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, 2003
Date of reporting period: April 30, 2003
ITEM 1. REPORTS TO STOCKHOLDERS.
[AMERICAN AADVANTAGE FUNDS LOGO]
- --------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
APRIL 30, 2003
[GLOBE GRAPHIC]
EQUITY FUNDS
Balanced Fund
Large Cap Value Fund
Large Cap Growth Fund
Small Cap Value Fund
International Equity Fund
Emerging Markets Fund
BOND FUNDS
High Yield Bond Fund
Intermediate Bond Fund
Short-Term Bond Fund
Managed by AMR Investments
[EAGLE GRAPHIC]
About AMR Investments
- --------------------------------
AMR Investments is an
experienced provider of
investment advisory services to
institutional and retail
markets. We act as manager of
the American AAdvantage Funds, a
family of diversified mutual
funds, and offer customized
fixed income portfolio
management services.
Our clients include defined
benefit plans, defined
contribution plans, foundations,
endowments, corporations, and
other institutional investors.
AMR Investments is a wholly
owned subsidiary of AMR
Corporation, the parent company
of American Airlines, Inc.
Incorporated in 1986, we are
directly responsible for the
investment management and
oversight of AMR Corporation's
defined benefit and defined
contribution plans, as well as
its fixed income investments.
<Table>
<Caption>
Contents
-----------------------------------------
President's Message........... 1
American AAdvantage Funds'
Performance................ 2
Market and Performance
Overviews.................. 3
American AAdvantage Schedules of
Investments
Balanced Fund.............. 20
Large Cap Value Fund....... 27
Large Cap Growth Fund...... 31
Small Cap Value Fund....... 35
Emerging Markets Fund...... 40
High Yield Bond Fund....... 45
Intermediate Bond Fund..... 49
Short-Term Bond Fund....... 56
AMR Investment Services Trust
Schedules of Investments
International Equity
Portfolio............... 96
Additional Information..Inside Back Cover
</Table>
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, 2003
[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,
2003. During this time,
the American AAdvantage
Funds reacted to the
markets with favorable
returns.
This period was
characterized by great
uncertainty as investors
waited for a resolution to
the war with Iraq, signs
of corporate earnings
growth, and signals of a
growing economy. Investors
experienced both upward
and downward market turns
during the six months;
however, the major market
indices reported positive returns for the six-month period. The S&P 500 Index
posted growth of 4.48%, the MSCI EAFE Index produced a 1.82% increase, and the
Dow Jones Industrial Average realized a 2.18% return.
In response, the American AAdvantage Funds performed quite well throughout
the period. The Balanced, Large Cap Growth, Small Cap Value, and International
Equity Funds all outperformed their respective Lipper benchmarks for the six
months. The Small Cap Value Fund outpaced the Lipper Small Cap Value Index for
the one-year, three-year, and since inception time periods as of April 30, 2003.
On the fixed-income front, our Intermediate Bond and Short-Term Bond Funds
posted positive returns for the six months. The Short-Term Bond Fund
outperformed its Lipper benchmark for the one, three, five, and ten year time
periods. The High Yield Bond Fund produced returns of 12.84% and 10.30% for the
six-month and one-year time periods, respectively.
As the financial markets shift, the American AAdvantage Funds continue to
stress the basics of investing on behalf of our shareholders. We believe that
low costs, disciplined investing, experienced money managers, diversification
and a long-term focus benefit investors.
Please review the enclosed portfolio listings and detailed financial data.
As always, we welcome the opportunity to serve your financial needs. Should you
have any questions about the enclosed information, please do not hesitate to
contact us at 800-967-9009. You may also access Fund and account information 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
1
AMERICAN AADVANTAGE FUNDS
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
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 -6.77% 3.57% 1.41% 7.97%
Balanced Fund -- PlanAhead 8/1/94 AABPX -6.69% 3.46% 1.21% 7.74%
Balanced Fund -- AMR 8/1/94 AABNX -6.21% 3.95% 1.73% 8.25%
Lipper Balanced Index -5.88% -3.25% 1.11% 7.49%
Large Cap Value Fund -- Institutional 7/17/87 AADEX -15.55% -0.03% -2.27% 8.42%
Large Cap Value Fund -- PlanAhead 8/1/94 AAGPX -15.74% -0.29% -2.54% 8.12%
Large Cap Value Fund -- AMR 8/1/94 AAGAX -15.27% 0.24% -2.02% 8.66%
Lipper Multi Cap Value Index -13.67% -1.62% -0.82% 9.08%
Large Cap Growth Fund -- Institutional 7/31/00 ALCGX -16.18% N/A N/A -24.07%
Large Cap Growth Fund -- AMR 7/31/00 ALFIX -16.16% N/A N/A -23.95%
Lipper Large Cap Growth Index -16.50% N/A N/A -23.84%
Small Cap Value Fund -- Institutional 12/31/98 AVFIX -15.72% 14.69% N/A 8.14%
Small Cap Value Fund -- PlanAhead 3/1/99 AVPAX -15.85% 14.38% N/A 7.89%
Small Cap Value Fund -- AMR 3/1/99 AASVX -15.50% 15.03% N/A 8.43%
Lipper Small Cap Value Index -17.27% 6.42% N/A 5.42%
International Equity Fund -- Institutional 8/7/91 AAIEX -16.59% -8.92% -2.76% 6.54%
International Equity Fund -- PlanAhead 8/1/94 AAIPX -16.46% -9.04% -2.95% 6.30%
International Equity Fund -- AMR 8/1/94 AAIAX -16.47% -8.71% -2.52% 6.78%
Lipper International Index -16.30% -14.26% -4.58% 4.18%
Emerging Markets Fund -- Institutional 7/31/00 AEMFX -14.34% N/A N/A -8.79%
Emerging Markets Fund -- PlanAhead 10/1/02 AAEPX -14.57% N/A N/A -8.87%
Emerging Markets Fund -- AMR 7/31/00 AAMRX -14.21% N/A N/A -8.57%
Lipper Emerging Markets Index -13.42% N/A N/A -9.69%
High Yield Bond Fund -- Institutional 12/29/00 AYBFX 10.30% N/A N/A 10.50%
High Yield Bond Fund -- PlanAhead 3/1/02 AHYPX 9.89% N/A N/A 10.00%
Lipper High Current Yield Index 7.13% N/A N/A 3.18%
Intermediate Bond Fund -- Institutional 9/15/97 AAIBX 9.06% 9.99% 7.02% 7.34%
Intermediate Bond Fund -- PlanAhead 3/2/98 AAPAX 8.72% 9.14% 6.36% 6.74%
Intermediate Bond Fund -- AMR 3/1/99 AABDX 9.44% 9.74% 6.83% 7.16%
Lipper Interm. Invest. Grade Debt Index 9.61% 9.61% 6.91% 7.13%
Short-Term Bond Fund -- Institutional 12/3/87 AADFX 5.81% 7.07% 5.74% 5.52%
Short-Term Bond Fund -- PlanAhead 8/1/94 AALPX 5.31% 6.80% 5.46% 5.30%
Short-Term Bond Fund -- AMR 8/1/94 AASBX 5.87% 7.26% 5.95% 5.72%
Linked Lipper Invest. Grade Debt Avg 4.86% 6.29% 5.34% 5.12%
</Table>
Performance shown for the PlanAhead and AMR Classes prior to their inception
dates is that of the Institutional Class.
2
DOMESTIC EQUITY MARKET OVERVIEW
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The domestic equity market, as measured by the S&P 500 Index, returned 4.5%
during the six-month period ended April 30, 2003. The period began with a market
rally in November, fueled by investors' optimism surrounding fourth quarter
earnings prospects. A larger-than-expected cut in the Fed Funds rate at the
beginning of the month seemed to alleviate investors' fears about the economy
sliding back into recession. In December, economic data was not as robust as
hoped for. Investors focused on the still-sluggish gains in the economy and the
market gave up November's gains.
During the first quarter of 2003, the equity markets displayed the
volatility that has continued since the Tech Bubble began its collapse in early
2000. The year started strongly, with the S&P 500 Index rising 6% in the first
14 days. However, the rally was short lived, and by March 10th, the S&P 500 was
down 8.6% for the year. This was a decline of 14% from its January peak. The
market rallied through the end of the quarter, but the S&P 500 Index still ended
in negative territory, with a -3.1% return through March 31, 2003. This marked
the Index's eighth quarter of negative results over the 12 quarters since the
Tech Bubble burst.
During April, the last month of the Fund's semi-annual period, the swift
end to the conflict in Iraq fostered another market rally. Investors also began
to anticipate improving economic data, aided by lower oil prices and the falling
U.S. Dollar. Consumer confidence rebounded from its lows, as the consumer
confidence index jumped 20 points, similar to the 1991 post-Iraq War rebound.
Furthermore, the wide availability of low-cost financing continued to provide
additional support to consumer spending.
In the large cap portion of the market, value stocks were the clear winners
for the period as the S&P 500/Barra Value Index returned 5.4% versus a 3.7%
return for the S&P 500/Barra Growth Index. Small capitalization stocks measured
by the Russell 2000 Index returned 7.6% for the six-month period, outperforming
large capitalization stocks. Small capitalization value and growth stocks
battled each other throughout the period. Small capitalization growth stocks
ended the six-month period slightly ahead of their value counterparts as the
Russell 2000 Growth Index returned 7.7% and the Russell 2000 Value Index
returned 7.4% for the period.
After several periods of significant negative returns over the past three
years, we are pleased that the U.S. Equity markets were able to generate
positive returns for the six-month period. This provided a greater opportunity
for our Balanced, Large Cap Value, Large Cap Growth and Small Cap Value Funds to
reward shareholders, and each Fund's results are highlighted in the "Performance
Overview" sections that follow.
3
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE BALANCED FUND(SM)
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Balanced Fund returned 5.4% for the six
months ended April 30, 2003, outperforming the Lipper Balanced Index return of
4.8% and the 60/40 S&P 500/Barra Value/LB Aggregate Index benchmark return of
5.2%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
-----------------------------------------
PERIODS ENDED 4/30/03
-----------------------------------------
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS
--------- -------- ------- --------
Institutional Class(1)... 5.39% (6.77)% 1.41 % 7.97%
PlanAhead Class(1,2)..... 5.31% (6.69)% 1.21 % 7.74%
AMR Class(1,2)........... 5.58% (6.21)% 1.73 % 8.25%
Lipper Balanced Index.... 4.77% (5.88)% 1.11 % 7.49%
S&P 500 Index............ 4.48% (13.31)% (2.43)% 9.66%
S&P 500/Barra Value
Index................... 5.36% (14.62)% (2.49)% 8.88%
LB Aggregate Index....... 4.32% 10.48 % 7.58 % 7.24%
Balanced Composite
Index(3)................ 5.19% (4.57)% 1.93 % 8.56%
</Table>
* Not Annualized
1 Past performance is not indicative of future performance.
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 4/30/93 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. Therefore,
total returns shown may be higher than they would have been had the
PlanAhead Class been in existence since 4/30/93. 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 4/30/93.
3 60% S&P 500/Barra Value, 40% LB Aggregate Index
During the six-month period, the Fund's assets on average were invested 63%
in equities (and equitized cash) and 37% in fixed-income securities, ending the
period with 65% in equities (and equitized cash) and 35% in fixed-income
securities.
The equity portion of the Fund returned 5.8%, which outperformed the S&P
500/Barra Value Index by 0.4%. Sector weightings detracted value, since the Fund
was overweighted in Consumer Staples, the worst performing equity sector of the
Index. However, strong stock selection, particularly in the Financials sector,
more than compensated for poor sector allocation. In this sector, the Fund's
investment advisers avoided American International Group (down 7.2%) and
overweighted MetLife (up 21.3%) and FleetBoston (up 16.5%). Stock selection in
the Telecommunications and Health Care sectors also added relative value due in
part to underweightings in SBC Communications (down 6.7%), AT&T Corporation
(down 32.3%), AT&T Wireless (down 6.0%), and an overweighting in Aetna (up
23.7%).
The fixed-income segment of the Fund returned 5.5%, ahead of the LB
Aggregate Index return of 4.3%. The Fund's outperformance was due to its more
than double average weighting in Corporates, the best performing sector of the
Index. Also, underweighting Treasuries, the second worst performing sector of
the Index, added to the excess performance.
The Fund's investment advisers remain focused on long-term value, seeking
to take advantage of favorable opportunities as the year progresses.
TOP TEN EQUITY HOLDINGS
<Table>
<Caption>
% OF
EQUITIES
--------
Bank of America Corporation 2.3%
CitiGroup, Incorporated 2.3%
Sears Roebuck & Company 2.3%
ConocoPhillips 2.2%
Allstate Corporation 2.2%
American Electric Power Company, Incorporated 2.1%
FleetBoston Financial Corporation 2.0%
Washington Mutual, Incorporated 2.0%
Cendant Corporation 1.9%
Altria Group, Incorporated 1.9%
-----
Total 21.2%
Top Ten Equity Holdings as % of Net Assets 11.7%
</Table>
EQUITY SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
--------
Financials 28.4%
Industrials 13.6%
Consumer Discretionary 12.1%
Energy 10.3%
Materials 7.8%
Utilities 6.7%
Consumer Staples 6.5%
Information Technology 6.4%
Health Care 6.0%
Telecommunication Services 2.2%
</Table>
BOND SECTOR ALLOCATION
<Table>
<Caption>
% OF
BONDS
-----
Corporates 51.6%
Mortgage Backed 30.9%
U.S. Treasury 8.2%
Agency 7.8%
Asset Backed 1.5%
</Table>
4
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE LARGE CAP VALUE FUND(SM)
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Large Cap Value Fund returned 5.4% for the
six months ended April 30, 2003, which kept pace with the S&P 500/ Barra Value
Index return of 5.4% but trailed the Lipper Multi-Cap Value Index return of
6.9%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
-----------------------------------------
PERIODS ENDED 4/30/03
-----------------------------------------
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS
--------- -------- ------- --------
Institutional
Class(1)............. 5.38% (15.55)% (2.27)% 8.42%
PlanAhead Class(1,2)... 5.30% (15.74)% (2.54)% 8.12%
AMR Class(1,2)......... 5.57% (15.27)% (2.02)% 8.66%
Lipper Multi-Cap Value
Index................ 6.94% (13.67)% (0.82)% 9.08%
S&P 500 Index.......... 4.48% (13.31)% (2.43)% 9.66%
S&P 500/Barra Value
Index................ 5.36% (14.62)% (2.49)% 8.88%
</Table>
* Not Annualized
1 Past performance is not indicative of future performance.
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 4/30/93 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. Therefore,
total returns shown may be higher than they would have been had the
PlanAhead Class been in existence since 4/30/93. 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 4/30/93.
Overall, the Fund added value through positive stock selection versus the
S&P 500/Barra Value Index, driven mostly by the Financials and Consumer Staples
sectors. In Financials, the Fund's investment advisers overweighted MetLife (up
21.3%), FleetBoston (up 16.5%), and CIT Group (up 15.9%). In Consumer Staples,
the Fund's investment advisers added value by overweighting Imperial Tobacco (up
10.7%), while avoiding Safeway (down 28.1%) and Coca Cola (down 17.9%). Consumer
Staples detracted from the Fund's overall performance, as it was the worst
performing sector of the Index during the period and the Fund's largest
overweighting at an average of 7.4% vs. 1.9% for the Index.
The investment advisers have attempted to solidly position the Fund with
companies that have attractive valuations and earnings growth potential.
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
ConocoPhillips 2.0%
Sears Roebuck & Company 1.9%
Allstate Corporation 1.9%
Citigroup, Incorporated 1.7%
Cendant Corporation 1.7%
Tyco International Limited 1.7%
American Electric Power Company, Incorporated 1.7%
MetLife, Incorporated 1.7%
Bank of America Corporation 1.7%
Altria Group, Incorporated 1.7%
</Table>
EQUITY SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
--------
Financials 27.6%
Industrials 14.3%
Consumer Discretionary 11.8%
Energy 9.3%
Materials 7.5%
Information Technology 7.3%
Consumer Staples 7.1%
Utilities 7.1%
Health Care 5.9%
Telecommunication Services 2.1%
</Table>
5
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE LARGE CAP GROWTH FUND(SM)
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Large Cap Growth Fund returned 3.4% for the
six months ended April 30, 2003, which fell between the Lipper Large-Cap Growth
Index return of 2.4% and the Russell 1000 Growth Index return of 4.3%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
--------------------------------
PERIODS ENDED 4/30/03
--------------------------------
SINCE
6 MONTHS* 1 YEAR INCEPTION
--------- -------- ---------
Institutional Class(1)..... 3.43% (16.18)% (24.07)%
AMR Class(1)............... 3.41% (16.16)% (23.95)%
Lipper Large Cap Growth
Index.................... 2.37% (16.50)% (23.84)%
Russell 1000 Growth Index.. 4.28% (14.35)% (23.80)%
</Table>
* Not Annualized
1 Past performance is not indicative of future performance.
Fund performance in the table above does not reflect the deduction of taxes
a shareholder would pay on distributions or the redemption of shares.
Relative to the Russell 1000 Growth Index, sector weightings had little
impact on the relative performance of the Fund, while stock selection detracted
0.9%. On the positive side, the largest value added sector for the Fund was
Financials, where strong stock selection was evident. Overweightings in
Countrywide Financial (up 35.0%) and Capital One (up 37.6%) and an
underweighting in Fifth Third Bancorp (down 21.8%) contributed to the 0.7% in
relative outperformance in the Financials sector as compared to the Index.
Selections in Health Care also contributed to the Fund's returns, such as
overweightings in Gilead Sciences (up 32.8%) and Pacificare Health (up 7.5%).
These sectors combined to partially offset the negative impact of the
Fund's selections within the Information Technology and Consumer Discretionary
sectors. In Information Technology, the Fund overweighted Microsoft (down 4.1%)
and Qualcomm (down 22.5%), while underweighting Cisco Systems (up 34.2%). Stock
picks that detracted from returns in the Consumer Discretionary sector included
overweightings in AOL Time Warner (down 7.3%) and Autozone (down 5.8%).
Looking forward, the Fund's investment advisers will continue to maintain a
disciplined, long-term approach to equity investing in larger stocks with above
average growth potential.
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
General Electric Company 5.6%
Pfizer, Incorporated 5.0%
Microsoft Corporation 4.7%
Johnson & Johnson 3.5%
Wal-Mart Stores, Incorporated 3.4%
Merck & Company, Incorporated 2.3%
Intel Corporation 2.2%
Dell Computer Corporation 2.1%
Coca Cola Company 2.0%
Cisco Systems, Incorporated 1.9%
</Table>
EQUITY SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
--------
Health Care 27.8%
Information Technology 22.9%
Consumer Discretionary 15.7%
Financials 10.8%
Industrials 9.8%
Consumer Staples 9.2%
Energy 1.8%
Telecommunication Services 1.3%
Materials 0.7%
Utilities 0.0%
</Table>
6
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE SMALL CAP VALUE FUND(SM)
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Small Cap Value Fund returned an impressive
9.6% for the six months ended April 30, 2003, significantly outperforming the
Lipper Small Cap Value Index return of 6.5% and the Russell 2000 Value Index
return of 7.4% for the same period.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
------------------------------------------
PERIODS ENDED 4/30/03
------------------------------------------
SINCE
6 MONTHS* 1 YEAR 3 YEARS INCEPTION
--------- -------- ------- ---------
Institutional
Class(1)............... 9.61% (15.72)% 14.69% 8.14%
PlanAhead Class(1,2).... 9.58% (15.85)% 14.38% 7.89%
AMR Class(1,2).......... 9.78% (15.50)% 15.03% 8.43%
Lipper Small Cap Value
Index.................. 6.52% (17.27)% 6.42% 5.42%
Russell 2000 Value
Index.................. 7.44% (18.84)% 7.28% 5.67%
</Table>
* Not Annualized
1 Past performance is not indicative of future performance.
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.
Therefore, 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.
The Fund's investment advisers added value during the six-month period
almost exclusively though strong stock selection. In fact, stock selection was
positive in 7 of 10 sectors as compared to the Russell 2000 Value Index. The
Financials and Industrials sectors had the most impact, contributing over 2.6%
in relative outperformance compared to the Index. In the Financials sector,
overweightings in Allmerica Financial (up 79.8%), Tierone (up 35.1%), and First
American Financial (up 30.7%) contributed to the positive impact on the Fund's
performance. Within the Industrials sector, positions in Joy Global (up 26.8%)
and John H. Harland (up 25.9%) contributed most to the Fund's excess return.
Markets and corporate earnings have been volatile. The Fund's advisers
continue to favor companies with strong balance sheets and defensible business
models.
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Valassis Communications, Incorporated 2.2%
Beazer Homes USA, Incorporated 1.9%
Allmerica Financial Corporation 1.9%
Toll Brothers, Incorporated 1.9%
Northeast Utilities 1.8%
LNR Property Corporation 1.7%
American Financial Realty Trust 1.7%
Mandalay Resort Group 1.6%
Tierone Corporation 1.5%
John H. Harland Company 1.3%
</Table>
EQUITY SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
--------
Consumer Discretionary 28.4%
Financials 24.7%
Industrials 15.5%
Utilities 9.2%
Information Technology 6.7%
Health Care 6.0%
Materials 3.9%
Consumer Staples 3.1%
Energy 2.2%
Telecommunication Services 0.3%
</Table>
7
INTERNATIONAL EQUITY MARKET OVERVIEW
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The end of the war with Iraq eliminated one large uncertainty weighing on
investor sentiment. This factor contributed to the MSCI EAFE Index posting a
1.8%, albeit small, return for the six-month time period ended April 30, 2003.
The Index shot up nearly 10% in April, reversing the losses built during the
preceding four months. Although the Index return for the period was not large,
17 of the 21 EAFE markets posted positive numbers. Austria generated the top
return at 26.6%, while Denmark, New Zealand, Portugal and Sweden each returned
over 15%. The majority of markets with negative returns were located in Asia.
Singapore dropped over 12%, while Hong Kong and Japan each fell over 7%. From a
sector perspective, 7 of the 10 sectors generated positive performance.
Telecommunication Services and Utilities posted returns over 10% while Consumer
Discretionary, down just over 4%, was the worst performing sector for the
six-month time period.
From a currency perspective, the U.S. Dollar weakened, in some cases
dramatically, against every major currency for the six-month period. The
U.S.-led campaign in Iraq coupled with higher interest rates in other markets
hampered the U.S. Dollar. While the Japanese Yen strengthened by nearly 3%, the
Euro and the Australian Dollar gained nearly 13%.
Although the EAFE Index produced a positive return for the period,
uncertainty (the Achilles heel of markets) lingered throughout the six-month
period. The period began promisingly enough as the Index generated a nearly 5%
return in November 2002. The markets were building upon a strong October as
economic news was mixed but biased to the positive side. Unfortunately, November
was the last positive month for the EAFE Index until April 2003 as December 2002
began a stretch of four straight months of negative performance.
After a 0.5% interest rate cut by the European Central Bank in December,
foreign markets exited 2002 with a generally negative and defensive tone that
characterized much of the year. As the calendar flipped to 2003, an early bout
of optimism (and market strength) faded quickly as poor earnings guidance, weak
economic news and increasing prospects of a U.S.-led war against Iraq drained
investor confidence.
Conditions in February mirrored January, although rising energy prices
further strained growth prospects. The Bank of England lowered interest rates to
a 48-year low, while a new head of the Bank of Japan was appointed. Market
strength in early March, after the start of the war, reversed by month-end when
stiff resistance emerged in some Iraqi cities. Asia brought more uncertainty as
SARS, a new strain of killer virus, spread throughout the region dampening
investor sentiment and growth prospects.
Thankfully, the expected victory in Iraq materialized, inspiring a strong
rally in April. By month-end, crude oil prices had declined over 30% from their
recent high reached in March. With the war over, many investors focused on the
prospect of a pickup in growth throughout the remainder of 2003.
