited............. 31,800 2,428 -------- TOTAL INSURANCE............ 38,984 -------- TOTAL FINANCIALS........... 108,386 --------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) HEALTH CARE - 5.05% HEALTH CARE EQUIPMENT & SUPPLIES - 0.44% Baxter International, Incorporated................. 87,600 $ 2,773 -------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES............... 2,773 -------- HEALTH CARE PROVIDERS & SERVICES - 2.05% Aetna, Incorporated............ 50,700 4,195 Cigna Corporation.............. 23,700 1,529 HCA, Incorporated.............. 67,300 2,734 Health Net, Incorporated+...... 47,200 1,201 Tenet Healthcare Corporation+.. 168,300 1,979 Wellpoint Health Networks, Incorporated+................ 11,600 1,296 -------- TOTAL HEALTH CARE PROVIDERS & SERVICES............... 12,934 -------- PHARMACEUTICALS - 2.56% Bristol-Myers Squibb Company... 193,700 4,862 McKesson Corporation........... 40,900 1,344 Merck & Company, Incorporated................. 89,100 4,187 Pfizer, Incorporated........... 44,400 1,588 Schering Plough Corporation.... 164,000 2,744 Wyeth Corporation.............. 35,800 1,363 -------- TOTAL PHARMACEUTICALS...... 16,088 -------- TOTAL HEALTH CARE.......... 31,795 -------- INDUSTRIALS - 8.99% AEROSPACE & DEFENSE - 3.13% Boeing Company................. 143,900 6,143 Honeywell International, Incorporated................. 77,500 2,680 Lockheed Martin Corporation.... 55,200 2,633 Raytheon Company............... 89,300 2,881 Textron, Incorporated.......... 57,000 3,145 United Technologies Corporation.................. 26,000 2,243 -------- TOTAL AEROSPACE & DEFENSE.................. 19,725 -------- COMMERCIAL SERVICES & SUPPLIES - 1.71% Cendant Corporation............ 305,200 7,227 First Data Corporation......... 15,804 717 Waste Management, Incorporated................. 99,907 2,837 -------- TOTAL COMMERCIAL SERVICES & SUPPLIES................. 10,781 -------- ELECTRICAL EQUIPMENT - 0.76% Emerson Electrical Company..... 79,100 4,763 -------- TOTAL ELECTRICAL EQUIPMENT................ 4,763 -------- ENERGY - 0.56% Devon Energy Corporation, 2.75%, Due 8/1/2006.......... 420 418
See accompanying notes -------------------------------------------------------------------------------- 28 AMERICAN AADVANTAGE BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Dominion Resources, Incorporated, 5.00%, Due 3/15/2013......... 210 $ 204 Enterprise Products Partners LP, 7.50%, Due 2/1/2011.......... 230 257 Kerr-McGee Corporation, 5.875%, Due 9/15/2006........ 520 550 Marathon Oil Corporation, 5.375%, Due 6/1/2007......... 260 274 MidAmerican Energy Holdings Company, 3.50%, Due 5/15/2008......... 395 385 5.875%, Due 10/1/2012........ 305 315 Public Service Enterprise Group, Incorporated, 6.95%, Due 6/1/2012.......... 380 420 Union Oil Company of California, 7.90%, Due 4/18/2008......... 100 112 Xcel Energy, Incorporated, 7.00%, Due 12/1/2010......... 500 560 -------- TOTAL ENERGY............... 3,495 -------- INDUSTRIAL CONGLOMERATES - 1.08% Tyco International Limited..... 246,701 6,772 -------- TOTAL INDUSTRIAL CONGLOMERATES............ 6,772 -------- MACHINERY - 0.72% Caterpillar, Incorporated...... 29,300 2,277 ITT Industries, Incorporated... 28,400 2,252 -------- TOTAL MACHINERY............ 4,529 -------- TRANSPORTATION - 1.03% Burlington Northern Santa Fe Corporation.................. 76,500 2,502 CSX Corporation................ 129,600 3,986 -------- TOTAL TRANSPORTATION....... 6,488 -------- TOTAL INDUSTRIALS.......... 56,553 -------- INFORMATION TECHNOLOGY - 2.86% COMPUTERS & PERIPHERALS - 0.99% Hewlett Packard Company........ 142,800 2,813 International Business Machines Corporation.................. 38,900 3,430 -------- TOTAL COMPUTERS & PERIPHERALS.............. 6,243 -------- IT CONSULTING & SERVICES - 1.20% Computer Sciences Corporation+................. 56,500 2,311
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Electronic Data Systems Corporation.................. 287,700 $ 5,262 -------- TOTAL IT CONSULTING & SERVICES................. 7,573 -------- Computer Associates International, Incorporated................. 158,000 4,236 -------- TOTAL SOFTWARE............. 4,236 -------- TOTAL INFORMATION TECHNOLOGY............... 18,052 -------- MATERIALS - 3.86% CHEMICALS - 2.05% Air Products & Chemicals, Incorporated................. 32,000 1,594 Crompton Corporation........... 121,113 753 E. I. du Pont de Nemours & Company...................... 29,400 1,263 Eastman Chemical Company....... 30,000 1,277 Hercules, Incorporated +....... 128,400 1,427 Imperial Chemical Industries plc, ADR..................... 108,300 1,682 Lyondell Chemical Company*..... 165,700 2,709 PPG Industries, Incorporated... 37,600 2,230 -------- TOTAL CHEMICALS............ 12,935 -------- METALS & MINING - 0.38% Alcoa, Incorporated............ 77,496 2,383 -------- TOTAL METALS & MINING...... 2,383 -------- PAPER & FOREST PRODUCTS - 1.43% Eagle Materials, Incorporated................. 1,830 120 Eagle Materials, Incorporated, Class B+*.................... 6,154 393 International Paper Company.... 53,300 2,149 Kimberly Clark Corporation..... 22,000 1,440 Sappi Limited, ADR............. 213,000 2,901 UPM Kymmene Corporation, ADR*......................... 62,900 1,156 Weyerhaeuser Company........... 13,800 817 -------- TOTAL PAPER & FOREST PRODUCTS................. 8,976 -------- TOTAL MATERIALS............ 24,294 -------- REAL ESTATE INVESTMENT TRUSTS - 0.33% Equity Office Properties Trust........................ 82,500 2,077 -------- TOTAL REAL ESTATE INVESTMENT TRUSTS........ 2,077 -------- TELECOMMUNICATION SERVICES - 0.77% DIVERSIFIED TELECOMMUNICATION - 0.61% SBC Communications, Incorporated................. 31,300 779 Verizon Communications, Incorporated................. 80,428 3,035 -------- TOTAL DIVERSIFIED TELECOMMUNICATION........ 3,814 --------
See accompanying notes -------------------------------------------------------------------------------- 29 AMERICAN AADVANTAGE BALANCED FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) WIRELESS TELECOMMUNICATION - 0.16% Alltel Corporation............. 19,700 $ 992 -------- TOTAL WIRELESS TELECOMMUNICATION........ 992 -------- TOTAL TELECOMMUNICATION SERVICES................. 4,806 -------- UTILITIES - 3.29% ELECTRIC UTILITIES - 3.29% American Electric Power Company, Incorporated........ 185,400 5,644 Centerpoint Energy, Incorporated*................ 132,600 1,431 Dominion Resources, Incorporated................. 30,200 1,927 DTE Energy Company............. 16,400 640 Entergy Corporation............ 69,400 3,789 FirstEnergy Corporation........ 86,000 3,363 General Electric Company....... 36,700 1,099 Reliant Resources, Incorporated+*............... 243,356 2,022 Teco Energy, Incorporated*..... 64,300 818 -------- TOTAL ELECTRIC UTILITIES... 20,733 -------- TOTAL UTILITIES............ 20,733 -------- TOTAL COMMON STOCK......... 377,570 --------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) SHORT-TERM INVESTMENTS - 18.26% UNITED STATES TREASURY BILLS - 0.69% 1.84%, Due 6/10/2004 (Note B)........................... $ 4,325 $ 4,321 -------- TOTAL UNITED STATES TREASURY BILLS........... 4,321 --------
SHARES ----------- OTHER SHORT-TERM INVESTMENTS - 17.57% American AAdvantage Money Market Select Fund (Note C).. 81,471,783 81,472 AMR Investments Enhanced Cash Business Trust (Note C)...... 29,141,843 29,142 -------- TOTAL OTHER SHORT-TERM INVESTMENTS.............. 110,614 -------- TOTAL SHORT-TERM INVESTMENTS.............. 114,935 -------- TOTAL INVESTMENTS - 110.13% (COST $619,008).............. 693,155 -------- LIABILITIES, NET OF OTHER ASSETS - (10.13%)............ (63,770) -------- TOTAL NET ASSETS - 100%........ $629,385 ========
--------------- (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 period end, the value of these securities amounted to $6,192 or 0.99% of net assets. (B) At April 30, 2004, security held as collateral for open futures contracts. (C) See Note 2 in the Notes to Financial Statements regarding investments in affiliated issuers. * - All or a portion of this security is on loan at April 30, 2004. See Note 4. + - non-income producing See accompanying notes -------------------------------------------------------------------------------- 30 AMERICAN AADVANTAGE LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) COMMON STOCK - 93.35% CONSUMER DISCRETIONARY - 10.42% AUTO COMPONENTS - 0.16% Delphi Corporation.............. 107,100 $ 1,092 -------- TOTAL AUTO COMPONENTS....... 1,092 -------- HOTELS, RESTAURANTS & LEISURE - 3.40% Brinker International, Incorporated+*................ 108,000 4,154 Carnival Corporation............ 109,100 4,655 Mattel, Incorporated............ 106,000 1,798 McDonald's Corporation.......... 124,600 3,393 MGM Mirage, Incorporated+....... 107,500 4,924 Wendy's International, Incorporated.................. 48,400 1,888 Yum Brands, Incorporated+....... 82,400 3,196 -------- TOTAL HOTELS, RESTAURANTS & LEISURE................... 24,008 -------- HOUSEHOLD DURABLES - 1.96% Centex Corporation.............. 147,600 7,077 Fortune Brands, Incorporated.... 27,100 2,066 Konnklijke Philips Electronics NV............................ 110,666 2,967 Matsushita Electric Industrial Company Limited, ADR.......... 115,000 1,700 -------- TOTAL HOUSEHOLD DURABLES.... 13,810 -------- LEISURE EQUIPMENT & PRODUCTS - 0.44% Eastman Kodak Company........... 119,500 3,082 -------- TOTAL LEISURE EQUIPMENT & PRODUCTS.................. 3,082 -------- MEDIA - 0.54% Clear Channel Communications, Incorporated.................. 40,000 1,660 Liberty Media Corporation+...... 200,000 2,188 -------- TOTAL MEDIA................. 3,848 -------- MULTILINE RETAIL - 3.17% Federated Department Stores, Incorporated.................. 77,900 3,817 May Department Stores Company... 70,100 2,159 J.C. Penney Company, Incorporated.................. 173,900 5,888 Sears, Roebuck, & Company....... 218,400 8,747 Target Corporation.............. 41,700 1,809 -------- TOTAL MULTILINE RETAIL...... 22,420 -------- TEXTILES & APPAREL - 0.75% Jones Apparel Group, Incorporated.................. 58,800 2,152 Liz Claiborne, Incorporated..... 52,000 1,825
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) Polo Ralph Lauren Corporation... 39,000 $ 1,350 -------- TOTAL TEXTILES & APPAREL.... 5,327 -------- TOTAL CONSUMER DISCRETIONARY............. 73,587 -------- CONSUMER STAPLES - 9.24% FOOD & DRUG RETAILING - 0.45% Albertson's, Incorporated *..... 135,600 3,168 -------- TOTAL FOOD & DRUG RETAILING................. 3,168 -------- FOOD PRODUCTS - 3.44% Archer-Daniels-Midland Company.. 131,000 2,300 Conagra, Incorporated........... 210,700 6,087 Dean Foods Company+............. 55,500 1,864 General Mills, Incorporated..... 39,500 1,926 Kellogg Company................. 53,000 2,274 Kraft Foods, Incorporated....... 133,400 4,390 Performance Food Group Company+*..................... 61,000 2,143 Sara Lee Company................ 144,828 3,343 -------- TOTAL FOOD PRODUCTS......... 24,327 -------- HOUSEHOLD PRODUCTS - 0.62% Kimberly Clark Corporation...... 66,600 4,359 -------- TOTAL HOUSEHOLD PRODUCTS.... 4,359 -------- TOBACCO - 4.73% Altria Group, Incorporated...... 285,500 15,811 Gallaher Group plc, ADR......... 79,800 3,822 Imperial Tobacco Group plc, ADR........................... 183,500 8,203 UST, Incorporated............... 150,400 5,596 -------- TOTAL TOBACCO............... 33,432 -------- TOTAL CONSUMER STAPLES...... 65,286 -------- ENERGY - 7.68% ENERGY EQUIPMENT & SERVICES - 0.55% General Electric Company........ 56,200 1,683 Weatherford International Limited+...................... 51,000 2,218 -------- TOTAL ENERGY EQUIPMENT & SERVICES.................. 3,901 -------- OIL & GAS - 7.13% BP plc, ADR..................... 106,036 5,609 ChevronTexaco Corporation....... 69,181 6,330 ConocoPhillips.................. 209,322 14,925 Devon Energy Corporation........ 56,800 3,476 Equitable Resources, Incorporated.................. 36,100 1,696 Kerr-McGee Corporation.......... 39,600 1,938 Occidental Petroleum Corporation................... 185,300 8,747 Royal Dutch Petroleum Company*...................... 40,700 1,980
See accompanying notes -------------------------------------------------------------------------------- 31 AMERICAN AADVANTAGE LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) Valero Energy Corporation....... 88,500 $ 5,643 -------- TOTAL OIL & GAS............. 50,344 -------- TOTAL ENERGY................ 54,245 -------- FINANCIALS - 26.25% BANKS - 8.68% Bank of America Corporation..... 186,621 15,021 Bank One Corporation............ 90,800 4,483 Comerica, Incorporated.......... 39,500 2,039 Keycorp Limited................. 165,400 4,912 Mitsubishi Tokyo Financial Group, Incorporated, ADR...... 237,000 2,109 PNC Financial Services Group, Incorporated.................. 101,827 5,407 TCF Financial Corporation....... 26,000 1,288 UnionBanCal Corporation......... 17,800 951 U. S. Bancorp, Incorporated..... 141,060 3,617 Wachovia Corporation............ 82,100 3,756 Washington Mutual, Incorporated.................. 252,500 9,946 Wells Fargo & Company........... 138,500 7,820 -------- TOTAL BANKS................. 61,349 -------- DIVERSIFIED FINANCIALS - 8.11% American Express Company........ 36,500 1,787 Bear Stearns Companies, Incorporated.................. 33,000 2,645 Charles Schwab Corporation...... 193,000 1,986 CIT Group, Incorporated......... 85,500 2,939 Citigroup, Incorporated......... 262,838 12,640 Federal Home Loan Mortgage Corporation................... 71,600 4,181 Federal National Mortgage Association................... 44,000 3,024 Goldman Sachs Group, Incorporated.................. 19,000 1,833 Ing Groep NV, ADR*.............. 110,417 2,344 J P Morgan Chase & Company...... 228,042 8,574 Merrill Lynch & Company, Incorporated.................. 58,800 3,189 Morgan Stanley Dean Witter & Company....................... 58,700 3,016 Principal Financial Group, Incorporated.................. 148,500 5,242 SLM Corporation................. 101,600 3,892 -------- TOTAL DIVERSIFIED FINANCIALS................ 57,292 -------- INSURANCE - 9.46% Ace Limited..................... 88,900 3,897 Allstate Corporation............ 249,328 11,444 American International Group, Incorporated.................. 23,000 1,648 Anthem, Incorporated+*.......... 23,100 2,046 AON Corporation................. 57,200 1,491 Assurant, Incorporated+......... 84,700 2,063 Chubb Corporation............... 34,000 2,346 Cincinnati Financial Corporation................... 33,600 1,377 Conseco, Incorporated+.......... 99,100 1,977
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) Hartford Financial Services Group, Incorporated........... 47,100 $ 2,877 Loews Corporation............... 52,000 3,018 MetLife, Incorporated........... 341,600 11,786 MGIC Investments Corporation.... 68,000 5,006 Prudential Financial, Incorporated.................. 153,800 6,758 The St. Paul Travelers Companies, Incorporated....... 126,300 5,137 XL Capital Limited.............. 51,900 3,962 -------- TOTAL INSURANCE............. 66,833 -------- TOTAL FINANCIALS............ 185,474 -------- HEALTH CARE - 7.97% HEALTH CARE EQUIPMENT & SUPPLIES - 1.38% Alcon, Incorporated............. 36,000 2,673 C. R. Bard, Incorporated........ 26,000 2,763 Baxter International, Incorporated.................. 137,100 4,339 -------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES................ 9,775 -------- HEALTH CARE PROVIDERS & SERVICES - 2.93% Aetna, Incorporated............. 85,600 7,083 Cigna Corporation............... 35,500 2,290 HCA, Incorporated............... 105,900 4,303 Health Net, Incorporated+....... 74,300 1,890 Tenet Healthcare Corporation+... 264,800 3,114 Wellpoint Health Networks, Incorporated+................. 18,200 2,033 -------- TOTAL HEALTH CARE PROVIDERS & SERVICES................ 20,713 -------- PHARMACEUTICALS - 3.66% Astrazeneca plc, ADR............ 48,000 2,297 Bristol-Myers Squibb Company.... 262,900 6,599 McKesson Corporation............ 62,600 2,057 Merck & Company, Incorporated... 136,400 6,411 Pfizer, Incorporated............ 57,300 2,049 Schering Plough Corporation..... 260,100 4,351 Wyeth Corporation............... 55,100 2,098 -------- TOTAL PHARMACEUTICALS....... 25,862 -------- TOTAL HEALTH CARE........... 56,350 -------- INDUSTRIALS - 13.01% AEROSPACE & DEFENSE - 3.58% Boeing Company.................. 267,600 11,424 L3 Communications Holding Corporation+.................. 40,000 2,471 Lockheed Martin Corporation..... 86,800 4,140 Raytheon Company................ 144,900 4,674 United Technologies Corporation................... 30,100 2,596 -------- TOTAL AEROSPACE & DEFENSE... 25,305 -------- COMMERCIAL SERVICES & SUPPLIES - 2.47% Cendant Corporation............. 501,900 11,885 First Data Corporation.......... 24,564 1,115
See accompanying notes -------------------------------------------------------------------------------- 32 AMERICAN AADVANTAGE LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) Waste Management, Incorporated.. 157,165 $ 4,463 -------- TOTAL COMMERCIAL SERVICES & SUPPLIES.................. 17,463 -------- ELECTRICAL EQUIPMENT - 1.34% Emerson Electrical Company...... 123,400 7,431 Molex, Incorporated............. 78,000 2,009 -------- TOTAL ELECTRICAL EQUIPMENT................. 9,440 -------- INDUSTRIAL CONGLOMERATES - 3.18% 3M Company...................... 15,000 1,297 Honeywell International, Incorporated.................. 118,500 4,098 Textron, Incorporated........... 88,200 4,867 Tyco International Limited...... 446,300 12,251 -------- TOTAL INDUSTRIAL CONGLOMERATES............. 22,513 -------- MACHINERY - 1.00% Caterpillar, Incorporated....... 44,800 3,482 ITT Industries, Incorporated.... 45,200 3,584 -------- TOTAL MACHINERY............. 7,066 -------- TRANSPORTATION - 1.44% Burlington Northern Santa Fe Corporation................... 119,300 3,901 CSX Corporation................. 203,400 6,257 -------- TOTAL TRANSPORTATION........ 10,158 -------- TOTAL INDUSTRIALS........... 91,945 -------- INFORMATION TECHNOLOGY - 5.81% COMMUNICATIONS EQUIPMENT - 0.59% Lucent Technologies, Incorporated+*................ 550,000 1,853 Motorola, Incorporated.......... 128,000 2,336 -------- TOTAL COMMUNICATIONS EQUIPMENT................. 4,189 -------- COMPUTERS & PERIPHERALS - 2.16% Apple Computer, Incorporated+... 98,000 2,521 Hewlett Packard Company......... 207,100 4,080 International Business Machines Corporation................... 72,200 6,366 NCR Corporation+................ 51,000 2,279 -------- TOTAL COMPUTERS & PERIPHERALS............... 15,246 -------- IT CONSULTING & SERVICES - 1.60% Computer Sciences Corporation+.. 74,700 3,056 Electronic Data Systems Corporation*.................. 452,600 8,278 -------- TOTAL IT CONSULTING & SERVICES.................. 11,334 -------- SOFTWARE - 1.46% Autodesk, Incorporated.......... 110,000 3,685
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) Computer Associates International, Incorporated... 248,500 $ 6,662 -------- TOTAL SOFTWARE.............. 10,347 -------- TOTAL INFORMATION TECHNOLOGY................ 41,116 -------- MATERIALS - 5.58% CHEMICALS - 3.08% Air Products & Chemicals, Incorporated.................. 86,600 4,313 Crompton Corporation............ 203,808 1,268 Cytec Industries, Incorporated.................. 60,000 2,359 E. I. du Pont de Nemours & Company....................... 45,000 1,933 Hercules, Incorporated+......... 173,400 1,926 Imperial Chemical Industries plc, ADR...................... 156,900 2,437 Lyondell Chemical Company*...................... 230,900 3,775 PPG Industries, Incorporated.... 62,700 3,719 -------- TOTAL CHEMICALS............. 21,730 -------- METALS & MINING - 0.50% Alcoa, Incorporated............. 115,368 3,548 -------- TOTAL METALS & MINING....... 3,548 -------- PAPER & FOREST PRODUCTS - 2.00% Eagle Materials, Incorporated... 2,756 181 Eagle Materials, Incorporated, Class B+...................... 9,268 592 International Paper Company..... 83,400 3,363 Sappi Limited, ADR*............. 277,000 3,773 UPM Kymmene Corporation, ADR*... 91,100 1,674 Weyerhaeuser Company............ 77,100 4,564 -------- TOTAL PAPER & FOREST PRODUCTS.................. 14,147 -------- TOTAL MATERIALS............. 39,425 -------- REAL ESTATE INVESTMENT TRUSTS - 0.48% Equity Office Properties Trust......................... 133,800 3,367 -------- TOTAL REAL ESTATE INVESTMENT TRUSTS.................... 3,367 -------- TELECOMMUNICATION SERVICES - 1.70% DIVERSIFIED TELECOMMUNICATION - 1.14% SBC Communications, Incorporated.................. 120,800 3,008 Verizon Communications, Incorporated.................. 133,746 5,047 -------- TOTAL DIVERSIFIED TELECOMMUNICATION......... 8,055 -------- WIRELESS TELECOMMUNICATION - 0.56% Alltel Corporation.............. 31,000 1,561
See accompanying notes -------------------------------------------------------------------------------- 33 AMERICAN AADVANTAGE LARGE CAP VALUE FUND SCHEDULE OF INVESTMENTS - CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- --------- (DOLLARS IN THOUSANDS) Vodafone Group plc, ADR......... 97,000 $ 2,380 -------- TOTAL WIRELESS TELECOMMUNICATION......... 3,941 -------- TOTAL TELECOMMUNICATION SERVICES.................. 11,996 -------- UTILITIES - 5.21% ELECTRIC UTILITIES - 4.44% American Electric Power Company, Incorporated.................. 285,000 8,675 Centerpoint Energy, Incorporated*................. 211,500 2,282 Dominion Resources, Incorporated.................. 51,200 3,267 DTE Energy Company.............. 27,700 1,081 Entergy Corporation............. 112,700 6,153 FirstEnergy Corporation......... 145,900 5,705 Reliant Resources, Incorporated+*................ 384,247 3,193 Teco Energy, Incorporated*...... 77,500 987 -------- TOTAL ELECTRIC UTILITIES.... 31,343 -------- MULTI-UTILITIES - 0.77% Duke Energy Corporation*........ 259,400 5,464 -------- TOTAL MULTI-UTILITIES....... 5,464 -------- TOTAL UTILITIES............. 36,807 -------- TOTAL COMMON STOCK.......... 659,598 --------
PAR AMOUNT AMOUNT ----------- --------- (DOLLARS IN THOUSANDS) SHORT-TERM INVESTMENTS - 11.01% U.S. TREASURY BILLS - 0.53% 0.93%, Due 6/10/2004 (Note A)... $ 3,730 $ 3,726 -------- TOTAL U.S. TREASURY BILLS... 3,726 --------
SHARES ---------- OTHER SHORT-TERM INVESTMENTS - 10.48% American AAdvantage Money Market Select Fund (Note B).......... 66,026,464 66,026 AMR Investments Enhanced Cash Business Trust (Note B)....... 8,024,136 8,024 -------- TOTAL OTHER SHORT-TERM INVESTMENTS............... 74,050 -------- TOTAL SHORT-TERM INVESTMENTS............... 77,776 -------- TOTAL INVESTMENTS - 104.36% (COST $614,077)............... 737,374 -------- LIABILITIES, NET OF OTHER ASSETS - (4.36%).............. (30,836) -------- TOTAL NET ASSETS - 100%......... $706,538 ========
--------------- (A) At April 30, 2004, security held as collateral for open futures contracts. (B) See Note 2 in the Notes to Financial Statements regarding investments in affiliated issuers. * - All or a portion of this security is on loan at April 30, 2004. See Note 4 + - non-income producing See accompanying notes -------------------------------------------------------------------------------- 34 AMERICAN AADVANTAGE LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) COMMON STOCK - 98.94% CONSUMER DISCRETIONARY - 17.39% AUTO COMPONENTS - 0.14% Autoliv, Incorporated............ 800 $ 34 Johnson Controls, Incorporated... 200 11 Lear Corporation................. 600 36 -------- TOTAL AUTO COMPONENTS........ 81 -------- AUTOMOBILES - 1.25% Ford Motor Company............... 3,600 55 General Motors Corporation....... 11,000 522 Harley Davidson, Incorporated.... 2,400 135 -------- TOTAL AUTOMOBILES............ 712 -------- HOTELS, RESTAURANTS & LEISURE - 1.02% GTECH Holdings Corporation....... 5,100 311 McDonald's Corporation........... 5,500 150 Yum Brands, Incorporated+........ 3,100 120 -------- TOTAL HOTELS, RESTAURANTS & LEISURE.................... 581 -------- INTERNET & CATALOG RETAIL - 1.42% Amazon.com, Incorporated+........ 12,100 526 Ebay, Incorporated+.............. 3,600 287 -------- TOTAL INTERNET & CATALOG RETAIL..................... 813 -------- LEISURE EQUIPMENT & PRODUCTS - 0.25% Hasbro, Incorporated............. 5,900 112 Mattel, Incorporated............. 1,500 25 -------- TOTAL LEISURE EQUIPMENT & PRODUCTS................... 137 -------- HOUSEHOLD DURABLES - 0.38% Centex Corporation............... 3,100 148 D R Horton, Incorporated......... 900 26 KB Home.......................... 100 7 Lennar Corporation............... 200 9 Pulte Homes, Incorporated........ 500 25 -------- TOTAL HOUSEHOLD DURABLES..... 215 -------- MEDIA - 4.34% Comcast Corporation+............. 4,900 147 Cox Radio, Incorporated+......... 3,100 64 The Walt Disney Company.......... 6,890 159 Echostar Communications Corporation+................... 1,900 63 Fox Entertainment Group, Incorporated+.................. 11,300 315 Gannett Company, Incorporated.... 1,700 147 Harman International Industries, Incorporated................... 6,000 455 Liberty Media Corporation+....... 4,900 54 The E. W. Scripps Company........ 1,900 201 Time Warner, Incorporated+....... 1,600 27 Viacom, Incorporated............. 22,000 850 -------- TOTAL MEDIA.................. 2,482 -------- MULTILINE RETAIL - 3.24% Family Dollar Stores, Incorporated................... 500 16
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) Federated Department Stores, Incorporated................... 11,200 $ 549 Kohl's Corporation+.............. 4,800 201 Target Corporation............... 5,900 256 Wal-Mart Stores, Incorporated.... 14,600 832 -------- TOTAL MULTILINE RETAIL....... 1,854 -------- SPECIALTY RETAIL - 3.91% Abercrombie and Fitch Company+... 3,200 101 Bed Bath & Beyond, Incorporated+.................. 3,300 122 Best Buy Company, Incorporated... 6,600 358 Gap Inc.......................... 8,800 194 Home Depot, Incorporated......... 21,900 771 Lowe's Companies, Incorporated... 5,200 271 Radioshack Corporation........... 6,500 200 Ross Stores, Incorporated........ 2,300 70 Saks, Incorporated+.............. 7,500 108 TJX Companies, Incorporated...... 1,600 39 -------- TOTAL SPECIALTY RETAIL....... 2,234 -------- TEXTILES & APPAREL - 1.44% Coach, Incorporated+............. 10,800 460 Jones Apparel Group, Incorporated................... 3,600 132 Nike, Incorporated............... 3,200 230 -------- TOTAL TEXTILES & APPAREL....... 822 -------- TOTAL CONSUMER DISCRETIONARY.............. 9,931 -------- CONSUMER STAPLES - 9.99% BEVERAGES - 1.45% Anheuser Busch Companies, Incorporated................... 400 20 Coca-Cola Company................ 15,000 759 Pepsico, Incorporated............ 900 49 -------- TOTAL BEVERAGES.............. 828 -------- FOOD & DRUG RETAILING - 1.17% CVS Corporation.................. 1,800 70 Longs Drug Stores Corporation.... 1,400 27 Sysco Corporation................ 14,400 551 Walgreen Company................. 600 21 -------- TOTAL FOOD & DRUG RETAILING.................. 669 -------- FOOD PRODUCTS - 1.52% Archer-Daniels-Midland Company... 19,600 344 Tyson Foods, Incorporated........ 28,100 527 -------- TOTAL FOOD PRODUCTS.......... 871 -------- HOUSEHOLD PRODUCTS - 2.83% Colgate Palmolive Company........ 400 23 Procter & Gamble Company......... 15,100 1,597 -------- TOTAL HOUSEHOLD PRODUCTS..... 1,620 -------- PERSONAL PRODUCTS - 1.42% Gillette Company................. 19,800 810 -------- TOTAL PERSONAL PRODUCTS...... 810 --------
See accompanying notes -------------------------------------------------------------------------------- 35 AMERICAN AADVANTAGE LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) TOBACCO - 1.6% Altria Group, Incorporated....... 6,400 $ 354 R.J. Reynolds Tobacco Holdings, Incorporated................... 8,600 557 -------- TOTAL TOBACCO................ 911 -------- TOTAL CONSUMER STAPLES....... 5,709 -------- ENERGY - 1.06% ENERGY EQUIPMENT & SERVICES - 0.54% Baker Hughes, Incorporated....... 1,700 62 Cooper Cameron Corporation+...... 2,700 131 Pride International, Incorporated+.................. 5,100 86 Rowan Companies, Incorporated+... 1,300 29 -------- TOTAL ENERGY EQUIPMENT & SERVICES................... 308 -------- OIL & GAS - 0.52% ConocoPhillips................... 1,100 78 Sunoco, Incorporated............. 3,400 214 Unocal Corporation............... 100 4 -------- TOTAL OIL & GAS.............. 296 -------- TOTAL ENERGY................. 604 -------- FINANCIALS - 9.46% BANKS - 1.16% Bank of New York, Incorporated... 1,100 32 Greenpoint Financial Corporation.................... 1,400 55 Hudson City Bancorp, Incorporated................... 3,200 108 Washington Mutual, Incorporated.. 1,600 63 Wells Fargo and Company.......... 7,200 407 -------- TOTAL BANKS.................. 665 -------- DIVERSIFIED FINANCIALS - 5.51% AmeriCredit Corporation+*........ 6,800 110 Capital One Financial Corporation.................... 1,000 66 Charles Schwab Corporation....... 7,500 77 CIT Group, Incorporated.......... 13,300 457 Citigroup, Incorporated.......... 6,800 327 Countrywide Financial Corporation.................... 2,800 166 Doral Financial Corporation...... 8,200 269 E*Trade Group, Incorporated+..... 3,400 39 Federal Home Loan Mortgage Corporation.................... 2,600 152 Federal National Mortgage Corporation.................... 3,600 247 Friedman Billings Ramsey Group... 1,200 22 Indymac Bancorp, Incorporated.... 900 29 MBNA Corporation................. 18,200 444 Moody's Corporation.............. 8,700 561 Morgan Stanley Dean Witter & Company........................ 2,700 139 Nuveen Investments, Incorporated................... 1,800 46 -------- TOTAL DIVERSIFIED FINANCIALS................. 3,151 -------- INSURANCE - 2.48% Allstate Corporation............. 3,700 169 Ambac Financial Group, Incorporated................... 6,100 420
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) Fidelity National Financial, Incorporated................... 3,200 $ 117 Hartford Financial Services Group, Incorporated............ 800 49 Principal Financial Group........ 4,500 158 The Progressive Corporation...... 1,000 88 Protective Life Corporation...... 100 4 Prudential Financial, Incorporated................... 6,100 268 The St Paul Travelers Companies, Incorporated................... 400 16 Wellpoint Health Networks, Incorporated+.................. 1,100 123 -------- TOTAL INSURANCE.............. 1,412 -------- REAL ESTATE - 0.31% CarrAmerica Realty Corporation... 1,000 29 LNR Property Corporation......... 3,000 151 -------- TOTAL REAL ESTATE............ 180 -------- TOTAL FINANCIALS............. 5,408 -------- HEALTH CARE - 26.5% BIOTECHNOLOGY - 4.13% Amgen, Incorporated+............. 8,800 495 Biogen Idec, Incorporated+....... 4,900 289 Genentech, Incorporated+......... 5,900 725 Gilead Sciences, Incorporated+... 12,100 736 Human Genome Sciences, Incorporated+.................. 3,800 46 MedImmune, Incorporated+......... 3,000 73 -------- TOTAL BIOTECHNOLOGY............ 2,364 -------- HEALTH CARE EQUIPMENT & SUPPLIES - 4.12% Boston Scientific Corporation+... 12,400 511 Guidant Corporation.............. 19,300 1,216 Zimmer Holdings, Incorporated+... 7,900 631 -------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES................... 2,358 -------- HEALTH CARE PROVIDERS & SERVICES - 3.35% Aetna, Incorporated.............. 2,600 215 Anthem, Incorporated+............ 4,000 354 Becton Dickinson and Company..... 4,300 217 Cardinal Health, Incorporated.... 500 37 HCA, Incorporated................ 2,100 85 IMS Health, Incorporated......... 19,800 500 St. Jude Medical, Incorporated+.................. 1,200 92 UnitedHealth Group, Incorporated................... 6,800 418 -------- TOTAL HEALTH CARE PROVIDERS & SERVICES................... 1,918 -------- PHARMACEUTICALS - 14.90% Allergan, Incorporated........... 6,500 572 American Pharmaceutical Partners, Incorporated+*................. 2,700 114 Eli Lilly & Company.............. 7,700 568 Endo Pharmaceuticals Holdings, Incorporated+.................. 7,000 167 Forest Laboratories, Incorporated+.................. 6,400 413 Johnson & Johnson................ 47,900 2,588 King Pharmaceuticals, Incorporated+.................. 1,500 26
See accompanying notes -------------------------------------------------------------------------------- 36 AMERICAN AADVANTAGE LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) Medco Health Solutions, Incorporated+.................. 277 $ 10 Pfizer, Incorporated............. 99,160 3,546 Sepracor, Incorporated+*......... 3,500 167 Wyeth Corporation................ 9,100 347 -------- TOTAL PHARMACEUTICALS........ 8,518 -------- TOTAL HEALTH CARE............ 15,158 -------- INDUSTRIALS - 10.05% AEROSPACE & DEFENSE - 0.90% Lockheed Martin Corporation...... 6,100 291 Northrop Grumman Corporation..... 100 10 Raytheon Company................. 500 16 United Technologies Corporation.. 2,300 198 -------- TOTAL AEROSPACE & DEFENSE.... 515 -------- COMMERCIAL SERVICES & SUPPLIES - 2.49% Cendant Corporation.............. 8,500 201 First Data Corporation........... 8,500 386 ITT Educational Services, Incorporated+.................. 1,100 44 United Parcel Service, Incorporated................... 11,300 793 -------- TOTAL COMMERCIAL SERVICES & SUPPLIES................... 1,424 -------- ELECTRICAL EQUIPMENT - 0.33% Energizer Holdings, Incorporated+.................. 4,400 191 -------- TOTAL ELECTRICAL EQUIPMENT... 191 -------- INDUSTRIAL CONGLOMERATES - 6.14% 3M Company....................... 4,900 424 General Electric Company......... 90,500 2,710 Tyco International Limited....... 13,800 379 -------- TOTAL INDUSTRIAL CONGLOMERATES.............. 3,513 -------- MACHINERY - 0.04% Eaton Corporation................ 200 12 SPX Corporation+................. 100 4 -------- TOTAL MACHINERY.............. 16 -------- TRANSPORTATION - 0.15% Overseas Shipholding Group, Incorporated................... 2,600 85 -------- TOTAL TRANSPORTATION......... 85 -------- TOTAL INDUSTRIALS............ 5,744 -------- INFORMATION TECHNOLOGY - 21.95% COMMUNICATIONS EQUIPMENT - 4.31% Cisco Systems, Incorporated+..... 65,300 1,363 Juniper Networks, Incorporated+*................. 8,000 175 Motorola, Incorporated........... 37,800 690 Qualcomm, Incorporated........... 3,800 237 -------- TOTAL COMMUNICATIONS EQUIPMENT.................. 2,465 -------- COMPUTERS & PERIPHERALS - 3.01% Dell, Incorporated+.............. 31,200 1,083 Hewlett Packard Company.......... 800 16
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) International Business Machines Corporation.................... 1,900 $ 167 Lexmark International, Incorporated+.................. 2,800 253 NCR Corporation+................. 2,400 107 Storage Technology Corporation+.. 3,600 95 -------- TOTAL COMPUTERS & PERIPHERALS.................. 1,721 -------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.82% Agilent Technologies, Incorporated+.................. 11,000 297 Intersil Corporation............. 5,300 105 Sanmina-Sci Corporation+......... 6,600 66 -------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS................ 468 -------- INTERNET SOFTWARE & SERVICES - 1.26% Cadence Design Systems, Incorporated+.................. 6,400 82 Electronic Arts, Incorporated+... 3,300 167 Mercury Interactive Corporation+................... 3,900 166 Symantec Corporation+............ 6,800 306 -------- TOTAL INTERNET SOFTWARE & SERVICES................... 721 -------- IT CONSULTING & SERVICES - 0.56% Computer Sciences Corporation+... 3,500 143 SunGard Data Systems, Incorporated+.................. 6,800 177 -------- TOTAL IT CONSULTING & SERVICES................... 320 -------- SEMICONDUCTOR EQUIPMENT & PRODUCTS - 5.91% Altera Corporation+.............. 10,300 206 Analog Devices, Incorporated..... 10,700 456 Intel Corporation................ 77,300 1,989 Linear Technology Corporation.... 1,300 46 Microchip Technology, Incorporated................... 400 11 Micron Technology, Incorporated+.................. 500 7 National Semiconductor Corporation+................... 3,600 147 Novellus Systems, Incorporated+.................. 9,500 275 QLogic Corporation+.............. 1,100 30 Texas Instruments, Incorporated................... 300 8 Xilinx, Incorporated............. 6,100 205 -------- TOTAL SEMICONDUCTOR EQUIPMENT & PRODUCTS................. 3,380 -------- SOFTWARE - 6.08% BMC Software, Incorporated+...... 20,300 351 Microsoft Corporation............ 93,500 2,428 Oracle Corporation+.............. 44,100 495 Take-Two Interactive Software, Incorporated+.................. 2,100 61 VERITAS Software Corporation+.... 5,300 142 -------- TOTAL SOFTWARE............... 3,477 -------- TOTAL INFORMATION TECHNOLOGY................. 12,552 --------
See accompanying notes -------------------------------------------------------------------------------- 37 AMERICAN AADVANTAGE LARGE CAP GROWTH FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) MATERIALS - 1.51% CHEMICALS - 0.97% Dow Chemical Company............. 100 $ 4 Monsanto Company................. 14,300 495 Praxair, Incorporated............ 1,500 55 -------- TOTAL CHEMICALS.............. 554 -------- METALS & MINING - 0.54% Alcoa, Incorporated.............. 1,700 52 Freeport-McMoRan Copper & Gold, Incorporated................... 1,600 49 Louisiana-Pacific Corporation+... 4,100 97 United States Steel Corporation.................... 4,000 114 -------- TOTAL METALS & MINING........ 312 -------- TOTAL MATERIALS.............. 866 -------- TELECOMMUNICATION SERVICES - 0.93% DIVERSIFIED TELECOMMUNICATION - 0.40% Panamsat Corporation+*........... 2,300 53 Telephone and Data Systems, Incorporated................... 1,100 73 Verizon Communications, Incorporated................... 2,700 102 -------- TOTAL DIVERSIFIED TELECOMMUNICATION.......... 228 -------- WIRELESS TELECOMMUNICATION SERVICE - 0.53% AT&T Wireless Services, Incorporated+.................. 5,100 70 Nextel Communications, Incorporated+.................. 6,700 160 United States Cellular Corporation+................... 2,100 72 -------- TOTAL WIRELESS TELECOMMUNICATION SERVICE.... 302 -------- TOTAL TELECOMMUNICATION SERVICES................... 530 --------