8
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND(SM)
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the International Equity Fund returned 4.4% for
the six months ended April 30, 2003, which significantly outperformed the Lipper
International Fund Index return of 1.6% and the MSCI EAFE Index return of 1.8%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
-----------------------------------------
PERIODS ENDED 4/30/03
-----------------------------------------
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS
--------- -------- ------- --------
Institutional Class(1)... 4.37% (16.59)% (2.76)% 6.54%
PlanAhead Class(1,2)..... 4.44% (16.46)% (2.95)% 6.30%
AMR Class(1,2)........... 4.38% (16.47)% (2.52)% 6.78%
Lipper Int'l. Index...... 1.61% (16.30)% (4.58)% 4.18%
EAFE Index............... 1.82% (16.26)% (5.52)% 1.98%
</Table>
* Not Annualized
1 Past performance is not indicative of future performance.
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 4/30/93 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. Therefore,
total returns shown may be higher than they would have been had the
PlanAhead Class been in existence since 4/30/93. 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 4/30/93.
The Fund's investment advisers added value through both stock selection and
country allocation relative to the MSCI EAFE Index for the six-month period.
Most of the value from country allocation was generated by significantly
underweighting Japan. The Japanese market was the third worst EAFE market for
the time period (down 7.2%). From a stock selection perspective, the Fund's
investment advisers had strong selections in Japan and the Netherlands. In
Japan, the Fund's investment advisers overweighted Konica (up 35.4%), Takefuji
(up 25.2%) and Canon (up 9.5%). Additionally, avoiding Mitsubishi (down 47.6%),
Sumitomo Mitsui (down 61.4%) and Mizuho Financial (down 63.5%) added value for
the Fund relative to the Index. In the Netherlands, the Fund's overweightings in
ABN AMRO (up 15.0%) and Philips Electronics (up 6.2%) contributed nearly 0.5% in
relative performance compared to the Index.
From a sector perspective, the Fund's investment advisers added the most
value through stock selection, particularly in the Financials, Energy and
Consumer Discretionary sectors. Stocks that added value in the Financials sector
included the Australian insurance company, QBE (up 28.1%), and the French bank,
BNP Paribas (up 17.7%). In the Energy sector, the Fund overweighted the Spanish
oil company, Repsol (up 30.1%). In the Consumer Discretionary sector, the UK
retailer Kingfisher gained nearly 15%, while aforementioned Konica and Philips
Electronics also had strong returns.
The Fund's investment advisers continue to focus on the outlook for
long-term financial productivity of individual companies despite the markets'
fluctuations in the face of geopolitical fears and economic uncertainty. It has
been challenging for companies to maintain a high level of profitability in this
period, and our advisers continue to monitor the companies in the Fund closely,
always searching for those offering the potential for stronger returns at
attractive valuations.
9
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND(SM) -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Koninklijke (Royal) Philips Electronics NV 1.9%
Aventis SA 1.5%
Diageo PLC 1.5%
Unilever PLC 1.5%
Cadbury Schweppes PLC 1.5%
Telefonica S.A. 1.5%
ENI S.p.A. 1.4%
Total Fina Elf S.A. 1.4%
BNP Paribas S.A. 1.3%
Canon, Incorporated 1.3%
</Table>
EQUITY SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
----------
Financials 24.7%
Industrials 13.8%
Consumer Discretionary 13.1%
Consumer Staples 10.0%
Telecommunication Services 9.1%
Energy 8.1%
Health Care 8.0%
Materials 6.2%
Information Technology 4.0%
Utilities 3.0%
</Table>
REGIONAL ALLOCATION*
[PIE CHART]
REGIONAL ALLOCATION*
<Table>
Europe 76.3%
Pacific Rim 20.8%
US/Canada 2.5%
Latin America 0.4%
Middle East/Africa 0.0%
* Allocations based upon gross investments in Portfolio.
</Table>
10
EMERGING MARKETS OVERVIEW
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Similar to other markets worldwide, weak economic data, higher oil prices, fears
of war with Iraq and weak corporate earnings affected the emerging market
countries. However, the impact was not as great as this asset class outperformed
others and posted a strong return for the six- month period ended April 30,
2003. The MSCI Emerging Markets "Free" Index return of 5.8% outperformed the
MSCI EAFE Index, which gained 1.8%, and the S&P 500 Index, which returned 4.5%.
Latin America was the best performing region (up 24.5%), followed by Europe, the
Middle East and Africa (EMEA) region (up 16.3%), while emerging Asia lagged
(down 4.5%).
Most of the markets (19 out of 26) in the Index produced positive returns
for the period. Surprisingly, 16 of the 19 markets that had positive returns had
double-digit positive returns. Five markets had returns in excess of 30%, led by
two Latin markets (Argentina gained over 50% and Brazil returned over 40%). Of
the seven markets with negative returns, five were located in the Far East, led
by South Korea with a decline of over 7% and Taiwan down nearly 10%. After a
significant sell-off prior to the election in October 2002, the newly elected
president of Brazil has pleasantly surprised investors. Key appointments of the
finance minister and the head of the central bank affirmed President Lula da
Silva's commitment to economic reform and fiscal austerity. In Asia, SARS
hampered already tenuous economic growth. Additionally, issues in North Korea as
well as waning domestic consumption and rising household credit defaults
impacted South Korea.
From a sector perspective, there was a wide disparity in returns between
the best and the worst sectors. The Information Technology sector was the only
sector with a negative return as it dropped nearly 12% for the period. However,
three sectors, led by Health Care (up 27.6%), returned over 20%.
In summary, most markets ended the six-month period on a positive note.
Given the successful conclusion to the conflict in Iraq, there was one less
cloud of uncertainty for investors.
11
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE EMERGING MARKETS FUND(SM)
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Emerging Markets Fund returned 6.2% for the
six months ended April 30, 2003, which exceeded the MSCI Emerging Markets Free
Index ("EM Free Index") return of 5.8% yet trailed the Lipper Emerging Markets
Index return of 7.2%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
--------------------------------
PERIODS ENDED 4/30/03
--------------------------------
SINCE
6 MONTHS* 1 YEAR INCEPTION
--------- -------- ---------
Institutional Class(1)... 6.24% (14.34)% (8.79)%
PlanAhead Class(1)....... 6.10% (14.57)% (8.87)%
AMR Class(1)............. 6.35% (14.21)% (8.57)%
Lipper Emg. Mkts. Index.. 7.22% (13.42)% (9.69)%
EM Free Index............ 5.76% (14.29)% (10.25)%
</Table>
* Not Annualized
1 Past performance is not indicative of future performance.
Fund performance in the table above does not reflect the deduction of taxes
a shareholder would pay on distributions or the redemption of shares.
The Fund's relative outperformance versus the EM Free Index can be
attributed to positive stock selection, as country allocation was negative. The
Fund had strong stock selection in India, China and South Africa, which more
than offset poor stock selection in Taiwan. Overall, stock selection contributed
1.8% in relative performance versus the Index. From a country allocation
perspective, the Fund overweighted one of the best performing markets for the
period, Indonesia, which was up 37.4%. The Fund underweighted 8 of the top 11
markets, more than offsetting the value generated from overweighting Indonesia.
From a sector perspective, relative to the Index, the Fund added value
through both stock selection and sector allocation. Positive stock selection
occurred in both the Consumer Discretionary and Financial sectors, which more
than offset some underperformers within the Energy sector. From a sector
perspective, most of the value was added by underweighting the Information
Technology sector, which was the worst (and only negative) performing sector for
the period (down 11.7%).
The Fund's advisers maintain their positive long-term outlook on emerging
market equities. They expect global monetary policy, relative valuations and
economic and earnings growth in emerging markets to remain supportive of the
asset class in 2003. The Fund's focus will continue to be on countries where GDP
growth, fiscal policy and reform agendas remain strong and on companies with
strong management and earnings visibility.
12
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE EMERGING MARKETS FUND(SM) -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Samsung Electronics Company Limited 3.4%
Anglo American PLC 3.3%
Telefonos de Mexico SA 2.0%
Petroleo Brasileiro SA 1.8%
LUKOIL Oil Company 1.7%
SK Telecom Company Limited 1.7%
Korea Electric Power Corporation 1.5%
Sasol Limited 1.4%
Taiwan Semiconductor Manufacturing Company
Limited 1.4%
China Mobile Limited 1.3%
</Table>
EQUITY SECTOR ALLOCATION
<Table>
<Caption>
% OF
EQUITIES
----------
Financials 18.4%
Telecommunication Services 17.5%
Information Technology 13.1%
Materials 12.5%
Energy 10.5%
Consumer Discretionary 9.2%
Industrials 8.6%
Consumer Staples 7.5%
Utilities 4.5%
Health Care 1.2%
</Table>
COUNTRY ALLOCATION*
[PIE CHART]
COUNTRY ALLOCATION*
<Table>
South Korea 18.9%
Other Asia 16.2%
South Africa 14.3%
Other Europe, Middle East, Africa 12.4%
Taiwan 10.3%
Mexico 9.2%
Brazil 8.2%
India 7.9%
Israel 2.3%
Other Latin America 0.4%
</Table>
* Allocations based upon gross investments.
13
HIGH YIELD BOND MARKET OVERVIEW
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Fueled by excellent market technicals, the high yield market took a marked turn
for the better in mid-October 2002 and this euphoria has extended for the past
six months. The Citigroup High Yield Cash Pay Index returned 24.7% for the
six-month period, posting a positive return in each month. The market rally has
been a significant change from the events of last summer (corporate fraud, a
continuing decline in the Technology and Telecommunication sectors, and an
unstable situation in the Middle East).
High yield mutual fund flows turned positive in October 2002 and remained
positive as investors saw the downside realities of overweighting stocks for
over three years and rightly or wrongly, reallocated assets. For the six-month
period ended April 30, 2003, over $21 billion was invested in high yield mutual
funds. Default rates fell, with Standard & Poor's latest 12-month default rate
of 6.89% down from a peak of over 11% late last year.
With a stagnant economy, companies were not issuing many high yield
securities, despite attractive interest rates. While new issue supply picked up
in April 2003, much of the new issuance appeared to be opportunistic. These
corporate financings were likely timed to take advantage of record low interest
rates.
Credit spreads continued to contract across the credit spectrum, from
investment grade to CCC. Over the last six months, lower-rated credits
outperformed higher-rated bonds, with the CCC-rated portion of the Citigroup
High Yield Cash Pay Index returning 50.5%.
In summary, the high yield market produced strong returns over the
six-month period, mutual fund inflows were strong, and default rates fell by
over 4%.
14
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE HIGH YIELD BOND FUND(SM)
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the High Yield Bond Fund returned a solid 12.8%
for the six months ended April 30, 2003, as compared to the Lipper High Current
Yield Index return of 18.9% and the Citigroup High Yield Cash Pay Index return
of 24.7%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
--------------------------------
PERIODS ENDED 4/30/03
--------------------------------
SINCE
6 MONTHS* 1 YEAR INCEPTION
--------- ------- ---------
Institutional Class(1)... 12.84% 10.30% 10.50%
PlanAhead Class(1, 2).... 12.63% 9.89% 10.00%
Citigroup High Yield Cash
Pay Index.............. 24.72% 9.57% 8.88%
LB U.S. Corporate High
Yield Index............ 22.75% 8.84% 7.48%
Lipper High Current Yield
Index.................. 18.94% 7.13% 3.18%
</Table>
* Not Annualized
1 Past performance is not indicative of future performance.
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. Therefore, total returns shown
may be higher than they would have been had the PlanAhead Class been in
existence since 12/29/00.
The Fund was diversified amongst 87 companies across 30 industries, and the
30-day yield for the period ended April 30, 2003 was 6.7%.
The Fund's underperformance relative to its benchmarks for the six-month
period was attributable to poor sector allocation. The Fund underweighted the
Telecommunications and Energy sectors, which each gained over 30% for the
period, and the Utility sector, which gained almost 70%, for the six-month
period. Additionally, the Fund overweighted the Consumer Non-Cyclical sector,
which only gained 13.7% during the period. However, the Fund added value by
underweighting the Basic Industry sector which gained less than 15% and
overweighting the Technology sector which returned 43.3%.
Despite lagging the indices for the six-month time period, the Fund's
investment focus of bottom-up fundamental research with an emphasis on issuers
with free cash flows has allowed the Fund to top its indices over longer time
periods.
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Xerox Credit Corporation, 6.10%, Due 12/16/2003 2.5%
Horseshoe Gaming, LLC, 8.625%, Due 5/15/2009 2.0%
aaiPharma Incorporated, 11.00%, Due 4/1/2010 1.9%
Tenet Healthcare Corporation, 7.375%, Due
2/1/2013 1.9%
US Oncology, Incorporated, 9.625%, Due 2/1/2012 1.8%
Regal Cinemas Corporation, 9.375%, Due 2/1/2012 1.7%
EchoStar Communications Corporation, 9.375%, Due
2/1/2009 1.6%
Dollar General Corporation, 8.625%, Due
6/15/2010 1.6%
K. Hovnanian Enterprises, Incorporated, 8.875%,
Due 4/1/2012 1.6%
AutoNation, Incorporated, 9.00%, Due 8/1/2008 1.6%
</Table>
SECTOR ALLOCATION
<Table>
Corporate 100.0%
</Table>
15
U.S. FIXED-INCOME MARKET OVERVIEW
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
For the six-month period ended April 30, 2003, the broad fixed-income
market, as defined by the LB Aggregate Index, produced a very attractive 4.3%
total return. Interest rates declined steadily during the period, reflecting the
tepid economic recovery and the war in Iraq. Responding to the economic
weakness, the Fed lowered the Fed Funds rate by 50 basis points to 1.25% on
November 6th. In particular, the Fed recognized that slow job growth and the
looming war talk were not conducive to a stable recovery.
[US TREASURY YIELD CURVE GRAPH]
<Table>
<Caption>
U.S. TREASURY YIELD CURVE
----------------------------------
2 YR. 5 YRS. 10 YRS. 30 YRS.
----- ------ ------- -------
10/31/2002 1.41% 1.67% 2.73% 3.89% 4.99%
4/30/2003 1.14% 1.48% 2.75% 3.84% 4.77%
</Table>
With the Fed's apparent conviction to utilize all means necessary to
support the economy, the corporate bond market came to life. Generally, times of
war and economic uncertainty result in flights-to-quality in Treasuries;
however, corporate bonds were the favored investment during the period.
Investors seeking incremental yield in this low-rate environment purchased
corporate bonds with amazing zeal. The recent memories of record-level
bankruptcies and corporate malfeasance were pushed aside. For the six-month
period, the Corporate sector of the LB Aggregate Index produced a nearly 9%
total return, while the U.S. Treasury and Agency sectors each underperformed
with a comparatively weak 3% return. The recovery in the Corporate sector was
most significant in lower-rated bonds where triple-B issues, for example,
returned over 12%.
<Table>
<Caption>
TOTAL RETURNS
----------------------
PERIODS ENDED 4/30/03
----------------------
SECTOR 6 MONTH 12 MONTH
- ------ ------- --------
Lehman Aggregate 4.32% 10.48%
Lehman Gov/Credit 5.52% 12.43%
US Treasury 3.06% 11.64%
US Agency 3.17% 10.68%
Mortgage Backed 2.33% 7.10%
U.S. Credit 8.77% 14.00%
Asset Backed 3.21% 8.06%
- -------------------------------------------------
CREDIT RATING
Aaa 3.81% 11.68%
Aa 5.53% 14.27%
A 8.47% 14.45%
Baa 12.47% 14.25%
</Table>
(source: Lehman Brothers)
16
U.S. FIXED-INCOME MARKET OVERVIEW -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The search for corporate yield was induced in part by the absolute low
level of interest rates. It also served as a reflection of structural
improvements in the hardest hit sectors, which included the Telecommunications,
Media, and Utility industries. Several large issuers were removed from the LB
Aggregate Index due to bankruptcy or junk-rated status. The remaining companies,
recognizing their unsustainable debt levels, embarked on aggressive cost cutting
and debt reduction campaigns. Investors sensed the impending improvement in
corporate balance sheets and flocked toward yield with surprising strength.
[LB AGGREGATE INDEX CREDIT SPREADS GRAPH]
<Table>
<Caption>
LB AGGREGATE INDEX CREDIT SPREADS
INDEX AAA CREDIT AA CREDIT A CREDIT BAA CREDIT
1/5/01............... 203 89 133 198 281
1/12/01.............. 198 91 133 187 281
1/19/01.............. 191 92 132 182 268
1/26/01.............. 186 92 128 175 262
2/2/01............... 182 83 124 172 258
2/9/01............... 190 84 129 180 268
2/16/01.............. 186 84 126 176 263
2/23/01.............. 193 86 130 183 270
3/2/01............... 189 86 125 180 264
3/9/01............... 188 85 124 179 260
3/16/01.............. 194 87 128 184 269
3/23/01.............. 191 84 128 184 264
3/30/01.............. 189 85 127 179 263
4/6/01............... 191 89 130 183 262
4/20/01.............. 184 82 125 177 254
4/27/01.............. 179 81 121 172 246
5/4/01............... 173 81 117 163 241
5/11/01.............. 176 85 119 166 243
5/18/01.............. 168 80 114 158 234
5/25/01.............. 170 80 116 159 236
6/1/01............... 166 74 113 155 231
6/8/01............... 164 75 112 154 227
6/15/01.............. 169 75 116 159 232
6/22/01.............. 172 78 118 161 238
6/29/01.............. 167 77 114 159 229
7/6/01............... 168 78 115 159 230
7/13/01.............. 171 78 117 162 234
7/20/01.............. 166 76 114 157 227
7/27/01.............. 164 76 112 154 224
8/3/01............... 164 77 110 152 228
8/10/01.............. 166 78 112 152 232
8/17/01.............. 171 79 115 158 237
8/24/01.............. 169 78 113 157 235
8/31/01.............. 166 75 111 154 233
9/7/01............... 172 76 114 159 242
9/14/01.............. 200 92 142 188 271
9/21/01.............. 206 96 143 198 273
9/28/01.............. 208 83 135 196 291
10/5/01.............. 203 83 129 190 286
10/12/01............. 202 84 130 190 283
10/19/01............. 199 84 125 190 275
10/26/01............. 203 82 124 194 282
11/2/01.............. 212 81 131 203 297
11/9/01.............. 204 75 121 194 290
11/16/01............. 196 74 119 185 276
11/23/01............. 192 72 116 179 278
11/30/01............. 194 75 118 184 273
12/7/01.............. 192 77 116 184 269
12/14/01............. 199 77 120 189 281
12/21/01............. 195 81 122 190 266
12/28/01............. 189 81 116 184 260
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
</Table>
Another sector traditionally favored by yield-seeking investors is the
mortgage market. However, during this period, mortgages produced the lowest
total return of all major sectors due to record-level refinancing activity. With
interest rates at 40-year lows, homeowners have refinanced at very low rates.
While this refinancing activity helps the homeowner, and hopefully the economy,
it hurts the mortgage investor. Record refinancing activity weighed heavily on
this sector during the period, as interest rates continued their decline.
In general, this period continued to exhibit the strains of a jobless
recovery. Declining interest rates reflected the weakness in economic indicators
yet provided enviable returns to fixed-income investors. Interest rates reached
lows not seen since the 1960's, but despite many concerns, investors overcame
their risk aversion and found value in the corporate bond market. With inflation
virtually non-existent, the Fed has ample incentive to keep monetary policy
accommodative to support an economic recovery. Finally, and most importantly,
this period saw the resolution of the conflict in Iraq which weighed heavily on
consumers' and investors' minds. Obstacles to economic recovery were
substantially reduced by period-end, leaving investors with a relatively clean
slate.
17
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE INTERMEDIATE BOND FUND(SM)
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Intermediate Bond Fund returned 4.1% for the
six months ended April 30, 2003, as compared to the LB Aggregate Index return of
4.3% and the Lipper Intermediate Investment Grade Debt Fund Index return of
5.6%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
----------------------------------------
PERIODS ENDED 4/30/03
----------------------------------------
SINCE
6 MONTHS* 1 YEAR 5 YEARS INCEPTION
--------- ------ ------- ---------
Institutional Class(1,2).... 4.12% 9.06% 7.02% 7.34%
PlanAhead Class(1,3)........ 3.91% 8.72% 6.36% 6.74%
AMR Class(1,4).............. 4.30% 9.44% 6.83% 7.16%
Lipper Intermediate Inv.
Grade Index................ 5.55% 9.61% 6.91% 7.13%
LB Aggregate Index.......... 4.32% 10.48% 7.58% 7.87%
</Table>
* Not Annualized
1 Past performance is not indicative of future performance.
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 The performance shown includes the effects of a favorable
accounting adjustment that occurred during the processing of a large
shareholder redemption on July 6, 2000. In the absence of this adjustment,
the Fund's performance would have been less than depicted.
3 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. Therefore, total returns shown
may be higher than they would have been had the PlanAhead Class been in
existence since 9/15/97.
4 Fund performance for the five-year and since inception
periods 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.
The Fund added value due to sector selection as it overweighted the
Corporate sector, which produced a total return significantly higher than other
sectors within the LB Aggregate Index. A large underweighting in Treasuries also
added relative value, as Treasuries were the second worst performing sector of
the Index. Security selection within Corporates impacted the Fund's performance
as the Fund owned fewer of the lowest-rated Telecommunications, Media and
Utility names that were the strongest performers. The Fund's Mortgage holdings
also detracted from performance as this sector's duration was shorter than the
Index, resulting in underperformance as refinancing activity hit record levels.
The Fund's investment advisers remain focused on investing in sectors and
individual securities that they perceive will add value in an uncertain and
volatile market.
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Federal National Mortgage Assn., TBA, 6.00% 4.9%
U.S. Treasury Notes, 4.625%, Due 5/15/2006 1.5%
Government National Mortgage Assn., TBA, 6.00% 1.5%
U.S. Treasury Notes, 3.875%, Due 2/15/2013 1.5%
Federal National Mortgage Assn., TBA 15 yr,
6.00% 1.4%
Federal National Mortgage Assn., TBA, 6.00%, Due
6/1/2017 1.3%
Citibank Credit Card Master Trust 1 1998-2 A,
6.05%, Due 1/15/2010 1.3%
Federal National Mortgage Assn., TBA, 6.50%, Due
4/1/2032 1.3%
Government National Mortgage Assn., Pool
#780936, 7.50%, Due 12/15/2028 1.2%
Federal National Mortgage Assn., TBA, 7.00%, Due
5/1/2032 1.2%
</Table>
SECTOR ALLOCATION
<Table>
<Caption>
% OF
BONDS
----------
Corporates 42.8%
Mortgage Backed 38.6%
Treasury 10.3%
Agency 5.1%
Asset Backed 3.2%
</Table>
18
PERFORMANCE OVERVIEW
AMERICAN AADVANTAGE SHORT-TERM BOND FUND(SM)
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The Institutional Class of the Short-Term Bond Fund returned 2.8% for the
six months ended April 30, 2003, ahead of the Merrill Lynch 1-3 Year Gov/Corp
Index return of 2.2% and the Linked Lipper Investment Grade benchmark return of
2.4%.
<Table>
<Caption>
ANNUALIZED TOTAL RETURNS
---------------------------------------
PERIODS ENDED 4/30/03
---------------------------------------
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS
--------- ------ ------- --------
Institutional Class(1)....... 2.79% 5.81% 5.74% 5.52%
PlanAhead Class(1,2)......... 2.62% 5.31% 5.46% 5.30%
AMR Class(1,2)............... 2.78% 5.87% 5.95% 5.72%
Linked Lipper Average(3)..... 2.37% 4.86% 5.34% 5.12%
Merrill Lynch 1-3 Yr.
Index....................... 2.23% 6.20% 6.45% 6.00%
Lipper Sht Inv Grade Index... 2.40% 4.79% 5.46% 5.48%
</Table>
* Not Annualized
1 Past performance is not indicative of future performance.
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 4/30/93 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. Therefore,
total returns shown may be higher than they would have been had the
PlanAhead Class been in existence since 4/30/93. 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 4/30/93.