SHARES VALUE ---------- --------- (DOLLARS IN THOUSANDS) UTILITIES - 0.10% ELECTRIC UTILITIES - 0.05% PG&E Corporation+................ 700 $ 19 Pinnacle West Capital Corporation.................... 300 12 -------- TOTAL ELECTRIC UTILITIES..... 31 -------- GAS UTILITIES - 0.05% Kinder Morgan, Incorporated...... 500 30 -------- TOTAL GAS UTILITIES.......... 30 -------- TOTAL UTILITIES.............. 61 -------- TOTAL COMMON STOCK............... 56,563 -------- SHORT-TERM INVESTMENTS - 2.45% American AAdvantage Money Market Select Fund (Note A)........... 1,277,171 1,277 AMR Investments Enhanced Cash Business Trust (Note A)........ 25,000 25 iShares Russell 1000 Growth Index Fund*.......................... 2,110 98 -------- TOTAL SHORT-TERM INVESTMENTS................ 1,400 -------- TOTAL INVESTMENTS - 101.39% (COST $52,402)....................... 57,963 -------- LIABILITIES, NET OF OTHER ASSETS - (1.39%)............... (791) -------- TOTAL NET ASSETS - 100%.......... $ 57,172 ========
--------------- (A) See Note 2 in the Notes to Financial Statements regarding investments in affiliated issuers. * - All or a portion of this security is on loan at April 30, 2004. See Note 4. + - non-income producing See accompanying notes -------------------------------------------------------------------------------- 38 AMERICAN AADVANTAGE SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) COMMON STOCK - 89.55% CONSUMER DISCRETIONARY - 19.79% AUTO COMPONENTS - 2.13% Aftermarket Technology Corporation+*............... 8,870 $ 134 American Axle & Manufacturing Holdings, Incorporated...... 26,200 1,008 Arvinmeritor, Incorporated.... 174,900 3,619 Bandag, Incorporated.......... 3,600 141 Borg-Warner Automotive, Incorporated................ 28,000 2,294 Cooper Tire & Rubber Company..................... 22,000 471 Dana Corporation.............. 116,000 2,339 Group 1 Automotive, Incorporated+............... 38,200 1,320 Hayes Lemmerz International, Incorporated+............... 196,400 2,834 Sonic Automotive, Incorporated*............... 51,000 1,270 Superior Industries International, Incorporated*............... 37,300 1,271 -------- TOTAL AUTO COMPONENTS..... 16,701 -------- HOTELS RESTAURANTS & LEISURE - 3.73% Aztar Corporation+............ 27,900 723 Bally Total Fitness Holdings Corporation+*............... 22,500 93 Bob Evans Farms, Incorporated................ 42,500 1,303 California Pizza Kitchen, Incorporated+*.............. 88,100 1,851 CEC Entertainment, Incorporated+............... 15,900 543 Isle of Capri Casinos, Incorporated+*.............. 92,700 1,947 Jack in the Box, Incorporated+*.............. 288,800 7,821 Kerzner International Limited+*................... 173,600 7,421 Lone Star Steakhouse & Saloon, Incorporated*............... 4,700 145 Magna Entertainment Corporation+*............... 291,200 1,506 Mandalay Resort Group*........ 72,100 4,142 Papa John's International, Incorporated+*.............. 33,500 1,120 Ryan's Family Steak Houses, Incorporated+............... 35,150 638 -------- TOTAL HOTELS RESTAURANTS & LEISURE................. 29,253 -------- HOUSEHOLD DURABLES - 4.35% American Greetings Corporation+................ 60,800 1,246 Beazer Homes USA, Incorporated*............... 107,000 10,534 Furniture Brands International, Incorporated................ 149,300 4,201 La-Z-Boy, Incorporated........ 75,500 1,574
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Libbey, Incorporated.......... 11,300 $ 296 M.D.C. Holdings, Incorporated................ 5,518 341 Maytag Corporation............ 187,300 5,226 Standard Pacific Corporation................. 9,800 494 The Toro Company.............. 14,600 849 WCI Communities, Incorporated+*.............. 385,200 9,364 -------- TOTAL HOUSEHOLD DURABLES................ 34,125 -------- INTERNET & CATALOG RETAIL - 0.11% School Specialty, Incorporated+*.............. 25,018 891 -------- TOTAL INTERNET & CATALOG RETAIL.................. 891 -------- LEISURE EQUIPMENT & PRODUCTS - 1.17% The Boyds Collection Limited+*................... 19,700 54 Brunswick Corporation......... 147,800 6,076 Callaway Golf Company......... 20,200 343 Hutchinson Technology, Incorporated+*.............. 38,300 942 JAKKS Pacific, Incorporated+*.............. 18,800 326 Nautilus Group, Incorporated*............... 43,100 693 Polaris Industries, Incorporated*............... 17,800 764 -------- TOTAL LEISURE EQUIPMENT & PRODUCTS................ 9,198 -------- MEDIA - 0.53% R.H. Donnelley Corporation+*.. 60,700 2,749 Reader's Digest Association, Incorporated................ 11,900 170 Regal Entertainment Group*.... 25,500 556 Scholastic Corporation+....... 23,100 655 -------- TOTAL MEDIA............... 4,130 -------- MULTILINE RETAIL - 1.36% BJ's Wholesale Club, Incorporated+............... 364,300 8,827 Burlington Coat Factory Warehouse Corporation....... 69,000 1,308 ShopKo Stores, Incorporated+*.............. 32,800 435 -------- TOTAL MULTILINE RETAIL.... 10,570 -------- SPECIALTY RETAIL - 5.08% Abercrombie and Fitch Company+.................... 98,900 3,110 Advance Auto Parts, Incorporated+............... 160,200 6,913 Barnes & Noble, Incorporated+............... 110,500 3,301 Borders Group, Incorporated... 104,600 2,507 Brookstone, Incorporated+*.... 195,450 3,888 Buckle, Incorporated*......... 16,200 443 Cato Corporation*............. 22,900 458 Foot Locker, Incorporated..... 30,100 722 Genesco, Incorporated+*....... 16,700 371
See accompanying notes -------------------------------------------------------------------------------- 39 AMERICAN AADVANTAGE SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Handleman Company............. 26,900 $ 606 Hollywood Entertainment Corporation+................ 122,100 1,643 Hughes Supply, Incorporated... 800 45 Linens 'n Things, Incorporated+............... 199,100 6,459 The Men's Wearhouse, Incorporated+............... 214,000 5,455 Rent-A-Center, Incorporated+............... 8,750 256 Stage Stores, Incorporated+*.............. 34,587 1,358 Too, Incorporated+*........... 28,100 493 United Auto Group, Incorporated................ 29,900 922 Zale Corporation+............. 15,600 872 -------- TOTAL SPECIALTY RETAIL.... 39,822 -------- TEXTILES & APPAREL - 1.33% Brown Shoe Company, Incorporated................ 4,300 157 Kellwood Company.............. 3,700 146 Phillips-Van Heusen Corporation*................ 35,500 642 Russell Corporation*.......... 82,300 1,369 The Warnaco Group, Incorporated+............... 424,800 8,126 -------- TOTAL TEXTILES & APPAREL................. 10,440 -------- TOTAL CONSUMER DISCRETIONARY........... 155,130 -------- CONSUMER STAPLES - 3.74% BEVERAGES - 0.53% Adolph Coors Company.......... 63,300 4,159 -------- TOTAL BEVERAGES........... 4,159 -------- FOOD & DRUG RETAILING - 0.58% Pathmark Stores, Incorporated+*.............. 268,100 2,292 Ruddick Corporation........... 89,600 1,828 Winn-Dixie Stores, Incorporated+*.............. 51,500 393 -------- TOTAL FOOD & DRUG RETAILING............... 4,513 -------- FOOD PRODUCTS - 2.09% American Italian Pasta Company*.................... 189,500 5,867 Chiquita Brands International, Incorporated+............... 25,400 458 Del Monte Foods Company+...... 687,200 7,600 Sensient Technologies Corporation................. 120,400 2,463 -------- TOTAL FOOD PRODUCTS....... 16,388 --------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) PERSONAL PRODUCTS - 0.06% Playtex Products, Incorporated+*.............. 61,200 $ 453 -------- TOTAL PERSONAL PRODUCTS... 453 -------- TOBACCO - 0.48% Dimon, Incorporated*.......... 34,500 239 Schweitzer Mauduit International, Incorporated................ 13,000 404 Universal Corporation......... 62,700 3,150 -------- TOTAL TOBACCO............. 3,793 -------- TOTAL CONSUMER STAPLES.... 29,306 -------- ENERGY - 5.76% ENERGY EQUIPMENT & SERVICES - 0.63% MDU Resources Group, Incorporated................ 93,000 2,083 Offshore Logistics, Incorporated+............... 34,900 766 Oil States International, Incorporated+............... 117,000 1,584 Teco Energy, Incorporated*.... 41,100 524 -------- TOTAL ENERGY EQUIPMENT & SERVICES................ 4,957 -------- OIL & GAS - 5.13% Berry Petroleum Company*...... 11,400 309 Cabot Oil and Gas Corporation*................ 7,500 268 Chesapeake Energy Corporation*................ 422,500 5,809 Cimarex Energy Company+....... 84,800 2,340 Encore Acquisition Company+... 339,700 10,106 Forest Oil Corporation,+...... 51,100 1,342 Giant Industries, Incorporated+............... 57,700 1,063 The Houston Exploration Company+.................... 56,400 2,523 Newfield Exploration Company+.................... 94,500 4,978 Plains Exploration and Production Company LP+*..... 26,300 518 Premcor, Incorporated+........ 62,300 2,145 Stelmar Shipping Limited*..... 147,100 3,626 Stone Energy Corporation+..... 65,500 3,223 Teekay Shipping Corporation... 31,400 1,909 -------- TOTAL OIL & GAS........... 40,159 -------- TOTAL ENERGY.............. 45,116 -------- FINANCIALS - 20.16% BANKS - 8.34% Amcore Financial, Incorporated................ 2,246 64 Americredit Corporation+...... 70,300 1,140 Anchor BanCorp Wisconsin, Incorporated*............... 51,138 1,242 Bancorp South, Incorporated... 46,800 947 Bank Hawaii Corporation....... 140,400 6,138 Chemical Financial Corporation*................ 49,069 1,681
See accompanying notes -------------------------------------------------------------------------------- 40 AMERICAN AADVANTAGE SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) City National Corporation..... 10,900 $ 672 Colonial BancGroup, Incorporated................ 270,200 4,656 Commercial Federal Corporation*................ 83,500 2,143 Community Bank System, Incorporated................ 20,000 407 Community First Bankshares, Incorporated................ 29,970 964 Corus Bankshares, Incorporated................ 6,787 256 Cullen/Frost Bankers, Incorporated................ 147,600 6,391 Downey Financial Corporation.. 51,900 2,504 First Citizens Bancshares, Incorporated................ 6,800 833 First Federal Capital Corporation................. 34,664 888 First Republic Bank*.......... 10,600 404 FirstFed Financial Corporation+................ 13,000 525 FirstMerit Corporation........ 56,705 1,336 Frontier Financial Corporation*................ 11,669 387 Gold Banc Corporation, Incorporated*............... 4,550 74 Great American Financial Resources, Incorporated*.... 73,700 1,176 Greater Bay Bancorp*.......... 75,600 2,145 Hudson United Bancorp......... 54,800 1,958 International Bancshares Corporation*................ 12,500 666 Irwin Financial Corporation*................ 22,900 542 MAF Bancorp, Incorporated*.... 12,200 498 NBT Bancorp, Incorporated..... 31,200 653 NetBank, Incorporated*........ 89,600 967 Old National Bankcorp*........ 15,036 359 PFF Bancorp, Incorporated..... 11,200 419 Provident Bankshares Corporation*................ 27,720 781 Provident Financial Group, Incorporated*............... 39,061 1,538 Republic Bancorp, Incorporated................ 113,919 1,482 S and T Bancorp, Incorporated*............... 9,782 278 Saxon Capital, Incorporated+*.............. 122,800 2,671 Sky Financial Group, Incorporated................ 88,255 2,109 Susquehanna Bancshares, Incorporated................ 7,600 178 Tierone Corporation+*......... 25,600 555 Timberland Bancorp, Incorporated................ 14,800 327 Trustmark Corporation......... 100,500 2,675 United Bankshares, Incorporated................ 29,471 884 Washington Federal, Incorporated................ 160,040 3,739 Webster Financial Corporation of Waterbury................ 103,600 4,506
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Westcorp, Incorporated........ 14,054 $ 620 -------- TOTAL BANKS............... 65,378 -------- DIVERSIFIED FINANCIALS - 0.29% IndyMac Bancorp, Incorporated................ 68,300 2,197 Walter Industries, Incorporated*............... 6,100 76 -------- TOTAL DIVERSIFIED FINANCIALS.............. 2,273 -------- INSURANCE - 7.06% Alfa Corporation*............. 52,551 713 Allmerica Financial Corporation+................ 287,500 9,995 American Financial Group, Incorporated................ 177,500 5,449 American National Insurance Company..................... 5,700 537 AmerUs Group Company*......... 91,300 3,524 Commerce Group, Incorporated*............... 76,100 3,512 Delphi Financial Group, Incorporated................ 51,800 2,080 FBL Financial Group, Incorporated*............... 68,500 1,824 First American Corporation.... 178,000 4,827 Fremont General Corporation... 63,500 1,369 Hilb Rogal & Hobbs Company.... 4,100 147 LandAmerica Financial Group, Incorporated................ 30,500 1,257 National Western Life Insurance Company+.......... 2,500 363 Odyssey Re Holdings Corporation*................ 81,200 1,927 Protective Life Corporation... 157,600 5,667 Reinsurance Group of America, Incorporated................ 139,900 5,431 StanCorp Financial Group, Incorporated................ 13,100 810 Stewart Information Services Corporation................. 12,900 458 Triad Guaranty, Incorporated+............... 23,600 1,291 UICI+*........................ 113,500 1,965 United National Group Limited+.................... 134,200 2,214 -------- TOTAL INSURANCE........... 55,360 -------- REAL ESTATE - 4.47% Affordable Residential Communities+................ 78,800 1,340 American Financial Realty Trust, 144A (Note A)+....... 338,100 5,004 American Home Mortgage Investment Corporation*..... 169,000 4,010 La Quinta Corporation+........ 693,100 4,983 LNR Property Corporation*..... 188,000 9,441 MI Developments, Incorporated+............... 357,400 9,221
See accompanying notes -------------------------------------------------------------------------------- 41 AMERICAN AADVANTAGE SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) The St. Joe Company........... 25,900 $ 1,015 -------- TOTAL REAL ESTATE......... 35,014 -------- TOTAL FINANCIALS.......... 158,025 -------- HEALTH CARE - 3.56% BIOTECHNOLOGY - 0.08% Albany Molecular Research, Incorporated+*.............. 38,100 618 -------- TOTAL BIOTECHNOLOGY....... 618 -------- HEALTH CARE EQUIPMENT & SUPPLIES - 1.80% Haemonetics Corporation+...... 234,600 6,623 Mine Safety Appliances Company*.................... 22,500 610 Sola International, Incorporated+*.............. 336,300 6,901 -------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES................ 14,134 -------- HEALTH CARE PROVIDERS & SERVICES - 1.68% AMN Healthcare Services, Incorporated+*.............. 46,900 764 Apria Healthcare Group, Incorporated+............... 36,500 1,053 Cross Country Healthcare, Incorporated+*.............. 9,895 163 First Health Group Corporation+................ 47,200 788 Magellan Health Services, Incorporated+............... 138,200 4,440 MedQuist, Incorporated+....... 4,000 54 Orthodontic Centers of America, Incorporated+*..... 26,800 192 Owens & Minor, Incorporated... 61,200 1,487 Pacificare Health Systems, Incorporated+............... 55,600 1,988 Sunrise Assisted Living, Incorporated+*.............. 25,600 809 Universal Health Services, Incorporated................ 19,000 834 US Oncology, Incorporated+.... 38,859 579 -------- TOTAL HEALTH CARE PROVIDERS & SERVICES................ 13,151 -------- TOTAL HEALTH CARE......... 27,903 -------- INDUSTRIALS - 18.15% AEROSPACE & DEFENSE - 1.01% FTI Consulting, Incorporated+*.............. 11,300 186 GenCorp, Incorporated*........ 33,400 354 Precision Castparts Corporation................. 62,000 2,791 Triumph Group, Incorporated+.. 18,200 585 United Defense Industrials, Incorporated+............... 114,800 3,978 -------- TOTAL AEROSPACE & DEFENSE................. 7,894 -------- AIR FREIGHT & COURIERS - 0.40% Covenant Transportation, Incorporated+*.............. 151,700 2,672
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) GATX Corporation.............. 20,900 $ 491 -------- TOTAL AIR FREIGHT & COURIERS................ 3,163 -------- BUILDING PRODUCTS - 0.44% Universal Fastener Products, Incorporated................ 42,500 1,151 York International Corporation................. 59,200 2,321 -------- TOTAL BUILDING PRODUCTS... 3,472 -------- COMMERCIAL SERVICES & SUPPLIES - 7.60% BISYS Group, Incorporated+.... 62,700 909 Bowne & Company, Incorporated................ 225,100 3,811 CSG Systems International, Incorporated+............... 94,300 1,583 Concord Communications, Incorporated+*.............. 152,900 1,873 Convergys Corporation+........ 180,600 2,622 Deluxe Corporation............ 113,900 4,705 John H. Harland Company*...... 69,900 2,154 Heidrick & Struggles International, Incorporated+*.............. 88,400 2,195 IDEX Corporation.............. 131,000 6,190 Kelly Services, Incorporated................ 225,900 6,714 Mac Gray Corporation+......... 39,100 260 McGrath Rentcorp.............. 900 28 NCO Group, Incorporated+*..... 47,551 1,079 New England Business Service, Incorporated................ 10,000 347 Spherion Corporation+......... 522,900 5,151 Valassis Communications, Incorporated+............... 549,700 16,986 Western Digital Corporation+................ 367,400 2,969 -------- TOTAL COMMERCIAL SERVICES & SUPPLIES.............. 59,576 -------- CONSTRUCTION & ENGINEERING - 0.57% Eagle Materials, Incorporated*............... 2,700 177 M/I Homes, Incorporated....... 53,000 2,261 The Shaw Group, Incorporated+*.............. 106,200 1,274 URS Corporation+*............. 28,500 736 -------- TOTAL CONSTRUCTION & ENGINEERING............. 4,448 -------- ELECTRICAL EQUIPMENT - 1.20% Acuity Brands, Incorporated... 15,300 374 Brady Corporation............. 139,900 5,437 Genlyte Group, Incorporated+.. 15,800 906 Rayovac Corporation+.......... 43,000 1,146 Tecumseh Products Company..... 27,300 1,061 Wesco International, Incorporated+*.............. 31,200 446 -------- TOTAL ELECTRICAL EQUIPMENT............... 9,370 --------
See accompanying notes -------------------------------------------------------------------------------- 42 AMERICAN AADVANTAGE SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) INDUSTRIAL CONGLOMERATES - 0.01% Standex International Corporation................. 3,100 $ 83 -------- TOTAL INDUSTRIAL CONGLOMERATES........... 83 -------- MACHINERY - 3.18% Albany International Corporation................. 8,052 246 Briggs and Stratton Corporation................. 11,700 819 Flowserve Corporation+........ 253,100 5,409 Harsco Corporation............ 128,400 5,589 Kaydon Corporation*........... 186,700 5,222 Lincoln Electric Holdings, Incorporated*............... 16,400 517 Terex Corporation+............ 190,100 6,245 Thomas Industries, Incorporated................ 23,600 797 Watts Industries, Incorporated................ 2,300 56 -------- TOTAL MACHINERY........... 24,900 -------- MARINE - 2.59% Alexander & Baldwin, Incorporated................ 211,000 6,665 Kirby Corporation+*........... 187,800 6,479 Overseas Shipholding Group, Incorporated................ 219,000 7,177 -------- TOTAL MARINE.............. 20,321 -------- TRANSPORTATION - 1.15% J.B. Hunt Transport Services, Incorporated+............... 70,100 2,219 Ryder Systems, Incorporated... 16,000 589 USF Corporation............... 186,800 6,211 -------- TOTAL TRANSPORTATION...... 9,019 -------- TOTAL INDUSTRIALS......... 142,246 -------- INFORMATION TECHNOLOGY - 2.95% COMMUNICATIONS EQUIPMENT - 0.09% Black Box Corporation*........ 5,700 290 Memc Electronic Materials, Incorporated+............... 51,800 413 -------- TOTAL COMMUNICATIONS EQUIPMENT............... 703 -------- COMPUTERS & PERIPHERALS - 0.08% Maxtor Corporation+........... 98,800 643 -------- TOTAL COMPUTERS & PERIPHERALS............. 643 -------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.44% IKON Office Solutions, Incorporated*............... 310,100 3,451 -------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS............. 3,451 -------- IT CONSULTING & SERVICES - 1.32% Bearingpoint, Incorporated+... 382,100 3,829
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Investment Technology Group, Incorporated+............... 39,900 $ 572 Reynolds and Reynolds Company..................... 207,300 5,921 -------- TOTAL IT CONSULTING & SERVICES................ 10,322 -------- SOFTWARE - 1.02% Mentor Graphics Corporation+.. 437,400 7,256 Parametric Technology Corporation+................ 161,100 738 -------- TOTAL SOFTWARE............ 7,994 -------- TOTAL INFORMATION TECHNOLOGY.............. 23,113 -------- MATERIALS - 5.84% CHEMICALS - 3.39% Agrium, Incorporated.......... 267,500 3,328 Ashland, Incorporated......... 22,500 1,078 FMC Corporation+.............. 53,500 2,295 H.B. Fuller Company*.......... 244,100 6,688 Hercules, Incorporated+....... 48,800 542 IMC Global, Incorporated+..... 285,900 3,594 Lubrizol Corporation.......... 92,800 2,951 PolyOne Corporation+*......... 894,800 6,120 -------- TOTAL CHEMICALS........... 26,596 -------- CONSTRUCTION MATERIALS - 1.16% Insituform Technologies, Incorporated+*.............. 258,100 4,191 Lafarge North America, Incorporated*............... 76,600 3,390 Lennox International, Incorporated*............... 89,800 1,501 -------- TOTAL CONSTRUCTION MATERIALS............... 9,082 -------- CONTAINERS & PACKAGING - 0.10% Silgan Holdings, Incorporated+............... 19,479 819 -------- TOTAL CONTAINERS & PACKAGING............... 819 -------- METALS & MINING - 0.55% Century Aluminum Company+..... 160,500 3,178 Quanex Corporation............ 18,700 763 Steel Dynamics, Incorporated+*.............. 13,770 331 -------- TOTAL METALS & MINING..... 4,272 -------- PAPER & FOREST PRODUCTS - 0.64% Chesapeake Corporation........ 219,400 4,983 -------- TOTAL PAPER & FOREST PRODUCTS................ 4,983 -------- TOTAL MATERIALS........... 45,752 --------
See accompanying notes -------------------------------------------------------------------------------- 43 AMERICAN AADVANTAGE SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) TELECOMMUNICATION SERVICES - 0.25% Metrocall Holdings, Incorporated+............... 28,500 $ 1,967 -------- TOTAL TELECOMMUNICATION SERVICES................ 1,967 -------- UTILITIES - 9.35% ELECTRIC UTILITIES - 5.50% Alliant Corporation*.......... 167,000 4,152 Black Hills Corporation....... 81,800 2,502 Cleco Corporation*............ 101,100 1,815 DPL Inc....................... 306,700 5,404 Duquesne Light Holdings, Incorporated*............... 116,800 2,192 Great Plains Energy, Incorporated................ 129,900 4,054 Hawaiian Electric Industries, Incorporated*............... 28,200 1,403 Northeast Utilities........... 452,900 8,311 NSTAR......................... 70,200 3,398 OGE Energy Corporation........ 212,100 5,101 PNM Resources, Incorporated... 30,100 878 Sierra Pacific Resources Corporation+*............... 540,900 3,829 WPS Resources Corporation..... 2,000 92 -------- TOTAL ELECTRIC UTILITIES............... 43,131 -------- GAS UTILITIES - 3.85% AGL Resources, Incorporated... 134,000 3,832 Atmos Energy Corporation*..... 71,700 1,767 Energen Corporation........... 34,400 1,422 National Fuel Gas Company..... 204,500 5,008 New Jersey Resources Corporation................. 2,000 76 Nicor, Incorporated*.......... 54,200 1,842 ONEOK, Incorporated........... 247,800 5,191 Peoples Energy Corporation*... 75,900 3,173
SHARES VALUE ------------ -------- (DOLLARS IN THOUSANDS) Southern Union Company........ 98,900 $ 1,944 South Jersey Industries, Incorporated*............... 10,300 425 Vectren Corporation........... 94,500 2,282 WGL Holdings, Incorporated.... 114,200 3,229 -------- TOTAL GAS UTILITIES....... 30,191 -------- TOTAL UTILITIES........... 73,322 -------- TOTAL COMMON STOCK........ 701,880 -------- PAR AMOUNT ------------ SHORT-TERM INVESTMENTS - 24.51% U. S. TREASURY BILLS - 0.66% 1.00%, Due 6/10/2004 (Note B).......................... $ 5,200 5,195 -------- TOTAL U. S. TREASURY BILLS................... 5,195 -------- SHARES ------------ OTHER SHORT-TERM INVESTMENTS - 23.85% American AAdvantage Money Market Select Fund (Note C).......................... 146,814,729 146,815 AMR Investments Enhanced Cash Business Trust (Note C)..... 40,063,323 40,063 -------- TOTAL OTHER SHORT - TERM INVESTMENTS............. 186,878 -------- TOTAL SHORT-TERM INVESTMENTS............. 192,073 -------- TOTAL INVESTMENTS - 114.06% (COST $807,016)............. 893,953 -------- LIABILITIES, NET OF OTHER ASSETS - (14.06%)........... (110,260) -------- TOTAL NET ASSETS - 100%....... $783,693 ========
--------------- (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 $5,004 or 0.64% of net assets. (B) At April 30, 2004, security held as collateral for open futures contracts. (C) See Note 2 in the Notes to Financial Statements regarding investments in affiliated issuers. * - All or a portion of this security is on loan at April 30, 2004. See Note 4. + - non-income producing See accompanying notes -------------------------------------------------------------------------------- 44 AMERICAN AADVANTAGE EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) STOCKS - 96.76% ARGENTINA COMMON STOCK - 0.05% Tenaris S.A., ADR................ 1,200 $ 36 ------- TOTAL ARGENTINA COMMON STOCK...................... 36 ------- BRAZIL - 8.90% BRAZIL PREFERRED STOCK - 3.96% Banco Bradesco S.A.+............. 8,820 357 Banco Bradesco S.A., ADR+*....... 3,810 155 Brasil Telecom Participacoes S.A., ADR+..................... 3,400 105 Companhia Brasileira de Distribuicao Grupo Pao de Acucar, ADR.................... 6,600 117 Companhia de Bebidas das Americas, ADR.................. 19,286 362 Companhia Vale do Rio Doce, ADR............................ 10,688 418 Companhia Paranaense de Energia+....................... 7,000,000 17 Empresa Brasileira de Aeronautica S.A. (Embraer), ADR+........... 9,710 251 Petroleo Brasileiro S.A., ADR.... 18,016 449 Tele Celular Sul Participacoes S.A., ADR*..................... 7,550 111 Telecomunicacoes Brasileiras S.A., ADR*..................... 8,360 239 Telesp Celular Participacoes S.A., ADR+*.................... 29,200 208 Telesp - Telecommunicacoes de Sao Paulo S.A.+.................... 10,500,000 156 ------- TOTAL BRAZIL PREFERRED STOCK...................... 2,945 ------- BRAZIL COMMON STOCK - 4.94% Aracruz Celulose S.A., ADR....... 3,300 103 Banco Itau Holding Financeira S.A.+.......................... 1,676,586 133 Banco Itau Holding Financeira S.A., ADR+..................... 12,336 489 Companhia de Saneamento Basico do Estado de Sao Paulo+........... 5,220,000 237 Companhia de Tecidos Norte de Minas+......................... 3,200,000 228 Companhia Energetica de Minas Gerais+........................ 26,141,410 399 Companhia Energetica de Minas Gerais, ADR.................... 5,000 77 Companhia Siderurgica Nacional S.A., ADR*..................... 1,800 84 Companhia Paranaense de Energia+....................... 24,000,000 81 Duratex S.A.+.................... 4,600,000 109 Petroleo Brasileiro S.A., ADR.... 40,802 1,179 Telemar Norte Leste S.A.+........ 3,500,000 59
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Telemig Celular Participacoes S.A............................ 40,383,003 $ 64 Telesp Celular Participacoes S.A.+.......................... 97,156,163 276 Votorantim Celulose e Papel S.A., ADR............................ 4,750 149 ------- TOTAL BRAZIL COMMON STOCK.... 3,667 ------- TOTAL BRAZIL................. 6,612 ------- CHILE COMMON STOCK - 0.47% Banco Santander-Chile S.A., ADR.. 9 105 Grupo Enersis SA, ADR+........... 40,600 246 ------- TOTAL CHILE COMMON STOCK..... 351 ------- CHINA COMMON STOCK - 2.56% BYD Company Limited*............. 19,000 57 China Mobile (Hong Kong) Limited........................ 257,800 679 China Mobile (Hong Kong) Limited, ADR*........................... 15,900 210 China Oilfield Services Limited........................ 386,000 111 China Petroleum & Chemical Corporation.................... 210,000 73 China Resource Power Holdings Company Limited+............... 80,000 43 China Shipping Development Company Limited*............... 132,000 76 China Telecom Corporation Limited........................ 80,000 24 Chunghwa Telecom Company Limited, ADR............................ 19,500 325 Huaneng Power International, Incorporated*.................. 160,000 150 TPV Technology Limited........... 239,000 157 ------- TOTAL CHINA COMMON STOCK..... 1,905 ------- EGYPT COMMON STOCK - 1.18% Commercial International Bank, GDR, 144A (Note A)............. 42,600 153 Egyptian Company for Mobile Services (MobiNil)+............ 16,503 234 Orascom Construction Industries S.A.E.......................... 22,763 353 Suez Cement Company, GDR, 144A (Note A)....................... 15,769 134 ------- TOTAL EGYPT COMMON STOCK..... 874 ------- HONG KONG COMMON STOCK - 3.63% Asia Aluminum Holdings Limited... 1,002,000 116 AviChina Industry & Technology Company Limited................ 396,000 46 Beijing Enterprises Holdings..... 15,000 15 China Merchants Holdings International Company Limited.. 50,000 59
See accompanying notes -------------------------------------------------------------------------------- 45 AMERICAN AADVANTAGE EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) China Resources Enterprises Limited*....................... 298,500 $ 346 CNOOC Limited+................... 790,000 284 Fountain Set (Holdings) Limited.. 157,000 116 The Grande Holdings Limited...... 61,000 69 Hainan Meilan Airport Company Limited........................ 127,000 94 Hopewell Highway Infrastructure Limited........................ 111,000 62 Kingboard Chemical Holdings Limited........................ 44,000 83 Lianhua Supermarket Holdings Company Limited*............... 64,000 65 Moulin International Holdings Limited........................ 74,000 52 Norstar Founders+*............... 106,000 31 PICC Property & Casualty Company Limited+*...................... 98,000 34 Qingling Motors Company Limited*....................... 582,000 84 Shandong International Power Development Company Limited.... 981,800 280 Shanghai Industrial Holdings Limited*....................... 126,800 237 Shougang Concord Century Holdings Limited........................ 655,000 71 Sinopec Yizheng Chemical Fibre Company Limited*............... 850,800 155 Sinopec Zhenhai Refining Chem.... 111,000 101 Texwinca Holdings Limited........ 175,500 132 Victory City International Holdings Limited............... 137,000 59 Wumart Stores, Incorporated+..... 32,000 49 Yanzhou Coal Mining Company Limited........................ 58,000 54 ------- TOTAL HONG KONG COMMON STOCK...................... 2,694 ------- HUNGARY COMMON STOCK - 1.28% Gedeon Richter Rt................ 2,950 300 Magyar Olaj-es Gazipari Reszvenytarsasag............... 9,865 372 Magyar Tavkozlesi Rt............. 66,900 280 ------- TOTAL HUNGARY COMMON STOCK... 952 ------- INDIA COMMON STOCK - 7.74% ABB Limited...................... 4,200 74 Bharat Electronics Limited+...... 21,500 283 Bharat Petroleum Corporation Limited........................ 17,233 181 CIPLA+........................... 4,750 146 Container Corporation............ 9,000 153 Doctor Reddy's Laboratories Limited, ADR................... 2,100 41 GAIL (India) Limited............. 4,000 20
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) GAIL (India) Limited, GDR, 144A (Note A)....................... 9,600 $ 266 GlaxoSmithKline Pharmaceutical Limited........................ 5,500 83 Grasim Industries Limited........ 4,500 125 Hero Honda Motors Limited........ 10,000 109 Hindalco Industries Limited, GDR, 144A (Note A).................. 14,850 378 Hindustan Lever Limited.......... 99,458 316 ICICI Bank Limited+.............. 42,700 303 ICICI Bank Limited, ADR.......... 6,600 102 Ind Dev Bank India............... 63,000 84 Infosys Technologies Limited, ADR*........................... 1,900 154 ITC Limited...................... 15,100 365 ITC Limited, GDR................. 3,050 81 Mahanagar Telephone Nigam Limited........................ 105,000 350 Mahanagar Telephone Nigam Limited, ADR*.................. 29,750 226 Mahindra & Mahindra Limited, GDR, 144A (Note A).................. 9,600 101 Oil and Natural Gas Corporation Limited........................ 6,000 113 Patni Computer Systems Limited... 12,000 59 Punjab National Bank............. 16,000 135 Reliance Industries Limited...... 53,205 630 Satyam Computer Services Limited........................ 33,100 239 Siemens India Limited............ 1,800 43 State Bank of India, GDR+........ 4,500 174 State Bank of India, GDR, 144A (Note A)....................... 4,800 187 Steel Authority of India Limited+....................... 76,000 60 Tata Engineering, GDR+........... 11,350 117 Tata Iron Steel.................. 7,000 56 ------- TOTAL INDIA COMMON STOCK..... 5,754 ------- INDONESIA COMMON STOCK - 3.55% Bank Internasional Indonesia+.... 2,885,500 48 Bumi Resources Tbk............... 4,279,000 231 Hindustan Petroleum Corporation Limited........................ 35,200 364 Indonesia Satellite Corporation+................... 212,000 96 NIIT Limited..................... 9,232 35 PT Astra Agro Lestari Tbk........ 425,000 111 PT Astra International Tbk+...... 236,038 153 PT Bank Central Asia Tbk......... 218,000 97 PT Bank Mandiri+................. 1,037,500 170 PT Bank Rakyat Indonesia+........ 574,000 113 PT Gudang Garam Tbk.............. 142,900 238 PT Hanjaya Mandala Sampoerna Tbk............................ 276,000 160 PT Indocement Tunggal Prakarsa Tbk+........................... 405,500 88
See accompanying notes -------------------------------------------------------------------------------- 46 AMERICAN AADVANTAGE EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) PT Indofood Sukses Makmur Tbk.... 2,506,000 $ 214 PT Ramayana Lestari Sentosa Tbk.. 210,000 128 PT Telekomunikasi Indonesia...... 428,000 392 ------- TOTAL INDONESIA COMMON STOCK...................... 2,638 ------- ISRAEL COMMON STOCK - 1.35% Bank Hapoalim Limited............ 146,080 377 Check Point Software Technologies+.................. 20,790 487 Supersol Limited................. 60,000 141 ------- TOTAL ISRAEL COMMON STOCK.... 1,005 ------- MALAYSIA COMMON STOCK - 2.34% Commerce Asset-Holding Berhad.... 66,000 87 Gamuda Berhad.................... 214,200 316 Genting Berhad................... 66,500 289 Kuala Lumpur Kepong Berhad....... 23,000 41 Magnum Corporation Berhad........ 142,000 108 Malaysia International Shipping Corporation Berhad............. 55,100 183 Proton Holdings Berhad+.......... 48,400 106 Resorts World Berhad............. 25,000 66 Sime Darby Berhad................ 263,500 374 SP Setia Berhad.................. 103,499 116 YTL Corporation Berhad........... 46,000 56 ------- TOTAL MALAYSIA COMMON STOCK...................... 1,742 ------- MEXICO COMMON STOCK - 7.41% America Movil S.A. de C.V., ADR............................ 23,755 803 Cemex S.A. de C.V................ 45,725 267 Cemex S.A. de C.V., ADR*......... 9,800 289 Coca-Cola Femsa, S.A. de C.V., ADR............................ 29,375 625 Controladora Commercial Mexicana S.A. de C.V.+.................. 194,000 214 Desc S.A. de C.V................. 649,000 207 Grupo Continential, S.A.......... 120,850 222 Grupo Televisa, S.A., ADR........ 16,400 715 Kimberly-Clark de Mexico, S.A. de C.V............................ 192,900 512 Organizacion Soriana S.A. de C.V............................ 29,100 88 Telefonos de Mexico, S.A. de C.V., ADR...................... 32,878 1,122 Wal-Mart de Mexico, S.A. de C.V., Series C....................... 153,321 446 ------- TOTAL MEXICO COMMON STOCK.... 5,510 ------- PHILIPPINES COMMON STOCK - 0.45% ABS-CBN Broadcasting Corporation+................... 135,000 58 Bank of the Philippine Islands... 205,780 178
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Manila Electric Company.......... 176,900 $ 95 ------- TOTAL PHILIPPINES COMMON STOCK...................... 331 ------- POLAND COMMON STOCK - 1.46% Bank Polska Kasa Opieki SA....... 600 19 Bank Przemyslowo-Handlowy SA..... 1,387 152 KGHM Polska Miedz SA+............ 26,391 183 Polski Koncern Naftowy Orlen SA.. 36,911 265 Telekomunikacja Polska SA........ 82,611 335 Telekomunikacja Polska SA, GDR, 144A (Note A).................. 33,500 135 ------- TOTAL POLAND COMMON STOCK.... 1,089 ------- RUSSIA - 5.12% RUSSIA PREFERRED STOCK - 0.50% JSC Surgutneftegaz, ADR.......... 1,328 57 Uralsvyazinform, ADR............. 20,100 150 VolgaTelecom, ADR................ 26,800 163 ------- TOTAL RUSSIA PREFERRED STOCK...................... 370 ------- RUSSIA COMMON STOCK - 4.62% JSC Surgutneftegaz, ADR*......... 18,711 608 LUKOIL Oil Company, ADR.......... 12,127 1,321 Mining and Metallurgical Company Norilsk Nickel, ADR............ 6,549 388 Mobile Telesystems, ADR.......... 2,600 281 Mobile Telesystems, GDR, 144A (Note A)+...................... 1,800 165 RAO Gazprom+..................... 10,900 338 RAO Gazprom, ADR................. 2,200 68 Yukos Oil Company, ADR........... 5,900 263 ------- TOTAL RUSSIA COMMON STOCK.... 3,432 ------- TOTAL RUSSIA................. 3,802 ------- SOUTH AFRICA COMMON STOCK - 13.76% ABSA Group Limited............... 40,300 260 African Bank Investments Limited........................ 270,600 412 African Life Assurance Company Limited........................ 79,221 178 Anglo American plc............... 63,290 1,271 Anglo American Platinum Corporation Limited+........... 6,400 221 AngloGold Limited................ 4,100 130 AngloGold Limited, ADR*.......... 1,100 35 Aveng Limited.................... 144,300 151 BidBEE Limited+.................. 8,885 51 Bidvest Group Limited............ 52,014 406 Edgars Consolidated Stores....... 10,900 209 Gold Fields Limited, ADR*........ 5,600 57 Harmony Gold Mining Company Limited........................ 15,399 171
See accompanying notes -------------------------------------------------------------------------------- 47 AMERICAN AADVANTAGE EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Harmony Gold Mining Company Limited, ADR................... 12,800 $ 141 Illovo Sugar Limited............. 90,200 101 Impala Platinum Holdings Limited........................ 3,129 213 Imperial Holdings Limited........ 19,300 183 Iscor Limited.................... 50,500 242 Kumba Resources Limited.......... 27,800 166 Massmart Holdings Limited........ 55,500 247 Metro Cash and Carry Limited+.... 605,852 202 MTN Group Limited+............... 109,640 459 Nampak Limited................... 218,900 448 Nedcor Limited................... 97,586 662 Old Mutual....................... 295,600 507 Sanlam Limited+.................. 107,000 135 Sappi Limited.................... 47,400 639 Sasol Limited.................... 47,400 711 Shoprite Holdings Limited........ 174,320 243 Standard Bank Group Limited...... 43,840 253 Steinhoff International Holdings Limited+....................... 403,479 502 Telkom South Africa Limited, ADR............................ 20,000 217 Tiger Brands Limited............. 21,450 265 The Tongaat-Hulett Group Limited........................ 22,000 143 ------- TOTAL SOUTH AFRICA COMMON STOCK...................... 10,231 ------- SOUTH KOREA - 16.49% SOUTH KOREA PREFERRED STOCK - 0.44% Daishin Securities Company Limited+....................... 5,740 40 Samsung Electronics Company Limited+....................... 1,030 284 ------- TOTAL SOUTH KOREA PREFERRED STOCK...................... 324 ------- SOUTH KOREA COMMON STOCK - 16.05% Cheil Industries, Incorporated... 11,810 172 CJ Corporation................... 4,220 250 Daewoo Shipbuilding & Marine Engineering Company Limited.... 26,860 275 Daishin Securities Company Limited........................ 17,380 235 Handsome Corporation............. 12,610 105 Hankook Tire Company Limited..... 40,650 330 Hyundai Department Store Company Limited........................ 10,800 292 Hyundai Mobis.................... 9,650 414 Hyundai Motor Company Limited.... 6,670 254 Industrial Bank of Korea......... 20,500 142 INI Steel Company................ 10,500 102 Kangwon Land Incorporated........ 22,791 259 Kia Motors Corporation........... 21,950 204 Kookmin Bank+.................... 10,641 397 Kookmin Bank, ADR+............... 6,800 252 Korea Electric Power Corporation.................... 65,990 1,080
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Korea Exchange Bank+............. 8,019 $ 42 KT Corporation, ADR.............. 33,500 620 KT&G Corporation................. 6,960 178 LG Household and Health Care Limited........................ 2,560 77 LG Investment and Securities Company Limited................ 33,620 289 POSCO............................ 3,840 470 POSCO, ADR....................... 3,200 98 Pusan Bank....................... 12,250 71 Samsung Corporation.............. 31,960 381 Samsung Electro Mechanics Company Limited+....................... 5,440 205 Samsung Electronics Company Limited........................ 4,650 2,207 Samsung Fire & Marine Insurance Company Limited................ 5,640 375 Samsung SDI Company Limited...... 11,630 1,487 Shinhan Financial Group Company Limited........................ 8,870 155 STX Shipbuilding Company Limited........................ 8,130 87 SK Telecom Company Limited, ADR*........................... 1,700 34 SK Telecom Company Limited....... 1,750 298 Tong Yang Confectionery Corporation.................... 1,550 96 ------- TOTAL SOUTH KOREA COMMON STOCK...................... 11,933 ------- TOTAL SOUTH KOREA............ 12,257 ------- TAIWAN COMMON STOCK - 10.73% Accton Technology Corporation+... 144,396 104 Acer, Incorporated............... 88,888 126 Asia Optical Company, Incorporated................... 45,200 318 Asustek Computer, Incorporated... 200,125 428 Catcher Technology Company Limited........................ 15,000 63 Cheng Shin Industries............ 34,000 40 China Development Financial Holding Corporation+........... 362,000 198 China Motor Company.............. 71,000 112 Chinatrust Financial Holding Company Limited................ 190,387 205 Compal Electronics, Incorporated................... 428,000 482 CTCI Corporation................. 104,000 67 CyberLink Corporation............ 27,000 110 Delta Electronics, Incorporated................... 262,000 324 Elan Microelectronics Corporation.................... 107,060 99 Evergreen Marine Corporation..... 140,880 108 Faraday Technology Corporation... 15,000 34 First Financial Holding Company Limited+....................... 232,000 170
See accompanying notes -------------------------------------------------------------------------------- 48 AMERICAN AADVANTAGE EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Formosa Petrochemical Corporation.................... 95,000 $ 149 Fubon Financial Holding Company Limited........................ 116,000 112 Hon Hai Precision Industry Company Limited................ 47,100 186 Infortrend Technology, Incorporated................... 57,640 215 Kaulin Manufacturing Company Limited........................ 33,000 48 Largan Precision Company Limited........................ 16,440 184 Media Tek, Incorporated.......... 31,000 296 Nan Ya Plastics Corporation...... 149,566 201 Nien Hsing Textile Company Limited........................ 160,000 155 Novatek Microelectronics Corporation Limited............ 38,550 152 Phoenixtec Power Company Limited........................ 100,355 107 Polaris Securities Company Limited........................ 263,920 148 President Chain Store Corporation.................... 54,048 96 Quanta Computer, Incorporated.... 130,300 275 Richtek Technology Corporation+.. 8,000 34 SinoPac Holdings................. 752,736 392 Springsoft Systems Limited....... 45,000 115 Standard Foods Corporation, GDR, 144A (Note A).................. 27,272 41 Sunplus Technology Company Limited+....................... 33,000 66 Taishin Financial Holdings Company Limited................ 129,000 113 Taiwan Cellular Corporation...... 473,635 435 Taiwan Cement Corporation........ 449,480 193 Tsann Keun Enterprise Company Limited........................ 42,000 58 United Microelectronics Corporation+................... 761,529 683 United Microelectronics Corporation, ADR+*............. 21,402 111 Waffer Technology Company Limited........................ 47,000 127 Ya Hsin Industrial Company Limited........................ 154,000 193 Yaego Corporation+............... 202,000 110 ------- TOTAL TAIWAN COMMON STOCK.... 7,983 ------- THAILAND COMMON STOCK - 4.34% Advanced Info Services PCL....... 72,500 159 Asian Property Development Company Limited+............... 446,800 50 Bangkok Bank PCL+................ 170,600 418 Banpu Company.................... 16,300 53 Big C Supercenter PCL+........... 43,000 19
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) Charoen Pokphand Foods PCL+...... 948,000 $ 88 CP Seven Eleven PCL+............. 61,600 87 Delta Electronics, Incorporated+.................. 110,000 71 Electricity Generating PCL....... 8,000 14 Italian-Thai Development PCL+.... 612,000 158 Kasikornbank PCL+................ 298,300 362 Kasikornbank PCL, NVDR+.......... 97,700 118 Krung Thai Bank PCL.............. 1,465,400 377 Lalin Property PCL+.............. 148,400 28 Land & Houses PCL................ 417,100 117 MBK Public Company Limited+...... 23,400 32 National Petrochemical Company+.. 5,500 12 PTT Exploration and Production PCL+........................... 24,500 165 PTT Public Company Limited+...... 57,400 209 Ratchaburi Electric Generating Company+....................... 32,700 31 Siam City Bank PCL+.............. 64,000 40 Siam Commercial Bank PCL......... 312,400 361 Siam Makro PCL+.................. 95,800 110 Sino Thai Engineering & Construction PCL............... 274,300 100 Thai Plastic and Chemicals PCL+........................... 7,200 35 VinyThai PCL+.................... 38,200 12 ------- TOTAL THAILAND COMMON STOCK...................... 3,226 ------- TURKEY COMMON STOCK - 3.80% Akbank T.A.S..................... 66,455,386 309 Akcansa Cimento A.S.............. 56,533,000 147 Arcelik A.S.+.................... 37,192,150 199 Efes Sinai Yatirim Holding A.S.+.......................... 68,746,000 245 Enka Insaat ve Sanayi A.S........ 23,878,951 463 Hurriyet Gazetecilik ve Matbaacilik A.S................ 96,031,600 272 Tofas Turk Otomobil Fabrikasi A.S.+.......................... 46,918,607 106 Tupras-Turkiye Petrol Rafinerileri A.S............... 24,994,000 159 Turkcell Iletisim Hizmetleri A.S............................ 17,589,300 191 Turkiye Garanti Bankasi A.S.+.... 76,305,500 233 Turkiye Is Bankasi (Isbank)...... 63,167,184 226 Trakya Cam Sanayii A.S........... 45,862,315 105 Yapi ve Kredi Bankasi A.S.+...... 77,407,000 165 ------- TOTAL TURKEY COMMON STOCK.... 2,820 ------- VENEZUELA COMMON STOCK - 0.15% Compania Anonima Nacional Telfonos de Venezuela, ADR..... 5,609 107 ------- TOTAL VENEZUELA COMMON STOCKS..................... 107 ------- TOTAL STOCKS................. 71,919 -------
See accompanying notes -------------------------------------------------------------------------------- 49 AMERICAN AADVANTAGE EMERGING MARKETS FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) SHORT TERM INVESTMENTS - 7.01% American AAdvantage Money Market Select Fund (Note B).. 3,859,861 $ 3,860 AMR Investments Enhanced Cash Business Trust (Note B)...... 1,350,000 1,350 ------- TOTAL SHORT TERM INVESTMENTS................ 5,210 ------- TOTAL INVESTMENTS - 103.77% (COST $65,409)....................... 77,129 ------- LIABILITIES, NET OF OTHER ASSETS - (3.77%)............... (2,799) ------- TOTAL NET ASSETS - 100%.......... $74,330 =======
--------------- (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 period end, the value of these securities amounted to $1,561 or 2.10% of net assets. (B) See Note 2 in the Notes to Financial Statements regarding investments in affiliated issuers. * - All or a portion of this security is on loan at April 30, 2004. See Note 4. + - non-income producing AMERICAN AADVANTAGE EMERGING MARKETS FUND EMERGING MARKETS SECTOR DIVERSIFICATION April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PERCENT OF NET ASSETS ---------- Consumer Discretionary...................................... 10.75% Consumer Staples............................................ 8.10% Energy...................................................... 9.55% Financials.................................................. 16.49% Health Care................................................. 0.84% Industrials................................................. 10.38% Information Technology...................................... 12.44% Materials................................................... 11.21% Short-Term Investments...................................... 7.01% Telecommunication Services.................................. 12.84% Utilities................................................... 4.16% Other Liabilities........................................... (3.77%) ------- NET ASSETS............................................. 100.00% =======
See accompanying notes -------------------------------------------------------------------------------- 50 AMERICAN AADVANTAGE HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) CORPORATE BONDS - 95.39% CONSUMER DISCRETIONARY - 33.37% AUTO COMPONENTS - 7.12% Advanced Accessory Systems, LLC, 10.75%, Due 6/15/2011...... $ 1,900 $ 1,981 ArvinMeritor, Incorporated, 8.75%, Due 3/1/2012............. 1,750 1,907 Asbury Automotive Group, Incorporated, 9.00%, Due 6/15/2012...................................... 1,700 1,768 8.00%, Due 3/15/2014, 144A (Note A)....................... 1,350 1,323 Collins & Aikman Corporation, 10.75%, Due 12/31/2011*....... 2,025 2,096 Dana Corporation, 7.00%, Due 3/1/2029....................... 1,250 1,200 GenCorp, Incorporated, 9.50%, Due 8/15/2013,................ 2,850 2,978 General Motors Corporation, 7.125%, Due 7/15/2013*.......... 4,300 4,510 Navistar International Corporation, 8.00%, Due 2/1/2008..... 1,600 1,644 United Components, Incorporated, 9.375%, Due 6/15/2013...... 1,500 1,598 -------- TOTAL AUTO COMPONENTS................................... 21,005 -------- HOTELS, RESTAURANTS & LEISURE - 11.55% AMF Bowling Worldwide Incorporated, 10.00%, Due 3/1/2010, 144A (Note A)*............................................ 1,200 1,245 Aztar Corporation, 8.875%, Due 5/15/2007..................................... 1,940 2,003 9.00%, Due 8/15/2011...................................... 1,000 1,123 Booth Creek Ski Holdings, Incorporated, 12.50%, Due 3/15/2007................................................. 2,500 2,525 Chumash Casino & Resort Enterprises, 9.00%, Due 7/15/2010*................................................ 1,250 1,387 Cinemark, Incorporated, 1.00%, Due 3/15/2014, 144A (Note A)........................................................ 2,000 1,253 Coast Hotels and Casinos, Incorporated, 9.50%, Due 4/1/2009.................................................. 740 778 Florida Panthers Holdings, Incorporated, 9.875%, Due 4/15/2009................................................. 2,500 2,631 Horseshoe Gaming, LLC, 8.625%, Due 5/15/2009................ 7,049 7,366 Poster Financial Group, Incorporated, 8.75%, Due 12/1/2011, 144A (Note A)*............................................ 800 840 Regal Cinemas Corporation, 9.375%, Due 2/1/2012............. 3,371 3,995 River Rock Entertainment Authority, 9.75%, Due 11/10/2011, 144A (Note A)............................................. 250 266 Station Casinos, Incorporated, 6.875%, Due 3/1/2016, 144A (Note A).................................................. 1,000 995 Town Sports International, Incorporated, 9.625%, Due 4/15/2011................................................. 800 828 Toys R Us, Incorporated, 7.375%, Due 10/15/2018............. 1,925 1,843 Turning Stone Casino Resort, 9.125%, Due 12/15/2010, 144A (Note A).................................................. 3,710 3,998 Vicorp Restaurants, Incorporated, 10.50%, Due 4/15/2011, 144A (Note A)............................................. 1,000 990 -------- TOTAL HOTELS, RESTAURANTS & LEISURE..................... 34,066 -------- MEDIA - 6.87% Advanstar Communications, Incorporated, 8.62%, Due 8/15/2008................................................. 1,244 1,300 AMC Entertainment, Incorporated, 9.50%, Due 2/1/2011........ 3,500 3,658 American Lawyer Media, Incorporated, 9.75%, Due 12/15/2007................................................ 2,000 1,955 Dex Media West, LLC, 9.875%, Due 11/15/2009*................................... 1,000 1,120 12.125%, Due 11/15/2012................................... 700 812 1.00%, Due 11/15/2013, 144A (Note A)...................... 1,000 610 Emmis Communications Corporation, 1.00%, Due 3/15/2011...... 2,000 2,000 Emmis Operating Company, 6.875%, Due 5/15/2012, 144A (Note A)........................................................ 750 748 Houghton Mifflin Company, 8.25%, Due 2/1/2011............... 1,650 1,667 Nextel Communications, 9.375%, Due 11/15/2009............... 1,000 1,081 PEI Holdings, Incorporated, 11.00%, Due 3/15/2010........... 2,000 2,325 Qwest Communications International Corporation, 7.25%, Due 2/15/2011, 144A (Note A).................................. 1,250 1,159
See accompanying notes -------------------------------------------------------------------------------- 51 AMERICAN AADVANTAGE HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) SBA Communications Corporation, 1.00%, Due 12/15/2011, 144A (Note A)*................................................. $ 2,490 $ 1,843 -------- TOTAL MEDIA............................................. 20,278 -------- RETAIL - 7.14% AutoNation, Incorporated, 9.00%, Due 8/1/2008............... 1,580 1,801 Dollar General Corporation, 8.625%, Due 6/15/2010........... 3,180 3,617 FTD, Incorporated, 7.75% Due 2/15/2014, 144A (Note A)....... 1,400 1,386 Group 1 Automotive, Incorporated, 8.25%, Due 8/15/2013...... 1,000 1,093 NationsRent, Incorporated, 9.50%, Due 10/15/2013, 144A (Note A)........................................................ 1,250 1,341 Pep Boys, Incorporated, 6.71%, Due 11/3/2004...................................... 1,000 1,003 7.00%, Due 6/1/2005....................................... 700 722 6.88%, Due 3/6/2006....................................... 1,000 1,033 Samsonite Corporation, 10.75%, Due 6/15/2008................ 3,000 3,120 United Rentals (North America), Incorporated, 6.50%, Due 2/15/2012, 144A (Note A).................................. 2,850 2,750 Woolworth Corporation, 8.50%, Due 1/15/2022................. 2,900 3,190 -------- TOTAL RETAIL............................................ 21,056 -------- TEXTILES & APPAREL - 0.69% Day International Group, Incorporated, 9.50%, Due 3/15/2008................................................. 500 485 Phillips-Van Heusen Corporation, 7.25%, Due 2/15/2011, 144A (Note A)....................... 1,050 1,055 7.75%, Due 11/15/2023..................................... 500 499 -------- TOTAL TEXTILES & APPAREL................................ 2,039 -------- TOTAL CONSUMER DISCRETIONARY............................ 98,444 -------- CONSUMER STAPLES - 3.28% Advantica Restaurant Group, Incorporated, 12.75, Due 9/30/2007................................................. 1,500 1,631 Borden, Incorporated, 9.20%, Due 3/15/2021...................................... 2,250 2,340 7.875%, Due 2/15/2023..................................... 2,400 2,268 Herbalife International, Incorporated, 11.75%, Due 7/15/2010................................................. 2,975 3,436 -------- TOTAL CONSUMER STAPLES.................................. 9,675 -------- ENERGY - 10.33% Calpine Corporation, 8.50%, Due 7/15/2010, 144A (Note A).... 2,100 1,859 Citgo Petroleum Corporation, 11.375%, Due 2/1/2011.......... 2,000 2,310 Coastal Corporation, 6.20%, Due 5/15/2004*.................. 2,550 2,550 DPL Inc, 6.875%, Due 9/1/2011............................... 2,000 1,970 Dynegy Holdings, Incorporated, 10.125%, Due 7/15/2013, 144A (Note A).................................................. 2,400 2,628 Energy Partners Limited, 8.75%, Due 8/1/2010................ 1,000 1,055 Ferrellgas Partners LP, 8.75%, Due 6/15/2012................ 1,500 1,642 Ferrellgas Escrow, LLC, 6.75%, Due 5/1/2014, 144A (Note A)........................................................ 1,000 1,000 Frontier Oil Corporation, 11.75%, Due 11/15/2009............ 1,000 1,100 Massey Energy Company, 6.625%, Due 11/15/2010............... 1,500 1,507 Newfield Exploration Company, 8.375%, Due 8/15/2012......... 1,000 1,105 Paramount Resources Limited, 7.875%, Due 11/1/2010.......... 2,500 2,475 PG&E Gas Transmission, Northwest Company, 7.80%, Due 6/1/2025.................................................. 2,500 2,475 Sierra Pacific Power Company, 8.00%, Due 6/1/2008........... 1,900 2,043 Star Gas Partners, L.P., 10.25%, Due 2/15/2013.............. 3,425 3,750 Tennessee Gas Pipeline Company, 8.375%, Due 6/15/2032....... 1,000 1,025 -------- TOTAL ENERGY............................................ 30,494 --------
See accompanying notes -------------------------------------------------------------------------------- 52 AMERICAN AADVANTAGE HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) FINANCIALS - 1.76% DIVERSIFIED FINANCIALS - 1.28% Dana Credit Corporation, 8.375%, Due 8/15/2007.............. $ 750 $ 823 Dollar Financial Group, Incorporated, 9.75%, Due 11/15/2011................................................ 350 376 Thornburg Mortgage, Incorporated, 8.00%, 5/15/2013.......... 2,500 2,569 -------- TOTAL DIVERSIFIED FINANCIALS............................ 3,768 -------- INSURANCE - 0.48% Provident Companies, Incorporated, 7.00%, Due 7/15/2018..... 1,500 1,422 -------- TOTAL INSURANCE......................................... 1,422 -------- TOTAL FINANCIALS........................................ 5,190 -------- HEALTH CARE - 5.18% BIOTECHNOLOGY - 0.66% Healthsouth Corporation, 6.875%, 6/15/2005*................. 1,950 1,950 -------- TOTAL BIOTECHNOLOGY..................................... 1,950 -------- EQUIPMENT & SUPPLIES - 0.67% Bausch & Lomb, Incorporated, 7.125%, Due 8/1/2028........... 1,972 1,981 -------- TOTAL EQUIPMENT & SUPPLIES.............................. 1,981 -------- HEALTHCARE PROVIDERS & SERVICES - 3.85% Fountain View, Incorporated, 9.25%, Due 8/19/2008........... 2,567 2,541 Interactive Health, LLC, 7.25%, Due 4/1/2011, 144A (Note A)........................................................ 1,200 1,044 National Health Investors, 7.30%, Due 7/16/2007............. 1,000 1,023 NDCHealth Corporation, 10.50%, Due 12/1/2012................ 2,300 2,565 Pacificare Health Systems, Incorporated, 10.75%, Due 6/1/2009.................................................. 1,625 1,889 Vicar Operating, Incorporated, 9.875%, Due 12/1/2009........ 1,116 1,244 US Oncology, Incorporated, 9.625%, Due 2/1/2012............. 900 1,067 -------- TOTAL HEALTHCARE PROVIDERS & SERVICES................... 11,373 -------- TOTAL HEALTH CARE....................................... 15,304 -------- INFORMATION TECHNOLOGY - 3.86% COMMUNICATIONS EQUIPMENT - 1.42% Corning, Incorporated, 7.00%, Due 3/15/2007...................................... 1,300 1,302 6.30%, Due 3/1/2009....................................... 1,650 1,690 6.20%, Due 3/15/2016...................................... 1,250 1,212 -------- TOTAL COMMUNICATIONS EQUIPMENT.......................... 4,204 -------- SEMICONDUCTOR EQUIPMENT & PRODUCTS - 2.39% Amkor Technology, Incorporated, 9.25%, Due 2/15/2008...................................... 500 535 7.125%, Due 3/15/2011, 144A (Note A)*..................... 1,250 1,216 10.50%, Due 6/15/2011..................................... 3,100 3,262 Flextronics International Limited, 6.50%, Due 5/15/2013*.... 2,000 2,025 -------- TOTAL SEMICONDUCTOR EQUIPMENT & PRODUCTS................ 7,038 -------- SOFTWARE - 0.05% Peregrine Systems, Incorporated, 6.50%, Due 8/15/2007....... 152 147 -------- TOTAL SOFTWARE.......................................... 147 -------- TOTAL INFORMATION TECHNOLOGY............................ 11,389 --------
See accompanying notes -------------------------------------------------------------------------------- 53 AMERICAN AADVANTAGE HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) INDUSTRIALS - 25.90% AEROSPACE & ENGINEERING - 2.59% Dunlop Standard Aerospace Holdings, plc, 11.875%, Due 5/15/2009.................................... $ 500 $ 529 11.875%, Due 5/15/2009, 144A (Note A)..................... 2,100 2,221 K & F Industries, Incorporated, 9.625%, Due 12/15/2010...... 2,000 2,240 Transdigm, Incorporated, 8.375%, Due 7/15/2011.............. 2,500 2,644 -------- TOTAL AEROSPACE & ENGINEERING........................... 7,634 -------- CONSTRUCTION & ENGINEERING - 4.45% Interline Brands, Incorporated, 11.50%, Due 5/15/2011....... 3,500 3,780 KB Home, 9.50%, Due 2/15/2011............................... 1,450 1,621 K. Hovnanian Enterprises, Incorporated, 8.875%, Due 4/1/2012*..................................... 2,700 2,935 9.125%, Due 5/1/2009...................................... 2,000 2,091 Schuler Homes, Incorporated, 9.375%, Due 7/15/2009.......... 1,500 1,658 Technical Olympic USA, Incorporated, 9.00%, Due 7/1/2010.... 1,000 1,050 -------- TOTAL CONSTRUCTION & ENGINEERING........................ 13,135 -------- COMMERCIAL SERVICES & SUPPLIES - 18.12% AGCO Corporation, 8.50%, Due 3/15/2006...................... 2,823 2,830 Alpharma, Incorporated, 8.625%, Due 5/1/2011, 144A (Note A)........................................................ 650 683 Biovail Corporation, 7.875%, Due 4/1/2010*.................. 1,200 1,179 CHC Helicopter Corporation, 7.375%, Due 5/1/2014............ 1,250 1,266 Communications and Power Industries, 8.00%, Due 2/1/2012, 144A (Note A)............................................. 500 510 Corrections Corporation of America, 7.50%, Due 5/1/2011, 144A (Note A)............................................. 900 943 Hercules, Incorporated, 6.75%, Due 10/15/2029, 144A (Note A)........................................................ 1,750 1,733 Hexcel Corporation, 9.75%, Due 1/15/2009.................... 3,700 3,885 IMC Global, Incorporated, 11.25%, Due 6/1/2011.............. 1,250 1,449 Iron Mountain, Incorporated, 6.625%, Due 1/1/2016........... 2,000 1,860 IPCS Escrow Company, 11.50%, Due 5/1/2012, 144A (Note A).... 1,250 1,269 ISPAT Inland, Incorporated, 9.75%, Due 4/1/2014, 144A (Note A)........................................................ 1,000 1,020 Mothers Work, Incorporated, 11.25%, Due 8/1/2010............ 1,000 1,053 Newark Group, Incorporated, 9.75%, Due 3/15/2014, 144A (Note A)........................................................ 2,850 2,793 Pantry, Incorporated, 7.75%, Due 2/15/2014, 144A (Note A)... 1,000 1,000 Phibro Animal Health Corporation, 13.00%, Due 12/1/2007, 144A (Note A)............................................. 1 538 J.B. Poindexter Incorporated, 8.75%, Due 3/15/2014, 144A (Note A).................................................. 500 513 Pride International, Incorporated, 10.00%, Due 6/1/2009..... 1,850 1,952 Pride Petroleum Services, Incorporated, 9.375%, Due 5/1/2007.................................................. 1,250 1,272 Quality Distribution, LLC, 9.00%, Due 11/15/2010, 144A (Note A)........................................................ 1,255 1,255 Russell Corporation, 9.25%, 5/1/2010........................ 1,000 1,049 Sheridan Acquisition Corporation, 10.25%, Due 8/15/2011, 144A (Note A)............................................. 750 803 Ship Financial International Limited, 8.50%, Due 12/15/2013, 144A (Note A)............................................. 1,275 1,230 Siebe plc, 7.125%, Due 1/15/2007, 144A (Note A)*............ 2,875 2,893 Superior Essex Communications, 9.00%, Due 4/15/2012, 144A (Note A).................................................. 1,750 1,680 Terex Corporation, 7.375%, Due 1/15/2014, 144A (Note A)..... 1,000 1,043 UAP Holding Corporation, 1.00%, Due 7/15/2012, 144A (Note A)........................................................ 2,000 1,638 UNOVA, Incorporated, 6.875%, Due 3/15/2005..................................... 2,000 2,019 7.00%, Due 3/15/2008...................................... 2,500 2,500 Unisys Corporation, 7.875%, 4/1/2008........................ 3,270 3,352 URS Corporation, 12.25%, 5/1/2009........................... 2,000 2,120 WH Holdings (Cayman Islands) Limited, 9.50%, Due 4/1/2011, 144A (Note A)............................................. 500 531
See accompanying notes -------------------------------------------------------------------------------- 54 AMERICAN AADVANTAGE HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) WII Components, Incorporated, 10.00%, Due 2/15/2012, 144A (Note A).................................................. $ 750 $ 765 Xerox Corporation, 7.625%, Due 6/15/2013.................... 2,800 2,855 -------- TOTAL COMMERCIAL SERVICES & SUPPLIES.................... 53,481 -------- MACHINERY - 0.74% Joy Global, Incorporated, 8.75%, Due 3/15/2012.............. 1,950 2,184 -------- TOTAL MACHINERY......................................... 2,184 -------- TOTAL INDUSTRIAL........................................ 76,434 -------- MATERIALS - 7.490% CHEMICALS - 3.95% Casella Waste System, Incorporated, 9.75%, Due 2/1/2013..... 2,000 2,225 FMC Corporation, 6.75%, Due 5/5/2005....................................... 2,000 2,049 7.00%, Due 5/15/2008...................................... 2,200 2,320 IMC Global, Incorporated, 11.25%, Due 6/1/2011.............. 1,600 1,856 Nalco Company, 144A (Note A) 7.75%, Due 11/15/2011..................................... 500 526 8.875%, Due 11/15/2013*................................... 1,000 1,055 Westlake Chemical Corporation, 8.75%, Due 7/15/2011......... 1,500 1,646 -------- TOTAL CHEMICALS......................................... 11,677 -------- CONTAINERS & PACKAGING - 3.04% Crown Holdings, Incorporated, 9.50%, Due 3/1/2022........... 1,500 1,682 Owens-Brockway Glass Containers, Incorporated, 8.875%, Due 2/15/2009..................................... 3,590 3,899 8.75%, Due 11/15/2012..................................... 1,250 1,366 Silgan Holdings, Incorporated, 6.75%, Due 11/15/2013, 144A (Note A).................................................. 2,000 2,010 -------- TOTAL CONTAINERS & PACKAGING............................ 8,957 -------- PAPER & FOREST PRODUCTS - 0.50% Appleton Papers, Incorporated, 12.50%, Due 12/15/2008....... 1,300 1,463 -------- TOTAL PAPER & FOREST PRODUCTS........................... 1,463 -------- TOTAL MATERIALS......................................... 22,097 -------- TELECOMMUNICATION SERVICES - 4.22.% FairPoint Communications, Incorporated, 11.875%, Due 3/1/2010.................................................. 2,065 2,416 GST Equipment Funding, Incorporated, 13.25%, Due 5/1/2007... 2,500 89 MCI, Incorporated, 5.908%, Due 5/1/2007...................................... 1,000 990 6.688%, Due 5/1/2009...................................... 1,000 950 Qwest Services Corporation, 13.50%, Due 12/15/2010, 144A (Note A).................................................. 6,200 7,192 US West Communication, 8.875%, Due 6/1/2031................. 800 818 -------- TOTAL TELECOMMUNICATION SERVICES........................ 12,455 -------- TOTAL CORPORATE BONDS................................... 281,482 --------
See accompanying notes -------------------------------------------------------------------------------- 55 AMERICAN AADVANTAGE HIGH YIELD BOND FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) COMMON STOCKS - 0.19% Peregrine Systems, Incorporated............................. 28,000 $ 560 -------- TOTAL COMMON STOCKS..................................... 560 -------- SHORT TERM INVESTMENTS - 11.64% American AAdvantage Money Market Select Fund (Note B)....... 8,911,954 8,912 Short-Term Investment Company Liquid Asset Fund............. 919,239 919 PAR AMOUNT ----------- Credit Suisse First Boston Tri Party Repo, 1.113%, Due 5/3/2004, (Note C)........................................ $ 8,500 8,500 Morgan Stanley Tri Party Repo, 1.113%, Due 5/3/2004, (Note D)........................................................ 7,000 7,000 Neptune Funding Corporation, Discount Commercial Paper, Due 5/3/2004.................................................. 9,000 8,999 -------- TOTAL SHORT TERM INVESTMENTS............................ 34,330 -------- TOTAL INVESTMENTS - 107.22% (COST $305,015)................. 316,372 -------- LIABILITIES, NET OF OTHER ASSETS - (7.22%).................. (21,301) -------- TOTAL NET ASSETS - 100%..................................... $295,071 ========
--------------- (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 $65,393 or 22.16% of net assets. (B) See Note 2 in the Notes to Financial Statements regarding investments in affiliated issuers. (C) Collateral held at J.P. Morgan Chase consists of Ford Motor Credit Company, 6.875%, Due 2/1/2006, Market Value - $2,723 and 7.0%, Due 10/1/2013, Market Value - $5,952 (D) Collateral held at the Bank of New York consists of Dow Chemical, 5.75%, Due 11/15/2009, Market Value- $276, HSBC USA Capital, 8.38%, Due 5/15/2027, Market Value - $571, Schering-Plough Corporation, 6.50%, Due 12/1/2033, Market Value -$5,798 and Science Applications, 5.50%, Due 7/1/2033, Market Value - $685 * - All or a portion of this security is on loan April 30, 2004. See note 4. See accompanying notes -------------------------------------------------------------------------------- 56 AMERICAN AADVANTAGE ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) U.S. TREASURY OBLIGATIONS - 3.62% U.S. TREASURY NOTES - 2.58% 2.625%, Due 11/15/2006*................................... $ 200 $ 200 4.00%, Due 2/15/2014*..................................... 2,500 2,402 -------- TOTAL U.S. TREASURY NOTES............................... 2,602 -------- U.S. TREASURY BONDS - 1.04% U.S. Treasury Bond, 8.75%, Due 8/15/2020*................... 750 1,046 -------- TOTAL U.S. TREASURY BONDS............................... 1,046 -------- TOTAL U.S. TREASURY OBLIGATIONS......................... 3,648 -------- U.S. AGENCY OBLIGATIONS - 1.08% FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.52% Federal Home Loan Mortgage Corporation, 5.125%, Due 10/15/2008*............................................... 500 527 -------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 527 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.56% Federal National Mortgage Association, 6.625%, Due 11/15/2010*............................................... 500 562 -------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 562 -------- TOTAL U.S. AGENCY OBLIGATIONS........................... 1,089 -------- U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 11.69% FEDERAL NATIONAL MORTGAGE ASSOCIATION - 7.51% Pool 254545, 5.00%, Due 12/1/2017........................... 667 672 Pool 555549, 5.00%, Due 6/1/2018............................ 810 816 Pool 254865, 4.50%, Due 9/1/2018............................ 1,322 1,303 Pool 545759, 6.50%, Due 7/1/2032............................ 1,548 1,611 Pool C01598, 5.00%, Due 8/1/2033............................ 967 938 Pool C01786, 5.50%, Due 2/1/2034............................ 1,471 1,470 Pool 725238, 5.00%, Due 3/1/2034............................ 789 765 -------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 7,575 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 4.18% Pool 780454, 7.00%, Due 10/15/2026.......................... 553 590 Pool 002379, 8.00%, Due 2/20/2027........................... 334 363 Pool 781564, 6.00%, Due 2/15/2033........................... 804 824 Pool 781690, 6.00%, Due 12/15/2033.......................... 1,126 1,155 Pool 003515, 5.50%, Due 2/20/2034........................... 1,289 1,289 -------- TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 4,221 -------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 11,796 -------- ASSET-BACKED SECURITIES - 4.08% Citibank Credit Card Master Trust I 2000-A1 A1, 6.90%, Due 10/15/2007................................................ 2,000 2,133 Honda Auto Receivables Owner Trust 2003-4 A4, 2.79%, Due 3/16/2009................................................. 2,000 1,985 -------- TOTAL ASSET-BACKED SECURITIES........................... 4,118 -------- CORPORATE BONDS - 57.710% BANKS - 8.6% Banco Popular North America Inc, 6.125%, Due 10/15/2006.................................... 500 535 4.25%, Due 4/1/2008....................................... 300 303 Bank One Corporation, 4.90%, Due 4/30/2015*................. 300 286 Branch Banking and Trust Company, 4.875%, Due 1/15/2013..... 800 786 Credit Suisse First Boston, 6.50%, Due 5/1/2008............. 500 543 First Tennessee Bank, NA, 5.75%, Due 12/1/2008.............. 300 320
See accompanying notes -------------------------------------------------------------------------------- 57 AMERICAN AADVANTAGE ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) FleetBoston Financial Corporation, 8.625%, Due 1/15/2007.... $ 200 $ 228 HSBC Bank USA, Incorporated, 7.00%, Due 11/1/2006........... 1,500 1,644 ING Bank, NV, 5.125%, Due 5/1/2015, 144A (Note A)........... 300 294 J P Morgan Chase & Company, 6.75%, Due 8/15/2008............ 450 495 St. George Bank Limited, 7.15%, Due 10/15/2005, 144A (Note A)........................................................ 1,510 1,609 Wachovia Corporation, 6.40%, Due 4/1/2008................... 1,500 1,630 -------- TOTAL BANKS............................................. 8,673 -------- FINANCE - 30.66% AEGON, N.V., 8.00%, Due 8/15/2006........................... 225 250 American Honda Finance Corporation, 2.875%, Due 4/3/2006, 144A (Note A)....................... 650 654 Bear Stearns Companies, Incorporated, 3.00%, Due 3/30/2006...................................... 500 503 2.875%, Due 7/2/2008...................................... 300 287 Boeing Capital Corporation, 5.40%, Due 11/30/2009........... 700 733 Capital One Bank, 4.25%, Due 12/1/2008...................................... 1,000 991 5.125%, 2/15/2014......................................... 200 191 Cendant Corporation, 6.875%, Due 8/15/2006..................................... 1,100 1,192 3.875%, Due 11/27/2011.................................... 500 541 Countrywide Home Loan, Incorporated, 3.50%, Due 12/19/2005................................................ 1,250 1,268 Credit Suisse First Boston USA, Incorporated, 5.875%, Due 8/1/2006.................................................. 1,500 1,598 Ford Motor Credit Company, 7.375%, Due 10/28/2009........... 1,700 1,838 General Motors Acceptance Corporation, 6.75%, Due 1/15/2006...................................... 1,000 1,059 7.25%, Due 3/2/2011....................................... 1,000 1,075 Goldman Sachs Group, Incorporated, 4.75%, Due 7/15/2013..... 675 642 John Hancock Global Funding, 5.625%, Due 6/27/2006..................................... 1,400 1,485 3.75%, Due 9/30/2008...................................... 1,000 990 Heller Financial, Incorporated, 6.375%, Due 3/15/2006....... 1,500 1,616 Household Finance Corporation, 4.75%, Due 7/15/2013......... 400 382 International Lease Finance Corporation, 6.375%, Due 3/15/2009................................................. 725 789 Lehman Brothers Holdings, Incorporated, 3.50%, Due 8/7/2008.................................................. 1,000 982 Lincoln National Corporation, 4.75%, Due 2/15/2014.......... 500 478 MassMutual Global Funding II, 3.80%, Due 4/15/2009, 144A (Note A).................................................. 1,000 991 Merrill Lynch & Company, Incorporated, 6.56%, Due 12/16/2007................................................ 450 499 MetLife, Incorporated, 3.911%, Due 5/15/2005................ 1,000 1,018 Monumental Global Funding, 3.85%, Due 3/3/2008, 144A (Note A)........................................................ 450 452 Morgan Stanley, 6.10%, Due 4/15/2006........................ 550 586 PHH Corporation, 6.00%, Due 3/1/2008........................ 300 321 Prudential Financial, Incorporated, 4.50%, Due 7/15/2013.... 375 353 Prudential Insurance Company of America, 6.375%, Due 7/23/2006, 144A (Note A).................................. 2,000 2,154 Salomon, Incorporated, 6.75%, Due 1/15/2006................. 1,000 1,071 SLM Corporation, 5.125%, Due 8/27/2012...................... 450 452 Synovus Financial Corporation, 7.25%, Due 12/15/2005..................................... 1,500 1,616 4.875%, Due 2/15/2013..................................... 300 294 Transamerica Corporation, 6.75%, Due 11/15/2006............. 1,000 1,080 Verizon Global Funding Corporation, 4.375%, Due 6/1/2013*... 200 186