3 The Linked Lipper Average is created by linking the Lipper
Short-Term (1-5 year) Investment Grade Debt Average from 4/30/93 through
12/31/95, the Lipper Short-Intermediate Investment Grade Debt Average from
1/1/96 through 7/31/96 and the Lipper Short-Term (1-3 Year) Investment Grade
Debt Average since 8/1/96.
The short-term fixed-income markets continued to enjoy the benefits of
declining interest rates during this period, as the economic recovery proved
very slow. The Fund's duration remained neutral given the weak growth, steep
yield curve, and international unrest. As the recovery remained tepid, the Fed
acknowledged its intention to maintain a low interest rate environment.
The most important aspect of the fixed-income market, however, was the
Corporate sector's incredible run. The Corporate sector of the Merrill Lynch 1-3
Year Index produced a total return of 5.0%, significantly outpacing the Mortgage
sector at 2.3%, as well as the 1.4% and 1.7% returns from Treasuries and
Agencies, respectively. Strong investor demand for incremental yield accounted
for the Corporate sector outperformance. The deep skepticism and risk aversion
that followed last year's record-breaking bankruptcies and corporate malfeasance
nearly evaporated during the past six months. As such, total return attribution
during the period was largely based on the Fund's performance within the
Corporate sector. In particular, last year's laggards, which included
Telecommunications, Media, and Utilities, were this year's winners, with the
lowest-rated issuers improving the most.
The Fund maintained an overweighted position in Corporate during the
period, to capture the incremental yield-to-maturity. The remaining sectors in
the Fund, including Asset-Backed Securities and Mortgages, performed in line
with the benchmark.
Going forward, although the Corporate sector has already produced strong
returns, there is still expected value in several areas. With this in mind, we
expect to maintain the overweighted position in Corporate bonds in the current
environment and will continue to look for further opportunities as the economy
builds momentum.
TOP TEN HOLDINGS
<Table>
<Caption>
% OF
NET ASSETS
----------
Household Financial Corporation, 8.00%, Due
5/9/2005 2.9%
Citibank Credit Card Master Trust 1 1999-7 A,
6.65%, Due 11/15/2006 2.8%
Chemical Master Credit Card Trust 1996-2 A,
5.98%, Due 9/15/2008 2.7%
Chase Manhattan Auto Owner Trust 2000-A A4,
6.26%, Due 6/15/2007 2.7%
General Motors Acceptance Corporation, 4.15%,
Due 2/7/2005 2.6%
Discover Card Master Trust 1999-6 A, 6.85%, Due
7/17/2007 2.3%
American Express Credit Account Master Trust
2000-1 A, 7.20%, Due 9/17/2007 2.2%
FleetBoston Financial Corporation, 3.85%, Due
2/15/2008 2.2%
Bank One Corporation, 7.625%, Due 8/1/2005 1.9%
Goldman Sachs Group, Incorporated, 7.625%, Due
8/17/2005 1.9%
</Table>
SECTOR ALLOCATION
<Table>
<Caption>
% OF
BONDS
----------
Corporate 67.1%
Asset Backed 20.8%
Mortgage Backed 12.1%
U.S. Agency 0.0%
U.S. Treasury 0.0%
</Table>
19
AMERICAN AADVANTAGE BALANCED FUND
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
U.S. TREASURY OBLIGATIONS - 2.86%
U.S. TREASURY NOTES - 1.90%
3.25%, Due 5/31/2004*............ $ 5,000 $ 5,112
4.625%, Due 5/15/2006*........... 1,015 1,093
4.375%, Due 5/15/2007*........... 900 966
3.00%, Due 2/15/2008*............ 1,060 1,071
3.875%, Due 2/15/2013*........... 1,790 1,792
--------
TOTAL U.S. TREASURY NOTES.... 10,034
--------
U.S. TREASURY BONDS - 0.96%
7.50%, Due 11/15/2016*........... 480 632
8.125%, Due 8/15/2019*........... 720 1,010
6.875%, Due 8/15/2025............ 900 1,148
6.25%, Due 5/15/2030*............ 1,100 1,325
5.375%, Due 2/15/2031*........... 885 966
--------
TOTAL U.S. TREASURY BONDS.... 5,081
--------
TOTAL U.S. TREASURY
OBLIGATIONS................ 15,115
--------
U.S. AGENCY OBLIGATIONS - 2.72%
4.00%, Due 8/15/2003............. 6,050 6,100
1.875%, Due 12/15/2004........... 7,690 7,742
7.25%, Due 5/15/2030............. 400 514
--------
TOTAL U.S. AGENCY
OBLIGATIONS................ 14,356
--------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 10.53%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.32%
3.25%, Due 11/15/2004............ 4,500 4,620
6.50%, Due 3/1/2008.............. 818 862
5.50%, Due 9/15/2011............. 945 1,043
5.75%, Due 1/15/2012............. 950 1,067
6.00%, Due 11/1/2016............. 617 645
5.50%, Due 8/1/2017.............. 683 710
6.50%, Due 5/1/2029.............. 758 792
6.50%, Due 6/1/2029.............. 121 127
6.50%, Due 7/1/2029.............. 1,656 1,730
6.75%, Due 3/15/2031............. 379 463
6.25%, Due 7/15/2032*............ 160 185
--------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION....... 12,244
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.80%
Pool #124119, 7.50%, Due
4/1/2007....................... 568 605
Pool #313522, 7.00%, Due
5/1/2012....................... 617 659
Pool #323223, 6.50%, Due
7/1/2013....................... 287 304
Pool #323309, 6.00%, Due
9/1/2013....................... 657 691
Pool #488099, 5.50%, Due
2/1/2014....................... 1,031 1,077
</Table>
<Table>
<Caption>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
Pool #323789, 6.00%, Due
6/1/2014....................... $ 845 $ 887
Pool #535846, 6.00%, Due
4/1/2016....................... 703 737
Pool #644136, 6.50%, Due
5/1/2017....................... 73 78
Pool #254343, 6.50%, Due
6/1/2017....................... 1,460 1,547
Pool #648511, 6.00%, Due
6/1/2017....................... 2,530 2,652
Pool #581864, 6.50%, Due
7/1/2031....................... 612 640
Pool #577440, 7.00%, Due
11/1/2031...................... 1,490 1,574
Pool #647747, 7.00%, Due
5/1/2032....................... 1,276 1,348
Pool #650077, 7.50%, Due
7/1/2032....................... 1,663 1,773
Pool #665380, 7.00%, Due
10/1/2032...................... 709 750
Pool #678220, 6.50%, Due
12/1/2032...................... 281 293
Gold Pool #E90777, 6.00%, TBA Aug
30............................. 4,220 4,398
--------
TOTAL FEDERAL NATIONAL
MORTGAGE ASSOCIATION....... 20,013
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 4.41%
Pool #780030, 7.00%, Due
6/15/2024...................... 538 575
Pool #780023, 7.00%, Due
9/15/2024...................... 523 559
Pool #780400, 7.00%, Due
12/15/2025..................... 567 605
Pool #781200, 8.00%, Due
12/15/2025..................... 583 638
Pool #002754, 7.00%, Due
5/15/2027...................... 840 893
Pool #780615, 6.50%, Due
8/15/2027...................... 990 1,045
Pool #780651, 7.00%, Due
10/15/2027..................... 1,227 1,304
Pool #780680, 6.50%, Due
11/15/2027..................... 1,136 1,199
Pool #780747, 6.50%, Due
3/15/2028...................... 1,099 1,158
Pool #780788, 6.50%, Due
4/15/2028...................... 1,216 1,282
Pool #780842, 8.50%, Due
8/20/2028...................... 629 680
Pool #780936, 7.50%, Due
12/15/2028..................... 1,257 1,347
Pool #781096, 6.50%, Due
12/15/2028..................... 535 564
Pool #781024, 7.50%, Due
2/15/2029...................... 717 767
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
20
AMERICAN AADVANTAGE BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
Pool #781029, 6.50%, Due
5/15/2029...................... $ 1,002 $ 1,055
Pool #781035, 6.50%, Due
5/15/2029...................... 1,050 1,106
Pool #002754, 6.50%, Due
5/20/2029...................... 755 791
Pool #781236, 7.50%, Due
9/15/2030...................... 511 545
Pool #781273, 6.00%, Due
4/15/2031...................... 1,151 1,207
Pool #781274, 6.50%, Due
4/15/2031...................... 899 946
Pool #781328, 7.00%, Due
9/15/2031...................... 1,968 2,089
Pool #781340, 6.50%, Due
10/15/2031..................... 578 608
Pool #574846, 7.00%, Due
11/15/2031..................... 1,141 1,210
Pool #555732, 6.50%, Due
3/15/2032...................... 998 1,050
--------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION....... 23,223
--------
TOTAL U.S. AGENCY
MORTGAGE-BACKED
OBLIGATIONS................ 55,480
--------
ASSET-BACKED SECURITIES - 0.54%
Ford Credit Auto Owner Trust,
3.79%, Due 9/15/2006........... 1,500 1,562
Honda Auto Receivables Owner
Trust 2002-1, 3.50%, Due
10/17/2005..................... 1,245 1,263
--------
TOTAL ASSET-BACKED
SECURITIES................. 2,825
--------
NON-AGENCY MORTGAGE-BACKED
OBLIGATIONS - 0.23%
Countrywide Home Loan,
Incorporated,
3.50%, Due 12/19/2005.......... 800 819
4.25%, Due 12/19/2007.......... 395 409
--------
TOTAL NON-AGENCY
MORTGAGE-BACKED
OBLIGATIONS................ 1,228
--------
CORPORATE BONDS - 17.98%
BANKS - 0.82%
BB&T Corporation,
4.75%, Due 10/1/2012........... 245 249
Inter-American Development Bank,
5.375%, Due 11/18/2008......... 1,280 1,416
KeyCorp Limited,
4.625%, Due 5/16/2005.......... 335 352
US Bank, NA,
6.375%, Due 8/1/2011........... 700 800
5.70%, Due 12/15/2008.......... 875 966
</Table>
<Table>
<Caption>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
Wells Fargo Bank, NA,
6.45%, Due 2/1/2011............ $ 450 $ 516
--------
TOTAL BANKS.................. 4,299
--------
FINANCE - 6.48%
Allstate Corporation,
6.125%, Due 12/15/2032......... 210 225
American General Finance
Corporation,
5.375%, Due 9/1/2009........... 285 305
Bank of America Corporation,
7.40%, Due 1/15/2011........... 1,000 1,200
Bank One Corporation,
4.125%, Due 9/1/2007........... 480 498
4.90%, Due 4/30/2015........... 300 301
Bank One, NA,
3.70%, Due 1/15/2009........... 400 408
Bear Stearns Companies,
Incorporated,
3.00%, Due 3/30/2006........... 500 509
Boeing Capital Corporation,
6.35%, Due 11/15/2007.......... 2,485 2,701
Branch Banking and Trust Company,
4.875%, Due 1/15/2013.......... 800 821
Burlington Resources Finance
Company,
5.70%, Due 3/1/2007............ 600 653
Campbell Soup Company,
5.00%, Due 12/3/2012........... 240 248
Caterpillar Financial Services
Corporation,
2.65%, Due 1/30/2006........... 370 372
4.875%, Due 6/15/2007.......... 450 479
ChevronTexaco Capital
Corporation,
3.50%, Due 9/17/2007........... 180 184
Citibank Credit Card Master Trust
I,
6.05%, Due 1/15/2010........... 2,100 2,344
Citigroup, Incorporated,
6.20%, Due 3/15/2009........... 1,000 1,118
6.50%, Due 1/18/2011........... 400 457
Discover Card Master Trust I
1999-6 A,
6.85%, Due 7/17/2007........... 1,000 1,086
Fleet Norstar Financial Group,
Incorporated,
8.625%, Due 1/15/2007.......... 400 471
FleetBoston Financial
Corporation,
3.85%, Due 2/15/2008........... 600 610
Ford Motor Credit Company,
5.75%, Due 2/23/2004........... 911 927
6.50%, Due 1/25/2007*.......... 375 383
General Electric Capital
Corporation,
5.35%, Due 3/30/2006........... 715 771
7.735%, Due 1/19/2010.......... 850 1,004
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
21
AMERICAN AADVANTAGE BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
General Motors Acceptance
Corporation,
4.15%, Due 2/7/2005............ $ 400 $ 404
7.50%, Due 7/15/2005........... 400 428
6.125%, Due 8/28/2007.......... 320 332
7.35%, Due 10/1/2009........... 750 879
Household Finance Corporation,
5.75%, Due 1/30/2007........... 800 869
7.875%, Due 3/1/2007........... 400 464
6.375%, Due 11/27/2012......... 280 309
ING Bank, NV,
5.125%, Due 5/1/2015, 144A
(Note A)....................... 300 306
Liberty Mutual Corporation,
7.875%, Due 10/15/2026, 144A
(Note A)....................... 1,500 1,161
Merrill Lynch & Company,
Incorporated,
6.56%, Due 12/16/2007.......... 800 897
3.70%, Due 4/21/2008........... 555 560
MetLife, Incorporated,
3.911%, Due 5/15/2005.......... 500 518
Monumental Global Funding,
3.85%, Due 3/3/2008, 144A (Note
A)............................. 800 809
Morgan Stanley Dean Witter &
Company,
6.10%, Due 4/15/2006........... 450 494
3.625%, Due 4/1/2008........... 530 534
National City Bank,
3.30%, Due 5/15/2008........... 540 541
National City Corporation,
3.20%, Due 4/1/2008............ 300 299
PNC Funding Corporation,
7.50%, Due 11/1/2009........... 475 568
Prudential Financial,
Incorporated,
3.75%, Due 5/1/2008............ 485 486
SLM Corporation,
3.625%, Due 3/17/2008.......... 420 423
5.125%, Due 8/27/2012.......... 800 833
Sprint Capital Corporation,
7.90%, Due 3/15/2005........... 200 212
6.125%, Due 11/15/2008......... 385 393
Synovus Financial Corporation,
7.25%, Due 12/15/2005.......... 900 1,011
4.875%, Due 2/15/2013, 144A
(Note A)....................... 300 302
Travelers Property Casualty
Corporation, 144A (Note A)
5.00%, Due 3/15/2013........... 200 204
6.375%, Due 3/15/2033.......... 275 293
US Bancorp,
2.625%, Due 3/15/2006.......... 310 313
Washington Mutual, Incorporated,
4.375%, Due 1/15/2008.......... 400 416
</Table>
<Table>
<Caption>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
Washington Mutual Financial
Corporation,
6.875%, Due 5/15/2011.......... $ 425 $ 490
Wells Fargo & Company,
3.50%, Due 4/4/2008............ 300 303
--------
TOTAL FINANCE................ 34,126
--------
FOREIGN - 0.25%
Canadian Natural Resources
Limited, 5.45%, Due 10/1/2012.. 300 316
Province of Ontario, 5.50%, Due
10/1/2008...................... 650 721
United Mexican States, 6.375%,
Due 1/16/2013.................. 255 267
--------
TOTAL FOREIGN................ 1,304
--------
INDUSTRIAL - 9.08%
Abitibi Consolidated,
Incorporated,
8.85%, Due 8/1/2030............ 3,000 3,324
Akzo Nobel, Incorporated,
6.00%, Due 11/15/2003, 144A
(Note A)....................... 2,880 2,951
Allstate Corporation,
5.375, Due 12/1/2006........... 260 282
Anheuser Busch Companies,
Incorporated,
6.50%, Due 1/1/2028............ 522 594
Archer Daniels Midland Company,
5.875%, Due 10/1/2032.......... 200 210
AT&T Broadband Corporation,
8.375%, Due 3/15/2013.......... 408 498
AT&T Wireless Services,
Incorporated,
7.35%, Due 3/1/2006............ 425 473
8.125%, Due 5/1/2012........... 350 412
8.75%, Due 3/1/2031............ 265 330
Atlantic Richfield Company,
9.125%, Due 3/1/2011........... 425 552
BellSouth Corporation,
5.00%, Due 10/15/2006.......... 200 215
Bemis, Incorporated,
6.70%, Due 7/1/2005............ 1,000 1,092
BHP Finance (USA) Limited,
4.80%, Due 4/15/2013........... 300 306
Cargill, Incorporated,
6.25%, Due 5/1/2006, 144A (Note
A)............................. 1,000 1,107
Clear Channel Communications,
4.25%, Due 5/15/2009........... 315 316
5.75%, Due 1/15/2013........... 205 217
Comcast Cable Communications,
6.75%, Due 1/30/2011........... 255 282
Computer Sciences Corporation,
3.50%, Due 4/15/2008........... 400 397
7.375%, Due 6/15/2011.......... 2,500 2,917
Conagra Foods, Incorporated,
7.125%, Due 10/1/2026.......... 410 475
7.00%, Due 10/1/2028........... 400 450
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
22
AMERICAN AADVANTAGE BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
ConocoPhillips,
3.625%, Due 10/15/2007......... $ 425 $ 432
5.90%, Due 10/15/2032.......... 200 207
Continental Cablevision,
Incorporated,
8.30%, Due 5/15/2006........... 270 305
DaimlerChrysler North America,
4.75%, Due 1/15/2008........... 970 1,002
7.75%, Due 1/18/2011........... 1,000 1,164
John Deere Capital Corporation,
4.125%, Due 7/15/2005.......... 410 430
Dell Computer Corporation,
6.55%, Due 4/15/2008........... 400 456
Electronic Data Systems
Corporation,
7.125%, Due 10/15/2009......... 2,000 2,160
Emerson Electric Company,
5.00%, Due 12/15/2014.......... 240 249
Federated Department Stores,
Incorporated,
6.79%, Due 7/15/2027........... 725 762
Ford Motor Company,
7.45%, Due 7/16/2031........... 1,500 1,335
Hershey Foods Corporation,
6.95%, Due 3/1/2007............ 1,000 1,131
Hewlett Packard Company,
5.75%, Due 12/15/2006.......... 470 512
International Business Machines
Corporation,
4.875%, Due 10/1/2006.......... 505 543
4.75%, Due 11/29/2012.......... 400 412
International Paper Company,
6.75%, Due 9/1/2011............ 450 510
Kinder Morgan, Incorporated,
6.50%, Due 9/1/2012............ 190 212
Kroger Company,
7.375%, Due 3/1/2005........... 450 486
Lockheed Martin Corporation,
7.20%, Due 5/1/2036............ 600 704
Martin Marietta Material,
Incorporated,
6.90%, Due 8/15/2007........... 200 221
Masco Corporation,
6.75%, Due 3/15/2006........... 450 500
Motorola, Incorporated,
5.80%, Due 10/15/2008.......... 2,270 2,338
Norfolk Southern Corporation,
7.05%, Due 5/1/2037............ 640 733
Northrop Grumman Corporation,
7.125%, Due 2/15/2011.......... 905 1,060
Occidental Petroleum Corporation,
4.25%, Due 3/15/2010........... 395 397
6.75%, Due 1/15/2012........... 400 461
Pepsi Bottling Group,
Incorporated,
7.00%, Due 3/1/2029............ 425 504
RadioShack Corporation,
7.375%, Due 5/15/2011.......... 1,840 2,092
</Table>
<Table>
<Caption>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
Reed Elsevier Capital,
Incorporated,
6.125%, Due 8/1/2006........... $ 545 $ 595
Sara Lee Corporation,
6.00%, Due 1/15/2008........... 1,200 1,324
The Stanley Works,
4.90%, Due 11/1/12012, 144A
(Note A)....................... 300 305
Target Corporation,
7.00%, Due 7/15/2031........... 450 529
Tenet Healthcare Corporation,
7.375%, Due 2/1/2013........... 215 212
Time Warner, Incorporated,
6.625%, Due 5/15/2029.......... 250 247
Tyson Foods, Incorporated,
6.625%, Due 10/1/2004.......... 340 355
Unilever Capital Corporation,
7.125%, Due 11/1/2010.......... 2,000 2,379
Verizon Virginia,
4.625%, Due 3/15/2013.......... 600 596
Verizon Wireless Capital LLC,
5.375%, Due 12/15/2006......... 420 453
Viacom, Incorporated,
5.625%, Due 8/15/2012.......... 495 536
Vodafone Group PLC,
3.95%, Due 1/30/2008........... 400 410
Walt Disney Company,
5.375%, Due 6/1/2007........... 235 250
Wal-Mart Stores, Incorporated,
7.55%, Due 2/15/2030........... 450 576
Weyerhaeuser Company,
5.95%, Due 11/1/2008........... 340 371
--------
TOTAL INDUSTRIAL............. 47,856
--------
PHARMACEUTICAL - 0.19%
Bristol Myers Squibb Company,
4.75%, Due 10/1/2006........... 465 494
Wyeth Corporation,
6.70%, Due 3/15/2011, 144A
(Note A)....................... 450 517
--------
TOTAL PHARMACEUTICAL......... 1,011
--------
TRANSPORTATION - 0.48%
CNF Transportation, Incorporated,
8.875%, Due 5/1/2010........... 1,850 2,003
Union Pacific Corporation,
6.50%, Due 4/15/2012........... 450 510
--------
TOTAL TRANSPORTATION......... 2,513
--------
UTILITY - 0.68%
AEP Texas Central Company,
6.65%, Due 2/15/2033, 144A
(Note A)....................... 120 130
Alberta Energy Limited,
7.375%, Due 11/1/2031.......... 250 301
Consolidated Natural Gas Company,
6.875%, Due 10/15/2026......... 360 400
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
23
AMERICAN AADVANTAGE BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
Dominion Resources, Incorporated,
7.625%, Due 7/15/2005.......... $ 650 $ 722
5.00%, Due 3/15/2013........... 210 211
Enterprise Products Partners LP,
144A (Note A)
6.375%, Due 2/1/2013........... 135 147
6.875%, Due 3/1/2033........... 435 463
FirstEnergy Corporation,
6.45%, Due 11/15/2011.......... 315 341
Marathon Oil Corporation,
5.375%, Due 6/1/2007........... 260 276
MidAmerican Energy Holdings
Corporation,
5.875%, Due 10/01/2012......... 305 319
Oncor Electric Delivery Company,
7.25%, Due 1/15/2033, 144A
(Note A)....................... 155 181
Union Oil Company of California,
7.90%, Due 4/18/2008........... 100 118
--------
TOTAL UTILITY................ 3,609
--------
TOTAL CORPORATE BONDS........ 94,718
--------
</Table>
<Table>
<Caption>
SHARES
-------
COMMON STOCK - 55.17%
CONSUMER DISCRETIONARY - 6.66%
AUTO COMPONENTS - 0.13%
Dana Corporation................... 35,600 331
Delphi Corporation................. 43,500 365
--------
TOTAL AUTO COMPONENTS.......... 696
--------
AUTOMOBILES - 0.17%
Ford Motor Company................. 84,502 870
--------
TOTAL AUTOMOBILES.............. 870
--------
HOTELS, RESTAURANTS & LEISURE - 1.58%
Carnival Corporation*.............. 70,900 1,956
Mandalay Resort Group+*............ 68,800 1,818
Park Place Entertainment
Corporation+..................... 81,200 604
Wendy's International,
Incorporated..................... 33,300 967
Yum Brands, Incorporated+.......... 120,500 2,976
--------
TOTAL HOTELS, RESTAURANTS &
LEISURE...................... 8,321
--------
HOUSEHOLD DURABLES - 1.63%
Centex Corporation................. 41,300 2,727
Fortune Brands, Incorporated....... 56,100 2,715
Koninklijke Philips Electronics
NV............................... 82,431 1,540
Newell Rubbermaid, Incorporated.... 53,200 1,622
--------
TOTAL HOUSEHOLD DURABLES....... 8,604
--------
LEISURE EQUIPMENT & PRODUCTS - 0.55%
Eastman Kodak Company.............. 96,700 2,892
--------
TOTAL LEISURE EQUIPMENT &
PRODUCTS..................... 2,892
--------
</Table>
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
MEDIA - 0.12%
Interpublic Group Companies,
Incorporated*.................... 54,300 $ 619
--------
TOTAL MEDIA.................... 619
--------
MULTILINE RETAIL - 2.48%
Federated Department Stores,
Incorporated+.................... 70,300 2,153
May Department Stores Company...... 107,900 2,333
J.C. Penney Company, Incorporated.. 117,800 2,010
Sears Roebuck & Company*........... 231,300 6,555
--------
TOTAL MULTILINE RETAIL......... 13,051
--------
TOTAL CONSUMER DISCRETIONARY... 35,053
--------
CONSUMER STAPLES - 3.60%
FOOD PRODUCTS - 1.04%
Conagra, Incorporated.............. 148,700 3,123
Kraft Foods, Incorporated.......... 16,000 494
Sara Lee Company................... 111,774 1,876
--------
TOTAL FOOD PRODUCTS............ 5,493
--------
TOBACCO - 2.56%
Altria Group, Incorporated......... 181,900 5,595
Gallaher Group PLC, ADR............ 64,400 2,439
Imperial Tobacco Group PLC, ADR.... 102,100 3,444
UST, Incorporated.................. 63,500 1,989
--------
TOTAL TOBACCO.................. 13,467
--------
TOTAL CONSUMER STAPLES......... 18,960
--------
ENERGY - 5.68%
ENERGY EQUIPMENT & SERVICES - 0.52%
Duke Energy Corporation*........... 101,600 1,787
GlobalSantaFe Corporation.......... 45,505 963
--------
TOTAL ENERGY EQUIPMENT &
SERVICES..................... 2,750
--------
OIL & GAS - 5.16%
BP p.l.c., ADR..................... 86,580 3,337
ChevronTexaco Corporation.......... 58,814 3,694
ConocoPhillips..................... 127,188 6,398
Devon Energy Corporation*.......... 50,800 2,400
El Paso Corporation................ 45,500 341
Equitable Resources,
Incorporated..................... 28,600 1,099
Marathon Oil Corporation........... 80,000 1,822
Occidental Petroleum Corporation... 153,300 4,576
Royal Dutch Petroleum Company...... 26,500 1,083
Sunoco, Incorporated............... 38,209 1,422
Teekay Shipping Corporation*....... 27,000 1,025
--------
TOTAL OIL & GAS................ 27,197
--------
TOTAL ENERGY................... 29,947
--------
FINANCIALS - 15.65%
BANKS - 5.88%
Bank of America Corporation........ 90,911 6,732
FleetBoston Financial
Corporation...................... 222,500 5,901
Keycorp Limited.................... 124,500 3,002
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
24
AMERICAN AADVANTAGE BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