See accompanying notes -------------------------------------------------------------------------------- 58 AMERICAN AADVANTAGE ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Washington Mutual, Incorporated, 4.625%, Due 4/1/2014....... $ 350 $ 324 -------- TOTAL FINANCE........................................... 30,941 -------- INDUSTRIAL - 17.41% AmeriPath, Incorporated, 10.50%, Due 4/1/2013............... 400 410 AT&T Broadband Corporation, 8.375%, Due 3/15/2013........... 500 597 AT&T Wireless Services, Incorporated, 7.35%, Due 3/1/2006... 600 649 BHP Finance (USA) Limited, 4.80%, Due 4/15/2013............. 300 296 Bunge Limited Finance Corporation, 5.35%, Due 4/15/2014, 144A (Note A)............................................. 500 487 Citadel Broadcasting Corporation, 1.875%, Due 2/15/2011, 144A (Note A)............................................. 140 133 Continental Cablevision, Incorporated, 8.30%, Due 5/15/2006................................................. 250 276 DaimlerChrysler North America, 4.75%, Due 1/15/2008...................................... 500 507 6.50%, Due 11/15/2013..................................... 350 361 Dell Computer Corporation, 6.55%, Due 4/15/2008............. 200 219 Deutsche Telekom International, 8.25%, Due 6/15/2005...................................... 175 186 3.875%, Due 7/22/2008*.................................... 500 497 Dole Food Company, Incorporated, 8.875%, Due 3/15/2011...... 400 426 EOG Resources, Incorporated, 4.75%, Due 3/15/2014, 144A (Note A).................................................. 350 337 EOP Operating Limited Partnership, 4.75%, Due 3/15/2014..... 350 326 Equistar Chemicals, LP, 10.625%, Due 5/1/2011............... 400 448 First Data Corporation, 3.375%, Due 8/1/2008................ 1,000 983 France Telecom SA, 8.75%, Due 3/10/2011..................... 500 591 Freeport-McMoRan Copper & Gold, Incorporated, 10.125%, Due 2/1/2010.................................................. 400 440 Hertz Corporation, 4.70%, Due 10/2/2006..................... 900 911 International Business Machines Corporation, 4.75%, Due 11/29/2012................................................ 200 198 Jacuzzi Brands, Incorporated, 9.625%, Due 7/1/2010.......... 400 448 Legrand SA, 8.50%, Due 2/15/2025............................ 400 422 Mediacom Communications Corporation, 9.50%, Due 1/15/2013*................................................ 400 398 Nabors Industries, Incorporated, 0.00%, Due 5/15/2023....... 280 262 Northrop Grumman Corporation, 7.125%, Due 2/15/2011......... 860 967 Occidental Petroleum Corporation, 6.75%, Due 1/15/2012...... 200 223 Pope & Talbot, Incorporated, 8.375%, Due 6/1/2013........... 355 367 Royal Caribbean Cruises Limited, 7.50%, Due 10/15/2027...... 400 389 Saks, Incorporated, 2.00%, Due 3/15/2024, 144A (Note A)..... 140 141 Simon Property Group, 7.625%, Due 5/15/2005, 144A (Note A)........................................................ 1,365 1,434 Sprint Capital Corporation, 6.00%, Due 1/15/2007...................................... 1,200 1,276 8.375%, Due 3/15/2012..................................... 175 205 Union Pacific Corporation, 6.50%, Due 4/15/2012............. 350 383 Verizon Virginia, 4.625%, Due 3/15/2013..................... 1,000 947 WH Holdings (Cayman Islands) Limited, 9.50%, Due 4/1/2011, 144A (Note A)............................................. 400 425 -------- TOTAL INDUSTRIAL........................................ 17,565 -------- PHARMACEUTICAL - 0.29% Teva Pharmaceuticals, 0.25%, Due 2/1/2024....................................... 120 122 0.50%, Due 2/1/2024....................................... 170 172 -------- TOTAL PHARMACEUTICAL.................................... 294 -------- UTILITY - 0.75% Calpine Corporation, 8.50%, Due 2/15/2011*.................. 500 350
See accompanying notes -------------------------------------------------------------------------------- 59 AMERICAN AADVANTAGE ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Teco Energy, Incorporated, 7.50%, Due 6/15/2010............. $ 400 $ 409 -------- TOTAL UTILITY........................................... 759 -------- TOTAL CORPORATE BONDS................................... 58,232 -------- CONVERTIBLE BONDS - 14.20% CONSUMER DISCRETIONARY - 0.98% General Motors Corporation, 6.25%, Due 7/15/2033............ 16 491 Lear Corporation, 0.00%, Due 2/20/2022...................... 950 493 -------- TOTAL CONSUMER DISCRETIONARY............................ 984 -------- ENERGY - 0.43% Centerpoint Energy, Incorporated, 3.75%, Due 5/15/2023, 144A (Note A).................................................. 390 434 -------- TOTAL ENERGY............................................ 434 -------- FINANCIALS - 3.14% American Financial Group, Incorporated, 1.486%, Due 6/2/2033.................................................. 325 141 Americredit Corporation, 1.75%, Due 11/15/2023, 144A (Note A)........................................................ 200 223 Financial Federal Corporation, 2.00%, Due 4/15/2034, 144A (Note A).................................................. 285 278 Franklin Resources, Incorporated, 0.00%, Due 5/11/2031...... 440 279 IOS Capital, LLC, 5.00%, Due 5/1/2007, 144A (Note A)........ 130 137 QLT, Incorporated, 3.00%, Due 9/15/2023, 144A (Note A)...... 250 437 Silicon Valley Bancshares, 0.00%, Due 6/15/2008............. 240 276 SLM Corporation, 4.00%, Due 1/15/2009....................... 1,000 994 Travelers Property Casualty Corporation, 4.50%, Due 4/15/2032................................................. 17 406 -------- TOTAL FINANCIALS........................................ 3,171 -------- HEALTH CARE - 1.20% Health Management Association, Incorporated, 1.50%, Due 8/1/2023.................................................. 480 522 Invitrogen Corporation, 2.00%, Due 8/1/2023, 144A (Note A)........................................................ 250 319 Watson Pharmaceuticals, Incorporated, 1.75%, Due 3/15/2023, 144A (Note A)............................................. 335 368 -------- TOTAL HEALTH CARE....................................... 1,209 -------- INDUSTRIALS - 8.45% Agilent Technologies, Incorporated, 3.00%, Due 12/1/2021.... 510 535 Andrew Corporation, 3.25%, Due 8/15/2013, 144A (Note A)..... 425 645 Apogent Technologies, Incorporated, 2.25%, Due 10/15/2021... 530 594 Avnet, Incorporated, 2.00%, Due 3/15/2034................... 270 272 Carnival Corporation, 0.00%, Due 10/24/2021................. 715 538 EMC Corporation, 4.50%, Due 4/1/2007........................ 240 263 Fisher Scientific International, Incorporated, 3.25%, Due 3/1/2024.................................................. 160 171 GrafTech International Limited, 1.625%, Due 1/15/2024, 144A (Note A).................................................. 210 184 Halliburton Company, 3.125%, Due 7/15/2023, 144A (Note A)... 210 229 International Game Technology, 0.00%, Due 1/29/2033......... 315 264 Juniper Networks, Incorporated, 0.00%, Due 6/15/2008, 144A (Note A).................................................. 215 280 Kaydon Corporation, 4.00%, Due 5/23/2023, 144A (Note A)..... 230 266 Kulicke & Soffa Industries, Incorporated, 0.50%, Due 11/30/2008, 144A (Note A)................................. 300 245 Leucadia National Corporation, 7.00%, Due 8/15/2013......... 400 408 Liberty Media Corporation, 0.75%, Due 3/30/2023, 144A (Note A)........................................................ 355 399 LSI Logic Corporation, 4.00%, Due 5/15/2010, 144A (Note A)........................................................ 228 232 Morgan Stanley Group, Incorporated, 0.25%, Due 4/1/2009..... 560 563 Red Hat, Incorporated, 0.50%, Due 1/15/2024, 144A (Note A)........................................................ 145 168 Schlumberger Limited, 2.125%, Due 6/1/2023*................. 280 287 STMicroelectronics NV, 0.00%, Due 7/5/2013.................. 500 494 Teradyne, Incorporated, 3.75%, Due 10/15/2006............... 240 252
See accompanying notes -------------------------------------------------------------------------------- 60 AMERICAN AADVANTAGE ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- -------- (DOLLARS IN THOUSANDS) Tyco International Group S.A., 2.75%, Due 1/15/2018, 144A (Note A)....................... $ 375 $ 491 2.75%, Due 1/15/2018...................................... 575 753 -------- TOTAL INDUSTRIALS....................................... 8,533 -------- TOTAL CONVERTIBLE BONDS................................. 14,331 -------- SHARES ----------- CONVERTIBLE PREFERRED STOCK - 4.02% CONSUMER DISCRETIONARY - 0.53% Ford Motor Company Capital Trust II......................... 9,400 530 -------- TOTAL CONSUMER DISCRETIONARY............................ 530 -------- ENERGY - 1.01% Amerada Hess Corporation.................................... 4,900 329 Kerr-McGee Corporation...................................... 8,500 443 New York Community Capital Trust V.......................... 3,800 251 -------- TOTAL ENERGY............................................ 1,023 -------- FINANCIALS - 1.43% Cummins Capital Trust I*.................................... 4,000 284 Franklin Resources, Incorporated............................ 5,200 285 Prudential Financial, Incorporated*......................... 7,100 480 Washington Mutual, Incorporated............................. 7,200 395 -------- TOTAL FINANCIALS........................................ 1,444 -------- INDUSTRIALS - 1.05% AutoDesk, Incorporated...................................... 8,800 295 Interpublic Group of Companies, Incorporated................ 3,850 221 Motorola, Incorporated...................................... 8,500 426 Phelps Dodge Corporation.................................... 840 122 -------- TOTAL INDUSTRIALS....................................... 1,064 -------- TOTAL CONVERTIBLE PREFERRED STOCK....................... 4,061 -------- COMMON STOCK - 3.49% CONSUMER DISCRETIONARY - 2.17% Bausch and Lomb, Incorporated............................... 10,600 666 Home Depot, Incorporated.................................... 13,600 479 McDonald's Corporation...................................... 15,500 422 Tyson Foods, Incorporated................................... 33,000 618 -------- TOTAL CONSUMER DISCRETIONARY............................ 2,185 -------- FINANCIALS - 0.54% MBIA, Incorporated.......................................... 9,300 548 -------- TOTAL FINANCIALS........................................ 548 -------- INFORMATION TECHNOLOGY - 0.78% Avaya, Incorporated......................................... 39,500 540 Cisco Systems, Incorporated................................. 11,700 244 -------- TOTAL INFORMATION TECHNOLOGY............................ 784 -------- TOTAL COMMON STOCK...................................... 3,517 --------
See accompanying notes -------------------------------------------------------------------------------- 61 AMERICAN AADVANTAGE ENHANCED INCOME FUND SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ----------- -------- (DOLLARS IN THOUSANDS) SHORT-TERM INVESTMENTS - 9.63% American AAdvantage Money Market Select Fund (Note B)....... 9,717,609 $ 9,718 -------- TOTAL SHORT-TERM INVESTMENTS............................ 9,718 -------- TOTAL INVESTMENTS - 109.52% (COST $110,019)............. 110,510 -------- LIABILITIES, NET OF OTHER ASSETS - (9.52%).............. (9,602) -------- TOTAL NET ASSETS - 100%................................. $100,908 ========
--------------- (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 the securities amounted to $14,448 or 14.32% of net assets. (B) See Note 2 in the Notes to Financial Statements regarding investments in affiliated issuers. * - All or a portion of the security is on loan at April 30, 2004. See Note 4. + - non-income producing See accompanying notes -------------------------------------------------------------------------------- 62 AMERICAN AADVANTAGE INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) U.S. TREASURY OBLIGATIONS - 8.76% U.S. TREASURY BONDS - 3.49% 7.50%, Due 11/15/2016*...................................... $ 500 $ 622 9.125%, Due 5/15/2018*...................................... 500 707 6.875%, Due 8/15/2025*...................................... 870 1,038 6.25%, Due 5/15/2030*....................................... 600 674 5.375%, Due 2/15/2031*...................................... 1,250 1,267 -------- TOTAL U.S. TREASURY BONDS............................... 4,308 -------- U.S. TREASURY NOTES - 5.27% 1.625%, Due 9/30/2005*...................................... 2,000 1,992 4.625%, Due 5/15/2006*...................................... 1,650 1,724 2.625%, Due 5/15/2008*...................................... 65 64 3.00%, Due 7/15/2012*....................................... 853 922 4.00%, Due 2/15/2014*....................................... 1,880 1,806 -------- TOTAL U.S. TREASURY NOTES............................... 6,508 -------- TOTAL U.S. TREASURY OBLIGATIONS......................... 10,816 -------- U.S. AGENCY OBLIGATIONS - 7.43% FEDERAL HOME LOAN MORTGAGE CORPORATION - 6.12% 5.125%, Due 10/15/2008*..................................... 500 527 5.875%, Due 3/21/2011....................................... 380 403 5.00%, Due 3/1/2018......................................... 1,974 1,990 6.00%, Due 1/1/2033......................................... 769 787 6.00%, Due 8/1/2033......................................... 934 956 5.50%, Due 11/1/2033........................................ 871 870 6.00%, Due 11/1/2033........................................ 1,054 1,079 6.50%, Due 11/1/2033........................................ 900 938 -------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 7,550 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.31% 5.125%, Due 1/2/2014*....................................... 545 536 7.25%, Due 5/15/2030*....................................... 900 1,076 -------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 1,612 -------- TOTAL U.S. AGENCY OBLIGATIONS........................... 9,162 -------- U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 31.87% FEDERAL HOME LOAN MORTGAGE CORPORATION - 4.99% Pool #G11202, 6.00%, Due 11/1/2016.......................... 409 427 Pool #B12563, 5.00%, Due 2/1/2019........................... 653 658 Pool #E01602, 4.50%, Due 3/1/2019........................... 993 979 Pool #G00738, 8.00%, Due 7/1/2027........................... 332 361 Pool #C01598, 5.00%, Due 8/1/2033........................... 1,208 1,172 Pool #A16690, 6.00%, Due 12/1/2033.......................... 1,067 1,092 Pool #C01786, 5.50%, Due 2/1/2034........................... 1,471 1,470 -------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 6,159 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 16.81% Pool #488099, 5.50%, Due 2/1/2014........................... 748 771 Pool #323788, 6.50%, Due 6/1/2014........................... 112 119 Pool #323789, 6.00%, Due 6/1/2014........................... 330 345 Pool #535846, 6.00%, Due 4/1/2016........................... 809 844 Pool #545449, 6.50%, Due 2/1/2017........................... 862 914
See accompanying notes -------------------------------------------------------------------------------- 63 AMERICAN AADVANTAGE INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) Pool #545823, 5.50%, Due 8/1/2017........................... $ 902 $ 927 Pool #254545, 5.00%, Due 12/1/2017.......................... 1,334 1,344 Pool #555549, 5.00%, Due 6/1/2018........................... 1,215 1,224 Pool #254865, 4.50%, Due 9/1/2018........................... 1,133 1,117 Pool #761337, 5.00%, Due 4/1/2019........................... 498 501 Pool #100293, 9.50%, Due 8/1/2029........................... 294 330 Pool #545759, 6.50%, Due 7/1/2032........................... 260 270 Pool #705607, 6.00%, Due 6/1/2033........................... 351 359 Pool #713706, 5.50%, Due 8/1/2033........................... 1,849 1,846 Pool #730570, 6.00%, Due 8/1/2033........................... 951 974 Pool #727223, 5.50%, Due 9/1/2033........................... 717 716 Pool #740238, 6.00%, Due 9/1/2033........................... 159 163 Pool #741901, 5.50%, Due 10/1/2033.......................... 680 679 Pool #749219, 5.50%, Due 10/1/2033.......................... 158 157 Pool #555880, 5.50%, Due 11/1/2033.......................... 2,016 2,013 Pool #758322, 5.50%, Due 12/1/2033.......................... 1,882 1,879 Pool #725238, 5.00%, Due 3/1/2034........................... 1,183 1,147 Pool #765304, 5.50%, Due 3/1/2034........................... 282 281 TBA, 15yr, 6.00%............................................ 1,462 1,526 TBA, 30yr, 6.50%............................................ 288 300 -------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 20,746 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 10.07% Pool #780921, 7.00%, Due 11/15/2013......................... 530 569 Pool #780085, 11.50%, Due 8/15/2018......................... 213 243 Pool #780400, 7.00%, Due 12/15/2025......................... 740 791 Pool #780509, 6.50%, Due 2/15/2027.......................... 382 400 Pool #780615, 6.50%, Due 8/15/2027.......................... 757 793 Pool #780680, 6.50%, Due 11/15/2027......................... 634 664 Pool #780747, 6.50%, Due 3/15/2028.......................... 1,109 1,161 Pool #780936, 7.50%, Due 12/15/2028......................... 484 521 Pool #781273, 6.00%, Due 4/15/2031.......................... 947 974 Pool #555732, 6.50%, Due 3/15/2032.......................... 274 286 Pool #781564, 6.00%, Due 2/15/2033.......................... 1,179 1,209 Pool #616094, 6.00%, Due 11/15/2033......................... 805 826 Pool #781690, 6.00%, Due 12/15/2033......................... 866 888 Pool #003515, 5.50%, Due 2/20/2034.......................... 1,906 1,906 Pool #003517, 6.00%, Due 2/20/2034.......................... 1,176 1,205 -------- TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 12,436 -------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 39,341 -------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 2.24% Banc American Commercial Mortgage, Incorporated 2003-2 A2, 4.342%, Due 3/11/2041..................................... 435 433 General Electric Commercial Mortgage Corporation 2003-C2 A2, 4.17%, Due 7/10/2037...................................... 515 514 J P Morgan Chase Commercial Mortgage Securities Corporation 2003-CB7 A3, 4.449%, Due 1/12/2038........................ 660 650 Morgan Stanley Dean Witter Discover & Company 2003-T11 A2, 4.34%, Due 6/13/2041...................................... 495 494 Wachovia Bank Commercial Mortgage Trust 2003-C5 A2, 3.989%, Due 6/15/2035............................................. 730 675 -------- TOTAL NON-AGENCY MORTGAGE-BACKED OBLIGATIONS............ 2,766 --------
See accompanying notes -------------------------------------------------------------------------------- 64 AMERICAN AADVANTAGE INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) CORPORATE OBLIGATIONS - 46.27% FINANCIAL - 21.98% AEGON, N.V., 8.00%, Due 8/15/2006........................... $ 300 $ 334 American General Finance Corporation, 5.375%, Due 9/1/2009.................................................. 240 253 Assurant, Incorporated, 5.625%, Due 2/15/2014, 144A (Note A)........................................................ 290 291 Banco Popular North America Inc, 4.25%, Due 4/1/2008........ 400 403 Bank of America Corporation, 6.25%, Due 4/1/2008............ 390 424 Bank One Corporation, 4.90%, Due 4/30/2015*................. 400 381 Bear Stearns Companies, Incorporated, 2.875%, Due 7/2/2008.................................................. 400 383 BHP Finance (USA) Limited, 4.80%, Due 4/15/2013............. 400 394 Boeing Capital Corporation, 5.40%, Due 11/30/2009........... 650 681 Branch Banking & Trust Company, 4.875%, Due 1/15/2013....... 400 393 Capital One Bank, 6.70%, Due 5/15/2008...................................... 350 380 5.75%, Due 9/15/2010...................................... 235 244 5.125%, Due 2/15/2014*.................................... 350 335 Caterpillar Financial Services, 2.625%, Due 1/30/2007....... 600 592 Cendant Corporation, 6.875%, Due 8/15/2006.................. 690 747 Citigroup, Incorporated, 6.50%, Due 1/18/2011............... 465 514 Countrywide Home Loan, Incorporated, 3.50%, Due 12/19/2005..................................... 750 761 3.25%, Due 5/21/2008...................................... 565 548 Credit Suisse First Boston, 6.50%, Due 5/1/2008............. 600 651 John Deere Capital Corporation, 3.75%, Due 1/13/2009........ 500 492 Deutsche Telekom International Finance Corporation, 8.00%, Due 6/15/2010............................................. 350 413 First Tennessee Bank, NA, 5.75%, Due 12/1/2008.............. 475 506 Fleet Norstar Financial Group, Incorporated, 8.625%, Due 1/15/2007................................................. 400 456 Ford Motor Credit Company, 6.50%, Due 1/25/2007...................................... 380 402 7.375, Due 10/28/2009..................................... 1,200 1,297 General Electric Capital Corporation, 3.25%, Due 6/15/2009...................................... 595 572 General Motors Acceptance Corporation, 6.125%, Due 8/28/2007..................................... 320 338 7.25%, Due 3/2/2011....................................... 1,000 1,075 8.375%, Due 7/15/2033..................................... 345 373 Goldman Sachs Group, Incorporated, 4.75%, Due 7/15/2013..... 675 642 John Hancock Global Funding, 3.75%, Due 9/30/2008........... 500 495 Household Finance Corporation, 6.375%, Due 11/27/2012.................................... 355 382 4.75%, Due 7/15/2013...................................... 200 191 ING Bank, NV, 5.125%, Due 5/1/2015, 144A (Note A)........... 400 392 International Lease Finance Corporation, 3.30%, Due 1/23/2008...................................... 380 372 6.375%, Due 3/15/2009..................................... 550 598 Lincoln National Corporation, 4.75%, Due 2/15/2014.......... 300 286 Merrill Lynch & Company, Incorporated, 3.00%, Due 4/30/2007...................................... 955 945 6.56%, Due 12/16/2007..................................... 750 831 Monumental Global Funding, 3.85%, Due 3/3/2008, 144A (Note A)........................................................ 750 753 JP Morgan Chase & Company, 6.75%, Due 8/15/2008............. 625 688 Morgan Stanley, 4.75%, Due 4/1/2014......................... 500 467
See accompanying notes -------------------------------------------------------------------------------- 65 AMERICAN AADVANTAGE INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) PHH Corporation, 6.00%, Due 3/1/2008........................ $ 400 $ 426 PNC Funding Corporation, 7.50%, Due 11/1/2009............... 495 570 Prudential Financial, Incorporated, 3.75%, Due 5/1/2008....................................... 300 298 4.50%, Due 7/15/2013...................................... 300 283 SLM Corporation, 3.95%, Due 8/15/2008...................................... 450 450 5.125%, Due 8/27/2012..................................... 750 752 Sprint Capital Corporation, 6.125%, Due 11/15/2008.................................... 375 401 8.375%, Due 3/15/2012..................................... 150 176 8.75%, Due 3/15/2032...................................... 225 269 Synovus Financial Corporation, 4.875%, Due 2/15/2013........ 400 392 US Bank, NA, 5.70%, Due 12/15/2008.......................... 460 502 Verizon Global Funding Corporation, 4.375%, Due 6/1/2013.... 400 372 Washington Mutual Financial Corporation, 6.875%, Due 5/15/2011..................................... 250 285 4.625%, Due 4/1/2014...................................... 300 277 -------- TOTAL FINANCIAL......................................... 27,128 -------- INDUSTRIAL - 20.61% Anheuser Busch Companies, Incorporated, 6.50%, Due 1/1/2028.................................................. 500 527 AT&T Broadband Corporation, 8.375%, Due 3/15/2013........... 748 893 AT&T Wireless Services, Incorporated, 7.35%, Due 3/1/2006....................................... 800 866 8.125%, Due 5/1/2012...................................... 880 1,027 8.75%, Due 3/1/2031....................................... 320 390 Atlantic Richfield Company, 9.125%, Due 3/1/2011...................................... 330 415 8.50%, Due 4/1/2012....................................... 315 389 Baxter International, Incorporated, 5.25%, Due 5/1/2007..... 415 436 Bristol Myers Squibb Company, 4.00%, Due 8/15/2008, 144A (Note A).................................................. 490 491 Bunge Limited Finance Corporation, 7.80%, Due 10/15/2012.... 350 404 Carnival Corporation, 3.75%, Due 11/15/2007................. 505 504 Cendant Corporation, 6.25%, Due 1/15/2008................... 330 356 Clear Channel Communications, 4.40%, Due 5/15/2011.......... 715 687 Comcast Cable Communications, 7.625%, Due 2/15/2008..................................... 380 422 6.75%, Due 1/30/2011...................................... 385 422 Conagra Foods, Incorporated, 7.125%, Due 10/1/2026*.................................... 530 591 7.00%, Due 10/1/2028...................................... 400 432 ConocoPhillips, 3.625%, Due 10/15/2007...................... 575 579 Continental Cablevision, Incorporated, 8.30%, Due 5/15/2006................................................. 250 275 DaimlerChrysler North America, 4.75%, Due 1/15/2008...................................... 625 634 6.50%, Due 11/15/2013..................................... 300 309 Dell Computer Corporation, 6.55%, Due 4/15/2008............. 400 439 The Walt Disney Company, 5.375%, Due 6/1/2007............... 360 378 EOG Resources, Incorporated, 4.75%, Due 3/15/2014, 144A (Note A).................................................. 300 289 EOP Operating Limited Partnership, 4.75%, Due 3/15/2014..... 300 280 France Telecom SA, 8.75%, Due 3/1/2011...................... 450 532
See accompanying notes -------------------------------------------------------------------------------- 66 AMERICAN AADVANTAGE INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) Harley Davidson, Incorporated, 2.69%, Due 4/15/2011......... $ 650 $ 647 Hertz Corporation, 4.70%, Due 10/2/2006..................... 450 456 Hewlett Packard Company, 5.75%, Due 12/15/2006.............. 425 453 International Business Machines Corporation, 4.875%, Due 10/1/2006..................................... 470 493 4.75%, Due 11/29/2012..................................... 400 395 Kerr McGee Corporation, 5.875%, Due 9/15/2006............... 480 508 Lockheed Martin Corporation, 7.20%, Due 5/1/2036............ 470 545 Martin Marietta Material, Incorporated, 6.90%, Due 8/15/2007................................................. 300 331 Norfolk Southern Corporation, 7.05%, Due 5/1/2037........... 255 273 Northrop Grumman Corporation, 7.125%, Due 2/15/2011......... 500 562 Occidental Petroleum Corporation, 6.75%, Due 1/15/2012...... 400 446 Pepsi Bottling Group, Incorporated, 7.00%, Due 3/1/2029..... 575 641 Pulte Homes, Incorporated, 5.25%, Due 1/15/2014............. 225 215 Reed Elsevier Capital, Incorporated, 6.125%, Due 8/1/2006... 485 522 Schering Plough Corporation, 6.50%, Due 12/1/2033........... 615 624 Simon Property Group, 7.625%, Due 5/15/2005, 144A (Note A)........................................................ 150 158 Target Corporation, 7.00%, Due 7/15/2031.................... 550 613 Time Warner, Incorporated, 7.625%, Due 4/15/2031............ 255 279 Union Oil Company of California, 7.90%, Due 4/18/2008....... 100 112 Union Pacific Corporation, 6.50%, Due 4/15/2012............. 200 219 Univision Communications, Incorporated, 3.875%, Due 10/15/2008................................................ 390 383 Verizon Communications, Incorporated, 6.36%, Due 4/15/2006................................................. 335 358 Verizon Virginia, 4.625%, Due 3/15/2013..................... 400 379 Verizon Wireless Capital, LLC, 5.375%, Due 12/15/2006....... 345 364 Viacom, Incorporated, 5.625%, Due 8/15/2012................. 495 515 Wal-Mart Stores, Incorporated, 7.55%, Due 2/15/2030......... 550 659 Weyerhaeuser Company, 5.95%, Due 11/1/2008.................. 380 406 Wyeth Corporation, 6.70%, Due 3/15/2011...................................... 550 608 5.50%, Due 2/1/2014....................................... 315 314 -------- TOTAL INDUSTRIAL........................................ 25,445 -------- UTILITIES - 3.24% AEP Texas Central Company, 6.65%, Due 2/15/2033............. 155 159 Appalachian Power Company, 5.95%, Due 5/15/2033............. 230 216 Consolidated Natural Gas Company, 6.875%, Due 10/15/2026.... 390 421 Devon Energy Corporation, 2.75%, Due 8/1/2006............... 465 463 Dominion Resources, Incorporated, 5.00%, Due 3/15/2013...... 300 292 Enterprise Products Partners LP, 7.50%, Due 2/1/2011........ 260 290 Marathon Oil Corporation, 5.375%, Due 6/1/2007.............. 500 527 MidAmerican Energy Holdings Company, 3.50%, Due 5/15/2008...................................... 360 351 5.875%, Due 10/1/2012..................................... 400 413 Public Service Enterprise Group, Incorporated, 6.95%, Due 6/1/2012.................................................. 385 425 Xcel Energy, Incorporated, 7.00%, Due 12/1/2010............. 400 448 -------- TOTAL UTILITIES......................................... 4,005 --------
See accompanying notes -------------------------------------------------------------------------------- 67 AMERICAN AADVANTAGE INTERMEDIATE BOND FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) FOREIGN - 0.44% Quebec Province, 4.875%, Due 5/5/2014....................... $ 305 $ 301 United Mexican States, 7.50%, Due 4/8/2033.................. 240 238 -------- TOTAL FOREIGN........................................... 539 -------- TOTAL CORPORATE OBLIGATIONS............................. 57,117 -------- ASSET-BACKED SECURITIES - 1.45% MBNA Credit Card Master Trust 2003-A7 A7, 2.65%, Due 11/15/2010................................................ 800 766 Master Asset Securitization Trust 2002-6 2A1, 5.75%, Due 10/25/2017................................................ 1,009 1,028 -------- TOTAL ASSET-BACKED SECURITIES........................... 1,794 -------- SHARES ----------- SHORT-TERM INVESTMENTS - 14.57% American AAdvantage Money Market Select Fund (Note B)....... 15,352,630 15,353 AMR Investments Enhanced Cash Business Trust (Note B)....... 2,637,652 2,638 -------- TOTAL SHORT-TERM INVESTMENTS............................ 17,991 -------- TOTAL INVESTMENTS - 112.59% (COST $139,696)................. 138,987 -------- LIABILITIES, NET OF OTHER ASSETS - (12.59%)................. (15,543) -------- TOTAL NET ASSETS - 100%..................................... $123,444 ========
--------------- (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 $2,374 or 1.92% of net assets. (B) See Note 2 in the Notes to Financial Statements regarding investments in affiliated issuers. * - All or a portion of this security is on loan at April 30, 2004. See Note 4. See accompanying notes -------------------------------------------------------------------------------- 68 AMERICAN AADVANTAGE SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 7.54% FEDERAL HOME LOAN MORTGAGE CORPORATION - 1.65% Pool #E44213, 7.00%, Due 1/1/2008........................... $ 338 $ 358 Pool #G10084, 6.50%, Due 3/1/2008........................... 542 572 Pool #E00228, 6.50%, Due 7/1/2008........................... 409 435 Pool #G10791, 6.00%, Due 3/1/2013........................... 171 179 -------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 1,544 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.10% Pool #050763, 7.00%, Due 7/1/2008........................... 191 203 Pool #050952, 6.50%, Due 12/1/2008.......................... 469 499 Pool #252448, 5.50%, Due 4/1/2009........................... 459 476 Pool #313430, 6.50%, Due 3/1/2012........................... 470 499 Pool #323223, 6.50%, Due 7/1/2013........................... 354 375 Pool #439957, 6.00%, Due 11/1/2013.......................... 299 313 Pool #323980, 6.00%, Due 4/1/2014........................... 749 784 Pool #545038, 6.00%, Due 9/1/2014........................... 663 694 -------- TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 3,843 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 1.790% Pool #780286, 7.00%, Due 6/15/2008.......................... 530 563 Pool #351992, 6.00%, Due 12/15/2008......................... 1,060 1,120 -------- TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 1,683 -------- TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 7,070 -------- CORPORATE OBLIGATIONS - 75.85% FINANCIAL - 54.21% American Honda Finance Corporation, 2.875%, Due 4/3/2006, 144A (Note A)............................................. 1,150 1,157 Bank of America Corporation, 5.25%, Due 2/1/2007............ 2,000 2,108 Bank One Corporation, 7.625%, Due 8/1/2005.................. 2,000 2,134 Bear Stearns Companies, Incorporated, 3.00%, Due 3/30/2006................................................. 2,000 2,012 Boeing Capital Corporation, 5.65%, Due 5/15/2006............ 1,252 1,321 Capital One Bank, 6.70%, Due 5/15/2008...................... 1,100 1,194 Caterpillar Financial Services, 2.35%, Due 9/15/2006........ 2,500 2,465 Citigroup, Incorporated, 6.75%, Due 12/1/2005............... 2,000 2,138 Countrywide Funding Corporation, 3.50%, Due 12/19/2005...... 2,200 2,232 FleetBoston Financial Corporation, 3.85%, Due 2/15/2008..... 2,500 2,513 General Electric Capital Corporation, 2.75%, Due 9/25/2006 *......................................................... 1,000 1,000 General Motors Acceptance Corporation, 6.75%, Due 1/15/2006................................................. 3,000 3,177 Goldman Sachs Group, Incorporated, 7.625%, Due 8/17/2005.... 2,000 2,133 Heller Financial, Incorporated, 6.375%, Due 3/15/2006....... 2,500 2,694 Household Finance Corporation, 8.00%, Due 5/9/2005.......... 2,000 2,118 International Lease Finance Corporation, 2.95%, Due 5/23/2006................................................. 2,000 2,004 John Hancock Global Funding, 5.625%, Due 6/27/2006.......... 1,000 1,061 Merrill Lynch & Company, Incorporated, 7.00%, Due 3/15/2006................................................. 1,660 1,798 MetLife, Incorporated, 3.911%, Due 5/15/2005................ 2,500 2,544 Monumental Global Funding, 5.20%, Due 1/30/2007, 144A (Note A)........................................................ 1,200 1,259 Prudential Insurance Company of America, 6.375%, Due 7/23/2006, 144A (Note A).................................. 3,000 3,231 Simon Property Group, Incorporated, 7.75%, Due 8/15/2004, 144A (Note A)............................................. 1,090 1,108 SLM Corporation, 2.90%, Due 7/1/2005........................ 2,000 2,021
See accompanying notes -------------------------------------------------------------------------------- 69 AMERICAN AADVANTAGE SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ----------- --------- (DOLLARS IN THOUSANDS) Synovus Financial Corporation, 7.25%, Due 12/15/2005........ $ 2,500 $ 2,694 Wachovia Corporation, 6.40%, Due 4/1/2008................... 2,500 2,717 -------- TOTAL FINANCIAL......................................... 50,833 -------- INDUSTRIAL - 21.64% AT&T Wireless Services, Incorporated, 7.35%, Due 3/1/2006... 1,400 1,515 Cendant Corporation, 6.875%, Due 8/15/2006.................. 2,140 2,319 Conagra Foods, Incorporated, 9.875%, Due 11/15/2005......... 1,000 1,104 Continental Cablevision, Incorporated, 8.30%, Due 5/15/2006................................................. 1,960 2,160 DaimlerChrysler North America, 4.75%, Due 1/15/2008......... 1,500 1,522 Deutsche Telekom International Finance Corporation, 8.25%, Due 6/15/2005............................................. 325 346 Hertz Corporation, 4.70%, Due 10/2/2006..................... 3,000 3,038 Kroger Company, 7.375%, Due 3/1/2005........................ 1,000 1,044 Northrop Grumman Corporation, 7.00%, Due 3/1/2006........... 2,000 2,154 Sprint Capital Corporation, 6.00%, Due 1/15/2007............ 1,800 1,913 Unilever Capital Corporation, 6.875%, Due 11/1/2005......... 1,000 1,068 Verizon Wireless Capital, 5.375%, Due 12/15/2006............ 2,000 2,110 -------- TOTAL INDUSTRIAL........................................ 20,293 -------- TOTAL CORPORATE OBLIGATIONS............................. 71,126 -------- ASSET-BACKED SECURITIES - 13.57% American Express Credit Account Master Trust 2000-1 A, 7.20%, Due 9/17/2007...................................... 2,395 2,500 Capital Auto Receivables Asset Trust 2002-2 A4, 4.50%, Due 10/15/2007................................................ 2,000 2,051 Chase Credit Card Owner Trust 1999-3 A, 6.66%, Due 1/15/2007................................................. 2,000 2,035 Chemical Master Credit Card Trust 1996-2 A, 5.98%, Due 9/15/2008................................................. 3,000 3,161 Nissan Auto Receivables Owner Trust 2004-A A3, 2.01%, Due 11/15/2007................................................ 1,000 990 USAA Auto Owner Trust 2004-1 A3, 2.06%, Due 4/15/2008....... 2,000 1,982 -------- TOTAL ASSET-BACKED SECURITIES........................... 12,719 -------- SHARES ----------- SHORT-TERM INVESTMENTS - 1.72% American AAdvantage Money Market Select Fund (Note B)....... 1,614,633 1,615 -------- TOTAL SHORT-TERM INVESTMENTS............................ 1,615 -------- TOTAL INVESTMENTS - 98.68% (COST $92,044)................... 92,530 -------- OTHER ASSETS, NET OF LIABILITIES - 1.32%.................... 1,233 -------- TOTAL NET ASSETS - 100%..................................... $ 93,763 ========
--------------- (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 $6,755 or 7.20% of net assets. (B) See Note 2 in the Notes to Financial Statements regarding investments in affiliated issuers. * - All or a portion of this security is on loan at April 30, 2004. See Note 4. See accompanying notes -------------------------------------------------------------------------------- 70 (AMERICAN EAGLE LOGO) -------------------------------------------------------------------------------- 71 AMERICAN AADVANTAGE FUNDS STATEMENTS OF ASSETS AND LIABILITIES April 30, 2004 (unaudited) --------------------------------------------------------------------------------