PNC Financial Services Group,
Incorporated..................... 71,478 $ 3,138
UnionBanCal Corporation............ 25,800 1,042
US Bancorp, Incorporated........... 88,860 1,968
Wachovia Corporation............... 86,000 3,286
Washington Mutual, Incorporated.... 149,200 5,893
--------
TOTAL BANKS.................... 30,962
--------
DIVERSIFIED FINANCIALS - 5.03%
American Express Company........... 34,000 1,287
Bear Stearns Companies,
Incorporated..................... 22,300 1,491
Cinergy Corporation*............... 14,600 498
CIT Group, Incorporated+........... 136,400 2,778
CitiGroup, Incorporated............ 171,342 6,725
Federal National Mortgage
Association...................... 30,800 2,230
JPMorgan Chase & Company........... 171,350 5,029
Merrill Lynch & Company,
Incorporated..................... 36,600 1,502
Morgan Stanley Dean Witter &
Company.......................... 36,400 1,629
Principal Financial Group.......... 82,100 2,389
SLM Corporation.................... 8,700 974
--------
TOTAL DIVERSIFIED FINANCIALS... 26,532
--------
INSURANCE - 4.74%
Ace Limited*....................... 61,300 2,028
Allmerica Financial Corporation+... 31,400 480
Allstate Corporation............... 166,600 6,296
Hartford Financial Services Group,
Incorporated..................... 10,000 408
Loews Corporation.................. 26,000 1,073
Metlife, Incorporated*............. 181,580 5,217
MGIC Investments Corporation*...... 69,500 3,159
Prudential Financial,
Incorporated..................... 90,900 2,906
St. Paul Companies, Incorporated... 100,000 3,434
--------
TOTAL INSURANCE................ 25,001
--------
TOTAL FINANCIALS............... 82,495
--------
HEALTH CARE - 3.34%
HEALTH CARE EQUIPMENT & SUPPLIES - 0.74%
Bausch & Lomb, Incorporated........ 51,600 1,814
Baxter International,
Incorporated..................... 90,300 2,077
--------
TOTAL HEALTH CARE EQUIPMENT &
SUPPLIES..................... 3,891
--------
HEALTH CARE PROVIDERS & SERVICES - 0.77%
Aetna, Incorporated................ 68,600 3,416
Health Net, Incorporated+.......... 24,200 631
--------
TOTAL HEALTH CARE PROVIDERS &
SERVICES..................... 4,047
--------
PHARMACEUTICALS - 1.83%
Bristol-Myers Squibb Company....... 203,600 5,200
Merck & Company, Incorporated...... 25,300 1,472
</Table>
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
Pfizer, Incorporated............... 44,400 $ 1,365
Wyeth Corporation.................. 36,700 1,598
--------
TOTAL PHARMACEUTICALS.......... 9,635
--------
TOTAL HEALTH CARE.............. 17,573
--------
INDUSTRIALS - 7.49%
AEROSPACE & DEFENSE - 2.22%
Boeing Company..................... 148,800 4,059
Honeywell International,
Incorporated..................... 94,600 2,233
Raytheon Company................... 51,400 1,538
Textron, Incorporated.............. 76,500 2,256
United Technologies Corporation.... 26,000 1,607
--------
TOTAL AEROSPACE & DEFENSE...... 11,693
--------
COMMERCIAL SERVICES & SUPPLIES - 2.04%
Cendant Corporation+............... 393,500 5,619
Waste Management, Incorporated..... 237,279 5,154
--------
TOTAL COMMERCIAL SERVICES &
SUPPLIES..................... 10,773
--------
ELECTRICAL EQUIPMENT - 0.83%
Emerson Electrical Company*........ 86,200 4,370
--------
TOTAL ELECTRICAL EQUIPMENT..... 4,370
--------
INDUSTRIAL CONGLOMERATES - 1.38%
ITT Industries, Incorporated....... 34,500 2,011
Tyco International Limited......... 338,901 5,287
--------
TOTAL INDUSTRIAL
CONGLOMERATES................ 7,298
--------
MACHINERY - 0.33%
Caterpillar, Incorporated*......... 33,100 1,741
--------
TOTAL MACHINERY................ 1,741
--------
ROAD & RAIL - 0.69%
Burlington Northern,
Incorporated..................... 85,500 2,408
CSX Corporation.................... 38,600 1,234
--------
TOTAL ROAD & RAIL.............. 3,642
--------
TOTAL INDUSTRIALS.............. 39,517
--------
INFORMATION TECHNOLOGY - 3.53%
COMPUTERS & PERIPHERALS - 1.32%
Gateway, Incorporated+............. 460,100 1,325
Hewlett Packard Company............ 142,800 2,328
International Business Machines
Corporation...................... 38,900 3,303
--------
TOTAL COMPUTERS &
PERIPHERALS.................. 6,956
--------
IT CONSULTING & SERVICES - 0.87%
Computer Sciences Corporation+..... 56,500 1,862
Electronic Data Systems
Corporation...................... 150,300 2,728
--------
TOTAL IT CONSULTING &
SERVICES..................... 4,590
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
25
AMERICAN AADVANTAGE BALANCED FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
OFFICE ELECTRONICS - 0.29%
IKON Office Solutions,
Incorporated*.................... 197,000 $ 1,529
--------
TOTAL OFFICE ELECTRONICS....... 1,529
--------
SOFTWARE - 1.05%
Cadence Design Systems,
Incorporated+.................... 65,000 743
Computer Associates International,
Incorporated..................... 293,600 4,768
--------
TOTAL SOFTWARE................. 5,511
--------
TOTAL INFORMATION TECHNOLOGY... 18,586
--------
MATERIALS - 4.29%
CHEMICALS - 2.19%
Crompton Corporation............... 130,413 837
Dow Chemical Company............... 32,900 1,074
E.I. du Pont de Nemours &
Company.......................... 15,000 638
Eastman Chemical Company........... 60,400 1,844
Hercules, Incorporated+............ 128,400 1,303
Imperial Chemical Industries, PLC,
ADR*............................. 108,300 910
Lyondell Chemical Company.......... 213,600 3,108
PPG Industries, Incorporated....... 37,600 1,824
--------
TOTAL CHEMICALS................ 11,538
--------
METALS & MINING - 0.66%
Alcoa, Incorporated................ 152,096 3,488
--------
TOTAL METALS & MINING.......... 3,488
--------
PAPER & FOREST PRODUCTS - 1.44%
International Paper Company........ 35,426 1,266
Plum Creek Timber Company,
Incorporated..................... 47,047 1,094
Sappi Limited, ADR................. 218,000 2,692
UPM Kymmene Corporation, ADR*...... 106,200 1,593
Weyerhaeuser Company............... 18,800 932
--------
TOTAL PAPER & FOREST
PRODUCTS..................... 7,577
--------
TOTAL MATERIALS................ 22,603
--------
TELECOMMUNICATION SERVICES - 1.24%
Alltel Corporation................. 21,700 1,017
SBC Communications, Incorporated... 33,400 780
Verizon Communications,
Incorporated..................... 126,836 4,741
--------
TOTAL TELECOMMUNICATION
SERVICES..................... 6,538
--------
UTILITIES - 3.69%
ELECTRIC UTILITIES - 3.31%
American Electric Power Company,
Incorporated..................... 230,400 6,078
</Table>
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
Centerpoint Energy, Incorporated... 121,900 $ 963
DTE Energy Company................. 33,400 1,347
Entergy Corporation................ 60,700 2,829
Northeast Utilities................ 182,400 2,721
PPL Corporation.................... 14,006 507
Reliant Resources,
Incorporated+*................... 114,956 646
The Southern Company*.............. 33,800 983
Teco Energy, Incorporated*......... 64,300 694
Texas Genco Holdings,
Incorporated*.................... 3,490 61
TXU Corporation.................... 30,800 614
--------
TOTAL ELECTRIC UTILITIES....... 17,443
--------
GAS UTILITIES - 0.20%
Peoples Energy Corporation*........ 27,000 1,049
--------
TOTAL GAS UTILITIES............ 1,049
--------
MULTI-UTILITIES - 0.18%
Scana Corporation.................. 30,644 973
--------
TOTAL MULTI-UTILITIES.......... 973
--------
TOTAL UTILITIES................ 19,465
--------
TOTAL COMMON STOCK............. 290,737
--------
</Table>
<Table>
<Caption>
PAR
AMOUNT
-----------
SHORT-TERM INVESTMENTS - 16.82%
UNITED STATES TREASURY BILLS - 0.73%
1.08%, Due 6/12/2003 (Note
B)........................... $ 3,840 3,835
--------
TOTAL UNITED STATES
TREASURY BILLS........... 3,835
--------
</Table>
<Table>
<Caption>
SHARES
----------
OTHER SHORT-TERM INVESTMENTS - 16.09%
American AAdvantage Money Market
Select Fund................... 72,331,205 72,331
AMR Investments Enhanced Yield
Business Trust................ 12,493,430 12,493
--------
TOTAL OTHER SHORT-TERM
INVESTMENTS............... 84,824
--------
TOTAL SHORT-TERM
INVESTMENTS............... 88,659
--------
TOTAL INVESTMENTS - 106.85%
(COST $557,803)............... 563,118
--------
LIABILITIES, NET OF OTHER
ASSETS - (6.85%).............. (36,120)
--------
TOTAL NET ASSETS - 100%......... $526,998
========
</Table>
- ---------------
(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 $8,876 or 1.69% of net assets.
(B) At April 30, 2003, securities held as collateral for open futures contracts.
* - All or a portion of this security is on loan at April 30, 2003. See Note 4
+ - non-income producing
See accompanying notes
- --------------------------------------------------------------------------------
26
AMERICAN AADVANTAGE LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
COMMON STOCK - 92.25%
CONSUMER DISCRETIONARY - 10.89%
AUTO COMPONENTS - 0.22%
Dana Corporation................ 60,300 $ 560
Delphi Corporation.............. 73,100 614
--------
TOTAL AUTO COMPONENTS....... 1,174
--------
AUTOMOBILES - 0.27%
Ford Motor Company*............. 142,037 1,463
--------
TOTAL AUTOMOBILES........... 1,463
--------
HOTELS, RESTAURANTS & LEISURE - 2.41%
Carnival Corporation*........... 112,300 3,098
Mandalay Resort Group+.......... 94,300 2,492
Park Place Entertainment
Corporation+.................. 133,700 995
Wendy's International,
Incorporated.................. 49,800 1,446
Yum Brands, Incorporated+....... 202,600 5,004
--------
TOTAL HOTELS, RESTAURANTS &
LEISURE................... 13,035
--------
HOUSEHOLD DURABLES - 2.62%
Centex Corporation*............. 69,600 4,595
Fortune Brands, Incorporated.... 82,100 3,974
Koninklijke Philips Electronics
NV............................ 110,666 2,067
Matsushita Electric Industrial
Company Limited, ADR.......... 115,000 913
Newell Rubbermaid,
Incorporated.................. 85,400 2,603
--------
TOTAL HOUSEHOLD DURABLES.... 14,152
--------
LEISURE EQUIPMENT & PRODUCTS - 0.84%
Eastman Kodak Company........... 152,600 4,564
--------
TOTAL LEISURE EQUIPMENT &
PRODUCTS.................. 4,564
--------
MEDIA - 0.49%
Clear Channel Communications,
Incorporated+................. 40,000 1,564
Interpublic Group of Companies,
Incorporated*................. 93,900 1,071
--------
TOTAL MEDIA................. 2,635
--------
MULTILINE RETAIL - 4.04%
Federated Department Stores,
Incorporated+................. 95,200 2,915
May Department Stores
Company*...................... 149,800 3,239
J.C. Penney Company,
Incorporated.................. 286,100 4,881
Sears Roebuck & Company......... 369,300 10,466
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
Target Corporation.............. 10,000 $ 334
--------
TOTAL MULTILINE RETAIL...... 21,835
--------
TOTAL CONSUMER
DISCRETIONARY............. 58,858
--------
CONSUMER STAPLES - 6.58%
FOOD PRODUCTS - 1.91%
Conagra, Incorporated........... 220,300 4,627
Kellogg Company................. 53,000 1,735
Kraft Foods, Incorporated....... 26,900 831
Sara Lee Company................ 186,528 3,130
--------
TOTAL FOOD PRODUCTS......... 10,323
--------
HOUSEHOLD PRODUCTS - 0.29%
Kimberly Clark Corporation...... 32,000 1,593
--------
TOTAL HOUSEHOLD PRODUCTS.... 1,593
--------
PERSONAL PRODUCTS - 0.41%
Gillette Company................ 72,000 2,192
--------
TOTAL PERSONAL PRODUCTS..... 2,192
--------
TOBACCO - 3.97%
Altria Group, Incorporated...... 293,200 9,019
Gallaher Group PLC, ADR......... 79,800 3,023
Imperial Tobacco Group PLC,
ADR........................... 188,900 6,371
UST, Incorporated............... 97,000 3,039
--------
TOTAL TOBACCO............... 21,452
--------
TOTAL CONSUMER STAPLES...... 35,560
--------
ENERGY - 8.55%
ENERGY EQUIPMENT & SERVICES - 0.64%
GlobalSantaFe Corporation....... 75,436 1,596
Weatherford International
Limited+...................... 46,000 1,851
--------
TOTAL ENERGY EQUIPMENT &
SERVICES.................. 3,447
--------
OIL & GAS - 7.91%
BP PLC, ADR..................... 109,136 4,206
ChevronTexaco Corporation....... 87,181 5,476
ConocoPhillips.................. 212,022 10,665
Devon Energy Corporation........ 79,900 3,775
El Paso Corporation*............ 53,300 400
Equitable Resources,
Incorporated.................. 36,100 1,387
Marathon Oil Corporation........ 98,000 2,231
Occidental Petroleum
Corporation................... 244,800 7,307
Royal Dutch Petroleum Company... 48,100 1,966
Sunoco, Incorporated*........... 62,905 2,341
Teekay Shipping Corporation*.... 58,100 2,205
Valero Energy Corporation....... 23,000 845
--------
TOTAL OIL & GAS............. 42,804
--------
TOTAL ENERGY................ 46,251
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
27
AMERICAN AADVANTAGE LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
FINANCIALS - 25.50%
BANKS - 9.23%
Bank of America Corporation..... 121,903 $ 9,027
Comerica, Incorporated.......... 31,000 1,349
FleetBoston Financial
Corporation................... 323,500 8,579
KeyCorp Limited................. 192,300 4,636
Mitsubishi Tokyo Financial
Group, Incorporated, ADR...... 237,000 834
PNC Financial Services Group,
Incorporated.................. 136,527 5,994
U.S. Bancorp, Incorporated...... 126,060 2,792
UnionBanCal Corporation......... 44,000 1,778
Wachovia Corporation............ 114,000 4,356
Washington Mutual,
Incorporated.................. 211,300 8,346
Wells Fargo & Company........... 46,000 2,220
--------
TOTAL BANKS................. 49,911
--------
DIVERSIFIED FINANCIALS - 7.92%
American Express Company........ 49,900 1,889
Bear Stearns Companies,
Incorporated.................. 33,000 2,206
Charles Schwab Corporation...... 100,000 863
CIT Group, Incorporated+........ 229,300 4,671
Citigroup, Incorporated......... 239,638 9,406
Federal National Mortgage
Association................... 40,600 2,939
Goldman Sachs Group,
Incorporated.................. 26,000 1,973
Ing Groep NV, ADR............... 104,000 1,697
JPMorgan Chase & Company........ 230,442 6,764
Merrill Lynch & Company,
Incorporated.................. 58,800 2,414
Morgan Stanley Dean Witter
Discover & Company............ 53,500 2,394
Principal Financial Group,
Incorporated.................. 141,800 4,126
SLM Corporation................. 13,300 1,490
--------
TOTAL DIVERSIFIED
FINANCIALS................ 42,832
--------
INSURANCE - 8.35%
Ace Limited..................... 103,800 3,434
Allmerica Financial
Corporation+.................. 46,800 716
Allstate Corporation............ 269,628 10,189
American International Group,
Incorporated.................. 8,000 464
Chubb Corporation............... 34,000 1,798
Cincinnati Financial
Corporation................... 63,000 2,322
Hartford Financial Services
Group, Incorporated........... 17,400 709
Loews Corporation............... 37,000 1,527
Metlife, Incorporated........... 316,000 9,078
MGIC Investments Corporation*... 107,700 4,896
Prudential Financial,
Incorporated.................. 149,600 4,783
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
St. Paul Companies,
Incorporated.................. 152,700 $ 5,244
--------
TOTAL INSURANCE............. 45,160
--------
TOTAL FINANCIALS............ 137,903
--------
HEALTH CARE - 5.40%
HEALTH CARE EQUIPMENT & SUPPLIES - 1.56%
Alcon, Incorporated+............ 52,000 2,290
Bausch & Lomb, Incorporated*.... 84,900 2,985
Baxter International,
Incorporated.................. 137,900 3,172
--------
TOTAL HEALTH CARE EQUIPMENT
& SUPPLIES................ 8,447
--------
HEALTH CARE PROVIDERS & SERVICES - 1.33%
Aetna, Incorporated............. 112,600 5,608
Cigna Corporation............... 11,900 622
Health Net, Incorporated+....... 37,100 968
--------
TOTAL HEALTH CARE PROVIDERS
& SERVICES................ 7,198
--------
PHARMACEUTICALS - 2.51%
Astrazeneca PLC, ADR............ 48,000 1,914
Bristol-Myers Squibb Company.... 221,400 5,654
Merck & Company, Incorporated... 38,000 2,211
Pfizer, Incorporated............ 57,300 1,762
Wyeth Corporation............... 47,300 2,059
--------
TOTAL PHARMACEUTICALS....... 13,600
--------
TOTAL HEALTH CARE........... 29,245
--------
INDUSTRIALS - 13.17%
AEROSPACE & DEFENSE - 3.65%
Boeing Company.................. 258,200 7,044
Honeywell International,
Incorporated.................. 177,300 4,184
L3 Communications Holding
Corporation+.................. 40,000 1,776
Raytheon Company................ 154,000 4,609
United Technologies
Corporation................... 34,100 2,108
--------
TOTAL AEROSPACE & DEFENSE... 19,721
--------
COMMERCIAL SERVICES & SUPPLIES - 3.33%
Cendant Corporation+............ 656,300 9,372
Deluxe Corporation*............. 14,300 629
Waste Management, Incorporated.. 369,595 8,028
--------
TOTAL COMMERCIAL SERVICES &
SUPPLIES.................. 18,029
--------
ELECTRICAL EQUIPMENT - 1.44%
Emerson Electrical Company...... 121,900 6,180
Molex, Incorporated............. 78,000 1,584
--------
TOTAL ELECTRICAL
EQUIPMENT................. 7,764
--------
INDUSTRIAL CONGLOMERATES - 2.55%
3M Company...................... 13,000 1,639
Textron, Incorporated........... 99,200 2,925
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
28
AMERICAN AADVANTAGE LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
Tyco International Limited...... 593,100 $ 9,252
--------
TOTAL INDUSTRIAL
CONGLOMERATES............. 13,816
--------
MACHINERY - 1.08%
Caterpillar, Incorporated....... 52,900 2,782
ITT Industries, Incorporated.... 52,600 3,067
--------
TOTAL MACHINERY............. 5,849
--------
ROAD & RAIL - 1.12%
Burlington Northern Santa Fe
Corporation................... 149,600 4,213
CSX Corporation................. 57,900 1,851
--------
TOTAL ROAD & RAIL........... 6,064
--------
TOTAL INDUSTRIALS........... 71,243
--------
INFORMATION TECHNOLOGY - 6.73%
COMMUNICATIONS EQUIPMENT - 0.37%
Lucent Technologies,
Incorporated+................. 550,000 990
Motorola, Incorporated.......... 128,000 1,012
--------
TOTAL COMMUNICATIONS
EQUIPMENT................. 2,002
--------
COMPUTERS & PERIPHERALS - 2.47%
Apple Computer, Incorporated+... 98,000 1,392
Gateway, Incorporated+*......... 722,600 2,081
Hewlett Packard Company......... 186,200 3,035
International Business Machines
Corporation................... 67,800 5,756
NCR Corporation+................ 51,000 1,118
--------
TOTAL COMPUTERS &
PERIPHERALS............... 13,382
--------
IT CONSULTING & SERVICES - 1.29%
Computer Sciences Corporation+.. 71,800 2,366
Electronic Data Systems
Corporation................... 254,700 4,623
--------
TOTAL IT CONSULTING &
SERVICES.................. 6,989
--------
OFFICE ELECTRONICS - 0.67%
IKON Office Solutions,
Incorporated.................. 271,200 2,105
Xerox Corporation+.............. 156,000 1,538
--------
TOTAL OFFICE ELECTRONICS.... 3,643
--------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.27%
STMicroelectronics NV........... 72,000 1,482
--------
TOTAL SEMICONDUCTOR
EQUIPMENT & PRODUCTS...... 1,482
--------
SOFTWARE - 1.66%
Cadence Design Systems,
Incorporated+................. 101,400 1,159
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
Computer Associates
International, Incorporated... 482,800 $ 7,841
--------
TOTAL SOFTWARE.............. 9,000
--------
TOTAL INFORMATION
TECHNOLOGY................ 36,498
--------
MATERIALS - 6.94%
CHEMICALS - 3.64%
Air Products & Chemicals,
Incorporated.................. 37,000 1,594
Crompton Corporation............ 209,808 1,347
Cytec Industries,
Incorporated+................. 60,000 1,921
Dow Chemical Company............ 55,400 1,808
E.I. du Pont de Nemours &
Company....................... 26,000 1,106
Hercules, Incorporated+......... 173,400 1,760
Imperial Chemical Industries,
PLC, ADR*..................... 156,900 1,318
Lyondell Chemical Company*...... 284,600 4,141
Millennium Chemicals,
Incorporated.................. 117,100 1,629
PPG Industries, Incorporated.... 62,700 3,041
--------
TOTAL CHEMICALS............. 19,665
--------
METALS & MINING - 1.21%
Alcoa, Incorporated............. 250,768 5,750
USS - POSCO Industries, ADR..... 40,000 822
--------
TOTAL METALS & MINING....... 6,572
--------
PAPER & FOREST PRODUCTS - 2.09%
International Paper Company..... 43,282 1,547
Plum Creek Timber Company,
Incorporated.................. 72,043 1,676
Sappi Limited, ADR.............. 337,000 4,162
UPM Kymmene Corporation, ADR*... 159,000 2,385
Weyerhaeuser Company............ 31,500 1,562
--------
TOTAL PAPER & FOREST
PRODUCTS.................. 11,332
--------
TOTAL MATERIALS............. 37,569
--------
TELECOMMUNICATION SERVICES - 1.94%
DIVERSIFIED TELECOMMUNICATION - 1.94%
Alltel Corporation.............. 33,500 1,570
SBC Communications,
Incorporated.................. 121,000 2,827
Verizon Communications,
Incorporated.................. 163,032 6,094
--------
TOTAL DIVERSIFIED
TELECOMMUNICATION......... 10,491
--------
TOTAL TELECOMMUNICATION
SERVICES.................. 10,491
--------
UTILITIES - 6.55%
ELECTRIC UTILITIES - 5.23%
American Electric Power Company,
Incorporated.................. 348,900 9,204
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
29
AMERICAN AADVANTAGE LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
Centerpoint Energy,
Incorporated*................. 185,900 $ 1,469
Cinergy Corporation*............ 22,400 765
DTE Energy Company.............. 45,300 1,826
Entergy Corporation............. 92,600 4,316
Exelon Corporation.............. 8,000 424
Northeast Utilities............. 338,000 5,043
PPL Corporation................. 24,047 871
Reliant Resources,
Incorporated+................. 175,247 985
Southern Company................ 51,600 1,501
Teco Energy, Incorporated*...... 77,500 836
Texas Genco Holdings,
Incorporated*................. 5,345 93
TXU Corporation................. 48,100 958
--------
TOTAL ELECTRIC UTILITIES.... 28,291
--------
GAS UTILITIES - 0.36%
Peoples Energy Corporation*..... 50,400 1,958
--------
TOTAL GAS UTILITIES......... 1,958
--------
MULTI-UTILITIES - 0.96%
Duke Energy Corporation......... 200,700 3,530
Scana Corporation............... 51,602 1,638
--------
TOTAL MULTI-UTILITIES....... 5,168
--------
TOTAL UTILITIES............. 35,417
--------
TOTAL COMMON STOCK.......... 499,035
--------
</Table>
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
SHORT-TERM INVESTMENTS - 12.80%
U.S. TREASURY BILLS - 0.56%
1.08%, Due 6/12/2003 (Note A)... $ 3,030 3,026
--------
TOTAL U.S. TREASURY BILLS... 3,026
--------
</Table>
<Table>
<Caption>
SHARES
----------
OTHER SHORT-TERM INVESTMENTS - 12.24%
American AAdvantage Money Market
Select Fund................... 63,176,747 63,177
AMR Investments Enhanced Yield
Business Trust................ 3,024,136 3,024
--------
TOTAL OTHER SHORT-TERM
INVESTMENTS............... 66,201
--------
TOTAL SHORT-TERM
INVESTMENTS............... 69,227
--------
TOTAL INVESTMENTS - 105.05%
(COST $585,131)............... 568,262
--------
LIABILITIES, NET OF OTHER
ASSETS - (5.05%).............. (27,297)
--------
TOTAL NET ASSETS - 100%......... $540,965
========
</Table>
- ---------------
(A) At April 30, 2003, security held as collateral for open futures contracts.