LARGE CAP LARGE CAP BALANCED VALUE GROWTH ----------- ----------- ---------- (IN THOUSANDS) ASSETS: Investments in unaffiliated securities, at value(A)..... $ 582,541 $ 663,324 $ 56,661 Investments in affiliated securities, at value(B)....... 110,614 74,050 1,302 Investments in Portfolio, at value...................... -- -- -- Cash.................................................... -- -- 26 Foreign currency, at value(C)........................... -- -- -- Dividends and interest receivable....................... 2,487 941 37 Receivable for investments sold......................... 2,891 3,706 992 Receivable for foreign currency sold.................... -- -- -- Receivable for fund shares sold......................... 177 651 114 Receivable for variation margin on open futures contracts............................................. -- -- -- Other assets............................................ -- 4 -- ----------- ----------- ---------- TOTAL ASSETS........................................ 698,710 742,676 59,132 ----------- ----------- ---------- LIABILITIES: Payable for investments purchased....................... 9,279 6,387 1,058 Payable upon return of securities loaned................ 57,658 27,299 789 Payable for fund shares redeemed........................ 1,421 1,446 -- Payable for variation margin on open futures contracts............................................. 386 342 3 Dividends payable....................................... -- -- -- Management and investment advisory fees payable (Note 2).................................................... 471 557 102 Other liabilities....................................... 110 107 8 ----------- ----------- ---------- TOTAL LIABILITIES................................... 69,325 36,138 1,960 ----------- ----------- ---------- NET ASSETS.................................................. $ 629,385 $ 706,538 $ 57,172 =========== =========== ========== ANALYSIS OF NET ASSETS: Paid-in-capital......................................... 545,623 611,878 65,090 Undistributed net investment income..................... 3,344 1,438 24 Accumulated net realized gain (loss).................... 6,685 (29,653) (13,493) Unrealized appreciation (depreciation) of investments, futures contracts and foreign currency................ 73,733 122,875 5,551 ----------- ----------- ---------- NET ASSETS.................................................. $ 629,385 $ 706,538 $ 57,172 =========== =========== ========== Shares outstanding (no par value): Institutional Class..................................... 581,812 1,748,029 109 =========== =========== ========== PlanAhead Class......................................... 1,149,021 1,937,730 N/A =========== =========== ========== Service Class........................................... N/A N/A N/A =========== =========== ========== AMR Class............................................... 45,978,616 37,993,362 9,843,493 =========== =========== ========== Net asset value, offering and redemption price per share: Institutional Class..................................... $ 13.64 $ 17.18 $ 5.80 =========== =========== ========== PlanAhead Class......................................... $ 13.00 $ 16.55 N/A =========== =========== ========== Service Class........................................... N/A N/A N/A =========== =========== ========== AMR Class............................................... $ 13.19 $ 16.96 $ 5.81 =========== =========== ========== --------------- (A) Cost of investments in unaffiliated securities.......... $ 508,394 $ 540,027 $ 51,100 (B) Cost of investments in affiliated securities............ $ 110,614 $ 74,050 $ 1,302 (C) Cost of Foreign currency................................ $ -- $ -- $ --
See accompanying notes -------------------------------------------------------------------------------- 72 --------------------------------------------------------------------------------
SMALL CAP INTERNATIONAL EMERGING HIGH YIELD ENHANCED INTERMEDIATE SHORT-TERM VALUE EQUITY MARKETS BOND INCOME BOND BOND ----------- ------------- ---------- ----------- ----------- ------------ ----------- (IN THOUSANDS) $ 707,075 $ -- $ 71,919 $ 307,460 $ 100,792 $ 120,996 $ 90,915 186,878 -- 5,210 8,912 9,718 17,991 1,615 -- 1,462,640 -- -- -- -- -- -- -- -- 23 -- -- -- -- -- 1,086 -- -- -- -- 541 -- 267 6,839 1,000 1,205 1,124 5,752 -- 803 3,521 412 837 -- -- -- 498 -- -- -- -- 3,129 2,339 17 250 2 346 175 -- -- -- -- -- -- -- 1 -- -- 12 -- -- -- ----------- ----------- ---------- ----------- ----------- ----------- ----------- 903,376 1,464,979 79,800 327,017 111,924 141,375 93,829 ----------- ----------- ---------- ----------- ----------- ----------- ----------- 6,372 -- 1,863 5,491 3,224 4,170 -- 106,829 -- 2,427 25,441 7,574 13,707 26 3,469 1,926 931 210 100 2 3 966 -- -- -- -- -- -- -- -- -- 154 -- -- 8 1,031 226 209 608 90 27 22 1,016 108 40 42 28 25 7 ----------- ----------- ---------- ----------- ----------- ----------- ----------- 119,683 2,260 5,470 31,946 11,016 17,931 66 ----------- ----------- ---------- ----------- ----------- ----------- ----------- $ 783,693 $ 1,462,719 $ 74,330 $ 295,071 $ 100,908 $ 123,444 $ 93,763 =========== =========== ========== =========== =========== =========== =========== 660,259 1,322,672 60,367 280,425 99,996 131,504 103,424 1,201 (11,399) 99 -- (72) -- (1,645) 39,346 (102,391) 2,171 3,289 493 (7,351) (8,502) 82,887 253,837 11,693 11,357 491 (709) 486 ----------- ----------- ---------- ----------- ----------- ----------- ----------- $ 783,693 $ 1,462,719 $ 74,330 $ 295,071 $ 100,908 $ 123,444 $ 93,763 =========== =========== ========== =========== =========== =========== =========== 12,330,572 50,811,313 524,362 14,751,928 N/A 86,140 368,573 =========== =========== ========== =========== =========== =========== =========== 7,496,098 13,442,955 41,710 12,773,867 10,032,306 107,909 891,413 =========== =========== ========== =========== =========== =========== =========== 39,396 88 N/A 108 N/A N/A N/A =========== =========== ========== =========== =========== =========== =========== 24,521,361 21,269,153 5,774,530 N/A N/A 11,952,313 8,954,103 =========== =========== ========== =========== =========== =========== =========== $ 17.75 $ 17.10 $ 11.69 $ 10.72 N/A $ 10.36 $ 9.19 =========== =========== ========== =========== =========== =========== =========== $ 17.48 $ 16.98 $ 11.61 $ 10.72 $ 10.06 $ 10.23 $ 9.19 =========== =========== ========== =========== =========== =========== =========== $ 17.45 $ 16.94 N/A $ 10.72 N/A N/A N/A =========== =========== ========== =========== =========== =========== =========== $ 17.66 $ 17.18 $ 11.73 N/A N/A $ 10.16 $ 9.18 =========== =========== ========== =========== =========== =========== =========== $ 620,138 N/A $ 60,199 $ 296,103 $ 100,301 $ 121,705 $ 90,429 $ 186,878 N/A $ 5,210 $ 8,912 $ 9,718 $ 17,991 $ 1,615 $ -- N/A $ 1,113 $ -- $ -- $ -- $ --
-------------------------------------------------------------------------------- 73 AMERICAN AADVANTAGE FUNDS STATEMENTS OF OPERATIONS Six Months Ended April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
LARGE CAP LARGE CAP SMALL CAP BALANCED VALUE GROWTH VALUE -------- --------- --------- --------- (IN THOUSANDS) INVESTMENT INCOME: Interest income......................................... $ 4,009 $ 22 $ -- $ 20 Dividend income from unaffiliated securities (net of foreign taxes)*....................................... 4,486 7,416 274 3,783 Dividend income from affiliated securities.............. 249 247 3 340 Investment income allocated from the Portfolio.......... -- -- -- -- Income derived from commission recapture................ 11 11 2 84 Income derived from securities lending, net............. 41 23 4 85 Expenses allocated from the Portfolio................... -- -- -- -- -------- ------- ------- ------- TOTAL INVESTMENT INCOME............................. 8,796 7,719 283 4,312 -------- ------- ------- ------- EXPENSES: Management and investment advisory fees (Note 2)........ 907 1,069 170 1,666 Administrative service fees (Note 2): Institutional Class................................... 11 34 -- 189 PlanAhead Class....................................... 19 32 -- 124 Transfer agent fees: Institutional Class................................... 1 3 -- 18 PlanAhead Class....................................... 3 6 -- 27 Service Class......................................... -- -- -- 8 AMR Class............................................. 11 15 1 7 Fund Accounting fees.................................... 155 186 14 161 Professional fees....................................... 28 33 3 18 Registration fees and expenses.......................... 13 12 1 23 Service Fees -- PlanAhead Class (Note 2)................ 19 32 -- 124 Other expenses.......................................... 57 45 8 57 -------- ------- ------- ------- TOTAL EXPENSES...................................... 1,224 1,467 197 2,422 -------- ------- ------- ------- Less fees waived (Note 2)............................... -- -- -- 8 -------- ------- ------- ------- NET EXPENSES........................................ 1,224 1,467 197 2,414 -------- ------- ------- ------- NET INVESTMENT INCOME....................................... 7,572 6,252 86 1,898 -------- ------- ------- ------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS: Net realized gain on: Investments........................................... 14,323 22,303 2,308 38,393 Foreign currency transactions......................... -- -- -- -- Futures contracts..................................... 4,304 4,400 18 3,219 Net realized gain allocated from the Portfolio.......... -- -- -- -- Change in net unrealized appreciation or depreciation of: Investments........................................... 19,463 44,457 623 25,371 Foreign currency translations......................... -- -- -- -- Futures contracts..................................... (1,787) (1,657) (14) (4,368) Change in net unrealized gain allocated from the Portfolio............................................. -- -- -- -- -------- ------- ------- ------- NET GAIN (LOSS) ON INVESTMENTS...................... 36,303 69,503 2,935 62,615 -------- ------- ------- ------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 43,875 $75,755 $ 3,021 $64,513 ======== ======= ======= ======= * Foreign taxes......................................... $ 54 $ 115 -- $ 6
See accompanying notes -------------------------------------------------------------------------------- 74 --------------------------------------------------------------------------------
INTERNATIONAL EMERGING HIGH YIELD ENHANCED INTERMEDIATE SHORT-TERM EQUITY MARKETS BOND INCOME BOND BOND ------------- -------- ---------- -------- ------------ ---------- (IN THOUSANDS) $ -- $ -- $11,989 $ 1,541 $ 3,042 $1,692 -- 811 -- 120 -- -- -- 11 64 12 20 7 16,080 -- -- -- -- -- -- -- -- -- -- -- -- 6 38 4 5 1 (3,310) -- -- -- -- -- -------- ------- ------- ------- ------- ------ 12,770 828 12,091 1,677 3,067 1,700 -------- ------- ------- ------- ------- ------ -- 363 941 180 161 121 1,023 6 205 -- 1 4 247 1 164 127 2 9 92 -- 26 -- 3 1 37 -- 52 21 -- 1 8 -- 7 -- -- -- 5 2 -- -- 3 3 -- 174 38 14 16 12 32 2 12 15 6 5 29 14 16 -- 13 13 249 1 164 127 2 9 95 8 11 18 21 11 -------- ------- ------- ------- ------- ------ 1,817 571 1,636 502 228 189 -------- ------- ------- ------- ------- ------ 8 -- 69 -- -- -- -------- ------- ------- ------- ------- ------ 1,809 571 1,567 502 228 189 -------- ------- ------- ------- ------- ------ 10,961 257 10,524 1,175 2,839 1,511 -------- ------- ------- ------- ------- ------ -- 5,529 3,320 926 1,138 266 -- 690 -- -- -- -- -- -- -- -- -- -- 52,629 -- -- -- -- -- -- (71) 4 176 (2,099) (692) -- (668) -- -- -- -- -- -- -- -- -- -- 99,610 -- -- -- -- -- -------- ------- ------- ------- ------- ------ 152,239 5,480 3,324 1,102 (961) (426) -------- ------- ------- ------- ------- ------ $163,200 $ 5,737 $13,848 $ 2,277 $ 1,878 $1,085 ======== ======= ======= ======= ======= ====== -- $ 189 -- -- -- --
-------------------------------------------------------------------------------- 75 AMERICAN AADVANTAGE FUNDS STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) --------------------------------------------------------------------------------
BALANCED LARGE CAP VALUE LARGE CAP GROWTH ------------------------- ------------------------- ------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2004 2003 2004 2003 2004 2003 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income................ $ 7,572 $ 15,678 $ 6,252 $ 12,019 $ 86 $ 151 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions...... 18,627 15,761 26,703 (1,324) 2,326 (823) Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations.............. 17,676 65,996 42,800 129,868 609 8,070 Change in unrealized gain (loss) allocated from the Portfolio....... -- -- -- -- -- -- -------- -------- -------- -------- ------- ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... 43,875 97,435 75,755 140,563 3,021 7,398 -------- -------- -------- -------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class................ (211) (105) (414) (502) -- -- PlanAhead Class.................... (354) (421) (344) (333) -- -- AMR Class.......................... (15,797) (22,194) (11,675) (12,821) (151) (107) Net realized gain on investments: Institutional Class................ -- -- -- -- -- -- PlanAhead Class.................... -- -- -- -- -- -- AMR Class.......................... -- -- -- -- -- -- -------- -------- -------- -------- ------- ------- NET DISTRIBUTIONS TO SHAREHOLDERS................... (16,362) (22,720) (12,433) (13,656) (151) (107) -------- -------- -------- -------- ------- ------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares........ 39,279 72,230 35,834 37,911 10,459 24,357 Reinvestment of dividends and distributions...................... 16,359 22,704 12,206 13,368 151 107 Cost of shares redeemed.............. (33,740) (96,756) (48,536) (83,291) (5,235) (10,846) Redemption fees...................... -- -- -- -- -- -- -------- -------- -------- -------- ------- ------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS................... 21,898 (1,822) (496) (32,012) 5,375 13,618 -------- -------- -------- -------- ------- ------- NET INCREASE (DECREASE) IN NET ASSETS.... 49,411 72,893 62,826 94,895 8,245 20,909 -------- -------- -------- -------- ------- ------- NET ASSETS: Beginning of period.................. 579,974 507,081 643,712 548,817 48,927 28,018 -------- -------- -------- -------- ------- ------- END OF PERIOD*....................... $629,385 $579,974 $706,538 $643,712 $57,172 $48,927 ======== ======== ======== ======== ======= ======= * Includes undistributed net investment income (loss) of........ $ 3,344 $ 11,918 $ 1,438 $ 7,137 $ 24 $ 89 ======== ======== ======== ======== ======= ======= SMALL CAP VALUE ------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, 2004 2003 ----------- ----------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income................ $ 1,898 $ 2,317 Net realized gain (loss) on investments, futures contracts, and foreign currency transactions...... 41,612 14,129 Change in net unrealized appreciation or depreciation of investments, futures contracts, and foreign currency translations.............. 21,003 95,651 Change in unrealized gain (loss) allocated from the Portfolio....... -- -- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... 64,513 112,097 -------- -------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income: Institutional Class................ (522) (11) PlanAhead Class.................... (156) (371) AMR Class.......................... (1,911) (2,228) Net realized gain on investments: Institutional Class................ (3,082) (125) PlanAhead Class.................... (2,162) (849) AMR Class.......................... (9,583) (4,420) -------- -------- NET DISTRIBUTIONS TO SHAREHOLDERS................... (17,416) (8,004) -------- -------- CAPITAL SHARE TRANSACTIONS: Proceeds from sales of shares........ 296,077 236,616 Reinvestment of dividends and distributions...................... 16,178 8,003 Cost of shares redeemed.............. (59,687) (83,990) Redemption fees...................... -- -- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS................... 252,568 160,629 -------- -------- NET INCREASE (DECREASE) IN NET ASSETS.... 299,665 264,722 -------- -------- NET ASSETS: Beginning of period.................. 484,028 219,306 -------- -------- END OF PERIOD*....................... $783,693 $484,028 ======== ======== * Includes undistributed net investment income (loss) of........ $ 1,201 $ 1,892 ======== ========
--------------- (1) Commencement of Operations See accompanying notes -------------------------------------------------------------------------------- 76 --------------------------------------------------------------------------------
INTERNATIONAL EQUITY EMERGING MARKETS HIGH YIELD BOND ENHANCED INCOME ------------------------- ------------------------- ------------------------- ------------------------- SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED JUNE 30 TO APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2004 2003 2004 2003 2004 2003 2004 2003(1) ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 10,961 $ 20,084 $ 257 $ 375 $ 10,524 $ 14,294 $ 1,175 $ 685 52,629 (14,862) 6,219 1,470 3,320 5,981 926 (433) -- -- (739) 15,857 4 13,317 176 315 99,610 290,167 -- -- -- -- -- -- ---------- ---------- ------- -------- -------- -------- -------- -------- 163,200 295,389 5,737 17,702 13,848 33,592 2,277 567 ---------- ---------- ------- -------- -------- -------- -------- -------- (19,224) (15,830) (20) (12) (5,981) (8,012) -- -- (4,201) (2,465) (3) -- (4,543) (6,282) (1,247) (685) (9,135) (8,401) (415) (319) -- -- -- -- -- -- -- -- (2,082) -- -- -- -- -- -- -- (1,645) -- -- -- -- -- -- -- -- -- -- -- ---------- ---------- ------- -------- -------- -------- -------- -------- (32,560) (26,696) (438) (331) (14,251) (14,294) (1,247) (685) ---------- ---------- ------- -------- -------- -------- -------- -------- 359,693 569,324 22,646 17,731 64,789 312,581 7,710 104,430 28,865 24,545 438 331 10,319 8,009 767 1 (279,048) (542,508) (9,600) (14,387) (66,669) (161,695) (9,671) (3,241) 9 815 -- -- -- -- -- -- ---------- ---------- ------- -------- -------- -------- -------- -------- 109,519 52,176 13,484 3,675 8,439 158,895 (1,194) 101,190 ---------- ---------- ------- -------- -------- -------- -------- -------- 240,159 320,869 18,783 21,046 8,036 178,193 (164) 101,072 ---------- ---------- ------- -------- -------- -------- -------- -------- 1,222,560 901,691 55,547 34,501 287,035 108,842 101,072 -- ---------- ---------- ------- -------- -------- -------- -------- -------- $1,462,719 $1,222,560 $74,330 $ 55,547 $295,071 $287,035 $100,908 $101,072 ========== ========== ======= ======== ======== ======== ======== ======== $ (11,399) $ 8,624 $ 99 $ 292 $ -- $ -- $ (72) $ -- ========== ========== ======= ======== ======== ======== ======== ======== INTERMEDIATE BOND SHORT-TERM BOND ------------------------- ------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2004 2003 2004 2003 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) $ 2,839 $ 8,605 $ 1,511 $ 4,882 1,138 5,796 266 107 (2,099) (3,389) (692) (879) -- -- -- -- -------- -------- -------- -------- 1,878 11,012 1,085 4,110 -------- -------- -------- -------- (17) (1,957) (84) (317) (23) (153) (166) (181) (2,799) (6,495) (2,199) (5,040) -- -- -- -- -- -- -- -- -- -- -- -- -------- -------- -------- -------- (2,839) (8,605) (2,449) (5,538) -------- -------- -------- -------- 13,645 65,108 10,278 31,785 2,837 6,687 2,404 5,349 (26,423) (160,564) (18,994) (36,115) -- -- -- -- -------- -------- -------- -------- (9,941) (88,769) (6,312) 1,019 -------- -------- -------- -------- (10,902) (86,362) (7,676) (409) -------- -------- -------- -------- 134,346 220,708 101,439 101,848 -------- -------- -------- -------- $123,444 $134,346 $ 93,763 $101,439 ======== ======== ======== ======== $ -- $ -- $ (1,645) $ (924) ======== ======== ======== ========
-------------------------------------------------------------------------------- 77 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES American AAdvantage Funds (the "Trust") is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940 (the "Act"), as amended, as a no load, open-end management investment company. These financial statements and notes to the financial statements relate to the American AAdvantage Balanced Fund, the American AAdvantage Large Cap Value Fund, the American AAdvantage Large Cap Growth Fund, the American AAdvantage Small Cap Value Fund, the American AAdvantage International Equity Fund, the American AAdvantage Emerging Markets Fund, the American AAdvantage High Yield Bond Fund, the American AAdvantage Enhanced Income Fund, the American AAdvantage Intermediate Bond Fund and the American AAdvantage Short-Term Bond Fund (each a "Fund" and collectively, the "Funds"), each a series of the Trust. Each Fund, except the Enhanced Income Fund, has multiple classes of shares. 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 to the Trust and other investors. The American AAdvantage International Equity Fund (the "International Fund") invests all of its investable assets in the International Equity Portfolio (the "Portfolio") of the AMR Investment Services Trust, which has the same investment objectives as the International Fund. The Portfolio is an open-end management investment company registered under the Act. The value of the investment in the Portfolio reflects the International Fund's proportionate interest in the net assets of the Portfolio. At April 30, 2004 the International Fund's investment was 94.80% of the Portfolio. Each Fund, except the Enhanced Income Fund, has multiple classes of shares designed to meet the needs of different groups of investors. Differences between the classes include the services offered to and the expenses borne by each class. Investment income, net capital gains (losses) and all expenses incurred by the Funds are allocated based on relative net assets of each class, except for service fees and certain other fees and expenses related solely to one class of shares. The financial statements of the Portfolio, including Notes to Financial Statements, are included elsewhere in this report and should be read in conjunction with the International Fund's financial statements. The Notes to Financial Statements of the Portfolio include a discussion of investment valuation, security transactions and investment income, the Management Agreement and securities lending. The following is a summary of the significant accounting policies followed by the Funds. Security Valuation Equity securities that are primarily traded on domestic securities exchanges are valued at the last quoted sales price on a designated exchange at the close of trading on the New York Stock Exchange (the "Exchange") on each day the Exchange is open for trading or, lacking any current sales, on the basis of the last current bid price prior to the close of trading on the Exchange. Over-the-counter equity securities are valued on the basis of the last bid price on that date prior to the close of trading. Securities traded on NASDAQ will be valued at the NASDAQ official closing price. -------------------------------------------------------------------------------- 78 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- 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. Most foreign markets close before the Exchange. Movements in the U.S. markets after the close of foreign markets are evaluated, and security prices may be adjusted to reflect the fair value of the securities as of the close of the Exchange as determined in good faith in accordance with procedures adopted by the Trust's Board of Trustees (the "Board"). Debt securities (other than short-term securities) normally are 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. Investments in mutual funds are valued at the closing net asset value per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method. Securities for which the above valuation procedures are inappropriate, or are deemed not to reflect fair value, are valued at fair value, as determined in good faith and pursuant to procedures approved by the Board. Valuation of securities by the Portfolio is discussed in Note 1 of the Portfolio's Notes to Financial Statements which are included elsewhere in this report. 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 Funds. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification. The International 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 the Portfolio is allocated pro rata among the International Fund and other investors in the Portfolio at the time of such determination. Currency Translation All assets and liabilities initially expressed in foreign currency values are converted into U.S. dollar values at the mean of the bid and ask prices 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 effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and is reported with all other foreign currency gains and losses in the Fund's Statement of Operations. -------------------------------------------------------------------------------- 79 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- Forward Foreign Currency Contracts The Emerging Markets Fund may enter into forward foreign currency contracts to hedge the exchange rate risk on investment transactions or to hedge the value of fund securities denominated in foreign currencies. Forward foreign currency contracts are valued at the forward exchange rate prevailing on the day of valuation. Repurchase Agreements Under the terms of a repurchase agreement, securities are acquired by a Fund from a securities dealer or a bank which are subject to resale at a later date. Repurchase agreements are fully collateralized. All collateral is held at the Fund's custodian bank, State Street Bank and Trust Company, or at subcustodian banks. The collateral is monitored daily by each Fund so that the collateral's market value equals or exceeds the carrying value of the repurchase agreement, including accrued interest. Futures Contracts Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Balanced, Large Cap Value, Large Cap Growth, Small Cap Value, Emerging Markets, High Yield Bond and Enhanced Income Funds may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. Upon entering into a futures contract, the Fund 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 Fund 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 Fund. When entering into a closing transaction, the Fund 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 exchange on which they are traded. The use of future contracts may involve risks such as the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations. Dividends to Shareholders Dividends from net investment income of the Balanced, Large Cap Value, Large Cap Growth, Small Cap Value, International Equity and Emerging Markets Funds normally will be declared and paid annually. The High Yield Bond, Enhanced Income, Intermediate Bond and Short-Term Bond Funds generally declare dividends from net investment income daily, payable monthly. Distributions, if any, of net realized capital gains are generally paid annually and recorded on the ex- dividend date. -------------------------------------------------------------------------------- 80 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- 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. Dividends are determined in accordance with income tax regulations which may treat certain transactions differently than generally accepted accounting principles. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. The tax character of distributions during the six months ended April 30, 2004 and the fiscal year ended October 31, 2003 were as follows (in thousands):
BALANCED LARGE CAP VALUE LARGE-CAP GROWTH ------------------------- ------------------------- --------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2004 2003 2004 2003 2004 2003 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME Institutional Class.............. $ 211 $ 105 $ 414 $ 502 $ -- $ -- Plan Ahead Class................. 354 421 344 333 -- -- AMR Class........................ 15,797 22,194 11,675 12,821 151 107 LONG-TERM CAPITAL GAIN Institutional Class.............. -- -- -- -- -- -- Plan Ahead Class................. -- -- -- -- -- -- AMR Class........................ -- -- -- -- -- -- ------- ------- ------- ------- ---- ---- TOTAL DISTRIBUTIONS PAID..... $16,362 $22,720 $12,433 $13,656 $151 $107 ------- ------- ------- ------- ---- ----
SMALL CAP VALUE INTERNATIONAL EQUITY EMERGING MARKETS ------------------------- ------------------------- --------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2004 2003 2004 2003 2004 2003 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME Institutional Class.............. $ 2,878 $ 117 $19,224 $15,830 $ 20 $ 12 Plan Ahead Class................. 1,809 1,089 4,201 2,465 3 -- AMR Class........................ 9,236 5,971 9,135 8,401 415 319 Service Class.................... -- -- -- -- -- -- LONG-TERM CAPITAL GAIN Institutional Class.............. 726 19 -- -- -- -- Plan Ahead Class................. 509 130 -- -- -- -- AMR Class........................ 2,258 678 -- -- -- -- Service Class.................... -- -- -- -- -- -- ------- ------ ------- ------- ---- ---- TOTAL DISTRIBUTIONS PAID..... $17,416 $8,004 $32,560 $26,696 $438 $331 ------- ------ ------- ------- ---- ----
-------------------------------------------------------------------------------- 81 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
HIGH-YIELD BOND ENHANCED INCOME INTERMEDIATE BOND ------------------------- ------------------------- ------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED JUNE 30 TO ENDED YEAR ENDED APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, 2004 2003 2004 2003 2004 2003 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME Institutional Class............. $ 7,578 $ 8,012 $ -- $ -- $ 17 $1,957 PlanAhead Class................. 5,805 6,282 1,247 685 23 153 AMR Class....................... -- -- -- -- 2,799 6,495 Service Class................... -- -- -- -- -- -- LONG-TERM CAPITAL GAIN Institutional Class............. 485 -- -- -- -- -- PlanAhead Class................. 383 -- -- -- -- -- AMR Class....................... -- -- -- -- -- -- Service Class................... -- -- -- -- -- -- ------- ------- ------ ---- ------ ------ TOTAL DISTRIBUTIONS PAID..... $14,251 $14,294 $1,247 $685 $2,839 $8,605 ------- ------- ------ ---- ------ ------ SHORT-TERM BOND ------------------------- SIX MONTHS ENDED YEAR ENDED APRIL 30, OCTOBER 31, 2004 2003 ----------- ----------- (UNAUDITED) DISTRIBUTIONS PAID FROM: ORDINARY INCOME Institutional Class............. $ 84 $ 317 PlanAhead Class................. 166 181 AMR Class....................... 2,199 5,040 Service Class................... -- -- LONG-TERM CAPITAL GAIN Institutional Class............. -- -- PlanAhead Class................. -- -- AMR Class....................... -- -- Service Class................... -- -- ------ ------ TOTAL DISTRIBUTIONS PAID..... $2,449 $5,538 ------ ------
For corporate shareholders in the Funds, the percentage of ordinary dividend income distributed for the year ended December 31, 2003, which is designated as qualifying for the dividends-received deduction, is as follows (unaudited): Balanced Fund 41.0%, Large Cap Value Fund 84.0%, Large Cap Growth Fund 96.0%, Small Cap Value Fund 74.0% and Enhanced Income Fund 8.0%. For shareholders in the Funds, the percentage of dividend income distributed for the year ended December 31, 2003, which is designated as qualified dividend income under the Jobs and Growth Tax Relief Act of 2003, is as follows (unaudited): Balanced Fund 46.43%, Large Cap Value Fund 100.0%, Large Cap Growth Fund 100.0%, Small Cap Value Fund 18.13%, International Equity Fund 58.98%, Emerging Markets Fund 100.00% and Enhanced Income Fund 3.08%. As of April 30, 2004, the components of distributable earnings were as follows (in thousands):
BALANCED LARGE CAP LARGE CAP SMALL CAP INTERNATIONAL EMERGING FUND VALUE FUND GROWTH FUND VALUE FUND EQUITY FUND MARKETS FUND -------- ---------- ------------- ---------- ------------- ------------ Cost basis of investments for federal income tax purposes.... $626,359 $624,340 $ 54,369 $808,380 $1,566,845 $66,411 Unrealized appreciation......... 80,601 134,607 5,794 96,389 258,725 12,835 Unrealized depreciation......... (13,805) (21,573) (2,200) (10,814) (30,736) (2,117) -------- -------- -------- -------- ---------- ------- Net unrealized appreciation/ (depreciation)................. 66,796 113,034 3,594 85,573 227,989 10,718 Undistributed ordinary income... 4,066 1,438 25 25,711 1,787 98 Undistributed long-term gain/ (loss)......................... 13,766 (18,629) (11,538) 12,138 (85,247) 3,173 -------- -------- -------- -------- ---------- ------- Distributable earnings.......... $84,628 $ 95,843 $ (7,919) $123,422 $ 144,529 $13,989 ======== ======== ======== ======== ========== ======= ENHANCED HIGH YIELD INCOME INTERMEDIATE SHORT-TERM BOND FUND FUND BOND FUND BOND FUND ---------- ------------- ------------- ---------- Cost basis of investments for federal income tax purposes.... $305,044 $110,019 $139,744 $ 93,799 Unrealized appreciation......... 12,626 2,216 1,165 395 Unrealized depreciation......... (1,298) (1,725) (1,922) (1,664) -------- -------- -------- -------- Net unrealized appreciation/ (depreciation)................. 11,328 491 (757) (1,269) Undistributed ordinary income... 903 765 454 667 Undistributed long-term gain/ (loss)......................... 2,414 -- (7,304) (8,508) -------- -------- -------- -------- Distributable earnings.......... $ 14,645 $ 1,256 $ (7,607) $ (9,110) ======== ======== ======== ========
Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses from wash sales, the realization for tax purposes of unrealized gains/(losses) on certain derivative instruments, book amortization for premiums, and the realization for tax purposes of unrealized gains/(losses) on investments in passive foreign investment companies. Due to inherent differences in the recognition of income, expenses and realized gains/losses under accounting principles generally accepted in the United States of America and federal income -------------------------------------------------------------------------------- 82 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- tax purposes, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statement of Assets and Liabilities. Accordingly, the following amounts represent current year permanent differences that have been reclassified as of April 30, 2004 (in thousands):
BALANCED LARGE CAP INTERNATIONAL EMERGING INTERMEDIATE SHORT-TERM FUND VALUE FUND EQUITY FUND MARKETS FUND BOND FUND BOND FUND -------- ---------- ------------- ------------ ------------ ---------- Paid-in-capital....................... $ 159 $ 188 $ 467 $ (2) $ 1 $ -- Undistributed net investment income... 215 482 1,576 (12) -- 409 Accumulated net realized gain (loss)............................... (374) (670) (2,043) 14 (1) (409)
At April 30, 2004, capital loss carryforward positions for federal income tax purposes were as follows (in thousands):
FUND AMOUNT EXPIRES ---- ------- ------- Large Cap Value............................................. $19,629 2010-2011 Large Cap Growth............................................ 11,538 2008-2011 International Equity........................................ 86,247 2009-2011 Intermediate Bond........................................... 7,304 2008-2010 Short-Term Bond............................................. 8,508 2004-2012
Net capital loss carryovers utilized for the period ended April 30, 2004 are as follows: Balanced Fund $2,278, Large Cap Value Fund $22,694, Large Cap Growth Fund $2,138, International Equity Fund $48,965, Emerging Markets Fund $2,733, Enhanced Income Fund $433, Intermediate Bond Fund $965, and Short-Term Bond Fund $0. Allocation of Income, Expenses, Gains and Losses Income, expenses (other than those attributable to a specific class), gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class. 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. Other In the normal course of business, the Funds enter into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Funds' maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Funds have had no prior claims or losses pursuant to any such agreement. -------------------------------------------------------------------------------- 83 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- 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, fund management and securities lending services. Investment assets of the International Fund are invested in the Portfolio. Management Fees paid by the Portfolio are discussed in Note 1 of the Portfolio's Notes to Financial Statements which are included elsewhere in this report. Investment assets of the Balanced, Large Cap Value, Large Cap Growth, Small Cap Value, Emerging Markets, High Yield Bond, Enhanced Income and Intermediate Bond Funds 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 Fund, Large Cap Value Fund, Large Cap Growth Fund, Small Cap Value Fund, Emerging Markets Fund, High Yield Bond Fund and Enhanced Income Fund 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 Funds. The Manager receives an annualized fee of .25% of the average daily net assets of the Intermediate Bond Fund and pays a portion of their fee to an investment adviser hired by the Manager to direct investment activities of a portion of the Fund. Management fees paid during the six months ended April 30, 2004 were as follows (dollars in thousands):
AMOUNTS PAID TO NET AMOUNTS MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY FEE RATE FEE ADVISERS MANAGER ----------- ---------- --------------- ----------- Balanced Fund...................................... .225%-.70% $ 907 $ 599 $308 Large Cap Value Fund............................... .225%-.70% 1,069 723 346 Large Cap Growth Fund.............................. .50%-.70% 170 143 27 Small Cap Value Fund............................... .35%-.60% 1,666 1,341 325 Emerging Markets Fund.............................. .80%-1.20% 363 328 35 High Yield Bond Fund............................... 0.65% 941 793 148 Enhanced Income Fund............................... .25%-.85% 180 129 51 Intermediate Bond Fund............................. .25% 161 66 95