* - All or a portion of this security is on loan at April 30, 2003. See Note 4
+ - non-income producing
See accompanying notes
- --------------------------------------------------------------------------------
30
AMERICAN AADVANTAGE LARGE CAP GROWTH FUND
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
COMMON STOCK - 97.85%
CONSUMER DISCRETIONARY - 15.38%
AUTO COMPONENTS - 0.17%
Delphi Corporation................ 666 $ 6
Johnson Controls, Incorporated.... 200 16
Lear Corporation+................. 600 24
Visteon Corporation............... 2,300 16
-------
TOTAL AUTO COMPONENTS......... 62
-------
AUTOMOBILES - 0.09%
Harley Davidson, Incorporated..... 700 31
-------
TOTAL AUTOMOBILES............. 31
-------
HOTELS, RESTAURANTS & LEISURE - 1.19%
Carnival Corporation*............. 1,600 44
Starbucks Corporation+............ 10,400 245
Wendy's International,
Incorporated.................... 1,800 52
Yum Brands, Incorporated+......... 3,400 84
-------
TOTAL HOTELS, RESTAURANTS &
LEISURE..................... 425
-------
INTERNET & CATALOG RETAIL - 0.96%
Amazon.com, Incorporated+......... 6,500 186
Ebay, Incorporated+............... 1,700 158
-------
TOTAL INTERNET & CATALOG
RETAIL...................... 344
-------
LEISURE EQUIPMENT & PRODUCTS - 0.48%
Mattel, Incorporated.............. 7,400 161
Polaris Industries,
Incorporated*................... 200 11
-------
TOTAL LEISURE EQUIPMENT &
PRODUCTS.................... 172
-------
HOUSEHOLD DURABLES - 0.20%
NVR, Incorporated+................ 50 18
Whirlpool Corporation............. 1,000 53
-------
TOTAL HOUSEHOLD DURABLES...... 71
-------
MEDIA - 2.95%
AOL Time Warner, Incorporated+.... 6,800 93
Comcast Corporation, Class A
Common Stock+................... 500 16
Comcast Corporation, Class A
Special Common Stock+........... 1,000 30
Fox Entertainment Group,
Incorporated+................... 10,000 254
General Motors Corporation+....... 12,700 150
Hearst-Argyle Television,
Incorporated+................... 1,200 29
Liberty Media Corporation+........ 1,500 17
McGraw Hill Companies,
Incorporated.................... 300 18
The E.W. Scripps Company.......... 100 8
Tribune Company................... 2,000 98
Viacom, Incorporated+............. 7,900 343
-------
TOTAL MEDIA................... 1,056
-------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
MULTILINE RETAIL - 5.26%
Dollar General Corporation........ 5,000 $ 73
Family Dollar Stores,
Incorporated.................... 900 31
Kohl's Corporation+............... 3,000 170
J.C. Penney Company,
Incorporated.................... 14,300 244
Target Corporation................ 4,200 140
Wal-Mart Stores, Incorporated..... 21,700 1,222
-------
TOTAL MULTILINE RETAIL........ 1,880
-------
SPECIALTY RETAIL - 3.39%
Abercrombie and Fitch Company+.... 4,200 138
Blockbuster, Incorporated*........ 3,800 68
Gap Inc. ......................... 2,700 45
Home Depot, Incorporated.......... 13,800 388
Limited Brands, Incorporated...... 1,400 20
Lowe's Companies, Incorporated.... 4,900 215
Staples, Incorporated+............ 14,100 269
Williams Sonoma, Incorporated+.... 2,700 70
-------
TOTAL SPECIALTY RETAIL........ 1,213
-------
TEXTILES & APPAREL - 0.69%
Jones Apparel Group,
Incorporated+................... 5,800 166
Nike, Incorporated................ 1,500 80
-------
TOTAL TEXTILES & APPAREL...... 246
-------
TOTAL CONSUMER
DISCRETIONARY............... 5,500
-------
CONSUMER STAPLES - 8.99%
BEVERAGES - 2.31%
Coca Cola Company................. 18,000 727
PepsiCo, Incorporated............. 2,270 98
-------
TOTAL BEVERAGES............... 825
-------
FOOD & DRUG RETAILING - 1.34%
CVS Corporation................... 4,900 119
Sysco Corporation................. 11,100 319
Walgreen Company.................. 1,400 43
-------
TOTAL FOOD & DRUG RETAILING... 481
-------
FOOD PRODUCTS - 1.55%
Kraft Foods, Incorporated......... 12,700 393
Sara Lee Corporation.............. 800 13
Tyson Foods, Incorporated......... 15,600 150
-------
TOTAL FOOD PRODUCTS........... 556
-------
HOUSEHOLD PRODUCTS - 1.84%
Black & Decker Corporation........ 300 12
Procter & Gamble Company.......... 7,200 647
-------
TOTAL HOUSEHOLD PRODUCTS...... 659
-------
PERSONAL PRODUCTS - 1.19%
Avon Products, Incorporated....... 4,100 239
Gillette Company.................. 3,100 94
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
31
AMERICAN AADVANTAGE LARGE CAP GROWTH FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
The Estee Lauder Companies,
Incorporated.................... 2,900 $ 94
-------
TOTAL PERSONAL PRODUCTS....... 427
-------
TOBACCO - 0.76%
Altria Group, Incorporated........ 8,300 255
R.J. Reynolds Tobacco Holdings,
Incorporated.................... 600 17
-------
TOTAL TOBACCO................. 272
-------
TOTAL CONSUMER STAPLES........ 3,220
-------
ENERGY - 1.74%
ENERGY EQUIPMENT & SERVICES - 1.60%
Cooper Cameron Corporation+....... 2,700 129
Halliburton Company............... 10,100 216
Rowan Companies, Incorporated+.... 300 6
Transocean, Incorporated.......... 11,600 221
-------
TOTAL ENERGY EQUIPMENT &
SERVICES.................... 572
-------
OIL & GAS - 0.14%
ConocoPhillips.................... 1,000 50
-------
TOTAL OIL & GAS............... 50
-------
TOTAL ENERGY.................. 622
-------
FINANCIALS - 10.53%
BANKS - 0.83%
Bank of America Corporation....... 2,100 156
Greenpoint Financial
Corporation..................... 1,600 76
Hudson City Bancorp,
Incorporated.................... 900 21
IndyMac Bancorp, Incorporated+.... 800 18
Mellon Financial Corporation...... 300 8
SunTrust Banks, Incorporated...... 300 17
-------
TOTAL BANKS................... 296
-------
DIVERSIFIED FINANCIALS - 7.78%
American Express Company.......... 9,300 352
Capital One Financial
Corporation*.................... 6,900 289
CIT Group, Incorporated+.......... 4,200 86
Citigroup, Incorporated........... 4,100 161
Countrywide Financial
Corporation..................... 3,600 243
E*Trade Group, Incorporated+...... 15,900 87
Federal Home Loan Mortgage
Corporation..................... 6,100 353
Federal National Mortgage
Corporation..................... 2,200 159
Goldman Sachs Group,
Incorporated.................... 300 23
Lehman Brothers Holdings,
Incorporated.................... 2,700 170
Moody's Corporation............... 5,500 266
Morgan Stanley Dean Witter &
Company......................... 4,500 201
Pinnacle West Capital
Corporation..................... 300 10
Principal Financial Group,
Incorporated.................... 3,100 90
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
SLM Corporation................... 2,600 $ 291
-------
TOTAL DIVERSIFIED
FINANCIALS.................. 2,781
-------
INSURANCE - 1.87%
Ambac Financial Group,
Incorporated.................... 6,000 350
Aon Corporation................... 400 9
Loews Corporation................. 5,800 239
Marsh & McLennan Companies,
Incorporated.................... 300 14
Protective Life Corporation....... 100 3
Prudential Financial,
Incorporated.................... 1,700 54
-------
TOTAL INSURANCE............... 669
-------
REAL ESTATE - 0.05%
CarrAmerica Realty Corporation.... 700 18
-------
TOTAL REAL ESTATE............. 18
-------
TOTAL FINANCIALS.............. 3,764
-------
HEALTH CARE - 27.19%
BIOTECHNOLOGY - 3.47%
Amgen, Incorporated+.............. 8,952 549
Biogen, Incorporated+............. 800 30
Chiron Corporation+............... 1,000 41
Genentech, Incorporated+.......... 2,500 95
Gilead Sciences, Incorporated+.... 2,800 129
Human Genome Sciences,
Incorporated+................... 2,300 27
MedImmune, Incorporated+.......... 10,500 370
-------
TOTAL BIOTECHNOLOGY........... 1,241
-------
HEALTH CARE EQUIPMENT & SUPPLIES - 3.87%
Applied Biosystems Group.......... 10,100 177
Baxter International,
Incorporated.................... 2,100 48
Becton Dickinson & Company........ 100 4
Boston Scientific Corporation+.... 5,100 220
Fisher Scientific International,
Incorporated+................... 4,400 127
Guidant Corporation+.............. 8,000 312
Medtronic, Incorporated........... 4,800 229
St. Jude Medical, Incorporated+... 300 16
Zimmer Holdings, Incorporated+.... 5,400 253
-------
TOTAL HEALTH CARE EQUIPMENT &
SUPPLIES.................... 1,386
-------
HEALTH CARE PROVIDERS & SERVICES - 5.12%
Aetna, Incorporated............... 100 5
Anthem, Incorporated+............. 3,200 220
Cardinal Health, Incorporated..... 5,100 282
Cigna Corporation................. 1,000 52
HCA, Incorporated................. 4,800 154
Health Net, Incorporated+......... 8,700 227
Humana, Incorporated+............. 12,300 136
McKesson HBOC, Incorporated....... 4,000 111
PacifiCare Health Systems,
Incorporated+................... 8,600 274
Quintiles Transnational
Corporation+.................... 2,200 31
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
32
AMERICAN AADVANTAGE LARGE CAP GROWTH FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
Henry Schein, Incorporated+....... 3,100 $ 134
Tenet Healthcare Corporation+..... 2,200 33
Unitedhealth Group, Incorporated.. 1,900 175
-------
TOTAL HEALTH CARE PROVIDERS &
SERVICES.................... 1,834
-------
PHARMACEUTICALS - 14.73%
Abbott Laboratories............... 8,700 353
Bristol-Myers Squibb Company...... 9,300 238
Eli Lilly & Company............... 500 32
Forest Laboratories,
Incorporated+................... 6,400 331
Johnson & Johnson................. 22,000 1,240
Merck & Company, Incorporated..... 14,400 838
Pfizer, Incorporated.............. 58,660 1,804
Schering Plough Corporation....... 2,000 36
Wyeth Corporation................. 9,100 396
-------
TOTAL PHARMACEUTICALS......... 5,268
-------
TOTAL HEALTH CARE............. 9,729
-------
INDUSTRIALS - 9.57%
AEROSPACE & DEFENSE - 0.38%
Boeing Company.................... 400 11
Honeywell International,
Incorporated.................... 1,100 26
United Technologies Corporation... 1,600 99
-------
TOTAL AEROSPACE & DEFENSE..... 136
-------
COMMERCIAL SERVICES & SUPPLIES - 2.29%
Cintas Corporation................ 200 7
Concord EFS, Incorporated+........ 1,700 24
Deluxe Corporation................ 4,500 198
FedEx Corporation................. 100 6
First Data Corporation............ 10,600 416
Manpower, Incorporated............ 500 16
United Parcel Service,
Incorporated.................... 1,300 81
Waste Management, Incorporated.... 3,300 72
-------
TOTAL COMMERCIAL SERVICES &
SUPPLIES.................... 820
-------
CONSTRUCTION & ENGINEERING - 0.12%
Masco Corporation................. 2,100 44
-------
TOTAL CONSTRUCTION &
ENGINEERING................. 44
-------
ELECTRICAL EQUIPMENT - 0.23%
Arrow Electronics,
Incorporated+................... 4,800 81
-------
TOTAL ELECTRICAL EQUIPMENT.... 81
-------
INDUSTRIAL CONGLOMERATES - 6.49%
3M Company........................ 700 88
General Electric Company.......... 68,300 2,011
Tyco International, Limited....... 14,200 222
-------
TOTAL INDUSTRIAL
CONGLOMERATES............... 2,321
-------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
MACHINERY - 0.01%
SPX Corporation+.................. 100 $ 3
-------
TOTAL MACHINERY............... 3
-------
ROAD & RAIL - 0.05%
Burlington Northern Santa Fe
Corporation..................... 600 17
-------
TOTAL ROAD & RAIL............. 17
-------
TOTAL INDUSTRIALS............. 3,422
-------
INFORMATION TECHNOLOGY - 22.46%
COMMUNICATIONS EQUIPMENT - 4.15%
Avaya, Incorporated+.............. 1 --
Cisco Systems, Incorporated+...... 46,000 692
Juniper Networks,
Incorporated+*.................. 4,500 46
Motorola, Incorporated............ 15,200 120
Qualcomm, Incorporated............ 19,600 625
-------
TOTAL COMMUNICATIONS
EQUIPMENT................... 1,483
-------
COMPUTERS & PERIPHERALS - 3.65%
Dell Computer Corporation+........ 25,800 746
EMC Corporation+.................. 6,600 60
Hewlett Packard Company........... 100 2
International Business Machines
Corporation..................... 3,000 255
Lexmark International,
Incorporated+................... 2,600 194
NCR Corporation+.................. 2,100 46
Sun Microsystems, Incorporated+... 1,100 4
-------
TOTAL COMPUTERS &
PERIPHERALS................. 1,307
-------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.77%
Avnet, Incorporated+.............. 10,500 134
Ingram Micro, Incorporated+....... 2,700 27
Jabil Circuit, Incorporated+...... 3,500 65
Tech Data Corporation+............ 2,100 50
-------
TOTAL ELECTRONIC EQUIPMENT &
INSTRUMENTS................. 276
-------
INTERNET SOFTWARE & SERVICES - 0.98%
Electronic Arts, Incorporated+.... 5,900 350
-------
TOTAL INTERNET SOFTWARE &
SERVICES.................... 350
-------
IT CONSULTING & SERVICES - 1.15%
BearingPoint, Incorporated+....... 3,600 29
Computer Sciences Corporation+.... 8,100 267
SunGard Data Systems,
Incorporated+................... 5,400 116
-------
TOTAL IT CONSULTING &
SERVICES.................... 412
-------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 4.84%
Altera Corporation+............... 8,200 130
Analog Devices, Incorporated+..... 2,300 76
Applied Materials,
Incorporated+................... 12,100 177
Intel Corporation................. 43,500 800
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
33
AMERICAN AADVANTAGE LARGE CAP GROWTH FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
Intersil Corporation+............. 2,400 $ 44
QLogic Corporation+............... 1,900 84
Teradyne, Incorporated+........... 700 8
Texas Instruments, Incorporated... 19,000 351
Xilinx, Incorporated+............. 2,200 60
-------
TOTAL SEMICONDUCTOR EQUIPMENT
& PRODUCTS.................. 1,730
-------
SOFTWARE - 6.92%
BMC Software, Incorporated+....... 15,800 236
Intuit, Incorporated+............. 3,300 128
Microsoft Corporation............. 66,200 1,693
Oracle Corporation+............... 15,100 179
Siebel Systems, Incorporated+..... 7,900 68
Symantec Corporation+............. 3,900 171
-------
TOTAL SOFTWARE................ 2,475
-------
TOTAL INFORMATION
TECHNOLOGY.................. 8,033
-------
MATERIALS - 0.72%
CHEMICALS - 0.43%
Monsanto Company.................. 8,908 155
-------
TOTAL CHEMICALS............... 155
-------
CONTAINERS & PACKAGING - 0.03%
Temple Inland, Incorporated....... 200 9
-------
TOTAL CONTAINERS &
PACKAGING................... 9
-------
METALS & MINING - 0.26%
Alcoa, Incorporated............... 2,600 60
Newmont Mining Corporation........ 700 19
United States Steel Corporation... 1,000 14
-------
TOTAL METALS & MINING......... 93
-------
TOTAL MATERIALS............... 257
-------
TELECOMMUNICATION SERVICES - 1.24%
DIVERSIFIED TELECOMMUNICATION - 0.44%
Sprint Corporation................ 12,100 139
Verizon Communications............ 500 19
-------
TOTAL DIVERSIFIED
TELECOMMUNICATION........... 158
-------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ---------
(DOLLARS IN THOUSANDS)
WIRELESS TELECOMMUNICATION SERVICE - 0.80%
AT&T Wireless Services,
Incorporated+................... 7,300 $ 47
Nextel Communications,
Incorporated+................... 12,900 191
Sprint Corporation+*.............. 6,900 24
United States Cellular
Corporation+.................... 1,000 24
-------
TOTAL WIRELESS
TELECOMMUNICATION SERVICE... 286
-------
TOTAL TELECOMMUNICATION
SERVICES.................... 444
-------
UTILITIES - 0.03%
ELECTRIC UTILITIES - 0.02%
Xcel Energy, Incorporated......... 400 5
-------
TOTAL ELECTRIC UTILITIES...... 5
-------
MULTI-UTILITIES - 0.01%
Dynegy, Incorporated.............. 800 4
-------
TOTAL MULTI-UTILITIES......... 4
-------
TOTAL UTILITIES............... 9
-------
TOTAL COMMON STOCK............ 35,000
-------
SHORT-TERM INVESTMENTS - 3.66%
American AAdvantage Money Market
Select Fund..................... 1,127,986 1,128
iShares Russell 1000 Growth Index
Fund............................ 4,710 182
-------
TOTAL SHORT-TERM
INVESTMENTS................. 1,310
-------
TOTAL INVESTMENTS - 101.51% (COST
$36,237)........................ 36,310
-------
LIABILITIES, NET OF OTHER
ASSETS - (1.51%)................ (538)
-------
TOTAL NET ASSETS - 100%........... $35,772
=======
</Table>
- ---------------
+ - non-income producing
* - All or a portion of this security is on loan at April 30, 2003. See Note 4
See accompanying notes
- --------------------------------------------------------------------------------
34
AMERICAN AADVANTAGE SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
COMMON STOCK - 88.27%
CONSUMER DISCRETIONARY - 25.02%
AUTO COMPONENTS - 2.17%
Aftermarket Technology
Corporation+..................... 8,870 $ 95
Arvinmeritor, Incorporated......... 52,800 835
Bandag, Incorporated............... 3,600 119
Borg-Warner Automotive,
Incorporated..................... 20,600 1,209
Cooper Tire & Rubber Company....... 56,700 798
Dana Corporation................... 188,500 1,751
Tower Automotive, Incorporated+.... 43,700 122
--------
TOTAL AUTO COMPONENTS.......... 4,929
--------
AUTOMOBILES - 0.09%
Monaco Coach Corporation+*......... 15,000 203
--------
TOTAL AUTOMOBILES.............. 203
--------
HOTELS RESTAURANTS & LEISURE - 5.26%
AFC Enterprises, Incorporated+*.... 14,400 227
Aztar Corporation+................. 27,900 397
Bally Total Fitness Holdings
Corporation+*.................... 25,600 163
Bob Evans Farms, Incorporated...... 26,600 675
CEC Entertainment, Incorporated+... 13,900 419
IHOP Corporation+*................. 2,400 63
Isle of Capri Casinos,
Incorporated+*................... 108,800 1,405
Jack in the Box, Incorporated+..... 57,700 1,027
Lone Star Steakhouse & Saloon,
Incorporated*.................... 134,300 2,816
Magna Entertainment Corporation+*.. 69,600 338
Mandalay Resort Group+*............ 141,600 3,741
Papa John's International,
Incorporated+*................... 14,400 342
Ryan's Family Steak Houses,
Incorporated+.................... 25,650 318
--------
TOTAL HOTELS RESTAURANTS &
LEISURE...................... 11,931
--------
HOUSEHOLD DURABLES - 8.09%
American Greetings Corporation+*... 33,500 488
Beazer Homes USA, Incorporated+*... 62,400 4,384
Furniture Brands International,
Incorporated+.................... 117,100 2,781
La-Z-Boy, Incorporated*............ 17,200 336
Libbey, Incorporated............... 11,300 254
M.D.C. Holdings, Incorporated*..... 33,541 1,546
Maytag Corporation................. 42,300 882
Standard Pacific Corporation....... 9,800 296
Toll Brothers, Incorporated+....... 182,200 4,236
Topps, Incorporated+............... 192,600 1,793
The Toro Company................... 19,200 716
Tupperware Corporation............. 44,900 622
--------
TOTAL HOUSEHOLD DURABLES....... 18,334
--------
INTERNET & CATALOG RETAIL - 0.21%
Insight Enterprises,
Incorporated+.................... 35,500 268
</Table>
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
School Specialty, Incorporated+*... 11,600 $ 215
--------
TOTAL INTERNET & CATALOG
RETAIL....................... 483
--------
LEISURE EQUIPMENT & PRODUCTS - 0.58%
The Boyds Collection, Limited+*.... 48,600 243
Callaway Golf Company.............. 3,300 46
JAKKS Pacific, Incorporated+*...... 18,800 244
Nautilus Group, Incorporated+*..... 25,100 319
Polaris Industries,
Incorporated*.................... 8,900 471
--------
TOTAL LEISURE EQUIPMENT &
PRODUCTS..................... 1,323
--------
MEDIA - 0.70%
R.H. Donnelley Corporation+........ 34,200 1,021
Reader's Digest Association,
Incorporated..................... 47,800 574
--------
TOTAL MEDIA.................... 1,595
--------
MULTILINE RETAIL - 0.83%
BJ's Wholesale Club,
Incorporated+.................... 53,500 755
Dillard's, Incorporated............ 62,200 870
ShopKo Stores, Incorporated+*...... 22,300 268
--------
TOTAL MULTILINE RETAIL......... 1,893
--------
SPECIALTY RETAIL - 6.83%
Barnes & Noble, Incorporated+...... 35,700 703
Borders Group, Incorporated+....... 61,100 978
Buckle, Incorporated+.............. 16,200 292
Burlington Coat Factory Warehouse
Corporation...................... 34,300 609
Cato Corporation................... 15,000 307
Electronics Boutique Holdings
Corporation+*.................... 16,600 310
Foot Locker, Incorporated.......... 233,200 2,565
Genesco, Incorporated+*............ 113,100 1,697
Group 1 Automotive,
Incorporated+*................... 41,200 1,133
Handleman Company+*................ 19,900 337
Hughes Supply, Incorporated........ 15,500 435
Payless Shoesource,
Incorporated+.................... 52,500 833
Pep Boys, Incorporated............. 29,800 255
Rent-A-Center, Incorporated+....... 18,600 1,194
Stage Stores, Incorporated+*....... 62,000 1,297
Too, Incorporated+................. 13,100 243
United Auto Group, Incorporated+*.. 48,500 827
United Rentals, Incorporated+*..... 59,100 609
Zale Corporation+.................. 24,700 863
--------
TOTAL SPECIALTY RETAIL......... 15,487
--------
TEXTILES & APPAREL - 0.26%
Brown Shoe Company, Incorporated... 4,300 126
Russell Corporation................ 20,700 396
Skechers U.S.A., Incorporated+..... 9,000 61
--------
TOTAL TEXTILES & APPAREL....... 583
--------
TOTAL CONSUMER DISCRETIONARY... 56,761
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
35
AMERICAN AADVANTAGE SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
CONSUMER STAPLES - 2.77%
BEVERAGES - 0.46%
Adolph Coors Company*.............. 19,400 $ 1,039
--------
TOTAL BEVERAGES................ 1,039
--------
FOOD & DRUG RETAILING - 1.38%
7 Eleven, Incorporated+............ 27,500 247
Duane Reade, Incorporated+*........ 9,200 124
Pathmark Stores, Incorporated+*.... 204,400 1,429
Ruddick Corporation................ 27,900 371
Winn-Dixie Stores, Incorporated*... 76,100 953
--------
TOTAL FOOD & DRUG RETAILING.... 3,124
--------
FOOD PRODUCTS - 0.29%
Del Monte Foods Company+........... 44,400 353
Interstate Bakeries Corporation.... 29,200 306
--------
TOTAL FOOD PRODUCTS............ 659
--------
PERSONAL PRODUCTS - 0.10%
Playtex Products, Incorporated+.... 32,100 236
--------
TOTAL PERSONAL PRODUCTS........ 236
--------
TOBACCO - 0.54%
Dimon, Incorporated................ 34,500 226
Schweitzer Mauduit International,
Incorporated..................... 11,500 252
Universal Corporation.............. 19,400 758
--------
TOTAL TOBACCO.................. 1,236
--------
TOTAL CONSUMER STAPLES......... 6,294
--------
ENERGY - 1.97%
ENERGY EQUIPMENT & SERVICES - 0.40%
GulfMark Offshore, Incorporated+... 15,350 203
Offshore Logistics,
Incorporated+.................... 17,300 329
Universal Compression Holdings,
Incorporated+*................... 11,200 203
Veritas DGC, Incorporated+......... 24,500 168
--------
TOTAL ENERGY EQUIPMENT &
SERVICES..................... 903
--------
OIL & GAS - 1.57%
Chesapeake Energy Corporation*..... 10,200 82
General Maritime Corporation+*..... 170,000 1,477
The Houston Exploration Company+... 22,100 618
Teekay Shipping Corporation*....... 36,500 1,385
--------
TOTAL OIL & GAS................ 3,562
--------
TOTAL ENERGY................... 4,465
--------
FINANCIALS - 21.81%
BANKS - 9.68%
Anchor BanCorp Wisconsin,
Incorporated..................... 18,900 438
Berkshire Hill Bancorp,
Incorporated..................... 41,742 1,102
Chemical Financial Corporation..... 18,310 539
Colonial Bancgroup, Incorporated... 95,400 1,214
Commercial Federal Corporation..... 34,800 749
Community Bank System,
Incorporated..................... 10,000 347
Corus Bankshares, Incorporated..... 10,900 470
Downey Financial Corporation....... 21,600 948
</Table>
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
First Citizens Bancshares,
Incorporated..................... 6,800 $ 661
First Federal Capital
Corporation...................... 15,200 287
First Financial Bankshares,
Incorporated..................... 1,296 52
First Republic Bank+*.............. 10,600 266
FirstFed Financial Corporation+.... 13,000 422
FirstMerit Corporation............. 46,700 957
Gold Banc Corporation,
Incorporated..................... 6,700 59
Greater Bay Bancorp*............... 39,800 637
IndyMac Bancorp, Incorporated+..... 42,300 942
Irwin Financial Corporation*....... 21,400 507
Klamath First Bancorp,
Incorporated..................... 55,900 951
MAF Bancorp, Incorporated.......... 5,400 182
Old National Bankcorp*............. 420 9
PFF Bancorp, Incorporated.......... 8,000 270
Republic Bancorp, Incorporated*.... 44,290 575
Roslyn Bancorp, Incorporated*...... 64,000 1,221
Tierone Corporation+............... 186,600 3,441
Timberland Bancorp, Incorporated... 14,800 303
The Trust Company of New Jersey.... 10,800 303
Trustmark Corporation.............. 47,500 1,168
Unizan Financial Corporation....... 3,100 54
Washington Federal, Incorporated... 57,200 1,247
Webster Financial Corporation of
Waterbury........................ 35,500 1,333
Westcorp, Incorporated............. 14,054 298
--------
TOTAL BANKS.................... 21,952
--------
DIVERSIFIED FINANCIALS - 2.22%
Brookfield Homes Corporation+...... 163,400 2,476
Credit Acceptance Corporation+*.... 900 7
E*Trade Group, Incorporated+....... 135,200 744
Financial Federal Corporation+..... 10,200 228
Friedman, Billings, Ramsey Group,
Incorporated+.................... 100,100 1,099
Walter Industries, Incorporated.... 34,200 347
WFS Financial, Incorporated+....... 6,214 141
--------
TOTAL DIVERSIFIED FINANCIALS... 5,042
--------
INSURANCE - 4.41%
Alfa Corporation................... 3,270 42
Allmerica Financial Corporation+... 278,000 4,254
AmerUs Group Company*.............. 30,100 788
Commerce Group, Incorporated....... 25,000 927
Crawford & Company*................ 5,800 25
FBL Financial Group, Incorporated.. 21,400 430
First American Corporation......... 55,700 1,476
Fremont General Corporation*....... 63,500 594
Landamerica Financial Group,
Incorporated..................... 14,000 575
National Western Life Insurance
Company+......................... 2,500 248
Stewart Information Services
Corporation+..................... 12,900 344
UICI+.............................. 24,400 290
--------
TOTAL INSURANCE................ 9,993
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
36
AMERICAN AADVANTAGE SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
REAL ESTATE - 5.50%
American Financial Realty Trust,
144A (Note A)+................... 338,100 $ 3,922
AMB Property Corporation........... 37,600 1,026
Arden Realty, Incorporated......... 45,200 1,077
La Quinta Corporation+............. 184,200 624
LNR Property Corporation*.......... 111,800 3,938
Ventas, Incorporated............... 122,600 1,594
Winston Hotels, Incorporated....... 38,850 299
--------
TOTAL REAL ESTATE.............. 12,480
--------
TOTAL FINANCIALS............... 49,467
--------
HEALTH CARE - 5.25%
BIOTECHNOLOGY - 0.21%
Medarex, Incorporated+............. 116,700 487
--------
TOTAL BIOTECHNOLOGY............ 487
--------
HEALTH CARE EQUIPMENT & SUPPLIES - 1.71%
Bausch & Lomb, Incorporated........ 45,100 1,586
Beckman Coulter, Incorporated...... 17,700 688
CONMED Corporation+................ 400 7
Mine Safety Appliances Company..... 7,500 287
Sola International,
Incorporated+.................... 19,000 266
Thoratec Corporation+*............. 76,322 1,049
--------
TOTAL HEALTH CARE EQUIPMENT &
SUPPLIES..................... 3,883
--------
HEALTH CARE PROVIDERS & SERVICES - 3.08%
AMN Healthcare Services,
Incorporated+*................... 20,000 182
Beverly Enterprises,
Incorporated+.................... 80,900 155
Genesis Health Ventures,
Incorporated+.................... 21,400 320
Humana Inc+........................ 106,500 1,177
Kindred Healthcare,
Incorporated+*................... 13,600 203
Maximus, Incorporated+*............ 12,500 301
Orthodontic Centers of America,
Incorporated+*................... 26,800 156
Owens & Minor, Incorporated........ 13,600 253
Pacificare Health Systems,
Incorporated+*................... 27,800 885
Province Healthcare Company+....... 13,600 136
Rotech Healthcare, Incorporated+... 88,000 1,377
Service Corporation
International+................... 155,200 525
Stewart Enterprises,
Incorporated+.................... 80,600 236
Sunrise Assisted Living,
Incorporated+*................... 17,200 464
US Oncology, Incorporated+......... 86,401 620
--------
TOTAL HEALTH CARE PROVIDERS &
SERVICES..................... 6,990
--------
PHARMACEUTICALS - 0.25%
ICN Pharmaceuticals, Incorporated.. 64,500 564
--------
TOTAL PHARMACEUTICALS.......... 564
--------
TOTAL HEALTH CARE.............. 11,924
--------
INDUSTRIALS - 13.73%
AEROSPACE & DEFENSE - 1.11%
GenCorp, Incorporated.............. 33,400 254
Kaman Corporation.................. 16,800 168
</Table>
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
Precision Castparts Corporation.... 40,600 $ 1,124
Triumph Group, Incorporated+*...... 12,300 323
United Defense Industrials,
Incorporated+.................... 26,600 650
--------
TOTAL AEROSPACE & DEFENSE...... 2,519
--------
BUILDING PRODUCTS - 0.55%
NCI Building Systems,
Incorporated+.................... 13,400 216
Universal Fastener Products,
Incorporated*.................... 13,600 239
Watsco, Incorporated............... 3,600 56
York International Corporation..... 30,400 726
--------
TOTAL BUILDING PRODUCTS........ 1,237
--------
COMMERCIAL SERVICES & SUPPLIES - 8.11%
Allied Waste Industries,
Incorporated+.................... 334,300 2,775
Bowne & Company, Incorporated...... 197,700 2,230
Central Parking Corporation*....... 18,700 187
CSG Systems International,
Incorporated+.................... 39,900 420
eFunds Corporation+*............... 29,500 270
John H. Harland Company*........... 121,200 2,903
Heidrick & Struggles International,
Incorporated+*................... 131,500 1,841
Interpool, Incorporated............ 21,100 322
Mac Gray Corporation+.............. 39,100 125
McGrath Rentcorp................... 900 22
National Service Industries,
Incorporated..................... 68,700 633
New England Business Service,
Incorporated..................... 10,000 254
NCO Group, Incorporated+........... 20,000 335
The Pittston Company............... 29,900 381
United Stationers, Incorporated+... 25,100 680
Valassis Communications,
Incorporated+.................... 188,300 5,009
--------
TOTAL COMMERCIAL SERVICES &
SUPPLIES..................... 18,387
--------
CONSTRUCTION & ENGINEERING - 0.30%
Quanta Services, Incorporated+..... 6,700 23
The Shaw Group, Incorporated+*..... 29,100 339
URS Corporation+*.................. 23,200 330
--------
TOTAL CONSTRUCTION &
ENGINEERING.................. 692
--------
ELECTRICAL EQUIPMENT - 0.61%
Acuity Brands, Incorporated........ 15,300 233
Global Power Equipment Group,
Incorporated+*................... 33,900 203
Rayovac Corporation+............... 31,300 326
Tecumseh Products Company.......... 3,900 157
Wesco International,
Incorporated+.................... 31,200 135
Woodward Governor Company*......... 8,600 318
--------
TOTAL ELECTRICAL EQUIPMENT..... 1,372
--------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
37
AMERICAN AADVANTAGE SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
INDUSTRIAL CONGLOMERATES - 0.03%
Standex International
Corporation...................... 3,100 $ 65
--------
TOTAL INDUSTRIAL
CONGLOMERATES................ 65
--------
MACHINERY - 2.17%
Albany International Corporation... 8,052 191
Flowserve Corporation+............. 42,600 658
Joy Global, Incorporated+*......... 211,400 2,615
Lincoln Electric Holdings,
Incorporated..................... 21,800 419
The Manitowoc Company,
Incorporated..................... 13,700 255
Mueller Industries,
Incorporated+.................... 4,200 107
SPS Technologies, Incorporated+.... 1,100 29
Terex Corporation+*................ 36,500 604
Watts Industries, Incorporated..... 2,300 38
--------
TOTAL MACHINERY................ 4,916
--------
ROAD & RAIL - 0.85%
USF Corporation*................... 67,300 1,919
--------
TOTAL ROAD & RAIL.............. 1,919
--------
TOTAL INDUSTRIALS.............. 31,107
--------
INFORMATION TECHNOLOGY - 5.93%
COMMUNICATIONS EQUIPMENT - 0.37%
Black Box Corporation*............. 10,600 337
Tellabs, Incorporated+............. 80,800 499
--------
TOTAL COMMUNICATIONS
EQUIPMENT.................... 836
--------
COMPUTERS & PERIPHERALS - 0.47%
Gateway, Incorporated+............. 373,400 1,075
--------
TOTAL COMPUTERS &
PERIPHERALS.................. 1,075
--------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.58%
IKON Office Solutions,
Incorporated*.................... 57,200 444
Tech Data Corporation+............. 36,400 874
--------
TOTAL ELECTRONIC EQUIPMENT &
INSTRUMENTS.................. 1,318
--------
INTERNET SOFTWARE & SERVICES - 0.01%
BSQUARE Corporation+............... 33,300 25
--------
TOTAL INTERNET SOFTWARE &
SERVICES..................... 25
--------
IT CONSULTING & SERVICES - 0.17%
Investment Technology Group,
Incorporated+.................... 26,200 374
--------
TOTAL IT CONSULTING &
SERVICES..................... 374
--------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 1.14%
Dupont Photomasks, Incorporated+... 35,900 667
ESS Technology, Incorporated+...... 33,400 231
Integrated Device Technology,
Incorporated+.................... 72,900 753
Nvidia Corporation+................ 65,900 941
--------
TOTAL SEMICONDUCTOR EQUIPMENT &
PRODUCTS..................... 2,592
--------
</Table>
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
SOFTWARE - 3.19%
Activision, Incorporated+.......... 188,100 $ 2,878
Advent Software, Incorporated+..... 82,100 1,034
Compuware Corporation+............. 559,735 2,457
Parametric Technology
Corporation+..................... 262,800 867
--------
TOTAL SOFTWARE................. 7,236
--------
TOTAL INFORMATION TECHNOLOGY... 13,456
--------
MATERIALS - 3.41%
CHEMICALS - 2.61%
Agrium, Incorporated............... 111,300 1,259
Celanese AG*....................... 50,100 1,120
FMC Corporation+................... 147,000 2,664
IMC Global, Incorporated........... 97,100 880
--------
TOTAL CHEMICALS................ 5,923
--------
CONSTRUCTION MATERIALS - 0.05%
Centex Construction Products,
Incorporated..................... 2,700 104
--------
TOTAL CONSTRUCTION MATERIALS... 104
--------
CONTAINERS & PACKAGING - 0.27%
Rock Tenn Company*................. 26,500 355
Silgan Holdings, Incorporated+*.... 9,300 248
--------
TOTAL CONTAINERS & PACKAGING... 603
--------
METALS & MINING - 0.48%
Quanex Corporation................. 7,800 224
Steel Dynamics, Incorporated+*..... 64,600 782
Stillwater Mining Company+......... 33,400 90
--------
TOTAL METALS & MINING.......... 1,096
--------
TOTAL MATERIALS................ 7,726
--------
TELECOMMUNICATION SERVICES - 0.28%
WIRELESS TELECOMMUNICATION SERVICE - 0.28%
United States Cellular
Corporation+*.................... 26,600 640
--------
TOTAL WIRELESS
TELECOMMUNICATION SERVICE.... 640
--------
TOTAL TELECOMMUNICATION
SERVICES..................... 640
--------
UTILITIES - 8.10%
ELECTRIC UTILITIES - 5.48%
Alliant Corporation*............... 48,200 846
Black Hills Corporation*........... 20,700 590
Cleco Corporation.................. 35,500 532
DPL Inc. .......................... 57,600 797
DQE, Incorporated*................. 18,600 253
El Paso Electric Company+.......... 38,500 437
Great Plains Energy,
Incorporated*.................... 52,700 1,379
Hawaiian Electric Industries,
Incorporated..................... 28,200 1,166
Northeast Utilities................ 280,200 4,181
OGE Energy Corporation............. 60,400 1,084
PNM Resources, Incorporated........ 30,100 668
UIL Holdings Corporation*.......... 11,200 404
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
38
AMERICAN AADVANTAGE SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
--------- ----------
(DOLLARS IN THOUSANDS)
WPS Resources Corporation.......... 2,000 $ 81
--------
TOTAL ELECTRIC UTILITIES....... 12,418
--------
GAS UTILITIES - 2.31%
AGL Resources, Incorporated........ 46,300 1,191
National Fuel Gas Company.......... 62,100 1,457
Nicor, Incorporated................ 33,900 1,019
Northwest Natural Gas Company...... 19,700 509
Peoples Energy Corporation......... 27,500 1,069
--------
TOTAL GAS UTILITIES............ 5,245
--------
MULTI-UTILITIES - 0.31%
Mirant Corporation+*............... 211,200 699
--------
TOTAL MULTI-UTILITIES.......... 699
--------
TOTAL UTILITIES................ 18,362
--------
TOTAL COMMON STOCK............. 200,202
--------
</Table>
<Table>
<Caption>
PAR
AMOUNT
-----------
SHORT-TERM INVESTMENTS - 29.66%
U.S. TREASURY BILLS - 0.70%
4.35%, Due 6/12/2003 (Note
B)........................... $ 1,590 1,588
--------
TOTAL U.S. TREASURY
BILLS.................... 1,588
--------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
OTHER SHORT-TERM INVESTMENTS - 28.96%
American AAdvantage Money
Market Select Fund........... 45,673,849 $ 45,674
AMR Investments Enhanced Yield
Business Trust............... 19,949,386 19,949
--------
TOTAL OTHER SHORT-TERM
INVESTMENTS.............. 65,623
--------
TOTAL SHORT-TERM
INVESTMENTS.............. 67,211
--------
TOTAL INVESTMENTS - 117.93%
(COST $273,091).............. 267,413
--------
LIABILITIES, NET OF OTHER
ASSETS - (17.93%)............ (40,660)
--------
TOTAL NET ASSETS - 100%........ $226,753
========
</Table>
- ---------------
(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 $3,922 or 1.73% of net assets.
(B) At April 30, 2003, security held as collateral for open futures contracts.