The Manager serves as the sole investment adviser to the Short-Term Bond Fund. Pursuant to the Management Agreement, the Manager receives from the Fund an annualized fee equal to .25% of the average daily net assets of the Short-Term Bond Fund. As compensation for services provided by the Manager in connection with securities lending activities, the lending Fund pays to the Manager, with respect to cash collateral posted by borrowers, a fee up to 25% of the net monthly interest income (the gross interest income earned by the investment of cash collateral, less the amount paid to borrowers and related expenses) from such activities and, with respect to loan fees paid by borrowers when a borrower posts collateral other -------------------------------------------------------------------------------- 84 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- than cash, a fee up to 25% of such loan fees. During the period, securities lending fees paid to the Manager were as follows (in thousands): Balanced Fund............................................... $ 7 Large Cap Value Fund........................................ 5 Small Cap Value Fund........................................ 14 Emerging Markets Fund....................................... 1 High Yield Bond Fund........................................ 6 Enhanced Income Fund........................................ 1 Intermediate Bond Fund...................................... 1
Administrative Services Agreement The Manager and the Trust entered into an Administrative Services 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 Administrative Services Agreement, the Manager receives an annualized fee of .25% of the average daily net assets of the Institutional, PlanAhead and Service Classes of each of the Funds. Distribution Plans The Trust, except for the Service Class of the Funds, has adopted a "defensive" Distribution Plan (the "Plan") in accordance with Rule 12b-1 under the Investment Company Act of 1940, pursuant to which no fees may be charged to the Funds for distribution purposes. However, the Plan authorizes the management fees received by the Manager and the investment advisers hired by the Manager to be used for distribution purposes. Under this Plan, the Trust does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Trust shares. A separate Distribution Plan (the "Distribution Plan") has been adopted pursuant to Rule 12b-1 under the Act for the Service Class of the Funds. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the Service Class. 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. Service Plans The Manager and the Trust entered into Service Plans which obligates the Manager to oversee additional shareholder servicing of the PlanAhead and Service Classes. As compensation for performing the duties required under the Service Plans, the Manager receives 0.25% based on the daily net assets of the PlanAhead and Service Classes of each Fund. Investment in Affiliated Funds The Balanced, Large Cap Value, Large Cap Growth, Small Cap Value, Emerging Markets, High Yield Bond, Enhanced Income, Intermediate Bond and Short-Term Bond Funds may invest in the American AAdvantage Money Market Select Fund (the "Select Fund"). Cash collateral received by certain Funds in connection with securities lending may be invested in the Select Fund and the AMR -------------------------------------------------------------------------------- 85 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- Investments Enhanced Cash Business Trust (the "Business Trust") (collectively, the "Affiliated Funds"). The Manager serves as Trustee and investment adviser to the Affiliated Funds and receives from the Affiliated Funds an annualized fee equal to 0.10% of the average daily net assets. During the period, fees earned by the Manager from the Affiliated Funds were as follows:
SECURITIES LENDING DIRECT INVESTMENT COLLATERAL INVESTED IN FUNDS IN FUNDS TOTAL ----------------- ------------------- ------- Balanced.................................................... $24,580 $32,103 $56,683 Large Cap Value............................................. 24,266 16,159 40,426 Large Cap Growth............................................ 548 -- 548 Small Cap Value............................................. 33,515 43,919 77,434 Emerging Markets............................................ 2,056 669 2,725 High Yield Bond............................................. 6,265 -- 6,265 Enhanced Income............................................. 1,177 -- 1,177 Intermediate Bond........................................... 1,932 6,702 8,634 Short Term Bond............................................. 749 784 1,533
A summary of the Funds' transactions in Affiliated Funds for the period ended April 30, 2004 is set forth below (in thousands):
OCTOBER 31, 2003 APRIL 30, 2004 FUND AFFILIATE SHARE/MARKET VALUE PURCHASES SALES SHARES/MARKET VALUE ---- ----------- ------------------ --------- -------- ------------------- Balanced.......................... Select Fund $45,459 $136,469 $128,991 $52,936 Large Cap Value................... Select Fund 42,022 128,761 124,030 46,752 Large Cap Growth.................. Select Fund 702 9,404 9,595 511 Small Cap Value................... Select Fund 46,819 484,743 452,391 79,172 Emerging Markets.................. Select Fund 1,414 20,229 18,888 2,755 High Yield Bond................... Select Fund 20,891 88,718 100,697 8,912 Enhanced Income................... Select Fund 4,167 25,350 27,374 2,144 Intermediate Bond................. Select Fund 3,654 38,178 37,558 4,275 Short Term Bond................... Select Fund 1,154 20,198 19,763 1,589
Other Certain officers or Trustees of the Trust are also current or former officers or employees of the Manager or American. The Trust makes no direct payments to its officers. Unaffiliated Trustees and their spouses are provided free unlimited air transportation on American. However, the Trust compensates each Trustee with payments in an amount equal to the Trustee's income tax on the value of this free airline travel. For the six months ended April 30, 2004, the cost of air transportation was not material to any of the Funds. One non-interested Trustee, as a retiree of American, already receives flight benefits. This Trustee receives an annual retainer of $40,000 plus $1,250 for each Board meeting attended. At April 30, 2004, AMR Corporation and subsidiary companies and Employee Benefit Trusts thereof owned 100% of AMR Class shares of the Funds. Reimbursement of Expenses The Manager and the Investment Adviser of the High Yield Bond Fund -- Institutional Class have each contractually agreed to waive a portion of their fees through October 31, 2004 to the extent that total fund operating expenses exceed 0.90%. During the six months ended April 30, -------------------------------------------------------------------------------- 86 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- 2004, the Manager and Investment Adviser each waived administrative service and management fees totaling $31,000. The Manager reimbursed expenses of the Service Class totaling $8,133, $8,064, and $7,250 for the Small Cap Value, International Equity and High Yield Bond Funds, respectively during the six months ended April 30, 2004. 3. INVESTMENT TRANSACTIONS Investment transactions for the six months ended April 30, 2004 (excluding short-term investments) are as follows (in thousands):
LARGE CAP LARGE CAP EMERGING HIGH YIELD ENHANCED INTERMEDIATE BALANCED VALUE GROWTH SMALL CAP MKT BOND INCOME BOND SHORT-TERM -------- --------- --------- --------- -------- ---------- -------- ------------ ---------- Purchases............ $184,149 $115,574 $33,255 $344,279 $36,031 $205,298 $42,609 $66,510 $13,681 Proceeds from sales.............. $170,016 $119,047 $27,660 $138,974 $16,694 $188,665 $39,642 $75,624 $20,363
The Balanced Fund had purchases and sales of U.S. Government Securities of $17,337 and $21,151 respectively, and the Intermediate Bond Fund had purchases and sales of U.S. Government securities of $18,332 and $16,248, respectively. 4. SECURITIES LENDING The Balanced, Large Cap Value, Large Cap Growth, Small Cap Value, Emerging Markets, High Yield Bond, Enhanced Income, Intermediate Bond and Short-Term Bond Funds 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 will generally equal at least 100% of the market value of the loaned securities plus accrued interest. The Funds 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 Funds receive interest on the collateral less any fees and rebates paid to agents and transferees of securities. The Funds also continue to receive income 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. At April 30, 2004, the Funds had securities on loan as follows (in thousands):
MARKET VALUE OF FUND SECURITIES ON LOAN NON-CASH COLLATERAL CASH COLLATERAL ---- ------------------ ------------------- --------------- Balanced................................ $ 57,812 $1,559 $ 57,658 Large Cap Value......................... 26,262 -- 27,299 Large Cap Growth........................ 752 -- 789 Small Cap Value......................... 104,061 -- 106,829 Emerging Markets........................ 2,299 -- 2,427 High Yield Bond......................... 24,879 -- 25,441 Enhanced Income......................... 7,400 -- 7,574 Intermediate Bond....................... 13,411 -- 13,707 Short Term Bond......................... 25 -- 26
-------------------------------------------------------------------------------- 87 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- The Custodian for each Fund, other than High Yield Bond, invested the cash collateral in the Business Trust and the Select Fund. These amounts have been included as investments in each Fund's Schedule of Investments and Statements of Assets & Liabilities. Income earned on these investments is reported as Income derived from securities lending in the Statements of Operations. 5. COMMISSION RECAPTURE The Funds have established brokerage commission recapture arrangements with certain brokers or dealers. If a Fund's investment adviser chooses to execute a transaction through a participating broker, the broker rebates a portion of the commission back to the Fund. Any collateral benefit received through participation in the commission recapture program is directed exclusively to the Fund. 6. FUTURES CONTRACTS A summary of futures contracts at April 30, 2004 is as follows (in thousands):
UNREALIZED MARKET APPRECIATION/ TYPE OF FUTURE EXPIRATION CONTRACTS VALUE (DEPRECIATION) -------------- ---------- --------- ------- -------------- BALANCED FUND: S&P 500 Index............................................. June 2004 180 $53,369 $ (413) LARGE CAP VALUE FUND: Emini S&P 500 Index....................................... June 2004 171 47,286 (422) LARGE CAP GROWTH FUND: Emini S&P 500 Index....................................... June 2004 8 442 (10) SMALL CAP VALUE FUND: Russell 2000 Index........................................ June 2004 299 83,698 (4,050)
7. CAPITAL SHARE TRANSACTIONS The tables below summarize the activity in capital shares for each Class of the Funds (in thousands): Six Months Ended April 30, 2004 (Unaudited)
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ------------------- ------------------- ------------------ BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------------- ------- -------- ------ --------- ------- -------- Shares sold....................................... 100 $ 1,363 354 $ 4,594 2,519 $ 33,322 Reinvestment of dividends......................... 16 211 28 351 1,225 15,797 Shares redeemed................................... (230) (3,148) (307) (4,047) (2,016) (26,545) ---- ------- ---- ------- ------ -------- Net increase (decrease) in shares outstanding..... (114) $(1,574) 75 $ 898 1,728 $ 22,574 ==== ======= ==== ======= ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ------------------- ------------------- ------------------ LARGE CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT -------------------- ------- -------- ------ --------- ------- -------- Shares sold....................................... 572 $ 9,832 784 $12,993 778 $ 13,009 Reinvestment of dividends......................... 12 190 21 341 717 11,675 Shares redeemed................................... (341) (5,779) (285) (4,707) (2,279) (38,050) ---- ------- ---- ------- ------ -------- Net increase (decrease) in shares outstanding..... 243 $ 4,243 520 $ 8,627 (784) $(13,366) ==== ======= ==== ======= ====== ========
-------------------------------------------------------------------------------- 88 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
INSTITUTIONAL CLASS AMR CLASS -------------------- ----------------- LARGE CAP GROWTH FUND SHARES AMOUNT SHARES AMOUNT --------------------- -------- -------- ------ ------- Shares sold...................................... -- $ -- 1,798 $10,459 Reinvestment of dividends........................ -- -- 27 151 Shares redeemed.................................. -- -- (901) (5,235) ---- ---- ----- ------- Net increase in shares outstanding............... -- $ -- 924 $ 5,375 ==== ==== ===== =======
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS -------------------- ------------------ ---------------- ------------------- SMALL CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT -------------------- ------- --------- ------ -------- ------ ------ ------- -------- Shares sold................ 7,469 $132,360 4,004 $ 69,968 40 $724 5,294 $ 93,025 Reinvestment of dividends.. 143 2,425 136 2,259 -- -- 683 11,494 Shares redeemed............ (807) (14,184) (837) (14,552) (1) (9) (1,765) (30,942) ----- -------- ----- -------- -- ---- ------ -------- Net increase in shares outstanding.............. 6,805 $120,601 3,303 $ 57,675 39 $715 4,212 $ 73,577 ===== ======== ===== ======== == ==== ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS INTERNATIONAL EQUITY -------------------- ------------------- ---------------- ------------------- FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT -------------------- ------- --------- ------ --------- ------ ------ ------- --------- Shares sold............... 7,550 $127,688 8,026 $ 132,452 -- $ -- 5,762 $ 99,553 Reinvestment of dividends............... 975 15,613 258 4,117 -- -- 568 9,135 Shares redeemed*.......... (4,438) (74,300) (6,405) (103,975) -- -- (5,829) (100,764) ------ -------- ------ --------- ---- ---- ------ --------- Net increase in shares outstanding............. 4,087 $ 69,001 1,879 $ 32,594 -- $ -- 501 $ 7,924 ====== ======== ====== ========= ==== ==== ====== =========
* Net of Redemption Fees
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS -------------------- ----------------- ----------------- EMERGING MARKETS FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT --------------------- -------- -------- ------ ------- ------- ------- Shares sold....................................... 188 $2,285 96 $1,188 1,591 $19,173 Reinvestment of dividends......................... 2 20 -- 3 37 415 Shares redeemed................................... -- (2) (101) (1,225) (686) (8,373) --- ------ ---- ------- ----- ------- Net increase (decrease) in shares outstanding..... 190 $2,303 (5) $ (34) 942 $11,215 === ====== ==== ======= ===== =======
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS -------------------- ------------------ ---------------- HIGH YIELD BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT -------------------- ------- --------- ------ -------- ------- ------ Shares sold....................................... 3,432 $ 37,102 2,563 $ 27,687 -- $ -- Reinvestment of dividends......................... 643 6,930 314 3,389 -- -- Shares redeemed................................... (4,365) (47,112) (1,809) (19,557) -- -- ------ -------- ------ -------- ---- ---- Net increase (decrease) in shares outstanding..... (290) $ (3,080) 1,068 $ 11,519 -- $ -- ====== ======== ====== ======== ==== ====
PLANAHEAD CLASS ----------------- ENHANCED INCOME FUND SHARES AMOUNT -------------------- ------ ------- Shares sold...................................... 759 $7,710 Reinvestment of dividends........................ 75 767 Shares redeemed.................................. (952) (9,671) ---- ------- Net decrease in shares outstanding............... (118) $(1,194) ==== =======
-------------------------------------------------------------------------------- 89 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS -------------------- ---------------- ----------------- INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ---------------------- -------- -------- ------ ------ ------- ------- Shares sold....................................... 1 $ 13 5 $ 48 1,311 $13,584 Reinvestment of dividends......................... 1 16 2 23 271 2,798 Shares redeemed................................... (14) (154) (34) (355) (2,509) (25,914) --- ----- --- ----- ------ ------- Net decrease in shares outstanding................ (12) $(125) (27) $(284) (927) $(9,532) === ===== === ===== ====== =======
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS -------------------- ----------------- ----------------- SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT -------------------- -------- -------- ------ ------- ------- ------- Shares sold....................................... 7 $ 65 783 $7,290 314 $ 2,923 Reinvestment of dividends......................... 8 71 14 134 237 2,199 Shares redeemed................................... (48) (444) (526) (4,897) (1,470) (13,653) --- ----- ---- ------- ------ ------- Net increase (decrease) in shares outstanding..... (33) $(308) 271 $2,527 (919) $(8,531) === ===== ==== ======= ====== =======
Period Ended October 31, 2003
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ------------------- -------------------- ------------------ BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ------------- ------- -------- ------- --------- ------- -------- Shares sold..................................... 381 $ 4,168 319 $ 3,669 5,544 $ 64,393 Reinvestment of dividends....................... 8 92 39 418 2,049 22,194 Shares redeemed................................. (513) (5,769) (261) (2,914) (7,735) (88,073) ------- -------- ------- ------- ------ -------- Net increase (decrease) in shares outstanding... (124) $ (1,509) 97 $ 1,173 (142) $ (1,486) ======= ======== ======= ======= ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS ------------------- -------------------- ------------------ LARGE CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT -------------------- ------- -------- ------- --------- ------- -------- Shares sold..................................... 559 $ 7,483 421 $ 5,507 1,874 $ 24,921 Reinvestment of dividends....................... 17 214 27 334 1,022 12,820 Shares redeemed................................. (791) (10,435) (349) (4,356) (5,346) (68,500) ------- -------- ------- ------- ------ -------- Net increase (decrease) in shares outstanding... (215) $ (2,738) 99 $ 1,485 (2,450) $(30,759) ======= ======== ======= ======= ====== ========
INSTITUTIONAL CLASS AMR CLASS -------------------- -------------------- LARGE CAP GROWTH FUND SHARES AMOUNT SHARES AMOUNT --------------------- ------- --------- ------- --------- Shares sold.................................. -- $ -- 5,050 $ 24,357 Reinvestment of dividends.................... -- -- 24 107 Shares redeemed.............................. -- -- (2,328) (10,846) ------- --------- ------- --------- Net increase in shares outstanding........... -- $ -- 2,746 $ 13,618 ======= ========= ======= =========
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS -------------------- -------------------- ----------------- ------------------- SMALL CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT -------------------- ------- --------- ------- --------- ------- ------ ------- -------- Shares sold............ 5,804 $ 86,593 3,895 $ 50,470 -- $1 7,133 $ 99,552 Reinvestment of dividends............ 12 135 107 1,219 -- -- 579 6,649 Shares redeemed........ (2,235) (27,191) (1,251) (16,693) -- -- (3,437) (40,106) ------- --------- ------- --------- ------- -- ------ -------- Net increase in shares outstanding.......... 3,581 $ 59,537 2,751 $ 34,996 -- $1 4,275 $ 66,095 ======= ========= ======= ========= ======= == ====== ========
-------------------------------------------------------------------------------- 90 AMERICAN AADVANTAGE FUNDS NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS AMR CLASS INTERNATIONAL EQUITY -------------------- -------------------- ------------------- ------------------ FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT -------------------- ------- --------- ------- --------- ------- -------- ------- -------- Shares sold............ 17,587 $ 222,848 23,195 $ 310,919 -- $ 1 2,789 $ 35,557 Reinvestment of dividends............ 1,158 13,713 207 2,431 -- -- 707 8,401 Shares redeemed*....... (16,430) (212,287) (20,177) (271,010) -- -- (4,456) (58,396) ------- --------- ------- --------- ------- -------- ------ -------- Net increase (decrease) in shares outstanding.......... 2,315 $ 24,274 3,225 $ 42,340 -- $ 1 (960) $(14,438) ======= ========= ======= ========= ======= ======== ====== ========
* Net of Redemption Fees
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS -------------------- ------------------- ------------------ EMERGING MARKETS FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT --------------------- ------- --------- ------- -------- ------- -------- Shares sold.................................... 88 $ 767 47 $ 406 1,889 $ 16,558 Reinvestment of dividends...................... 2 12 -- -- 42 319 Shares redeemed................................ -- -- -- -- (1,629) (14,387) ------- --------- ------- -------- ------ -------- Net increase in shares outstanding............. 90 $ 779 47 $ 406 302 $ 2,490 ======= ========= ======= ======== ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS SERVICE CLASS -------------------- ------------------- ------------------ HIGH YIELD BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT -------------------- ------- --------- ------- -------- ------- -------- Shares sold.................................... 14,111 $ 146,141 16,319 $166,439 -- $ 1 Reinvestment of dividends...................... 683 7,122 89 887 -- -- Shares redeemed................................ (10,637) (107,921) (5,121) (53,774) -- -- ------- --------- ------- -------- ------ -------- Net increase in shares outstanding............. 4,157 $ 45,342 11,287 $113,552 -- $ 1 ======= ========= ======= ======== ====== ========
PLANAHEAD CLASS -------------------- ENHANCED INCOME FUND SHARES AMOUNT -------------------- ------- --------- Shares sold.................................... 10,478 $ 104,430 Reinvestment of dividends...................... -- 1 Shares redeemed................................ (329) (3,241) ------- --------- Net increase in shares outstanding............. 10,149 $ 101,190 ======= =========
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS -------------------- ------------------- ------------------ INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ---------------------- ------- --------- ------- -------- ------- -------- Shares sold.................................... 300 $ 3,165 1,175 $ 12,285 4,798 $ 49,658 Reinvestment of dividends...................... 13 142 5 50 628 6,495 Shares redeemed................................ (7,403) (79,198) (1,209) (12,736) (6,647) (68,630) ------- --------- ------- -------- ------ -------- Net decrease in shares outstanding............. (7,090) $ (75,891) (29) $ (401) (1,221) $(12,477) ======= ========= ======= ======== ====== ========
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS -------------------- ---------------------- ------------------- SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT -------------------- ------- --------- ------- ----------- ------- --------- Shares sold................................ 174 $ 1,640 889 $ 8,365 2,305 $ 21,780 Reinvestment of dividends.................. 16 150 17 160 535 5,039 Shares redeemed............................ (677) (6,395) (658) (6,206) (2,498) (23,514) ------- --------- ------- ----------- ------ --------- Net increase (decrease) in shares outstanding.............................. (487) $ (4,605) 248 $ 2,319 342 $ 3,305 ======= ========= ======= =========== ====== =========
-------------------------------------------------------------------------------- 91 AMERICAN AADVANTAGE BALANCED FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) --------------------------------------------------------------------------------
INSTITUTIONAL CLASS ---------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ------------------------------------------------------- 2004 2003 2002 2001(D E G) 2000(B) 1999 ----------- ------ ------ ----------- -------- -------- (UNAUDITED) Net asset value, beginning of period............ $12.99 $10.97 $12.07 $ 12.27 $ 13.01 $ 14.56 ------ ------ ------ -------- -------- -------- Income from investment operations: Net investment income(A C).................. 0.13 0.30 0.11 0.51 0.58 0.50 Net gains (losses) on securities (both realized and unrealized)(C)............... 0.85 1.85 (0.69) (0.03) (0.03) (0.39) ------ ------ ------ -------- -------- -------- Total income (loss) from investment operations.................................... 0.98 2.15 (0.58) 0.48 0.55 0.11 ------ ------ ------ -------- -------- -------- Less distributions: Dividends from net investment income........ (0.33) (0.13) (0.44) (0.68) (0.51) (0.49) Distributions from net realized gains on securities................................ -- -- (0.08) -- (0.78) (1.17) ------ ------ ------ -------- -------- -------- Total distributions............................. (0.33) (0.13) (0.52) (0.68) (1.29) (1.66) ------ ------ ------ -------- -------- -------- Net asset value, end of period.................. $13.64 $12.99 $10.97 $ 12.07 $ 12.27 $ 13.01 ====== ====== ====== ======== ======== ======== Total return.................................... 7.59%(H) 19.77% (5.14)% 4.07% 5.13% 0.53% ====== ====== ====== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands).... $7,934 $9,041 $8,994 $157,775 $260,880 $139,519 Ratios to average net assets (annualized): Expenses(C)............................... 0.64% 0.63% 0.62% 0.62% 0.61% 0.59% Net investment income(C).................. 2.20% 2.74% 3.12% 3.56% 4.39% 3.55% Portfolio turnover rate(F).................. 30%(H) 69% 84% 122% 121% 90%
--------------- (A) Class expenses per share were subtracted from net investment income per share for the Fund before class expenses to determine net investment income per share. (B) GSB Investment Management, Inc. was removed as an investment adviser to the Balanced Fund on March 1, 2000. (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 AMR Investment Services Balanced Portfolio through February 28, 2002. (D) On September 7, 2001, AMR Investment Services, Inc. assumed management of the fixed income portion of the Balanced Fund's assets previously managed by Merrill Lynch Investment Managers, L.P. (E) On October 9, 2001, Hotchkis and Wiley Capital Management, LLC assumed management of the equity portion of the Balanced Fund's assets previously managed by Merrill Lynch Investment Managers, L.P. (F) The American AAdvantage Balanced Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2002. Portfolio turnover rate through February 28, 2002 was that of the Portfolio. (G) Independence Investment LLC was removed as an investment adviser to the Balanced Fund on November 30, 2000. (H) Not annualized. -------------------------------------------------------------------------------- 92 --------------------------------------------------------------------------------
PLANAHEAD CLASS AMR CLASS --------------------------------------------------------------------------- ------------------------------------------ SIX MONTHS SIX MONTHS ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED OCTOBER 31, APRIL 30, ---------------------------------------------------------- APRIL 30, ------------------------- 2004 2003 2002 2001(D E G) 2000(B) 1999 2004 2003 2002 ----------- ------- ------- ----------- ------- ------- ----------- -------- -------- (UNAUDITED) (UNAUDITED) $ 12.40 $ 10.81 $ 11.88 $ 12.08 $ 12.79 $ 14.35 $ 12.60 $ 10.98 $ 12.06 ------- ------- ------- ------- ------- ------- -------- -------- -------- 0.22 0.36 0.41 0.51 0.53 0.44 0.21 0.34 0.48 0.68 1.66 (0.99) (0.06) -- (0.39) 0.74 1.78 (1.01) ------- ------- ------- ------- ------- ------- -------- -------- -------- 0.90 2.02 (0.58) 0.45 0.53 0.05 0.95 2.12 (0.53) ------- ------- ------- ------- ------- ------- -------- -------- -------- (0.30) (0.43) (0.41) (0.65) (0.46) (0.44) (0.36) (0.50) (0.47) -- -- (0.08) -- (0.78) (1.17) -- -- (0.08) ------- ------- ------- ------- ------- ------- -------- -------- -------- (0.30) (0.43) (0.49) (0.65) (1.24) (1.61) (0.36) (0.50) (0.55) ------- ------- ------- ------- ------- ------- -------- -------- -------- $ 13.00 $ 12.40 $ 10.81 $ 11.88 $ 12.08 $ 12.79 $ 13.19 $ 12.60 $ 10.98 ======= ======= ======= ======= ======= ======= ======== ======== ======== 7.32%(H) 19.36% (5.18)% 3.84% 4.88% 0.22% 7.59%(H) 20.06% (4.71)% ======= ======= ======= ======= ======= ======= ======== ======== ======== $14,935 $13,321 $10,561 $12,176 $11,643 $22,753 $606,516 $557,612 $487,526 0.91% 0.94% 0.90% 0.84% 0.90% 0.90% 0.38% 0.38% 0.35% 1.93% 2.40% 2.83% 3.29% 4.01% 3.21% 2.47% 2.98% 3.39% 30%(H) 69% 84% 122% 121% 90% 30%(H) 69% 84% AMR CLASS --------------------------------- YEAR ENDED OCTOBER 31, --------------------------------- 2001(D E G) 2000(B) 1999 ----------- -------- -------- $ 12.27 $ 13.02 $ 14.57 -------- -------- -------- 0.56 0.61 0.54 (0.05) (0.03) (0.39) -------- -------- -------- 0.51 0.58 0.15 -------- -------- -------- (0.72) (0.55) (0.53) -- (0.78) (1.17) -------- -------- -------- (0.72) (1.33) (1.70) -------- -------- -------- $ 12.06 $ 12.27 $ 13.02 ======== ======== ======== 4.38% 5.37% 0.83% ======== ======== ======== $526,405 $525,040 $840,935 0.36% 0.35% 0.34% 3.77% 4.54% 3.81% 122% 121% 90%
-------------------------------------------------------------------------------- 93 AMERICAN AADVANTAGE LARGE CAP VALUE FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) --------------------------------------------------------------------------------
INSTITUTIONAL CLASS -------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ----------------------------------------------------- 2004 2003 2002 2001(B G) 2000(E) 1999(D) ----------- ------- ------- --------- ------- ------- (UNAUDITED) Net asset value, beginning of period.............. $ 15.62 $ 12.55 $ 14.51 $ 15.83 $ 18.69 $ 20.93 ------- ------- ------- ------- ------- ------- Income from investment operations: Net investment income (loss)(A C).............. 0.09 0.20 0.27 0.28 0.47 0.38 Net gains (losses) on securities (both realized and unrealized)(C)............................ 1.74 3.16 (1.76) (0.61) 0.06 0.04 ------- ------- ------- ------- ------- ------- Total income (loss) from investment operations.... 1.83 3.36 (1.49) (0.33) 0.53 0.42 ------- ------- ------- ------- ------- ------- Less distributions: Dividends from net investment income........... (0.27) (0.29) (0.30) (0.50) (0.34) (0.40) Distributions from net realized gains on securities.................................... -- -- (0.17) (0.49) (3.05) (2.26) ------- ------- ------- ------- ------- ------- Total distributions............................... (0.27) (0.29) (0.47) (0.99) (3.39) (2.66) ------- ------- ------- ------- ------- ------- Net asset value, end of period.................... $ 17.18 $ 15.62 $ 12.55 $ 14.51 $ 15.83 $ 18.69 ======= ======= ======= ======= ======= ======= Total return...................................... 11.70%(H) 27.30% (10.83)% (2.21)% 4.81% 1.72% ======= ======= ======= ======= ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands)....... $30,024 $23,512 $23,512 $10,081 $ 7,594 $45,039 Ratios to average net assets (annualized): Expenses(C)................................... 0.66% 0.66% 0.61% 0.64% 0.53% 0.59% Net investment income(C)...................... 1.66% 1.88% 1.82% 1.76% 3.71% 1.94% Portfolio turnover rate(F)..................... 18%(H) 27% 34% 60% 58% 33%
--------------- (A) Class expenses per share were subtracted from net investment income per share for the Fund before class expenses to determine net investment income per share. (B) On October 9, 2001, Hotchkis and Wiley Capital Management, LLC assumed management of the Large Cap Value Fund's assets previously managed by Merrill Lynch Investment Managers, L.P. (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 AMR Investment Services Large Cap Value Portfolio through February 28, 2002. (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. (F) The American AAdvantage Large Cap Value Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2002. Portfolio turnover rate through February 28, 2002 was that of the Portfolio. (G) Metropolitan West Capital Management, LLC replaced Independence Investment LLC as investment adviser to the Large Cap Value Fund on December 1, 2000. (H) Not annualized. -------------------------------------------------------------------------------- 94 --------------------------------------------------------------------------------
PLANAHEAD CLASS AMR CLASS --------------------------------------------------------------- ----------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED OCTOBER 31, ENDED APRIL 30, ------------------------------------------------- APRIL 30, 2004 2003 2002 2001(B G) 2000(E) 1999(D) 2004 ----------- ------- ------- --------- ------- ------- ----------- (UNAUDITED) (UNAUDITED) $ 15.05 $ 12.09 $ 14.00 $ 15.40 $ 18.41 $ 20.67 $ 15.44 ------- ------- ------- -------- ------- ------- -------- 0.06 0.10 0.25 0.26 0.60 0.35 0.17 1.67 3.11 (1.74) (0.62) (0.13) 0.01 1.65 ------- ------- ------- -------- ------- ------- -------- 1.73 3.21 (1.49) (0.36) 0.47 0.36 1.82 ------- ------- ------- -------- ------- ------- -------- (0.23) (0.25) (0.25) (0.55) (0.43) (0.36) (0.30) -- -- (0.17) (0.49) (3.05) (2.26) -- ------- ------- ------- -------- ------- ------- -------- (0.23) (0.25) (0.42) (1.04) (3.48) (2.62) (0.30) ------- ------- ------- -------- ------- ------- -------- $ 16.55 $ 15.05 $ 12.09 $ 14.00 $ 15.40 $ 18.41 $ 16.96 ======= ======= ======= ======== ======= ======= ======== 11.59%(H) 26.99% (11.13)% (2.47)% 4.56% 1.41% 11.90%(H) ======= ======= ======= ======== ======= ======= ======== $32,068 $21,331 $15,941 $ 12,280 $11,507 $20,095 $644,446 0.94% 0.95% 0.93% 0.89% 0.84% 0.90% 0.39% 1.38% 1.57% 1.53% 1.54% 2.51% 1.62% 1.92% 18%(H) 27% 34% 60% 58% 33% 18%(H) AMR CLASS ----------- ------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ------------------------------------------------------- 2004 2003 2002 2001(B G) 2000(E) 1999(D) ----------- -------- -------- --------- -------- ---------- (UNAUDITED) $ 15.05 $ 12.40 $ 14.34 $ 15.75 $ 18.77 $ 21.03 ------- -------- -------- -------- -------- ---------- 0.06 0.29 0.31 0.34 0.65 0.49 1.67 3.06 (1.75) (0.63) (0.09) (0.02) ------- -------- -------- -------- -------- ---------- 1.73 3.35 (1.44) (0.29) 0.56 0.47 ------- -------- -------- -------- -------- ---------- (0.23) (0.31) (0.33) (0.63) (0.53) (0.47) -- -- (0.17) (0.49) (3.05) (2.26) ------- -------- -------- -------- -------- ---------- (0.23) (0.31) (0.50) (1.12) (3.58) (2.73) ------- -------- -------- -------- -------- ---------- $ 16.55 $ 15.44 $ 12.40 $ 14.34 $ 15.75 $ 18.77 ======= ======== ======== ======== ======== ========== 11.59%(H 27.64% (10.62)% (1.98)% 5.08% 1.97% ======= ======== ======== ======== ======== ========== $32,068 $598,869 $511,287 $654,239 $737,111 $1,384,358 0.94% 0.39% 0.36% 0.36% 0.34% 0.34% 1.38% 2.13% 2.06% 2.09% 3.07% 2.17% 18%(H 27% 34% 60% 58% 33%
-------------------------------------------------------------------------------- 95 AMERICAN AADVANTAGE LARGE CAP GROWTH FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) --------------------------------------------------------------------------------
INSTITUTIONAL CLASS --------------------------------------------------------- SIX MONTHS YEAR ENDED ENDED OCTOBER 31, JULY 31 TO APRIL 30, ---------------------------- OCTOBER 31, 2004 2003 2002 2001 2000 ----------- ------- ------- ------- ----------- (UNAUDITED) Net asset value, beginning of period................ $ 5.47 $ 4.53 $ 5.66 $ 9.54 $10.00 ------ ------- ------- ------- ------ Income from investment operations: Net investment income (loss)(A)................. 0.01 0.02 0.03 (0.01) -- Net gains (losses) on securities (both realized and unrealized)(A)............................ 0.34 0.94 (1.16) (3.86) (0.46) ------ ------- ------- ------- ------ Total income (loss) from investment operations...... 0.35 0.96 (1.13) (3.87) (0.46) ------ ------- ------- ------- ------ Less distributions: Dividends from net investment income............ (0.02) (0.02) -- (0.01) -- ------ ------- ------- ------- ------ Total distributions................................. (0.02) (0.02) -- (0.01) -- ------ ------- ------- ------- ------ Net asset value, end of period...................... $ 5.80 $ 5.47 $ 4.53 $ 5.66 $ 9.54 ====== ======= ======= ======= ====== Total return........................................ 6.34%(C) 21.15% (19.96)% (40.62)% (4.60)%(C) ====== ======= ======= ======= ====== Ratios and supplemental data: Net assets, end of period (in thousands)........ $ 1 $ 1 $ 1 $ 1 $ 1 Ratios to average net assets (annualized)(A): Expenses...................................... 0.87% 0.87% 0.87% 0.99% 0.99% Net investment income (loss).................. 0.15% 0.18% 0.06% (0.26)% -- Decrease reflected in above expense ratio due to absorption of expenses by the Manager(A).................................. -- -- -- 0.02% 0.29% Portfolio turnover rate(B)...................... 51%(C) 138% 135% 85% 9%(C)
--------------- (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 AMR Investment Services Large Cap Growth Portfolio through February 28, 2001. (B) The American AAdvantage Large Cap Growth Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2001. Portfolio turnover rate through February 28, 2001 was that of the Portfolio. (C) Not annualized. -------------------------------------------------------------------------------- 96 --------------------------------------------------------------------------------