* - All or a portion of this security is on loan at April 30, 2003. See Note 4
+ - non-income producing
See accompanying notes
- --------------------------------------------------------------------------------
39
AMERICAN AADVANTAGE EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
STOCKS - 94.73%
ARGENTINA - 0.22%
Perez Companc S.A., ADR+*........ 5,739 $ 43
Tenaris S.A., ADR+............... 1,600 38
-------
TOTAL ARGENTINA.............. 81
-------
BRAZIL - 7.78%
Aracruz Celulose S.A., ADR....... 2,000 42
Banco Bradesco S.A., ADR+*....... 2,521 52
Banco Itau Holding Financeira
S.A., ADR*..................... 9,236 308
Companhia de Bebidas das
Americas, ADR.................. 12,359 246
Companhia de Saneamento Basico do
Estado de Sao Paulo............ 4,750,000 170
Companhia de Tecidos Norte de
Minas.......................... 300,000 20
Companhia Energetica de Minas
Gerais+........................ 20,073,213 214
Companhia Siderurgica Nacional
S.A., ADR...................... 2,500 57
Companhia Vale do Rio Doce,
ADR............................ 1,800 50
Companhia Vale do Rio Doce,
Preferred, ADR................. 6,688 177
Empresa Brasileira de Aeronautica
S.A. (Embraer), ADR............ 12,784 177
Petroleo Brasileiro S.A., ADR*... 36,702 681
Petroleo Brasileiro S.A.,
Preferred, ADR................. 8,816 151
Tele Celular Sul Participacoes
S.A., ADR...................... 8,150 69
Tele Norte Leste Participacoes
S.A., ADR*..................... 15,400 167
Telecomunicacoes Brasileiras
S.A., ADR*..................... 7,960 207
Ultrapar Participacoes S.A.,
ADR............................ 6,900 55
Votorantim Celulose e Papel S.A.,
ADR............................ 2,150 41
-------
TOTAL BRAZIL................. 2,884
-------
CHINA - 4.39%
BYD Company Limited+............. 31,000 62
China Mobile (Hong Kong)
Limited........................ 236,000 474
China Mobile (Hong Kong) Limited,
ADR*........................... 21,200 212
China Oilfield Services
Limited+....................... 86,000 18
China Shipping Development
Company Limited*............... 216,000 55
CNOOC Limited.................... 218,000 287
Cosco Pacific Limited............ 32,000 27
Denway Motors Limited*........... 174,000 58
Huaneng Power International,
Incorporated................... 140,000 133
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
PetroChina Company Limited....... 501,000 $ 114
Sinopec Shanghai Petrochemical
Company Limited................ 575,000 89
TPV Technology Limited*.......... 205,000 52
TravelSky Technology Limited..... 74,000 44
-------
TOTAL CHINA.................. 1,625
-------
CZECH REPUBLIC - 0.38%
Cesky Telecom, a.s., GDR+........ 11,100 126
Komercni Banka, a.s., GDR........ 600 14
-------
TOTAL CZECH REPUBLIC......... 140
-------
EGYPT - 1.07%
Commercial International Bank.... 5,480 32
Commercial International Bank,
GDR, 144A (Note A)............. 15,300 81
Egyptian Company for Mobile
Services (MobiNil)+............ 2,900 23
Misr International Bank S.A.E.,
GDR, 144A (Note A)............. 26,562 32
Orascom Construction Industries.. 19,666 135
Suez Cement Company, GDR, 144A
(Note A)....................... 14,469 93
-------
TOTAL EGYPT.................. 396
-------
HONG KONG - 1.52%
China Resources Enterprises
Limited*....................... 194,000 154
Qingling Motors Company Limited.. 492,000 63
Shandong International Power
Development Company Limited.... 634,000 138
Shanghai Industrial Holdings
Limited*....................... 83,000 100
Sinopec Yizheng Chemical Fibre
Company Limited................ 989,000 110
-------
TOTAL HONG KONG.............. 565
-------
HUNGARY - 2.35%
Egis Gyogyszergyar Reszvnytarsas
AG+............................ 703 25
Gedeon Richter Rt. .............. 2,700 196
Magyar Olaj-es Gazipari
Reszvenytarsasag............... 5,700 149
Magyar Olaj-es Gazipari
Reszvenytarsasag, GDR.......... 3,075 78
Magyar Tavkozlesi Rt. ........... 52,755 208
Magyar Tavkozlesi Rt., ADR....... 1,874 36
OTP Bank Rt. .................... 12,223 131
OTP Bank Rt., GDR+............... 2,235 48
-------
TOTAL HUNGARY................ 871
-------
INDIA - 7.45%
Bajaj Auto Limited, GDR, 144A
(Note A)....................... 6,950 71
Bharat Petroleum Corporation
Limited........................ 22,233 109
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
40
AMERICAN AADVANTAGE EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
GAIL (India) Limited, GDR........ 7,650 $ 73
GAIL (India) Limited, GDR, 144A
(Note A)....................... 16,500 158
Grasim Industries Limited, GDR,
144A (Note A).................. 8,800 63
Gujarat Ambuja Cements Limited... 5,981 21
Gujarat Ambuja Cements Limited,
GDR............................ 17,050 58
HDFC Bank Limited, ADR*.......... 2,810 46
Hindalco Industries Limited, GDR,
144A (Note A).................. 12,400 159
Hindalco Industries Limited, GDR,
144A (Note A)+................. 4,000 51
ICICI Bank Limited+.............. 8,000 21
ICICI Bank Limited, ADR.......... 20,200 106
Indian Hotels Company Limited+... 9,250 33
Infosys Technologies Limited,
ADR*........................... 544 22
ITC Limited...................... 12,400 179
ITC Limited, GDR................. 7,750 112
Larsen & Toubro Limited, GDR..... 2,350 19
Mahanagar Telephone Nigam
Limited........................ 40,000 78
Mahanagar Telephone Nigam
Limited, ADR*.................. 49,600 193
Mahindra & Mahindra Limited, GDR,
144A (Note A).................. 21,800 49
Ranbaxy Laboratories Limited,
GDR............................ 4,620 72
Reliance Industries Limited,
GDR............................ 47,905 278
Reliance Industries Limited, GDR,
144A (Note A).................. 10,560 121
Satyam Computer Services
Limited........................ 33,200 107
State Bank of India, GDR+........ 10,500 157
State Bank of India, GDR, 144A
(Note A)....................... 9,600 143
Tata Engineering, GDR+........... 34,600 112
Tata Engineering and Locomotive
Company Limited, GDR, 144A
(Note A)+...................... 33,200 106
Tata Tea Limited, GDR............ 4,500 19
Wipro Limited, ADR*.............. 1,240 26
-------
TOTAL INDIA.................. 2,762
-------
INDONESIA - 2.99%
PT Astra International Tbk+...... 769,038 268
PT Bank Central Asia Tbk......... 220,500 62
PT Bank Pan Indonesia Tbk........ 1,369,500 37
PT Gudang Garam Tbk.............. 102,000 102
PT Hanjaya Mandala Sampoerna
Tbk............................ 122,500 50
PT Indofood Sukses Makmur Tbk.... 1,314,000 110
PT Indonesian Satellite
Corporation Tbk................ 73,000 73
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
PT Ramayana Lestari Sentosa Tbk.. 162,500 $ 49
PT Telekomunikasi Indonesia...... 755,000 357
-------
TOTAL INDONESIA.............. 1,108
-------
ISRAEL - 2.16%
Bank Hapoalim Limited+........... 120,280 208
Check Point Software
Technologies+*................. 20,300 319
ECI Telecom Limited+............. 29,861 63
Supersol Limited................. 46,000 89
Teva Pharmaceutical Industries
Limited, ADR*.................. 2,608 122
-------
TOTAL ISRAEL................. 801
-------
MALAYSIA - 2.79%
Commerce Asset-Holding Berhad.... 150,000 116
Gamuda Berhad.................... 73,000 100
Genting Berhad................... 44,200 140
Magnum Corporation Berhad........ 125,000 78
Malayan Banking Berhad........... 70,800 147
Malaysia International Shipping
Corporation Berhad............. 73,900 145
Malaysian Pacific Industries
Berhad......................... 11,000 32
Resorts World Berhad............. 23,000 51
Sime Darby Berhad................ 142,000 187
SP Setia Berhad.................. 70,499 40
-------
TOTAL MALAYSIA............... 1,036
-------
MEXICO - 8.75%
America Movil S.A. de C.V.,
ADR............................ 23,355 392
Apasco S.A. de C.V............... 11,200 76
Cemex S.A. de C.V................ 29,071 132
Coca-Cola Femsa, S.A. de C.V.,
ADR*........................... 9,775 208
Consorico Ara, S.A. de C.V.+..... 31,300 58
Controladora Commercial Mexicana
S.A. de C.V.+.................. 281,300 171
Desc S.A. de C.V................. 289,400 121
Fomento Economico Mexicano, S.A.
de C.V.+....................... 10,000 38
Fomento Economico Mexicano, S.A.
de C.V., ADR................... 1,679 64
Grupo Aeroportuario del Sureste
S.A. de C.V., ADR.............. 11,330 145
Grupo Continential, S.A.......... 49,850 76
Grupo Financiero BBVA Bancomer,
S.A. de C.V.+.................. 252,800 220
Grupo Financiero BBVA Bancomer,
S.A. de C.V., ADR+............. 3,900 68
Grupo Modelo, S.A. de C.V........ 31,100 69
Kimberly-Clark de Mexico, S.A. de
C.V............................ 156,500 384
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
41
AMERICAN AADVANTAGE EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Telefonos de Mexico, S.A. de
C.V., ADR*..................... 24,878 $ 751
Wal-Mart de Mexico, S.A. de C.V.,
A Shares....................... 7,070 18
Wal-Mart de Mexico, S.A. de C.V.,
Series C....................... 90,226 250
-------
TOTAL MEXICO................. 3,241
-------
PHILIPPINES - 0.91%
ABS-CBN Broadcasting
Corporation+................... 145,000 33
Ayala Land Incorporated.......... 294,000 28
Bank of the Philippine Islands... 100,680 70
Manila Electric Company.......... 366,900 72
Philippine Long Distance
Telephone Company+............. 7,400 53
Philippine Long Distance
Telephone Company, ADR+*....... 7,700 56
Universal Robina Corporation..... 330,000 25
-------
TOTAL PHILIPPINES............ 337
-------
POLAND - 2.26%
Polski Koncern Naftowy Orlen SA,
GDR............................ 3,000 28
Bank Pekao SA.................... 6,905 155
Bank Pekao SA, GDR+.............. 739 16
Bank Przemyslowo-Handlowy SA..... 1,567 93
KGHM Polska Miedz SA+............ 67,091 204
Polski Koncern Naftowy Orlen SA.. 37,807 178
Telekomunikacja Polska SA+....... 48,400 163
-------
TOTAL POLAND................. 837
-------
RUSSIA - 4.70%
AO VimpelCom, ADR+............... 1,600 64
JSC Surgutneftegaz, ADR*......... 9,011 180
JSC Surgutneftegaz, Preferred,
ADR*........................... 1,328 32
LUKOIL Oil Company, ADR.......... 9,177 632
Mining and Metallurgical Company
Norilsk Nickel, ADR............ 4,600 105
Mobile Telesystems, ADR+*........ 3,200 154
Mobile Telesystems, GDR, 144A
(Note A)+...................... 1,800 76
RAO Gazprom, ADR................. 2,200 34
RAO Gazprom, ADR+................ 10,700 168
Yukos Oil Company, ADR*.......... 1,690 296
-------
TOTAL RUSSIA................. 1,741
-------
SOUTH AFRICA - 13.52%
ABSA Group Limited............... 32,800 144
Anglo American PLC............... 83,772 1,204
AngloGold Limited................ 3,900 111
Aveng Limited.................... 64,300 74
Bidvest Group Limited............ 47,930 261
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Dimension Data Holdings PLC+..... 148,900 $ 39
FirstRand Limited+............... 181,395 177
Gold Fields Limited.............. 16,875 171
Gold Fields Limited, ADR*........ 700 7
Impala Platinum Holdings
Limited........................ 2,329 115
Liberty Group Limited............ 4,000 26
Metro Cash and Carry Limited+.... 522,124 122
MTN Group Limited+............... 20,540 34
Nampak Limited................... 127,200 198
Naspers Limited.................. 11,700 35
Nedcor Limited................... 33,600 453
Old Mutual PLC*.................. 313,887 460
Sage Group Limited+.............. 47,861 10
Sanlam Limited+.................. 77,850 65
Sappi Limited.................... 6,156 76
Sappi Limited, ADR............... 1,320 16
Sasol Limited.................... 48,802 529
Sasol Limited, ADR............... 925 10
Shoprite Holdings Limited........ 102,000 79
Standard Bank Group Limited...... 65,740 264
Steinhoff International Holdings
Limited+....................... 132,724 97
Telkom South Africa Limited+..... 7,200 31
Telkom South Africa Limited,
ADR+*.......................... 650 11
Tiger Brands Limited............. 21,550 189
-------
TOTAL SOUTH AFRICA........... 5,008
-------
SOUTH KOREA - 17.87%
Cheil Communications,
Incorporated................... 1,100 96
CJ Corporation................... 5,470 187
CJ Home Shopping Company
Limited........................ 2,291 105
Daishin Securities Company
Limited........................ 14,180 190
Hyundai Development Company...... 7,800 50
Hyundai Mobis.................... 12,370 246
Hyundai Motor Company Limited.... 10,890 257
Hyundai Motor Company Limited+... 4,640 52
Kookmin Bank..................... 4,031 113
Kookmin Bank, ADR................ 8,600 237
Korea Electric Power
Corporation.................... 33,690 567
Korea Exchange Bank Credit
Services Company Limited+...... 10,100 75
KT Corporation, ADR*............. 12,800 259
KT&G Corporation, GDR, 144A (Note
A)............................. 21,900 165
LG Card Company Limited.......... 2,200 32
LG Electronics, Incorporated..... 9,175 316
LG Household & Health Care
Limited........................ 2,960 70
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
42
AMERICAN AADVANTAGE EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Pantech Company Limited.......... 7,150 $ 65
POSCO............................ 4,610 389
POSCO, ADR....................... 1,500 31
Samsung Corporation.............. 31,960 168
Samsung Electronics Company
Limited........................ 5,020 1,260
Samsung Electronics Company
Limited, Preferred+............ 1,030 126
Samsung SDI Company Limited...... 5,920 370
Samsung Securities Company
Limited+....................... 9,350 192
Shinhan Financial Group Company
Limited........................ 28,080 277
Shinsegae Company Limited........ 440 53
SK Telecom Company Limited....... 4,420 615
Tong Yang Confectionery
Corporation.................... 1,360 59
-------
TOTAL SOUTH KOREA............ 6,622
-------
TAIWAN - 9.72%
Accton Technology Corporation.... 192,075 129
Advanced Semiconductor
Engineering, Incorporated+..... 184,530 95
Advanced Semiconductor
Engineering, Incorporated,
ADR+*.......................... 18,463 48
Ambit Microsystems Corporation... 17,000 49
ASE Test Limited+*............... 9,000 31
Asustek Computer, Incorporated... 80,000 156
Cathay Financial Holding Company
Limited........................ 151,000 169
Chinatrust Financial Holding
Company Limited................ 251,340 196
Compal Electronics,
Incorporated................... 30,000 32
Elan Microelectronics
Corporation+................... 144,060 92
Evergreen Marine Corporation..... 57,000 35
Hon Hai Precision Industry
Company Limited................ 61,750 193
Largan Precision Company
Limited........................ 10,400 64
Nan Ya Plastics Corporation...... 145,817 126
Novatek Microelectronics
Corporation Limited............ 29,600 53
Phoenixtec Power Company
Limited........................ 73,000 56
Polaris Securities Company
Limited+....................... 134,000 47
Powerchip Semiconductor
Corporation, GDR, 144A (Note
A)............................. 8,900 19
Premier Image Technology
Corporation.................... 66,000 86
Quanta Computer, Incorporated+... 154,200 270
Quanta Storage, Incorporated+.... 8,000 36
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Siliconware Precision Industries
Company+....................... 146,580 $ 69
SinoPac Holdings................. 537,736 167
Standard Foods Corporation, GDR,
144A (Note A).................. 27,272 25
Taishin Financial Holdings
Company Limited+............... 289,000 131
Taiwan Cellular Corporation...... 329,150 213
Taiwan Semiconductor
Manufacturing Company
Limited+....................... 373,440 512
United Microelectronics
Corporation+................... 493,150 283
United Microelectronics
Corporation, ADR+*............. 27,500 89
Yaego Corporation+............... 566,000 109
Zyxel Communications
Corporation.................... 13,000 22
-------
TOTAL TAIWAN................. 3,602
-------
THAILAND - 2.75%
Advanced Info Service Public
Company Limited................ 10,000 10
Bangkok Bank Public Company
Limited+....................... 117,300 164
BEC World Public Company
Limited........................ 2,900 14
Charoen Pokphand Foods Public
Company Limited+............... 220,000 16
Hana Microelectronics Public
Company Limited+............... 18,000 32
Kasikornbank Public Company
Limited+....................... 269,100 228
Land & Houses Public Company
Limited........................ 305,400 55
PTT Exploration and Production
Public Company Limited+........ 47,100 123
The Siam Cement Public Company
Limited, NVDR.................. 46,000 130
Siam Commercial Bank Public
Company Limited+............... 260,100 208
Siam Makro Public Company
Limited........................ 51,600 38
-------
TOTAL THAILAND............... 1,018
-------
TURKEY - 1.02%
Akbank T.A.S.+................... 4,618,868 16
Akcansa Cimento A.S. ............ 16,368,500 46
Arcelik A.S. .................... 5,505,000 53
Enka Insaat ve Sanayi A.S. ...... 1,711,823 60
Tofas Turk Otomobil Fabrikasi
A.S.+.......................... 6,023,000 17
Tupras-Turkiye Petrol
Rafinerileri A.S. ............. 20,860,000 145
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
43
AMERICAN AADVANTAGE EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Turkcell Iletisim Hizmetleri
A.S.+.......................... 6,555,500 $ 39
-------
TOTAL TURKEY................. 376
-------
VENEZUELA - 0.13%
Compania Anonima Nacional
Telfonos de Venezuela, ADR*.... 4,509 47
-------
TOTAL VENEZUELA.............. 47
-------
TOTAL STOCKS................. 35,098
-------
</Table>
<Table>
<Caption>
SHARES VALUE
----------- --------
(DOLLARS IN THOUSANDS)
SHORT TERM INVESTMENTS - 13.40%
American AAdvantage Money Market
Select Fund.................... 4,967,746 $ 4,968
-------
TOTAL SHORT TERM
INVESTMENTS................ 4,968
-------
TOTAL INVESTMENTS - 108.13% (COST
$40,595)....................... 40,066
-------
LIABILITIES, NET OF OTHER
ASSETS - (8.13%)............... (3,013)
-------
TOTAL NET ASSETS - 100%.......... $37,053
=======
</Table>
- ---------------
(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 $1,412 or 3.81% of net assets.
* - All or a portion of this security is on loan at April 30, 2003. See Note 4
+ - non-income producing
AMERICAN AADVANTAGE EMERGING MARKETS FUND
EMERGING MARKETS SECTOR DIVERSIFICATION
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENT OF
NET ASSETS
----------
Consumer Discretionary...................................... 8.72%
Consumer Staples............................................ 7.12%
Energy...................................................... 9.96%
Financials.................................................. 17.42%
Health Care................................................. 1.12%
Industrials................................................. 8.15%
Information Technology...................................... 12.43%
Materials................................................... 11.88%
Short-Term Investments...................................... 13.40%
Telecommunication Services.................................. 13.67%
Utilities................................................... 4.26%
Liabilities, net of other assets............................ (8.13%)
-------
NET ASSETS............................................ 100.00%
=======
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
44
AMERICAN AADVANTAGE HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
CORPORATE BONDS - 87.81%
CABLE/MEDIA - 4.48%
EchoStar Communications Corporation, 9.375%, Due 2/1/2009... $ 3,250 $ 3,506
EchoStar DBS Corporation, 9.125%, Due 1/15/2009............. 300 338
Paxon Communications Corporation, 12.25%, Due 1/15/2009..... 2,500 2,100
Regal Cinemas Corporation, 9.375%, Due 2/1/2012............. 3,371 3,708
--------
TOTAL CABLE/MEDIA....................................... 9,652
--------
CASINO/GAMING - 5.80%
Aztar Corporation,
8.875%, Due 5/15/2007..................................... 640 669
9.00%, Due 8/15/2011...................................... 2,500 2,644
Chumash Casino & Resort Enterprises, 9.00%, Due 7/15/2010,
144A (Note A)............................................. 1,250 1,337
Horseshoe Gaming, LLC, 8.625%, Due 5/15/2009................ 4,014 4,265
MTR Gaming Group, Incorporated, 9.75%, Due 4/1/2010, 144A
(Note A).................................................. 700 728
Turning Stone Casino Resort, 9.125%, Due 12/15/2010, 144A
(Note A).................................................. 2,710 2,852
--------
TOTAL CASINO/GAMING..................................... 12,495
--------
CHEMICALS - 5.31%
Equistar Chemicals, LP, 8.50%, Due 2/15/2004................ 2,250 2,379
FMC Corporation,
6.375%, Due 9/1/2003...................................... 750 759
7.00%, Due 5/15/2008...................................... 1,700 1,649
Ethyl Corporation, 8.875%, Due 5/1/2010, 144A (Note A)...... 1,575 1,638
IMC Global, Incorporated,
11.25%, Due 6/1/2011...................................... 2,250 2,554
11.25%, Due 6/1/2011, 144A (Note A)....................... 1,250 1,419
Methanex Corporation, 7.75%, Due 8/15/2005.................. 1,000 1,038
--------
TOTAL CHEMICALS......................................... 11,436
--------
CONSTRUCTION & ENGINEERING - 3.19%
Brand Services, Incorporated, 12.00%, Due 10/15/2012, 144A
(Note A).................................................. 1,200 1,320
K. Hovnanian Enterprises, Incorporated, 8.875%, Due
4/1/2012*................................................. 3,200 3,376
Schuler Homes, Incorporated, 9.375%, Due 7/15/2009.......... 1,500 1,639
Toll Corporation, 8.25%, Due 12/1/2011...................... 500 539
--------
TOTAL CONSTRUCTION & ENGINEERING........................ 6,874
--------
CONSUMER PRODUCTS - 4.99%
American Greetings Corporation, 6.10%, Due 8/1/2028......... 1,900 1,862
Bausch & Lomb, Incorporated,
6.75%, Due 12/15/2004..................................... 930 967
6.50%, Due 8/1/2005....................................... 500 510
7.125%, Due 8/1/2028...................................... 2,022 1,901
Dan River, Incorporated, 12.75%, Due 4/15/2009, 144A (Note
A)........................................................ 1,500 1,462
Levi Strauss & Company, 6.80%, Due 11/1/2003................ 750 763
PEI Holdings, Incorporated, 11.00%, Due 3/15/2010, 144A
(Note A).................................................. 2,000 2,120
Phillips-Van Heusen Corporation, 8.125%, Due 5/1/2013, 144A
(Note A).................................................. 125 129
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
45
AMERICAN AADVANTAGE HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Toys "R" Us, Incorporated, 7.875%, Due 4/15/2013............ $ 1,000 $ 1,040
--------
TOTAL CONSUMER PRODUCTS................................. 10,754
--------
ENERGY - 9.09%
Citgo Petroleum Corporation, 11.375%, Due 2/1/2011, 144A
(Note A).................................................. 1,500 1,672
Cleco Corporation, 7.00%, Due 5/1/2008...................... 1,500 1,505
CMS Energy Corporation, 6.75%, Due 1/15/2004................ 2,500 2,506
Compton Petroleum Corporation, 9.90%, Due 5/15/2009......... 1,500 1,635
Edison International, 6.875%, Due 9/15/2004................. 750 754
Ferrellgas Partners, Limited, 8.75%, Due 6/15/2012.......... 1,500 1,620
Frontier Oil Corporation, 11.75%, Due 11/15/2009............ 1,000 1,110
Newfield Exploration Company, 8.375%, Due 8/15/2012......... 1,000 1,096
NorthWestern Corporation, 6.95%, Due 11/15/2028............. 2,000 1,330
PG&E Gas Transmission, Northwest Company, 7.80%, Due
6/1/2025.................................................. 2,500 2,169
Sierra Pacific Power Company, 8.00%, Due 6/1/2008........... 2,150 2,150
Star Gas Partners, Limited Partnership, 10.25%, Due
2/15/2013, 144A (Note A).................................. 2,000 2,035
--------
TOTAL ENERGY............................................ 19,582
--------
FOOD/RESTAURANT - 3.28%
Advantica Restaurant Group, Incorporated, 12.75, Due
9/30/2007................................................. 1,000 1,040
Corn Products International, Incorporated,
8.25%, Due 7/15/2007...................................... 1,000 1,038
8.45%, Due 8/15/2009...................................... 1,600 1,682
Herbalife International, Incorporated, 11.75%, Due
7/15/2010................................................. 2,975 3,302
--------
TOTAL FOOD/RESTAURANT................................... 7,062
--------
HOTELS, RESTAURANTS & LEISURE - 3.04%
Booth Creek Ski Holdings, Incorporated, 12.50%, Due
3/15/2007................................................. 2,000 1,960
Carmike Cinemas, Incorporated, 10.375%, Due 2/1/2009*....... 2,960 3,008
Florida Panthers Holdings, Incorporated, 9.875%, Due
4/15/2009................................................. 500 528
Town Sports International, Incorporated, 9.625%, Due
4/15/2011, 144A (Note A).................................. 1,000 1,050
--------
TOTAL HOTELS, RESTAURANTS & LEISURE..................... 6,546
--------
INFORMATION TECHNOLOGY - 0.22%
Peregrine Systems, Incorporated, 5.50%, Due 11/15/2007+..... 800 468
--------
TOTAL INFORMATION TECHNOLOGY............................ 468
--------
INDUSTRIAL - 19.90%
AGCO Corporation, 8.50%, Due 3/15/2006...................... 1,340 1,340
Alderwoods Group, Incorporated, 12.25%, Due 1/2/2009........ 2,500 2,575
Appleton Papers, Incorporated, 12.50%, Due 12/15/2008....... 750 851
Asbury Automotive Group, Incorporated, 9.00%, Due
6/15/2012................................................. 2,100 1,974
Collins & Aikman Corporation, 10.75%, Due 12/31/2011........ 2,000 2,050
Crown European Holdings SA, 144A (Note A)
9.50%, Due 3/1/2011....................................... 2,500 2,663
10.875%, Due 3/1/2013..................................... 2,000 2,155
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
46
AMERICAN AADVANTAGE HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Dana Corporation,
6.25%, Due 3/1/2004....................................... $ 3,250 $ 3,283
10.125%, Due 3/15/2010.................................... 500 560
7.00%, Due 3/1/2029....................................... 1,500 1,268
Day International Group, Incorporated, 11.125%, Due
6/1/2005.................................................. 1,500 1,515
Joy Global, Incorporated, 8.75%, Due 3/15/2012*............. 1,950 2,106
K&F Industries, Incorporated, 9.625%, Due 12/15/2010........ 2,000 2,160
Owens-Brockway Glass Containers, Incorporated,
8.875%, Due 2/15/2009, 144A (Note A)...................... 1,740 1,866
8.75%, Due 11/15/2012..................................... 1,250 1,334
Owens-Illinois, Incorporated, 7.15%, Due 5/15/2005.......... 750 765
Provident Companies, Incorporated, 7.00%, Due 7/15/2018..... 1,500 1,350
TransDigm, Incorporated, 10.375%, Due 12/1/2008............. 1,000 1,065
TRW Automotive, 9.375%, Due 2/15/2013, 144A (Note A)........ 1,600 1,748
Tyco International Group S.A.,
6.375%, Due 6/15/2005..................................... 750 757
6.375%, Due 2/15/2006*.................................... 1,600 1,608
6.125%, Due 11/1/2008..................................... 500 491
6.75%, Due 2/15/2011...................................... 1,950 1,950
Xerox Credit Corporation, 6.10%, Due 12/16/2003............. 5,500 5,445
--------
TOTAL INDUSTRIAL........................................ 42,879
--------
MEDICAL/HEALTHCARE - 14.37%
aaiPharma Incorporated, 11.00%, Due 4/1/2010*............... 3,900 4,173
Athena Neurosciences, Incorporated, 7.25%, Due 2/21/2008.... 1,850 1,295
Bio Radiation Labs, Incorporated, 11.625%, Due 2/15/2007.... 1,500 1,665
Fisher Scientific International, Incorporated, 8.125%, Due
5/1/2012, 144A (Note A)................................... 750 806
IMCERA Group, Incorporated, 6.00%, Due 10/15/2003........... 1,125 1,103
Mallinckrodt Group, Incorporated, 6.50%, Due 11/15/2007..... 900 882
National Health Investors, 7.30%, Due 7/16/2007............. 1,000 963
NDCHealth Corporation, 10.50%, Due 12/1/2012, 144A (Note
A)........................................................ 1,800 1,908
Pacificare Health Systems, Incorporated, 10.75%, Due
6/1/2009.................................................. 2,500 2,769
Prime Medical Services, Incorporated, 8.75%, Due 4/1/2008... 1,000 945
Senior Housing Properties Trust, 7.875%, Due 4/15/2015...... 2,000 2,030
Sepracor, Incorporated, 5.00%, Due 2/15/2007................ 1,850 1,475
Tenet Healthcare Corporation, 7.375%, Due 2/1/2013.......... 4,100 4,049
Vicar Operating, Incorporated, 9.875%, Due 12/1/2009........ 1,116 1,233
United Rentals (North America), Incorporated,
10.75%, Due 4/15/2008*.................................... 1,217 1,314
10.75%, Due 4/15/2008, 144A (Note A)...................... 500 540
US Oncology, Incorporated, 9.625%, Due 2/1/2012............. 3,550 3,816
--------
TOTAL MEDICAL/HEALTHCARE................................ 30,966
--------
RETAIL - 6.11%
AutoNation, Incorporated, 9.00%, Due 8/1/2008............... 3,070 3,346
Dollar General Corporation, 8.625%, Due 6/15/2010........... 3,180 3,466
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
47
AMERICAN AADVANTAGE HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Pep Boys, Incorporated
6.71%, Due 11/3/2004...................................... $ 1,000 $ 979
7.00%, Due 6/1/2005....................................... 700 691
6.88%, Due 3/6/2006....................................... 1,000 939
Woolworth Corporation, 8.50%, Due 1/15/2022................. 2,900 2,918
Zales Corporation, 8.50%, Due 10/1/2007..................... 800 832
--------
TOTAL RETAIL............................................ 13,171
--------
TECHNOLOGY - 3.51%
Amkor Technology, Incorporated, 9.25%, Due 5/1/2006*........ 1,500 1,567
Orbital Sciences Corporation, 12.00%, Due 8/15/2006......... 2,500 2,594
ON Semiconductor Corporation, 12.00%, Due 3/15/2010, 144A
(Note A)*................................................. 1,500 1,620
UNOVA, Incorporated,
6.875%, Due 3/15/2005..................................... 1,000 915
7.00%, Due 3/15/2008...................................... 1,000 870
--------
TOTAL TECHNOLOGY........................................ 7,566
--------
TELECOM - 4.05%
FairPoint Communications, Incorporated, 11.875%, Due
3/1/2010, 144A (Note A)................................... 2,000 2,220
GST Equipment Funding, Incorporated, 13.25%, Due
5/1/2007+................................................. 2,500 --
Qwest Capital Funding, Incorporated, 5.875%, Due 8/3/2004... 1,000 940
Qwest Services Corporation, 13.50%, Due 12/15/2010, 144A
(Note A).................................................. 3,000 3,330
US West Capital Funding, Incorporated, 6.25%, Due
7/15/2005................................................. 1,350 1,212
US West Communication, 8.875%, Due 6/1/2031................. 1,000 1,027
--------
TOTAL TELECOM........................................... 8,729
--------
OTHER CORPORATE BONDS - 0.47%
Technical Olympic USA, Incorporated, 9.00%, Due 7/1/2010.... 1,000 1,035
--------
TOTAL OTHER CORPORATE BONDS............................. 1,035
--------
TOTAL CORPORATE BONDS................................... 189,215
--------
</Table>
<Table>
<Caption>
SHARES
-----------
SHORT TERM INVESTMENTS - 17.83%
American AAdvantage Money Market Select Fund................ 24,887,453 24,887
Janus Money Market Fund..................................... 258,905 259
Short-Term Investment Company Liquid Asset Fund............. 3,277,988 3,278
</Table>
<Table>
<Caption>
PAR
AMOUNT
-----------
Credit Suisse First Boston Tri Party Repo, 1.425%, Due
5/1/2003, (Note B)........................................ $ 5,000 5,000
Morgan Stanley Tri Party Repo, 1.425%, Due 5/1/2003, (Note
C)........................................................ 5,000 5,000
--------
TOTAL SHORT TERM INVESTMENTS............................ 38,424
--------
TOTAL INVESTMENTS - 105.64% (COST $219,123)................. 227,639
--------
LIABILITIES, NET OF OTHER ASSETS - (5.64%).................. (12,151)
--------
TOTAL NET ASSETS - 100%..................................... $215,488
========
</Table>
- ---------------
(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 $36,618 or 16.99% of net assets.