AMR CLASS ----------------------------------------------------------------- SIX MONTHS YEAR ENDED ENDED OCTOBER 31, JULY 31 TO APRIL 30, --------------------------------- OCTOBER 31, 2004 2003 2002 2001 2000 ----------- ------- ------- ------- ----------- (UNAUDITED) $ 5.48 $ 4.54 $ 5.67 $ 9.55 $ 10.00 ------- ------- ------- ------- ------- 0.01 0.02 0.02 0.01 0.01 0.34 0.93 (1.14) (3.87) (0.46) ------- ------- ------- ------- ------- 0.35 0.95 (1.12) (3.86) (0.45) ------- ------- ------- ------- ------- (0.02) (0.01) (0.01) (0.02) -- ------- ------- ------- ------- ------- (0.02) (0.01) (0.01) (0.02) -- ------- ------- ------- ------- ------- $ 5.81 $ 5.48 $ 4.54 $ 5.67 $ 9.55 ======= ======= ======= ======= ======= 6.33%(C) 21.09% (19.85)% (40.51)% (4.50)%(C) ======= ======= ======= ======= ======= $57,171 $48,926 $28,017 $23,804 $19,505 0.73% 0.68% 0.67% 0.70% 0.74% 0.32% 0.40% 0.30% 0.08% 0.25% -- -- -- 0.02% 0.14% 51%(C) 138% 135% 85% 9%(C)
-------------------------------------------------------------------------------- 97 AMERICAN AADVANTAGE SMALL CAP VALUE FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) --------------------------------------------------------------------------------
INSTITUTIONAL CLASS ------------------------------------------------------------------------ SIX MONTHS DECEMBER 31, ENDED YEAR ENDED OCTOBER 31, 1998 TO APRIL 30, ----------------------------------------- OCTOBER 31, 2004 2003(D) 2002 2001(C) 2000 1999 ----------- -------- ------- ------- ------- ------------ (UNAUDITED) Net asset value, beginning of period................... $ 16.21 $ 11.28 $ 11.69 $ 10.08 $ 9.07 $ 10.00 -------- -------- ------- ------- ------- ------- Income from investment operations: Net investment income (loss)(A)..................... 0.04 (0.01) (0.01) 0.16 0.21 0.07 Net gains (losses) on securities (both realized and unrealized)(A).................................... 2.02 5.24 0.47 1.81 1.01 (1.00) -------- -------- ------- ------- ------- ------- Total income (loss) from investment operations......... 2.06 5.23 0.46 1.97 1.22 (0.93) -------- -------- ------- ------- ------- ------- Less distributions: Dividends from net investment income................ (0.08) (0.02) (0.11) (0.19) (0.04) -- Distributions from net realized gains on securities........................................ (0.44) (0.28) (0.76) (0.17) (0.17) -- -------- -------- ------- ------- ------- ------- Total distributions.................................... (0.52) (0.30) (0.87) (0.36) (0.21) -- -------- -------- ------- ------- ------- ------- Net asset value, end of period......................... $ 17.75 $ 16.21 $ 11.28 $ 11.69 $ 10.08 $ 9.07 ======== ======== ======= ======= ======= ======= Total return........................................... 12.87%(E) 47.45% 3.29% 20.16% 13.78% (9.30)%(E) ======== ======== ======= ======= ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands)............ $218,876 $ 89,579 $21,936 $ 2,364 $ 1,955 $ 2,117 Ratios to average net assets (annualized): Expenses(A)....................................... 0.88% 0.89% 0.82% 0.89% 0.92% 0.96% Net investment income(loss)(A).................... 0.47% 0.60% 0.81% 1.38% 1.62% 0.84% Decrease reflected in above expense ratio due to absorption of expenses by the Manager(A)........ -- -- -- -- 0.06% 1.23% Portfolio turnover rate(B).......................... 24%(E) 75% 81% 93% 63% 31%(E)
--------------- (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 AMR Investment Services Small Cap Value Portfolio through February 28, 2002. (B) The American AAdvantage Small Cap Value Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2002. Portfolio turnover rate through February 28, 2002 was that of the Portfolio. (C) On October 9, 2001, Hotchkis and Wiley Capital Management, LLC assumed management of the Small Cap Value Fund's assets previously managed by Merrill Lynch Investment Managers, L.P. (D) Barrow, Hanley, Mewhinney & Strauss, Inc. was added as an investment adviser to the Small Cap Value Fund on September 18, 2003. (E) Not annualized. (F) Portfolio turnover rate is for the period November 1, 2002 through October 31, 2003. -------------------------------------------------------------------------------- 98 --------------------------------------------------------------------------------
PLANAHEAD CLASS SERVICE CLASS AMR CLASS ----------------------------------------------------------------- --------------------------- ----------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED OCTOBER 31, MARCH 1 TO ENDED MAY 1 TO ENDED APRIL 30, ------------------------------------- OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, 2004 2003(D) 2002 2001(C) 2000 1999 2004 2003(D) 2004 ----------- ------- ------- ------- ------- ----------- ----------- ------------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 15.95 $ 11.22 $ 11.64 $ 10.08 $ 9.05 $ 9.13 $15.92 $ 11.88 $ 16.13 -------- ------- ------- ------- ------- ------- ------ --------- -------- 0.04 0.05 0.06 0.15 0.08 0.02 -- -- 0.06 1.96 5.08 0.36 1.76 1.14 (0.10) 1.97 4.04 2.00 -------- ------- ------- ------- ------- ------- ------ --------- -------- 2.00 5.13 0.42 1.91 1.22 (0.08) 1.97 4.04 2.06 -------- ------- ------- ------- ------- ------- ------ --------- -------- (0.03) (0.12) (0.08) (0.18) (0.02) -- -- -- (0.09) (0.44) (0.28) (0.76) (0.17) (0.17) -- (0.44) -- (0.44) -------- ------- ------- ------- ------- ------- ------ --------- -------- (0.47) (0.40) (0.84) (0.35) (0.19) -- (0.44) -- (0.53) -------- ------- ------- ------- ------- ------- ------ --------- -------- $ 17.48 $ 15.95 $ 11.22 $ 11.64 $ 10.08 $ 9.05 $17.45 $ 15.92 $ 17.66 ======== ======= ======= ======= ======= ======= ====== ========= ======== 12.72%(E) 47.12% 2.99% 19.58% 13.76% (0.88)%(E) 12.54%(E) 34.01%(E) 12.96%(E) ======== ======= ======= ======= ======= ======= ====== ========= ======== $131,018 $66,906 $16,190 $ 1,197 $ 440 $ 74 $ 687 $ 1 $433,112 1.16% 1.16% 1.11% 1.17% 1.18% 1.28% 1.49% 1.49% 0.60% 0.18% 0.39% 0.52% 1.06% 1.71% 0.57% (0.17%) (0.05)% 0.75% -- -- -- -- 0.06% 0.18% 13.91% 1,087.55% -- 24%(E) 75% 81% 93% 63% 31%(E) 24%(E) 75%(F) 24%(E) AMR CLASS ------------------------------------------------------ YEAR ENDED OCTOBER 31, MARCH 1 TO ---------------------------------------- OCTOBER 31, 2003(D) 2002 2001(C) 2000 1999 -------- -------- -------- ------- ----------- $ 11.30 $ 11.71 $ 10.10 $ 9.08 $ 9.13 -------- -------- -------- ------- ------- 0.10 0.15 0.15 0.22 0.04 5.15 0.34 1.85 1.04 (0.09) -------- -------- -------- ------- ------- 5.25 0.49 2.00 1.26 (0.05) -------- -------- -------- ------- ------- (0.14) (0.14) (0.22) (0.07) -- (0.28) (0.76) (0.17) (0.17) -- -------- -------- -------- ------- ------- (0.42) (0.90) (0.39) (0.24) -- -------- -------- -------- ------- ------- $ 16.13 $ 11.30 $ 11.71 $ 10.10 $ 9.08 ======== ======== ======== ======= ======= 47.93% 3.54% 20.52% 14.19% (0.55)%(E) ======== ======== ======== ======= ======= $327,542 $181,180 $137,811 $53,715 $64,662 0.61% 0.56% 0.64% 0.68% 0.70% 0.95% 1.09% 1.55% 1.89% 1.14% -- -- -- 0.06% 0.24% 75% 81% 93% 63% 31%(E)
-------------------------------------------------------------------------------- 99 AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) --------------------------------------------------------------------------------
INSTITUTIONAL CLASS ----------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, -------------------------------------------------------- 2004 2003(F) 2002 2001(E) 2000 1999(B) ----------- -------- -------- -------- -------- -------- (UNAUDITED) Net asset value, beginning of period.................... $ 15.46 $ 12.10 $ 13.77 $ 17.95 $ 19.36 $ 16.93 -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income(A D).............................. 0.14 0.25 0.21 0.24 0.36 0.35 Net gains (losses) on securities (both realized and unrealized)(D)...................................... 1.91 3.47 (1.62) (2.96) 0.18 2.92 -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations.......... 2.05 3.72 (1.41) (2.72) 0.54 3.27 -------- -------- -------- -------- -------- -------- Less distributions: Dividends from net investment income................. (0.41) (0.36) (0.26) (0.22) (0.31) (0.35) Distributions from net realized gains on securities.......................................... -- -- -- (1.24) (1.64) (0.49) -------- -------- -------- -------- -------- -------- Total distributions..................................... (0.41) (0.36) (0.26) (1.46) (1.95) (0.84) -------- -------- -------- -------- -------- -------- Net asset value, end of period.......................... $ 17.10 $ 15.46 $ 12.10 $ 13.77 $ 17.95 $ 19.36 ======== ======== ======== ======== ======== ======== Total return............................................ 13.41%(G) 31.61% (10.51)% (16.54)% 2.36% 19.98% ======== ======== ======== ======== ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands)............. $868,974 $722,333 $537,476 $519,151 $587,869 $601,923 Ratios to average net assets (annualized): Expenses(D)......................................... 0.77% 0.79% 0.75% 0.78% 0.72% 0.64% Net investment income(D)............................ 1.54% 1.97% 1.56% 1.54% 1.64% 2.00% Decrease reflected in above expense ratio due to absorption of expenses by the Manager (D)......... -- -- -- -- -- -- Portfolio turnover rate(C)........................... 17%(G) 44% 43% 36% 45% 63%
--------------- (A) Class expenses per share were subtracted from net investment income per share for the Fund before class expenses to determine net investment income per share. (B) Morgan Stanley Asset Management, Inc. was replaced by Lazard Asset Management LLC and Independence Investment LLC as investment adviser to the International Equity Fund on March 1, 1999. (C) The American AAdvantage International Equity Fund invests all of its investable assets in its corresponding Portfolio. Portfolio turnover rate is that of the Portfolio. (D) The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of the AMR Investment Services International Equity Portfolio. (E) Causeway Capital Management, LLC replaced Merrill Lynch Investment Managers, L.P. as investment adviser to the International Equity Fund on August 31, 2001. (F) Independence Investment LLC was removed as an investment adviser to the International Equity Fund on October 24, 2003. (G) Not annualized (H) Portfolio turnover rate is for the period November 1, 2002 through October 31, 2003. -------------------------------------------------------------------------------- 100 --------------------------------------------------------------------------------
PLANAHEAD CLASS SERVICE CLASS AMR CLASS --------------------------------------------------------------- ------------------------- ----------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED OCTOBER 31, ENDED MAY 1 TO ENDED APRIL 30, ------------------------------------------------- APRIL 30, OCTOBER 31, APRIL 30, 2004 2003(F) 2002 2001(E) 2000 1999(B) 2004 2003(F) 2004 ----------- -------- ------- -------- ------- ------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 15.34 $ 11.95 $ 13.58 $ 17.72 $ 19.13 $ 16.75 $ 15.31 $ 12.18 $ 15.54 -------- -------- ------- -------- ------- ------- --------- ---------- -------- 0.12 0.22 0.15 0.19 0.31 0.30 0.08 0.09 0.16 1.89 3.46 (1.56) (2.92) 0.18 2.89 1.91 3.04 1.92 -------- -------- ------- -------- ------- ------- --------- ---------- -------- 2.01 3.68 (1.41) (2.73) 0.49 3.19 1.99 3.13 2.08 -------- -------- ------- -------- ------- ------- --------- ---------- -------- (0.37) (0.29) (0.22) (0.17) (0.26) (0.32) (0.36) -- (0.44) -- -- -- (1.24) (1.64) (0.49) -- -- -- -------- -------- ------- -------- ------- ------- --------- ---------- -------- (0.37) (0.29) (0.22) (1.41) (1.90) (0.81) (0.36) -- (0.44) -------- -------- ------- -------- ------- ------- --------- ---------- -------- $ 16.98 $ 15.34 $ 11.95 $ 13.58 $ 17.72 $ 19.13 $ 16.94 $ 15.31 $ 17.18 ======== ======== ======= ======== ======= ======= ========= ========== ======== 13.22%(G) 31.62% (10.57)% (16.79)% 2.08% 19.68% 13.13%(G) 25.70%(G) 13.58%(G) ======== ======== ======= ======== ======= ======= ========= ========== ======== $228,292 $177,425 $99,636 $113,948 $85,680 $60,602 $ 1 $ 1 $365,452 1.04% 1.10% 1.04% 1.10% 1.01% 0.93% 1.24% 1.50% 0.51% 1.34% 1.68% 1.35% 1.22% 1.43% 1.71% 0.97% 1.33% 1.83% -- -- -- -- -- -- 1113.02% 1,137.58% 17%(G) 44% 43% 36% 45% 63% 17%(G) 44%(H) 17%(G) AMR CLASS ---------------------------------------------------- YEAR ENDED OCTOBER 31, ---------------------------------------------------- 2003(F) 2002 2001(E) 2000 1999(B) -------- -------- -------- -------- -------- $ 12.18 $ 13.86 $ 18.07 $ 19.46 $ 17.01 -------- -------- -------- -------- -------- 0.29 0.24 0.28 0.41 0.39 3.46 (1.62) (2.98) 0.20 2.94 -------- -------- -------- -------- -------- 3.75 (1.38) (2.70) 0.61 3.33 -------- -------- -------- -------- -------- (0.39) (0.30) (0.27) (0.36) (0.39) -- -- (1.24) (1.64) (0.49) -------- -------- -------- -------- -------- (0.39) (0.30) (1.51) (2.00) (0.88) -------- -------- -------- -------- -------- $ 15.54 $ 12.18 $ 13.86 $ 18.07 $ 19.46 ======== ======== ======== ======== ======== 31.77% (10.26)% (16.35)% 2.69% 20.27% ======== ======== ======== ======== ======== $322,801 $264,579 $301,762 $428,329 $602,593 0.52% 0.49% 0.52% 0.46% 0.39% 2.22% 1.81% 1.78% 1.92% 2.25% -- -- -- -- -- 44% 43% 36% 45% 63%
-------------------------------------------------------------------------------- 101 AMERICAN AADVANTAGE EMERGING MARKETS FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) --------------------------------------------------------------------------------
INSTITUTIONAL CLASS ------------------------------------------------------ SIX MONTHS YEAR ENDED ENDED OCTOBER 31, JULY 31 TO APRIL 30, -------------------------- OCTOBER 31, 2004 2003 2002 2001 2000 ----------- ------- ------ ------- ----------- (UNAUDITED) Net asset value, beginning of period........................ 10.62 $ 7.20 $ 6.64 $ 8.17 $ 10.00 ------- ------- ------ ------- ------- Income from investment operations: Net investment income(A)................................ 0.02 0.04 0.09 0.11 -- Net gains (losses) on securities (both realized and unrealized)(A)........................................ 1.11 3.43 0.56 (1.62) (1.83) ------- ------- ------ ------- ------- Total income (loss) from investment operations.............. 1.13 3.47 0.65 (1.51) (1.83) ------- ------- ------ ------- ------- Less distributions: Dividends from net investment income.................... (0.06) (0.05) (0.09) (0.01) -- Distributions from net realized gains on securities..... -- -- -- (0.01) -- ------- ------- ------ ------- ------- Total distributions......................................... (0.06) (0.05) (0.09) (0.02) -- ------- ------- ------ ------- ------- Net asset value, end of period.............................. 11.69 $ 10.62 $ 7.20 $ 6.64 $ 8.17 ======= ======= ====== ======= ======= Total return................................................ 10.66%(C) 48.45% 9.80% (18.52)% (18.30)%(C) ======= ======= ====== ======= ======= Ratios and supplemental data: Net assets, end of period (in thousands)................ $ 6,131 $ 3,557 $1,769 $ 1,495 $ 1 Ratios to average net assets (annualized): Expenses(A)........................................... 1.88% 1.76% 1.51% 1.43% 1.87% Net investment income (loss)(A)....................... 0.44% 0.62% 1.11% 2.07% (0.47)% Portfolio turnover rate(B).............................. 25%(C) 80% 94% 95% 23%(C)
--------------- (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 AMR Investment Services Emerging Markets Portfolio through February 28, 2002. (B) The American AAdvantage Emerging Markets Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2002. Portfolio turnover rate through February 28, 2002 was that of the Portfolio. (C) Not annualized. (D) Portfolio turnover rate is for the period November 1, 2001 through October 31, 2002. -------------------------------------------------------------------------------- 102 --------------------------------------------------------------------------------
PLANAHEAD CLASS AMR CLASS --------------------------------------------- ------------------------------------------------------- SIX MONTHS SIX MONTHS YEAR ENDED ENDED YEAR ENDED OCTOBER 1 TO ENDED OCTOBER 31, JULY 31 TO APRIL 30, OCTOBER 31, OCTOBER 31, APRIL 30, --------------------------- OCTOBER 31, 2004 2003 2002 2004 2003 2002 2001 2000 ----------- ----------- ------------ ----------- ------- ------- ------- ----------- (UNAUDITED) (UNAUDITED) $ 10.55 $ 7.19 $ 6.86 $ 10.66 $ 7.22 $ 6.65 $ 8.18 $ 10.00 ------- ------- ------ ------- ------- ------- ------- ------- 0.01 0.09 -- 0.04 0.07 0.09 0.13 -- 1.10 3.34 0.33 1.11 3.44 0.59 (1.63) (1.82) ------- ------- ------ ------- ------- ------- ------- ------- 1.11 3.43 0.33 1.15 3.51 0.68 (1.50) (1.82) ------- ------- ------ ------- ------- ------- ------- ------- (0.05) (0.07) -- (0.08) (0.07) (0.11) (0.02) -- -- -- -- -- -- -- -- -- ------- ------- ------ ------- ------- ------- ------- ------- (0.05) (0.07) -- (0.08) (0.07) (0.11) (0.03) -- ------- ------- ------ ------- ------- ------- ------- ------- $ 11.61 $ 10.55 $ 7.19 $ 11.73 $ 10.66 $ 7.22 $ 6.65 $ 8.18 ======= ======= ====== ======= ======= ======= ======= ======= 10.57%(C) 48.07% 4.81%(C) 10.92%(C) 48.84% 10.10% (18.40)% (18.20)%(C) ======= ======= ====== ======= ======= ======= ======= ======= $ 484 $ 492 $ 1 $67,715 $51,498 $32,731 $20,660 $17,308 2.13% 2.08% 1.87% 1.60% 1.50% 1.26% 1.30% 1.60% 0.20% 0.57% (0.25)% 0.76% 0.92% 1.35% 1.76% (0.19)% 25%(C) 80% 94%(D) 25%(C) 80%(C) 94% 95% 23%(C)
-------------------------------------------------------------------------------- 103 AMERICAN AADVANTAGE HIGH YIELD BOND FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) --------------------------------------------------------------------------------
INSTITUTIONAL CLASS ------------------------------------------------------- SIX MONTHS YEAR ENDED ENDED OCTOBER 31, DECEMBER 29, 2000 APRIL 30, ------------------- TO OCTOBER 31, 2004 2003 2002 2001 ---------- -------- -------- ----------------- (UNAUDITED) Net asset value, beginning of period........................ $ 10.73 $ 9.63 $ 9.82 $ 10.00 -------- -------- -------- ------- Income from investment operations: Net investment income................................... 0.39 0.78 0.80 0.71 Net gains (losses) on securities (both realized and unrealized)........................................... 0.13 1.10 (0.19) (0.18) -------- -------- -------- ------- Total income from investment operations..................... 0.52 1.88 0.61 0.53 -------- -------- -------- ------- Less distributions: Dividends from net investment income.................... (0.39) (0.78) (0.80) (0.71) Distributions from net realized gains on securities..... (0.14) -- -- -- -------- -------- -------- ------- Total distributions......................................... (0.53) (0.78) (0.80) (0.71) -------- -------- -------- ------- Net asset value, end of period.............................. $ 10.72 $ 10.73 $ 9.63 $ 9.82 ======== ======== ======== ======= Total return................................................ 4.90%(A) 20.11% 6.28% 5.33%(A) ======== ======== ======== ======= Ratios and supplemental data: Net assets, end of period (in thousands)................ $158,093 $161,380 $104,813 $53,275 Ratios to average net assets (annualized): Expenses.............................................. 0.90% 0.90% 0.90% 0.90% Net investment income................................. 7.29% 7.51% 8.02% 8.48% Decrease reflected in above expense ratio due to absorption of expenses by the Manager............... 0.07% 0.10% 0.08% 0.17% Portfolio turnover rate................................. 67%(A) 114% 163% 145%(A)
--------------- (A) Not annualized. (B) Portfolio turnover rate is for the period November 1, 2001 through October 31, 2002. (C) Portfolio turnover rate is for the period November 1, 2002 through October 31, 2003. -------------------------------------------------------------------------------- 104 --------------------------------------------------------------------------------
PLANAHEAD CLASS SERVICE CLASS ------------------------------------------- ------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED MARCH 1 TO ENDED MAY 1 TO APRIL 30, OCTOBER 31, OCTOBER 31, APRIL 30, OCTOBER 31, 2004 2003 2002 2004 2003 ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) $ 10.73 $ 9.63 $10.10 $ 10.73 $ 10.47 -------- -------- ------ --------- -------- 0.37 0.75 0.50 0.35 0.29 0.13 1.10 (0.47) 0.14 0.32 -------- -------- ------ --------- -------- 0.50 1.85 0.03 0.49 0.61 -------- -------- ------ --------- -------- (0.37) (0.75) (0.50) (0.36) (0.35) (0.14) -- -- (0.14) -- -------- -------- ------ --------- -------- (0.51) (0.75) (0.50) (0.50) (0.35) -------- -------- ------ --------- -------- $ 10.72 $ 10.73 $ 9.63 $ 10.72 $ 10.73 ======== ======== ====== ========= ======== 4.70%(A) 19.57% (0.26)%(A) 4.43%(A) 5.46%(A) ======== ======== ====== ========= ======== $136,977 $125,654 $4,029 $ 1 $ 1 1.27% 1.24% 1.27% 1.60% 1.71% 6.92% 7.11% 7.20% 6.52% 6.51% -- -- -- 1275.52% 805.12% 67%(A) 114% 163%(B) 67%(A) 114%(C)
-------------------------------------------------------------------------------- 105 AMERICAN AADVANTAGE ENHANCED INCOME FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) --------------------------------------------------------------------------------
PLANAHEAD CLASS ------------------------- SIX MONTHS ENDED JUNE 30 TO APRIL 30, OCTOBER 31, 2004 2003 ----------- ----------- (UNAUDITED) Net asset value, beginning of period........................ $ 9.76 $ 10.00 -------- -------- Income from investment operations: Net investment income................................... 0.12 0.07(B) Net gains (losses) on securities (both realized and unrealized)............................................ 0.10 (0.04) -------- -------- Total income from investment operations..................... 0.22 0.03 -------- -------- Less distributions: Dividends from net investment income.................... (0.12) (0.07) Distributions from net realized gains on securities..... -- -- -------- -------- Total distributions......................................... (0.12) (0.07) -------- -------- Net asset value, end of period.............................. $ 10.06 $ 9.96 ======== ======== Total return................................................ 2.24%(A) 0.32%(A) ======== ======== Ratios and supplemental data: Net assets, end of period (in thousands)................ $100,908 $101,072 Ratios to average net assets (annualized): Expenses.............................................. 0.98% 0.93% Net investment income................................. 2.30% 2.20% Portfolio turnover rate................................. 40%(A) 57%(A)
--------------- (A) Not annualized. (B) Based on average shares outstanding. -------------------------------------------------------------------------------- 106 (AMERICAN EAGLE LOGO) -------------------------------------------------------------------------------- 107 AMERICAN AADVANTAGE INTERMEDIATE BOND FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) --------------------------------------------------------------------------------
INSTITUTIONAL CLASS ------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ----------------------------------------------- 2004 2003 2002 2001 2000 1999 ----------- ------- ------- ------- ------ -------- (UNAUDITED) Net asset value, beginning of period................ $ 10.45 $ 10.42 $ 10.51 $ 9.72 $ 9.58 $ 10.50 ------- ------- ------- ------- ------ -------- Income from investment operations: Net investment income(A)........................ 0.19 0.41 0.51 0.57 0.59 0.56 Net gains (losses) on securities (both realized and unrealized)(A)............................ (0.09) 0.03 (0.09) 0.79 0.14 (0.63) ------- ------- ------- ------- ------ -------- Total income (loss) from investment operations...... 0.10 0.44 0.42 1.36 0.73 (0.07) ------- ------- ------- ------- ------ -------- Less distributions: Dividends from net investment income............ (0.19) (0.41) (0.51) (0.57) (0.59) (0.56) Distributions from net realized gains on securities.................................... -- -- -- -- -- (0.29) ------- ------- ------- ------- ------ -------- Total distributions................................. (0.19) (0.41) (0.51) (0.57) (0.59) (0.85) ------- ------- ------- ------- ------ -------- Net asset value, end of period...................... $ 10.36 $ 10.45 $ 10.42 $ 10.51 $ 9.72 $ 9.58 ======= ======= ======= ======= ====== ======== Total return........................................ 0.93%(C) 4.31% 4.21% 14.36% 7.89% (0.83)% ======= ======= ======= ======= ====== ======== Ratios and supplemental data: Net assets, end of period (in thousands)........ $ 893 $ 1,024 $74,919 $60,842 $ 115 $205,218 Ratios to average net assets (annualized): Expenses(A)................................... 1.20% 0.58% 0.56% 0.54% 0.59% 0.55% Net investment income(A)...................... 3.57% 4.02% 4.99% 5.55% 6.31% 5.62% Decrease reflected in above expense ratio due to absorption of expenses by the Manager(A).................................. -- -- -- -- -- -- Portfolio turnover rate(B)...................... 53%(C) 187% 185% 164% 102% 123%
--------------- (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 AMR Investment Services Intermediate Bond Portfolio through February 28, 2002. (B) The American AAdvantage Intermediate Bond Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2002. Portfolio turnover rate through February 28, 2002 was that of the Portfolio. (C) Not annualized. (D) Portfolio turnover rate is for the period November 1, 1998 through October 31, 1999. -------------------------------------------------------------------------------- 108 --------------------------------------------------------------------------------
PLAN AHEAD CLASS AMR CLASS --------------------------------------------------------- ------------------------------------------------------------------- SIX MONTHS SIX MONTHS MARCH 1 ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED OCTOBER 31, TO APRIL 30, ------------------------------------------- APRIL 30, --------------------------------------- OCTOBER 31, 2004 2003 2002 2001 2000 1999 2004 2003 2002 2001 2000 1999 ----------- ------ ------ ------- ------ ------ ----------- -------- -------- ------- ------- ----------- (UNAUDITED) (UNAUDITED) $ 10.31 $10.27 $10.34 $ 9.57 $ 9.63 $10.55 $ 10.24 $ 10.22 $ 10.30 $ 9.53 $ 9.58 $ 9.95 ------- ------ ------ ------- ------ ------ -------- -------- -------- ------- ------- ------- 0.20 0.39 0.48 0.53 0.59 0.53 0.23 0.45 0.53 0.58 0.64 0.39 (0.08) 0.04 (0.07) 0.77 (0.06) (0.63) (0.08) 0.02 (0.08) 0.77 (0.05) (0.37) ------- ------ ------ ------- ------ ------ -------- -------- -------- ------- ------- ------- 0.12 0.43 0.41 1.30 0.53 (0.10) 0.15 0.47 0.45 1.35 0.59 0.02 ------- ------ ------ ------- ------ ------ -------- -------- -------- ------- ------- ------- (0.20) (0.39) (0.48) (0.53) (0.59) (0.53) (0.23) (0.45) (0.53) (0.58) (0.64) (0.39) -- -- -- -- -- (0.29) -- -- -- -- -- -- ------- ------ ------ ------- ------ ------ -------- -------- -------- ------- ------- ------- (0.20) (0.39) (0.48) (0.53) (0.59) (0.82) (0.23) (0.45) (0.53) (0.58) (0.64) (0.39) ------- ------ ------ ------- ------ ------ -------- -------- -------- ------- ------- ------- $ 10.23 $10.31 $10.27 $ 10.34 $ 9.57 $ 9.63 $ 10.16 $ 10.24 $ 10.22 $ 10.30 $ 9.53 $ 9.58 ======= ====== ====== ======= ====== ====== ======== ======== ======== ======= ======= ======= 1.16%(C) 4.25% 4.10% 13.91% 5.76% (0.98)% 1.43%(C) 4.62% 4.57% 14.58% 6.39% (0.17)%(C) ======= ====== ====== ======= ====== ====== ======== ======== ======== ======= ======= ======= $ 1,104 $1,395 $1,691 $ 300 $ 102 $1,545 $121,447 $131,927 $144,098 $95,820 $40,555 $46,655 0.89% 0.86% 0.86% 0.83% 0.87% 0.85% 0.34% 0.32% 0.30% 0.30% 0.39% 0.30% 3.88% 3.70% 4.60% 5.04% 6.07% 5.32% 4.43% 4.32% 5.23% 5.84% 6.72% 6.12% -- -- -- 0.01% 0.02% -- -- -- -- -- -- -- 53%(C) 187% 185% 164% 102% 123% 53%(C) 187% 185% 164% 102% 123%(D)
-------------------------------------------------------------------------------- 109 AMERICAN AADVANTAGE SHORT-TERM BOND FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) --------------------------------------------------------------------------------
INSTITUTIONAL CLASS -------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, --------------------------------------------------- 2004 2003 2002 2001 2000 1999 ----------- ------ ------ ------- ------ ------ (UNAUDITED) Net asset value, beginning of period........... $ 9.32 $ 9.45 $ 9.62 $ 9.21 $ 9.30 $ 9.63 ------ ------ ------ ------- ------ ------ Income from investment operations: Net investment income(B)................... 0.13 0.37 0.42 0.57 0.62 0.53 Net gains (losses) on securities (both realized and unrealized)(B).............. (0.03) (0.04) (0.11) 0.41 (0.10) (0.29) ------ ------ ------ ------- ------ ------ Total income from investment operations........ 0.10 0.33 0.31 0.98 0.52 0.24 ------ ------ ------ ------- ------ ------ Less distributions: Dividends from net investment income....... (0.23) (0.46) (0.48) (0.57) (0.61) (0.57) ------ ------ ------ ------- ------ ------ Total distributions............................ (0.23) (0.46) (0.48) (0.57) (0.61) (0.57) ------ ------ ------ ------- ------ ------ Net asset value, end of period................. $ 9.19 $ 9.32 $ 9.45 $ 9.62 $ 9.21 $ 9.30 ====== ====== ====== ======= ====== ====== Total return................................... 1.00%(C) 3.58% 3.37% 10.98% 5.83% 2.56% ====== ====== ====== ======= ====== ====== Ratios and supplemental data: Net assets, end of period (in thousands)... $3,388 $3,745 $8,396 $ 4,226 $3,687 $5,034 Ratios to average net assets (annualized): Expenses(B).............................. 0.62% 0.54% 0.44% 0.51% 0.58% 0.62% Net investment income(B)................. 2.89% 4.30% 4.47% 6.06% 6.61% 5.92% Decrease reflected in above expense ratio due to absorption of expenses by the Manager(B)............................. -- -- -- -- -- -- Portfolio turnover rate(A)................. 14%(C) 81% 63% 104% 89% 115%
--------------- (A) The American AAdvantage Short-Term Bond Fund invested all of its investable assets in its corresponding Portfolio through February 28, 2002. Portfolio turnover rate through February 28, 2002 was that of the Portfolio. (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 AMR Investment Services Short-Term Bond Portfolio through February 28, 2002. (C) Not annualized. -------------------------------------------------------------------------------- 110 --------------------------------------------------------------------------------
PLANAHEAD CLASS AMR CLASS -------------------------------------------------------------------- ------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED OCTOBER 31, APRIL 30, --------------------------------------------------- APRIL 30, --------------------- 2004 2003 2002 2001 2000 1999 2004 2003 2002 ----------- ------ ------ ------- ------ ------ ----------- ------- ------- (UNAUDITED) (UNAUDITED) $ 9.33 $ 9.45 $ 9.62 $ 9.21 $ 9.30 $ 9.64 $ 9.31 $ 9.44 $ 9.60 ------- ------ ------ ------- ------ ------ ------- ------- ------- 0.15 0.39 0.43 0.55 0.59 0.54 0.14 0.42 0.44 ) (0.07 (0.08) (0.14) 0.41 (0.09) (0.33) (0.03) (0.07) (0.11) ------- ------ ------ ------- ------ ------ ------- ------- ------- 0.08 0.31 0.29 0.96 0.50 0.21 0.11 0.35 0.33 ------- ------ ------ ------- ------ ------ ------- ------- ------- (0.22) (0.43) (0.46) (0.55) (0.59) (0.55) (0.24) (0.48) (0.49) ------- ------ ------ ------- ------ ------ ------- ------- ------- (0.22) (0.43) (0.46) (0.55) (0.59) (0.55) (0.24) (0.48) (0.49) ------- ------ ------ ------- ------ ------ ------- ------- ------- $ 9.19 $ 9.33 $ 9.45 $ 9.62 $ 9.21 $ 9.30 $ 9.18 $ 9.31 $ 9.44 ======= ====== ====== ======= ====== ====== ======= ======= ======= 0.76%(C) 3.38% 3.16% 10.69% 5.56% 2.21% 1.13%(C) 3.82% 3.60% ======= ====== ====== ======= ====== ====== ======= ======= ======= $ 8,196 $5,783 $3,520 $ 1,257 $ 489 $1,638 $82,179 $91,911 $89,932 0.87% 0.86% 0.73% 0.75% 0.84% 0.84% 0.34% 0.33% 0.30% 2.61% 4.00% 4.16% 5.76% 6.29% 5.75% 3.16% 4.54% 4.63% -- -- 0.04% -- 0.10% 0.09% -- -- -- 14%(C) 81% 63% 104% 89% 115% 14%(C) 81% 63% AMR CLASS ----------- ------------------------------- SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ------------------------------- 2004 2001 2000 1999 ----------- ------- ------- ------- (UNAUDITED) $ 9.33 $ 9.20 $ 9.29 $ 9.62 ------- ------- ------- ------- 0.15 0.59 0.63 0.59 ) (0.07 0.40 (0.09) (0.33) ------- ------- ------- ------- 0.08 0.99 0.54 0.26 ------- ------- ------- ------- (0.22) (0.59) (0.63) (0.59) ------- ------- ------- ------- (0.22) (0.59) (0.63) (0.59) ------- ------- ------- ------- $ 9.19 $ 9.60 $ 9.38 $ 9.29 ======= ======= ======= ======= 0.76%(C 11.07% 6.09% 2.83% ======= ======= ======= ======= $ 8,196 $81,370 $56,714 $66,767 0.87% 0.33% 0.33% 0.35% 2.61% 6.26% 6.88% 6.26% -- -- -- -- 14%(C 104% 89% 115%
-------------------------------------------------------------------------------- 111 AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) STOCKS - 94.2% AUSTRALIA - 1.33% AUSTRALIA PREFERRED STOCK - 0.27% AMP Limited.................. 295,706 $ 1,232 The News Corporation+........ 345,000 2,953 ---------- TOTAL AUSTRALIA PREFERRED STOCK.................. 4,185 ---------- AUSTRALIA COMMON STOCK - 1.06% Alumina Limited*............. 842,900 3,086 Australia & New Zealand Banking Group Limited...... 376,432 5,048 Commonwealth Bank of Australia*................. 185,780 4,193 Iluka Resources Limited*..... 387,194 1,093 WMC Resources Limited........ 842,900 2,916 ---------- TOTAL AUSTRALIA COMMON STOCK.................. 16,336 ---------- TOTAL AUSTRALIA.......... 20,521 ---------- BELGIUM COMMON STOCK - 0.30% Fortis+*..................... 211,300 4,600 ---------- TOTAL BELGIUM COMMON STOCK.................. 4,600 ---------- CANADA COMMON STOCK - 2.47% Alcan, Incorporated+......... 164,451 6,591 BCE, Incorporated+*.......... 272,770 5,472 Celestica, Incorporated+*.... 682,370 11,993 Husky Energy, Incorporated+*............. 309,200 5,677 Manulife Financial Corporation+*.............. 227,165 8,376 ---------- TOTAL CANADA COMMON STOCK.................. 38,109 ---------- DENMARK COMMON STOCK - 0.10% Vestas Wind Systems+......... 102,785 1,532 ---------- TOTAL DENMARK COMMON STOCK.................. 1,532 ---------- FINLAND COMMON STOCK - 1.50% KCI Konecranes Oyj*.......... 124,600 4,556 M-real Oyj................... 214,800 1,962 Stora Enso Oyj............... 349,300 4,711 UPM-Kymmene Oyj*............. 647,600 11,940 ---------- TOTAL FINLAND COMMON STOCK.................. 23,169 ---------- FRANCE COMMON STOCK - 9.64% Accor S.A.*.................. 75,410 3,175 Aventis S.A.*................ 475,203 36,201 AXA*......................... 848,964 17,881 BNP Paribas S.A.*............ 220,037 13,215 Compagnie Generale des Etablissements Michelin*... 115,400 5,401 Credit Agricole S.A.......... 316,954 7,819
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) Lagardere S.C.A.*............ 92,300 $ 5,560 PSA Peugeot Citroen S.A.*.... 163,469 8,783 Schneider Electric S.A.*..... 90,200 6,077 Societe BIC S.A.+*........... 62,687 2,720 Suez S.A.*................... 222,580 4,461 Total S.A.*.................. 142,627 26,381 Vinci S.A.*.................. 113,230 11,022 ---------- TOTAL FRANCE COMMON STOCK.................. 148,696 ---------- GERMANY - 5.82% GERMANY PREFERRED STOCK - 0.71% Fresenius Medical Care AG*... 169,846 8,110 Schering AG.................. 53,400 2,807 ---------- TOTAL GERMANY PREFERRED STOCK.................. 10,917 ---------- GERMANY COMMON STOCK - 5.11% BASF AG+*.................... 231,500 11,944 Bayer AG*.................... 143,300 3,905 Celesio AG*.................. 148,865 8,300 Deutsche Post AG............. 462,000 10,185 E.ON AG+*.................... 181,200 12,012 Hugo Boss AG*................ 253,350 5,618 Merck KGaA*.................. 94,000 5,035 Muenchener Rueckversicherung- Gesellschaft AG+*.......... 98,597 10,662 Porsche AG................... 3,900 2,419 Siemens AG*.................. 72,000 5,200 Volkswagen AG*............... 81,230 3,579 ---------- TOTAL GERMANY COMMON STOCK.................. 78,859 ---------- TOTAL GERMANY............ 89,776 ---------- HONG KONG COMMON STOCK - 1.54% Cheung Kong Holdings Limited.................... 531,000 4,085 CLP Holdings Limited+........ 720,000 3,831 Henderson Land Development Company Limited*........... 2,022,000 9,073 Hutchison Whampoa Limited.... 177,000 1,191 Swire Pacific Limited+....... 853,000 5,577 ---------- TOTAL HONG KONG COMMON STOCK.................. 23,757 ---------- IRELAND COMMON STOCK - 2.57% Allied Irish Banks plc....... 1,091,416 15,764 Bank of Ireland.............. 435,000 5,272 CRH plc...................... 545,995 11,592 Depfa Bank plc............... 46,570 6,985 ---------- TOTAL IRELAND COMMON STOCK.................. 39,613 ----------
See accompanying notes -------------------------------------------------------------------------------- 112 AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) ITALY COMMON STOCK - 1.83% Eni S.p.A.*.................. 973,447 $ 19,791 Riunione Adriatica di Sicurta S.p.A.*.................... 192,193 3,520 Snam Rete Gas S.p.A.......... 217,700 966 Telecom Italia S.p.A......... 1,240,929 3,979 ---------- TOTAL ITALY COMMON STOCK.................. 28,256 ---------- JAPAN COMMON STOCK - 14.12% Acom Company Limited......... 221,410 15,770 Canon, Incorporated*......... 426,500 22,377 DENSO Corporation............ 96,000 2,023 East Japan Railway Company... 1,547 7,906 FANUC Limited................ 119,500 7,320 Hitachi Limited+*............ 522,000 3,666 Honda Motor Company Limited.................... 378,100 15,178 Kao Corporation.............. 153,300 3,660 Komatsu Limited.............. 764,000 4,355 Konica Corporation........... 937,840 12,986 Mitsubishi Estate Company Limited.................... 304,000 3,595 NEC Corporation*............. 372,000 2,923 NEC Electronics Corporation*............... 78,900 5,555 Nintendo Company Limited..... 40,700 3,843 Nippon Telegraph & Telephone Corporation+............... 1,114 5,855 Nissan Motor Company Limited*................... 890,300 9,915 Nomura Holdings, Incorporated*.............. 760,000 12,341 NTT DoCoMo, Incorporated..... 4,501 8,932 Promise Company Limited...... 166,950 11,044 Rohm Company Limited......... 34,500 4,305 Sanyo Shinpan Finance Company Limited.................... 155,100 7,561 Seiko Epson Corporation...... 110,500 4,336 Shin-Etsu Chemical Company Limited.................... 109,300 4,417 Sompo Japan Insurance, Incorporated............... 709,000 6,393 Sony Corporation*............ 133,300 5,158 Sumitomo Trust and Banking Company Limited............ 558,000 3,357 Takeda Chemical Industries Limited.................... 187,500 7,561 Takefuji Corporation*........ 161,480 10,258 Tokyo Gas Company Limited*... 1,444,000 5,352 ---------- TOTAL JAPAN COMMON STOCK.................. 217,942 ----------
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) MEXICO COMMON STOCK - 0.25% Telefonos de Mexico S.A. de C.V., ADR.................. 111,700 $ 3,813 ---------- TOTAL MEXICO COMMON STOCK.................. 3,813 ---------- NETHERLANDS COMMON STOCK - 7.08% ABN AMRO Holding N.V......... 261,521 5,687 CNH Global NV................ 77,320 1,535 Heineken N.V.*............... 205,900 8,688 IHC Caland N.V............... 64,180 3,023 ING Groep N.V.*.............. 766,814 16,436 Koninklijke (Royal) KPN N.V.*...................... 1,206,600 8,693 Koninklijke (Royal) Philips Electronics N.V.*.......... 1,138,568 31,010 Royal Dutch Petroleum Company+*.................. 324,320 15,773 TPG N.V.+*................... 394,495 8,507 Vedior N.V................... 678,134 9,852 ---------- TOTAL NETHERLANDS COMMON STOCK.................. 109,204 ---------- NEW ZEALAND COMMON STOCK - 0.76% Carter Holt Harvey Limited... 2,333,889 3,066 Telecom Corporation of New Zealand Limited*........... 2,454,478 8,690 ---------- TOTAL NEW ZEALAND COMMON STOCK.................. 11,756 ---------- NORWAY COMMON STOCK - 1.20% Norsk Hydro ASA.............. 74,650 4,385 Statoil ASA.................. 286,600 3,582 Telenor ASA.................. 1,533,859 10,084 Yara International ASA+...... 74,650 528 ---------- TOTAL NORWAY COMMON STOCK.................. 18,579 ---------- PORTUGAL COMMON STOCK - 1.12% Portugal Telecom, SGPS, S.A........................ 1,595,523 17,309 ---------- TOTAL PORTUGAL COMMON STOCK.................. 17,309 ---------- SINGAPORE COMMON STOCK - 1.47% Creative Technology Limited.. 659,320 6,898 Development Bank of Singapore Group Holdings Limited..... 579,795 4,873 Oversea-Chinese Banking Corporation Limited........ 912,650 6,490 United Overseas Bank Limited.................... 555,000 4,469 ---------- TOTAL SINGAPORE COMMON STOCK.................. 22,730 ---------- SOUTH KOREA COMMON STOCK - 0.73% Kookmin Bank, ADR,+.......... 140,510 5,213
See accompanying notes -------------------------------------------------------------------------------- 113 AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) Korea Electric Power Corporation................ 86,860 $ 1,421 LG Electronics, Incorporated............... 76,760 4,658 ---------- TOTAL SOUTH KOREA COMMON STOCK.................. 11,292 ---------- SPAIN COMMON STOCK - 4.28% Altadis S.A.*................ 396,292 11,202 Amadeus Global Travel Distribution*.............. 1,704,503 10,053 Antena 3 de Television, S.A.+...................... 17,500 889 Banco Popular Espanol S.A.*.. 90,200 4,977 Enagas S.A................... 416,093 4,724 Iberdrola S.A................ 215,157 4,243 Repsol YPF S.A.+*............ 446,600 9,406 Telefonica S.A.+*............ 1,384,372 20,595 ---------- TOTAL SPAIN COMMON STOCK.................. 66,089 ---------- SWEDEN COMMON STOCK - 2.43% Atlas Copco AB*.............. 140,350 4,924 Autoliv, Incorporated+*...... 134,200 5,709 Electrolux AB*............... 193,300 3,821 Electrolux AB+............... 193,300 253 ForeningsSparbanken AB*...... 223,400 4,167 Nordea AB.................... 549,780 3,710 Securitas AB................. 267,470 3,851 Stora Enso Oyj, Series A*.... 66,662 894 Stora Enso Oyj, Series R..... 163,902 2,188 TDC A/S+..................... 99,390 3,378 Volvo AB*.................... 135,560 4,640 ---------- TOTAL SWEDEN COMMON STOCK.................. 37,535 ---------- SWITZERLAND COMMON STOCK - 7.01% Adecco SA*................... 123,210 5,507 Compagnie Financiere Richemont AG+.............. 215,500 5,543 Credit Suisse Group+......... 533,091 18,789 Geberit AG................... 15,622 9,494 Lonza Group AG*.............. 39,370 1,901 Nestle SA+*.................. 19,800 5,009 Novartis AG.................. 179,764 8,014 SIG Holding AG............... 95,723 16,242 Swiss Reinsurance............ 199,410 13,119 Syngenta AG+................. 58,443 4,676 UBS AG*...................... 120,100 8,535 Zurich Financial Services AG+........................ 71,758 11,345 ---------- TOTAL SWITZERLAND COMMON STOCK.................. 108,174 ---------- UNITED KINGDOM COMMON STOCK - 26.65% Abbey National plc........... 243,510 1,954 Alliance Unichem plc......... 350,810 3,711 Arriva plc................... 1,093,974 7,445
SHARES VALUE ------------ ---------- (DOLLARS IN THOUSANDS) Aviva plc.................... 890,693 $ 8,703 BAA plc...................... 778,968 7,183 BAE Systems plc+............. 4,146,947 15,425 Barclays plc................. 1,119,800 10,098 BHP Billiton plc............. 924,279 7,384 BP plc....................... 2,188,860 18,923 Brambles Industries plc...... 700,641 2,609 British American Tobacco Industries plc............. 517,469 7,846 BT Group plc+................ 2,371,879 7,508 Cable and Wireless plc+...... 1,452,300 3,181 Cadbury Schweppes plc........ 2,067,785 16,446 Celltech Group plc+.......... 171,700 1,280 Diageo plc................... 1,426,165 19,133 FirstGroup plc............... 1,059,787 5,046 GlaxoSmithKline plc+......... 1,466,226 30,344 Hanson plc................... 839,725 6,403 Hays plc..................... 3,181,974 6,658 HSBC Holdings plc............ 1,196,065 17,138 Imperial Tobacco Group plc... 149,440 3,310 Kesa Electricals plc......... 507,200 2,536 Kidde plc.................... 1,680,500 3,338 Kingfisher plc............... 1,530,939 7,690 Lloyds TSB Group plc......... 1,127,992 8,431 Marks & Spencer Group plc+... 434,561 2,129 National Grid Transco plc.... 482,100 3,657 Pearson plc.................. 362,610 4,231 Prudential plc............... 1,009,300 7,929 Reed Elsevier plc+........... 930,960 8,667 Rentokil Initial plc......... 2,422,430 8,076 Reuters Group plc+........... 1,441,776 9,537 Rio Tinto plc................ 228,900 5,021 Rolls-Royce plc.............. 966,500 3,968 Royal Bank of Scotland Group plc........................ 765,758 22,990 J. Sainsbury plc............. 429,500 2,121 Shell Transport & Trading Company plc................ 2,687,421 18,539 Shire Pharmaceuticals Group plc+....................... 323,900 2,981 Smiths Group plc............. 978,470 12,120 Standard Chartered plc....... 158,030 2,421 TI Automotive................ 681,500 -- Unilever plc................. 2,450,294 23,117 Vodafone Group plc........... 11,714,039 28,459 Wolseley plc................. 600,335 8,799 WPP Group plc................ 296,000 2,919 Yell Group plc............... 658,960 3,710 ---------- TOTAL UNITED KINGDOM COMMON STOCK........... 411,114 ---------- TOTAL STOCKS............. 1,453,566 ----------
See accompanying notes -------------------------------------------------------------------------------- 114 AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS -- CONTINUED April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PAR AMOUNT VALUE ------------ ---------- FRANCE CORPORATE BONDS - 0.02% AXA, 0.00%, Due 12/21/2004... $ 12 $ 250 ---------- TOTAL FRANCE CORPORATE BONDS.................. 250 ---------- SHARES ------------ SHORT TERM INVESTMENTS - 28.49% American AAdvantage Money Market Select Fund (Note A)......................... 302,461,593 302,462
SHARES VALUE ------------ ---------- AMR Investments Enhanced Cash Business Trust (Note A).... 137,086,003 $ 137,086 ---------- TOTAL SHORT TERM INVESTMENTS............ 439,548 ---------- TOTAL INVESTMENTS - 122.71% (COST $1,628,406).......... 1,893,364 ---------- LIABILITIES, NET OF OTHER ASSETS - (22.71%).......... (350,436) ---------- TOTAL NET ASSETS - 100%...... $1,542,928 ==========
--------------- (A) See Note 2 in the Notes to Financial Statements regarding investments in affiliated issuers. * - All or a portion of the security is on loan at April 30, 2004. See Note 4. + - non-income producing AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO INTERNATIONAL EQUITY SECTOR DIVERSIFICATION April 30, 2004 (Unaudited) --------------------------------------------------------------------------------
PERCENT OF NET ASSETS ---------- Consumer Discretionary...................................... 11.66% Consumer Staples............................................ 6.52% Energy...................................................... 7.94% Financials.................................................. 24.25% Health Care................................................. 7.41% Industrials................................................. 14.73% Information Technology...................................... 4.02% Materials................................................... 6.24% Short-Term Investments...................................... 28.49% Telecommunications Services................................. 8.81% Utilities................................................... 2.64% Other Liabilities........................................... (22.71%) ------- NET ASSETS............................................ 100.00% =======
See accompanying notes -------------------------------------------------------------------------------- 115 AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES April 30, 2004 (in thousands) (Unaudited) -------------------------------------------------------------------------------- ASSETS: Investments in unaffiliated securities, at value(A)..... $1,453,816 Investments in affiliated securities, at value(B)....... 439,548 Cash.................................................... 6,928 Cash denominated in foreign currency (cost $1,979)...... 1,980 Dividends and interest receivable....................... 6,015 Reclaims receivable..................................... 188 Receivable for investments sold......................... 3,385 ---------- TOTAL ASSETS........................................ 1,911,860 ---------- LIABILITIES: Payable for investments purchased....................... 11,728 Payable upon return of securities loaned................ 353,597 Payable for variation margin on open futures contracts.............................................. 833 Management and investment advisory fees payable (Note 2)..................................................... 1,428 Unrealized depreciation on foreign currency contracts... 1,133 Other liabilities....................................... 213 ---------- TOTAL LIABILITIES................................... 368,932 ---------- NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.... $1,542,928 ========== --------------- (A) Cost of unaffiliated securities......................... $1,188,858 (B) Cost of affiliated securities........................... $ 439,548
STATEMENT OF OPERATIONS Six months ended April 30, 2004 (in thousands) (Unaudited) -------------------------------------------------------------------------------- INVESTMENT INCOME: Interest income......................................... $ 96 Dividend income from unaffiliated securities (net of foreign taxes of $2,724)............................... 15,652 Dividend income from affiliated securities.............. 451 Income derived from commission recapture (Note 6)....... 177 Income derived from securities lending, net (Note 5).... 597 -------- TOTAL INVESTMENT INCOME............................. 16,973 -------- EXPENSES: Management and investment advisory fees (Note 2)........ 2,553 Custodian fees.......................................... 858 Professional fees....................................... 89 Other expenses.......................................... (3) -------- TOTAL EXPENSES...................................... 3,497 -------- NET INVESTMENT INCOME....................................... 13,476 -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on: Investments........................................... 11,198 Foreign currency transactions......................... 36,956 Futures contracts..................................... 7,444 Change in net unrealized appreciation or depreciation of: Investments........................................... 113,478 Foreign currency contracts and translations........... (7,840) Futures contracts..................................... 179 -------- NET GAIN ON INVESTMENTS............................. 161,415 -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $174,891 ========
See accompanying notes -------------------------------------------------------------------------------- 116 AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO STATEMENT OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED APRIL 30, OCTOBER 31, 2004 2003 ----------- ----------- (UNAUDITED) (IN THOUSANDS) INCREASE IN NET ASSETS: OPERATIONS: Net investment income................................... $ 13,476 $ 23,975 Net realized gain (loss) on investments, futures contracts and foreign currency transactions............ 55,598 (15,701) Change in net unrealized appreciation or depreciation of investments, futures contracts and foreign currency translations........................................... 105,817 306,719 ---------- ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.......................................... 174,891 314,993 ---------- ---------- TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS: Contributions........................................... 368,449 571,390 Withdrawals............................................. (283,347) (552,053) ---------- ---------- NET INCREASE IN NET ASSETS RESULTING FROM TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS..... 85,102 19,337 ---------- ---------- NET INCREASE IN NET ASSETS.................................. 259,993 334,330 ---------- ---------- NET ASSETS: Beginning of period..................................... 1,282,935 948,605 ---------- ---------- END OF PERIOD........................................... $1,542,928 $1,282,935 ========== ==========
----------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS: -----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED OCTOBER 31, APRIL 30, ---------------------------------------- 2004 2003 2002 2001 2000 1999 ----------- ------ ------- ----- ----- ----- (UNAUDITED) TOTAL RETURN........................................... 13.56%(A) 31.97% (10.25%) N/A N/A N/A RATIOS TO AVERAGE NET ASSETS: Expenses........................................... 0.48% 0.49% 0.47% 0.49% 0.44% 0.37% Net investment income.............................. 1.84% 2.26% 1.86% 1.82% 1.93% 2.27% PORTFOLIO TURNOVER RATE................................ 17%(A) 44% 43% 36% 45% 63%
--------------- (A) Not annualized. See accompanying notes -------------------------------------------------------------------------------- 117 AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO NOTES TO FINANCIAL STATEMENTS April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES AMR Investment Services Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended, as a no-load, open-end management investment company which was organized as a trust under the laws of the State of New York pursuant to a Declaration of Trust dated as of June 27, 1995 and amended on August 11, 1995. The AMR Investment Services International Equity Portfolio (the "Portfolio") is one of the portfolios of the Trust. The Portfolio commenced active operations on November 1, 1995. The Declaration of Trust permits the Board of Trustees (the "Board") to issue beneficial interests in the Portfolio. AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary of AMR Corporation, the parent company of American Airlines, Inc. ("American"), and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services. The following is a summary of the significant accounting policies followed by the Portfolio. Security Valuation Equity securities that are primarily traded on domestic securities exchanges are valued at the last quoted sales price on a designated exchange at the close of trading on the New York Stock Exchange (the "Exchange") on each day the Exchange is open for trading or, lacking any current sales, on the basis of the last current bid price prior to the close of trading on the Exchange. Over-the-counter equity securities are valued on the basis of the last bid price on that date prior to the close of trading. 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. Most foreign markets close before the Exchange. Movements in the U.S. markets after the close of foreign markets are evaluated, and security prices may be adjusted to reflect the fair value of the securities as of the close of the Exchange as determined in good faith in accordance with procedures adopted by the Board. Debt securities (other than short-term securities) normally are 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. Investments in mutual funds are valued at the closing net asset value per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method. Securities for which the above valuation procedures are inappropriate or are deemed not to reflect fair value are valued at fair value, as determined in good faith and pursuant to procedures approved by the Board. -------------------------------------------------------------------------------- 118 AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- 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 Portfolio. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification. There is uncertainty regarding the collectibility of tax reclaims by the Portfolio due to its partnership status for federal income tax purposes. As such, the Portfolio did not accrue tax reclaims totaling $247,992 during the period. Upon determination of the Portfolio's entitlement to benefits under foreign tax treaties, if any, tax reclaim income will be accrued. Currency Translation All assets and liabilities initially expressed in foreign currency values are converted into U.S. dollar values at the mean of the bid and ask prices 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 effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and is reported with all other foreign currency gains and losses in the Fund's Statement of Operations. Forward Foreign Currency Contracts The 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 Portfolio may enter into financial futures contracts which are contracts to buy a standard quantity of securities at a specified price on a future date. The Portfolio may purchase or sell futures contracts and options on futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock market. 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 exchange on which they are traded. -------------------------------------------------------------------------------- 119 AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- The use of futures contracts may involve risks such as the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations. Federal Income and Excise Taxes The Portfolio will be treated as a partnership for federal income tax purposes. As such, each investor will be taxed on its share of the Portfolio's ordinary income and capital gains. It is intended that the Portfolio's assets will be managed in such a way that an investor in the Portfolio will be able to satisfy the requirements of subchapter M of the Internal Revenue Code. 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. Other In the normal course of business, the Portfolio enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Portfolio's maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Portfolio has had no prior claims or losses pursuant to any such agreement. 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, portfolio management and securities lending services. Investment assets of the Portfolio 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 Portfolio an annualized fee equal to .10% of the average daily net assets plus amounts paid by the Manager to the investment advisers hired by the Manager to direct investment activities of the Portfolio. Management fees paid during the period were as follows (dollars in thousands):
AMOUNTS PAID TO NET AMOUNTS MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY FEE RATE FEE ADVISERS MANAGER ---------- ---------- --------------- ----------- International Equity Portfolio..................... .25%-.60% $2,553 $1,818 $735
As compensation for services provided by the Manager in connection with securities lending activities, the Portfolio pays to the Manager, with respect to cash collateral posted by borrowers, a fee up to 25% of the net monthly interest income (the gross interest income earned by the investment of cash collateral, less the amount paid to borrowers and related expenses) from such activities and, with respect to loan fees paid by borrowers when a borrower posts collateral other -------------------------------------------------------------------------------- 120 AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- than cash, a fee up to 25% of such loan fees. During the period, the Portfolio paid securities lending fees of $123,000 to the Manager. Investment in Affiliated Funds The Portfolio may invest in the American AAdvantage Money Market Select Fund (the "Select Fund"). Cash collateral received by the Portfolio in connection with securities lending may be invested in the Select Fund and the AMR Investments Enhanced Cash Business Trust (collectively, the "Affiliated Funds"). The Manager serves as Trustee and investment adviser to the Affiliated Funds and receives an annualized fee equal to 0.10% of the average daily net assets of the Affiliated Funds. During the period, the Manager earned fees from the Affiliated Funds totaling $44,325 on the Portfolio's direct investment in the Affiliated Funds, and $144,295 from securities lending collateral invested in the Affiliated Funds. At October 31, 2003, the Portfolio had a balance in the Select Fund of $81,729,913. During the period, the Fund had purchases of $434,191,417 and sales of $429,239,067, for an ending balance of $86,682,263. Other Certain officers or Trustees of the Trust are also current or former officers or employees of the Manager or American. The Trust makes no direct payments to its officers. Unaffiliated Trustees and their spouses are provided free unlimited air transportation on American. However, the Trust compensates each Trustee with payments in an amount equal to the Trustee's income tax on the value of this free airline travel. For the six months ended April 30, 2004, the cost of air transportation was not material to the Portfolio. One Trustee, as a retiree of American, already receives flight benefits. This Trustee receives an annual retainer of $40,000 plus $1,250 for each Board meeting attended. 3. INVESTMENT TRANSACTIONS The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, (in thousands), for the six months ended April 30, 2004 were $343,960 and $229,550, respectively. -------------------------------------------------------------------------------- 121 AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- 4. COMMITMENTS In order to protect itself against a decline in the value of particular foreign currencies against the U.S. dollar, the Portfolio has entered into forward contracts to deliver or receive foreign currency in exchange for U.S. dollars as described below. The Portfolio bears the market risk that arises from changes in foreign exchange rates, and accordingly, the unrealized gain (loss) on these contracts is reflected in the accompanying financial statements. The Portfolio also bears the credit risk if the counterparty fails to perform under the contract. At April 30, 2004, the Portfolio had outstanding forward foreign currency contracts as follows:
SETTLEMENT MARKET UNREALIZED CONTRACTS TO DELIVER DATE VALUE GAIN/(LOSS) -------------------- ---------- ------- ----------- (AMOUNTS IN THOUSANDS) 2,500 Australian Dollar........................................... 6/17/04 $ 1,793 $ 59 2,900 Canadian Dollar............................................. 6/17/04 2,112 34 4,600 Euro Currency............................................... 6/17/04 5,502 22 3,500 Pound Sterling.............................................. 6/17/04 6,183 110 5,000 Swedish Krona............................................... 6/17/04 654 (2) 3,000 Swiss Franc................................................. 6/17/04 2,314 16 ------- ---- Total contracts to deliver (Receivable amount $18,797)............. $18,558 $239 ======= ====
SETTLEMENT MARKET UNREALIZED CONTRACTS TO RECEIVE DATE VALUE GAIN/(LOSS) -------------------- ---------- ------- ----------- (AMOUNTS IN THOUSANDS) 7,000 Australian Dollar........................................ 6/17/04 $ 5,019 $ (72) 8,500 Canadian Dollar.......................................... 6/17/04 6,191 (180) 24,000 Euro Currency............................................ 6/17/04 28,705 (671) 2,000,000 Japanese Yen............................................. 6/17/04 18,149 51 15,000 Pound Sterling........................................... 6/17/04 26,497 (320) 15,000 Swedish Krona............................................ 6/17/04 1,961 (22) 11,000 Swiss Franc.............................................. 6/17/04 8,484 (158) ------- ------- Total contracts to receive (Payable amount $96,378)................. $95,006 $(1,372) ======= =======
The Portfolio may purchase securities with delivery or payment to occur at a later date. At the time the Portfolio enters 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 Portfolio until payment takes place. 5. SECURITIES LENDING The Portfolio participates 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 will generally equal at least 100% of the market value of the loaned securities plus accrued interest. The Portfolio 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 Portfolio receives the interest on the collateral less any fees and rebates paid to agents and transferees of securities. The Portfolio also continues to receive income on the securities -------------------------------------------------------------------------------- 122 AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO NOTES TO FINANCIAL STATEMENTS -- CONTINUED April 30, 2004 (Unaudited) -------------------------------------------------------------------------------- loaned, and any gain or loss in the market price of securities loaned that may occur during the term of the loan will be for the account of the Portfolio. At April 30, 2004, securities with a market value of approximately $335,323,000 were loaned by the Portfolio. Cash collateral held by the custodian for the Portfolio in an investment in the Affiliated Funds totaled $352,865,000. 6. COMMISSION RECAPTURE The Portfolio has 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 Portfolio. 7. FUTURES CONTRACTS A summary of obligations under these financial instruments at April 30, 2004 is as follows:
UNREALIZED MARKET APPRECIATION/ TYPE OF FUTURE EXPIRATION CONTRACTS VALUE (DEPRECIATION) -------------- ---------- --------- ----------- -------------- France CAC 40 Index..................................... June 2004 225 $ 9,746,290 $ 211,478 Germany DAX Index....................................... June 2004 58 6,914,512 115,200 UK FTSE 100 Index....................................... June 2004 321 25,584,754 179,792 Hang Seng Index......................................... May 2004 21 1,589,175 (35,469) Italy MIB 30 Index...................................... June 2004 23 3,815,862 120,529 Tokyo FE TOPIX Index.................................... June 2004 215 23,028,397 706,538 Spain IBEX 35 Index..................................... May 2004 38 3,670,622 (156,187) Sweden OMX Index........................................ May 2004 264 2,359,860 (96,523) Canada S&PCDA 60 Index.................................. June 2004 91 6,029,391 (254,502) Australia SPI Index..................................... June 2004 81 4,957,722 (52,432) Netherlands 200 AEX Index............................... May 2004 60 4,889,463 (78,056) ----------- --------- $92,586,049 $ 660,368 =========== =========
-------------------------------------------------------------------------------- 123 TRUSTEES AND OFFICERS OF THE TRUST AND THE AMR INVESTMENT SERVICES TRUST (Unaudited) -------------------------------------------------------------------------------- The Trustees and officers of the Trust and AMR Trust are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 4151 Amon Carter Boulevard, MD 2450, Fort Worth, Texas 76155. Each Trustee oversees twenty-five funds in the fund complex that includes the AMR Trust, the American AAdvantage Funds, the American AAdvantage Mileage Funds, and the American AAdvantage Select Funds. The Trust's Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.
POSITION, TERM OF OFFICE AND LENGTH OF TIME SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS NAME, AGE AND ADDRESS WITH THE TRUST AND CURRENT DIRECTORSHIPS --------------------- ----------------- ------------------------------------------- INTERESTED TRUSTEES TERM ------------------ Lifetime of Trust until removal, resignation or retirement* William F. Quinn** (56) Trustee since 1987 President, AMR Investment Services, Inc. (1986-Present); and President Chairman (1989-2003) and Director (1979-1986, 2003-Present), since 1986 American Airlines Federal Credit Union; Director, Crescent Real Estate Equities, Inc. (1994-Present); Director, Pritchard, Hubble & Herr, LLC (investment adviser) (2001-Present); Member, Southern Methodist University Cox School of Business Advisory Board (1999-2002); Advisory Director, Southern Methodist University Endowment Fund (1996-Present); Chairman, Committee for the Investment of Employee Benefits Defined Benefit Sub-Committee (1982-Present); Director, United Way of Tarrant County (1988-2000, 2004-Present); Member, New York Stock Exchange Pension Manager Committee (1997-1998, 2000-2002); Trustee, American AAdvantage Mileage Funds (1995-Present); Trustee, American AAdvantage Select Funds (1999-Present). Alan D. Feld** (67) Trustee since 1996 Partner, Akin, Gump, Strauss, Hauer & Feld, LLP (law firm) (1960-Present); Director, Clear Channel Communications (1984-Present); Trustee, CenterPoint Properties (1994-Present); Trustee, American AAdvantage Mileage Funds (1996-Present); Trustee, American AAdvantage Select Funds (1999-Present). NON-INTERESTED TRUSTEES TERM ------------------ Lifetime of Trust until removal, resignation or retirement* Stephen D. O'Sullivan (68) Trustee since 1987 Consultant (1994-Present); Trustee, American AAdvantage Mileage Funds (1995-Present); Trustee, American AAdvantage Select Funds (1999-Present).
-------------------------------------------------------------------------------- 124 TRUSTEES AND OFFICERS OF THE TRUST AND THE AMR INVESTMENT SERVICES TRUST -- CONTINUED (Unaudited) --------------------------------------------------------------------------------
POSITION, TERM OF OFFICE AND LENGTH OF TIME SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS NAME, AGE AND ADDRESS WITH THE TRUST AND CURRENT DIRECTORSHIPS --------------------- ----------------- ------------------------------------------- NON-INTERESTED TRUSTEES (CONT.) R. Gerald Turner (58) Trustee since 2001 President, Southern Methodist University (1995-Present); 225 Perkins Admin. Bldg. Director, ChemFirst (1986-2002); Director, J.C. Penney Southern Methodist Univ. Company, Inc. (1996- Present); Director, California Federal Dallas, Texas 75275 Preferred Capital Corp. (2001- 2003); Director, Kronus Worldwide, Inc. (chemical manufacturing) (2003-Present); Director, First Broadcasting Investment Partners, LLC (2003-Present); Member, United Way of Dallas Board of Directors; Member, Salvation Army of Dallas Board of Directors; Member, Methodist Hospital Advisory Board; Member, Knight Commission on Intercollegiate Athletics; Trustee, American AAdvantage Mileage Funds (2001-Present); Trustee, American AAdvantage Select Funds (2001-Present). Kneeland Youngblood (48) Trustee since 1996 Managing Partner, Pharos Capital Group, LLC (a private 100 Crescent Court equity firm) (1998-Present); Trustee, The Hockaday School Suite 1740 (1997-Present); Director, Starwood Hotels and Resorts Dallas, Texas 75201 (2001-Present); Member, Council on Foreign Relations (1995-Present); Director, Just For the Kids (1995-2001); Director, L&B Realty Advisors (1998-2000); Trustee, Teachers Retirement System of Texas (1993-1999); Director, Starwood Financial Trust (1998-2001); Trustee, St. Mark's School of Texas (2002-Present); Trustee, American AAdvantage Mileage Funds (1996-Present); Trustee, American AAdvantage Select Funds (1999-Present). OFFICERS TERM ------------------ One Year Nancy A. Eckl (41) VP since 1990 Vice President, Trust Investments, AMR Investment Services, Inc. (1990-Present). Michael W. Fields (50) VP since 1989 Vice President, Fixed Income Investments, AMR Investment Services, Inc. (1988-Present). Barry Y. Greenberg (40) VP since 1995 and Vice President, Legal and Compliance, AMR Investment Secretary since Services, Inc. (1995-Present); Director, Pritchard, Hubble & 2004 Herr, LLC (investment adviser) (2004-Present). Rebecca L. Harris (37) Treasurer since Vice President, Finance, AMR Investment Services, Inc. 1995 (1995- Present). John B. Roberson (45) VP since 1989 Vice President, Director of Sales, AMR Investment Services, Inc. (1991-Present); Director, Pritchard, Hubble & Herr, LLC (investment adviser) (2001-Present).
--------------- * The Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 70, with the exception of Messrs. Quinn and O'Sullivan. ** Messrs. Quinn and Feld are deemed to be "interested persons" of the Trust, as defined by the 1940 Act. Mr. Quinn is President of the Manager. Mr. Feld's law firm of Akin, Gump, Strauss, Hauer & Feld, LLP has provided legal services within the past two years to one or more of the Trust's investment advisers. -------------------------------------------------------------------------------- 125 (AMERICAN EAGLE LOGO) (AMERICAN EAGLE LOGO) (AMERICAN EAGLE LOGO) (AMERICAN AADVANTAGE FUNDS LOGO) -------------------------------------------------------------------------------- TO OBTAIN MORE INFORMATION ABOUT THE FUNDS: (KEYBOARD GRAPHIC) (MOUSE GRAPHIC) BY E-MAIL: ON THE INTERNET: american-aadvantage.funds@AA.com Visit our website at www.aafunds.com
-------------------------------------------------------------------------------- (TELEPHONE GRAPHIC) (MAILBOX GRAPHIC) BY TELEPHONE: BY MAIL: Institutional Class American AAdvantage Funds Call (800) 658-5811 4151 Amon Carter Blvd., MD 2450 AMR Class(SM) Fort Worth, TX 76155 Call (800) 345-2345 PlanAhead Class(R) and Service Class Call (800) 388-3344
FUND SERVICE PROVIDERS: CUSTODIAN TRANSFER AGENT INDEPENDENT AUDITORS DISTRIBUTOR STATE STREET BANK AND TRUST BOSTON FINANCIAL DATA SERVICES ERNST & YOUNG LLP SWS FINANCIAL SERVICES Boston, Massachusetts Kansas City, Missouri Chicago, Illinois Dallas, Texas
This report is prepared for shareholders of the American AAdvantage Funds and may be distributed to others only if preceded or accompanied by a current prospectus. -------------------------------------------------------------------------------- American Airlines, Inc. is not responsible for investments made in the American AAdvantage Funds. American AAdvantage Funds is a registered service mark of AMR Corporation. American AAdvantage Balanced Fund, American AAdvantage Large Cap Value Fund, American AAdvantage Large Cap Growth Fund, American AAdvantage Small Cap Value Fund, American AAdvantage International Equity Fund, American AAdvantage Emerging Markets Fund, American AAdvantage High Yield Bond Fund, American AAdvantage Enhanced Income Fund, American AAdvantage Intermediate Bond Fund and American AAdvantage Short-Term Bond Fund are service marks of AMR Investment Services, Inc. [BACK COVER] SAR 04/04 531108 ITEM 2. CODE OF ETHICS. The Trust did not amend the code of ethics that applies to its principal executive and financial officers (the "Code") nor did it grant any waivers to the provisions of the Code during the period covered by the shareholder report presented in Item 1. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not Applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not Applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not Applicable. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not Applicable. ITEM 8. PUCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not Applicable. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has made no material changes to the procedures by which shareholders may recommend nominees to the Trust's Board of Trustees since the Trust last disclosed such procedures in Schedule 14A. ITEM 10. CONTROLS AND PROCEDURES. Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are effective. There were no changes in the Trust's internal control over financial reporting during the Trust's last fiscal half-year that materially affected, or were reasonably likely to materially affect, the Trust's internal control over financial reporting. ITEM 11. EXHIBITS. (a)(1) Not Applicable. (a)(2) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as EX-99.CERT. (a)(3) Not Applicable. (b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Registrant: American AAdvantage Funds By /s/ William F. Quinn -------------------- William F. Quinn President Date: July 9, 2004 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By /s/ William F. Quinn -------------------- William F. Quinn President Date: July 9, 2004 By /s/ Rebecca L. Harris --------------------- Rebecca L. Harris Treasurer Date: July 9, 2004