(B) Collateral held at J.P. Morgan Chase by Starfish Global Funding LLC,
Commercial Paper, Due 5/21/2003, Market Value - $5,101
(C) Collateral held at the Bank of New York by Morgan Stanley, 7.252%, Due
9/15/2011, Market Value - $5,100
* - All or a portion of this security is on loan at April 30, 2003. See Note 4
+ - Non-income producing security. In the case of a bond, generally the bond is
in default.
See accompanying notes
- --------------------------------------------------------------------------------
48
AMERICAN AADVANTAGE INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
U.S. TREASURY OBLIGATIONS - 9.73%
U.S. TREASURY BONDS - 4.70%
7.50%, Due 11/15/2016*...................................... $ 1,675 $ 2,206
8.125%, Due 8/15/2019*...................................... 1,815 2,546
8.75%, Due 8/15/2020*....................................... 750 1,115
6.875%, Due 8/15/2025*...................................... 1,750 2,231
6.25%, Due 5/15/2030*....................................... 1,870 2,253
5.375% Due 2/15/2031*....................................... 980 1,069
--------
TOTAL U.S. TREASURY BONDS............................... 11,420
--------
U.S. TREASURY NOTES - 5.03%
4.625%, Due 5/15/2006*...................................... 3,480 3,748
6.125%, Due 8/15/2007....................................... 1,250 1,430
3.00%, Due 2/15/2008*....................................... 2,560 2,586
5.75%, Due 8/15/2010*....................................... 730 837
3.875%, Due 2/15/2013*...................................... 3,610 3,615
--------
TOTAL U.S. TREASURY NOTES............................... 12,216
--------
TOTAL U.S. TREASURY OBLIGATIONS......................... 23,636
--------
U.S. AGENCY OBLIGATIONS - 4.83%
FEDERAL HOME LOAN BANK - 1.09%
3.25%, Due 8/15/2005........................................ 500 516
5.375%, Due 5/15/2006....................................... 1,950 2,128
--------
TOTAL FEDERAL HOME LOAN BANK............................ 2,644
--------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.76%
5.50%, Due 7/15/2006........................................ 2,445 2,689
5.125%, Due 10/15/2008*..................................... 1,000 1,096
5.50%, Due 9/15/2011........................................ 1,875 2,070
5.75%, Due 1/15/2012........................................ 750 842
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 6,697
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.98%
6.625%, Due 11/15/2010...................................... 500 590
7.25%, Due 5/15/2030........................................ 1,400 1,800
--------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 2,390
--------
TOTAL U.S. AGENCY OBLIGATIONS........................... 11,731
--------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 36.55%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 1.19%
Pool #G10084, 6.50%, Due 3/1/2008........................... 716 754
Pool #G10791, 6.00%, Due 3/1/2013........................... 367 385
Pool #G11202, 6.00%, Due 11/1/2016.......................... 938 980
Pool #G00738, 8.00%, Due 7/1/2027........................... 710 770
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 2,889
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 18.47%
Pool #124119, 7.50%, Due 4/1/2007........................... 430 457
Pool #313522, 7.00%, Due 5/1/2012........................... 979 1,046
Pool #323223, 6.50%, Due 7/1/2013........................... 431 457
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
49
AMERICAN AADVANTAGE INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Pool #439957, 6.00%, Due 11/1/2013.......................... $ 594 $ 624
Pool #488099, 5.50%, Due 2/1/2014........................... 1,423 1,488
Pool #323788, 6.50%, Due 6/1/2014........................... 220 234
Pool #323789, 6.00%, Due 6/1/2014........................... 633 665
Pool #535213, 7.00%, Due 3/1/2015........................... 158 169
Pool #557390, 7.50%, Due 10/1/2015.......................... 218 234
Pool #535846, 6.00%, Due 4/1/2016........................... 1,874 1,965
Pool #535998, 6.50%, Due 6/1/2016........................... 282 299
Pool #254048, 6.50%, Due 10/1/2016.......................... 335 355
Pool #545449, 6.50%, Due 2/1/2017........................... 1,786 1,893
Pool #545823, 5.50%, Due 8/1/2017........................... 2,500 2,602
Pool #100292, 10.00%, Due 9/1/2018.......................... 447 512
Pool #100293, 9.50%, Due 8/1/2029........................... 406 457
Pool #599321, 7.00%, Due 7/1/2031........................... 589 623
Pool #545759, 6.50%, Due 7/1/2032........................... 661 691
TBA, 6.50%, Due 5/1/2017.................................... 1,102 1,167
TBA, 6.00%, Due 6/1/2017.................................... 3,105 3,255
TBA, 6.50%, Due 7/1/2031.................................... 844 882
TBA, 6.50%, Due 4/1/2032.................................... 2,997 3,132
TBA, 7.00%, Due 5/1/2032.................................... 2,780 2,937
TBA, 7.50%, Due 7/1/2032.................................... 1,470 1,567
TBA, 7.00%, Due 10/1/2032................................... 1,556 1,644
TBA 15 yr, 6.00%............................................ 3,350 3,515
TBA 30 yr, 6.00%............................................ 11,500 11,985
--------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 44,855
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 16.89%
Pool #780921, 7.00%, Due 11/15/2013......................... 903 972
Pool #780085, 11.50%, Due 8/15/2018......................... 295 335
Pool #342480, 7.50%, Due 12/15/2022......................... 131 141
Pool #358211, 7.00%, Due 6/15/2023.......................... 170 181
Pool #001429, 7.50%, Due 10/20/2023......................... 481 513
Pool #351417, 7.00%, Due 1/15/2024.......................... 165 176
Pool #354810, 7.50%, Due 4/15/2024.......................... 172 185
Pool #404122, 8.00%, Due 7/15/2025.......................... 163 178
Pool #780400, 7.00%, Due 12/15/2025......................... 1,623 1,731
Pool #405603, 7.00%, Due 4/15/2026.......................... 153 163
Pool #426079, 7.50%, Due 5/15/2026.......................... 114 122
Pool #430900, 7.50%, Due 7/15/2026.......................... 115 124
Pool #780454, 7.00%, Due 10/15/2026......................... 1,129 1,203
Pool #780509, 6.50%, Due 2/15/2027.......................... 777 820
Pool #002379, 8.00%, Due 2/20/2027.......................... 622 669
Pool #780570, 7.00%, Due 5/15/2027.......................... 1,317 1,400
Pool #002433, 8.00%, Due 5/20/2027.......................... 141 152
Pool #780584, 7.00%, Due 6/15/2027.......................... 376 400
Pool #780589, 7.00%, Due 6/15/2027.......................... 1,171 1,245
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
50
AMERICAN AADVANTAGE INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Pool #002457, 7.50%, Due 7/20/2027.......................... $ 149 $ 159
Pool #780615, 6.50%, Due 8/15/2027.......................... 1,593 1,681
Pool #780642, 7.00%, Due 9/15/2027.......................... 228 242
Pool #780680, 6.50%, Due 11/15/2027......................... 1,353 1,429
Pool #780747, 6.50%, Due 3/15/2028.......................... 2,565 2,702
Pool #780788, 6.50%, Due 4/15/2028.......................... 2,257 2,378
Pool #462680, 7.00%, Due 4/15/2028.......................... 149 158
Pool #780777, 7.00%, Due 4/15/2028.......................... 399 424
Pool #486598, 6.50%, Due 10/15/2028......................... 231 243
Pool #781096, 6.50%, Due 12/15/2028......................... 892 939
Pool #780995, 7.00%, Due 12/15/2028......................... 581 618
Pool #780990, 7.50%, Due 12/15/2028......................... 647 692
Pool #780936, 7.50%, Due 12/15/2028......................... 2,829 3,031
Pool #487057, 6.50%, Due 3/15/2029.......................... 211 222
Pool #781029, 6.50%, Due 5/15/2029.......................... 1,311 1,380
Pool #781035, 6.50%, Due 5/15/2029.......................... 1,353 1,425
Pool #781273, 6.00%, Due 4/15/2031.......................... 1,692 1,774
Pool #781274, 6.50%, Due 4/15/2031.......................... 1,485 1,563
Pool #550284, 7.00%, Due 8/15/2031.......................... 380 403
Pool #781328, 7.00%, Due 9/15/2031.......................... 2,128 2,259
Pool #781340, 6.50%, Due 10/15/2031......................... 809 852
Pool #574846, 7.00%, Due 11/15/2031......................... 1,223 1,297
Pool #552404, 7.50%, Due 2/15/2032.......................... 80 86
Pool #555732, 6.50%, Due 3/15/2032.......................... 672 707
TBA 30 yr, 6.00%............................................ 3,500 3,663
--------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 41,037
--------
TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 88,781
--------
CORPORATE OBLIGATIONS - 40.58%
FINANCIAL - 21.15%
American General Finance Corporation, 5.375%, Due
9/1/2009.................................................. 360 385
Bank of America Corporation, 7.40%, Due 1/15/2011........... 1,300 1,561
Bank One Corporation,
4.125%, Due 9/1/2007...................................... 845 877
4.90%, Due 4/30/2015...................................... 700 702
Bank One, NA, 3.70%, Due 1/15/2008.......................... 600 613
BB&T Corporation, 4.75%, Due 10/1/2012...................... 320 325
Bear Stearns Companies, Incorporated, 3.00%, Due
3/30/2006................................................. 1,500 1,527
BHP Finance (USA) Limited, 4.80%, Due 4/15/2013............. 700 715
Branch Banking & Trust Company, 4.875%, Due 1/15/2013....... 1,200 1,231
Burlington Resources Finance Company, 5.70%, Due 3/1/2007... 1,000 1,088
Caterpillar Financial Services,
2.65%, Due 1/30/2006...................................... 755 760
4.875%, Due 6/15/2007*.................................... 550 586
ChevronTexaco Capital Corporation, 3.50%, Due 9/17/2007..... 785 803
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
51
AMERICAN AADVANTAGE INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Citigroup, Incorporated,
6.20%, Due 3/15/2009...................................... $ 1,300 $ 1,454
6.50%, Due 1/18/2011...................................... 925 1,057
Countrywide Home Loan, Incorporated,
3.50%, Due 12/19/2005..................................... 1,200 1,229
4.25%, Due 12/19/2007..................................... 780 808
John Deere Capital Corporation, 4.125%, Due 7/15/2005....... 1,180 1,237
Fleet Norstar Financial Group, Incorporated, 8.625%, Due
1/15/2007................................................. 600 707
FleetBoston Financial Corporation, 3.85%, Due 2/15/2008..... 900 915
Ford Motor Credit Company,
5.75%, Due 2/23/2004...................................... 1,360 1,383
6.50%, Due 1/25/2007*..................................... 605 618
General Electric Capital Corporation,
5.35%, Due 3/30/2006...................................... 1,090 1,176
7.375%, Due 1/19/2010*.................................... 1,150 1,358
General Motors Acceptance Corporation,
4.15%, Due 2/7/2005....................................... 600 605
7.50%, Due 7/15/2005...................................... 600 642
6.125%, Due 8/28/2007..................................... 490 509
Goldman Sachs Group, Incorporated, 7.35%, Due 10/1/2009..... 1,250 1,466
Household Finance Corporation,
5.75%, Due 1/30/2007...................................... 1,000 1,087
7.875%, Due 3/1/2007...................................... 600 696
6.375%, Due 11/27/2012.................................... 410 452
ING Bank, NV, 5.125%, Due 5/1/2015, 144A (Note A)........... 700 714
KeyCorp Limited, 4.625%, Due 5/16/2005...................... 290 304
Merrill Lynch & Company, Incorporated,
6.56%, Due 12/16/2007..................................... 1,200 1,345
3.70%, Due 4/21/2008...................................... 1,055 1,064
MetLife, Incorporated, 3.911%, Due 5/15/2005................ 1,000 1,036
Monumental Global Funding, 3.85%, Due 3/3/2008, 144A (Note
A)........................................................ 1,200 1,214
Morgan Stanley Dean Witter Discover & Company,
6.10%, Due 4/15/2006...................................... 550 603
3.625%, Due 4/1/2008...................................... 1,010 1,018
National City Bank, 3.30%, Due 5/15/2008.................... 1,030 1,031
National City Corporation, 3.20%, Due 4/1/2008.............. 700 697
PNC Funding Corporation, 7.50%, Due 11/1/2009............... 1,020 1,220
Prudential Financial, Incorporated, 3.75%, Due 5/1/2008..... 1,050 1,052
SLM Corporation,
3.625%, Due 3/17/2008..................................... 730 735
5.125%, Due 8/27/2012..................................... 1,200 1,249
Sprint Capital Corporation,
7.90%, Due 3/15/2005...................................... 400 424
6.125%, Due 11/15/2008.................................... 730 745
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
52
AMERICAN AADVANTAGE INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Synovus Financial Corporation,
7.25%, Due 12/15/2005..................................... $ 1,600 $ 1,798
4.875%, Due 2/15/2013, 144A (Note A)...................... 700 706
Travelers Property Casualty Corporation, 144A (Note A)
5.00%, Due 3/15/2013...................................... 375 382
6.375%, Due 3/15/2033..................................... 525 559
US Bancorp, 2.625%, Due 3/15/2006........................... 470 474
US Bank, NA,
5.70%, Due 12/15/2008..................................... 985 1,087
6.375%, Due 8/1/2011...................................... 845 965
Washington Mutual, Incorporated, 4.375%, Due 1/15/2008...... 600 624
Washington Mutual Financial Corporation, 6.875%, Due
5/15/2011................................................. 370 426
Wells Fargo & Company,
3.50%, Due 4/4/2008....................................... 700 707
6.45%, Due 2/1/2011....................................... 550 631
--------
TOTAL FINANCIAL......................................... 51,382
--------
INDUSTRIAL - 16.34%
Allstate Corporation,
5.375%, Due 12/1/2006..................................... 805 873
6.125%, Due 12/15/2032.................................... 310 332
Anheuser Busch Companies, Incorporated, 6.50%, Due
1/1/2028*................................................. 700 797
Archer Daniels Midland Company, 5.875%, Due 10/1/2032....... 560 587
AT&T Broadband Corporation, 8.375%, Due 3/15/2013........... 588 717
AT&T Wireless Services, Incorporated,
7.35%, Due 3/1/2006....................................... 575 641
8.125%, Due 5/1/2012...................................... 430 506
8.75%, Due 3/1/2031....................................... 475 591
Atlantic Richfield Company,
9.125%, Due 3/1/2011...................................... 500 649
8.50%, Due 4/1/2012....................................... 650 833
BellSouth Corporation, 5.00%, Due 10/15/2006................ 300 322
Bristol Myers Squibb Company, 4.75%, Due 10/1/2006.......... 800 850
Campbell Soup Company, 5.00%, Due 12/3/2012................. 350 361
Clear Channel Communications,
4.25%, Due 5/15/2009...................................... 605 608
5.75%, Due 1/15/2013...................................... 310 327
Comcast Cable Communications, 6.75%, Due 1/30/2011.......... 385 425
Computer Sciences Corporation, 3.50%, Due 4/15/2008......... 600 595
Conagra Foods, Incorporated,
7.125%, Due 10/1/2026..................................... 590 683
7.00%, Due 10/1/2028...................................... 600 675
ConocoPhillips,
3.625%, Due 10/15/2007.................................... 575 585
5.90%, Due 10/15/2032..................................... 335 347
Continental Cablevision, Incorporated, 8.30%, Due
5/15/2006................................................. 500 565
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
53
AMERICAN AADVANTAGE INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
DaimlerChrysler North America, 4.75%, Due 1/15/2008......... $ 1,520 $ 1,570
Dell Computer Corporation, 6.55%, Due 4/15/2008............. 600 683
Enterprise Products Partners LP, 144A (Note A)
6.375%, Due 2/1/2013...................................... 270 294
6.875%, Due 3/1/2033...................................... 830 884
Federated Department Stores, Incorporated, 6.79%, Due
7/15/2027................................................. 1,000 1,051
Hewlett Packard Company, 5.75%, Due 12/15/2006*............. 925 1,007
International Business Machines Corporation,
4.875%, Due 10/1/2006..................................... 1,025 1,103
4.75%, Due 11/29/2012..................................... 600 618
International Paper Company, 6.75%, Due 9/1/2011............ 550 623
Kroger Company, 7.375%, Due 3/1/2005........................ 550 594
Lockheed Martin Corporation, 7.20%, Due 5/1/2036............ 1,150 1,349
Martin Marietta Material, Incorporated, 6.90%, Due
8/15/2007................................................. 300 332
Masco Corporation, 6.75%, Due 3/15/2006..................... 1,140 1,266
Norfolk Southern Corporation, 7.05%, Due 5/1/2037........... 975 1,117
Northrop Grumman Corporation, 7.125%, Due 2/15/2011......... 1,360 1,593
Occidental Petroleum Corporation,
4.25%, Due 3/15/2010...................................... 575 578
6.75%, Due 1/15/2012...................................... 600 691
Pepsi Bottling Group, Incorporated, 7.00%, Due 3/1/2029..... 575 683
Reed Elsevier Capital, Incorporated, 6.125%, Due 8/1/2006... 1,070 1,169
The Stanley Works, 4.90%, Due 11/1/2012, 144 (Note A)....... 425 433
Target Corporation, 7.00%, Due 7/15/2031.................... 550 647
Tenet Healthcare Corporation, 7.375%, Due 2/1/2013.......... 330 326
Time Warner, Incorporated, 6.625%, Due 5/15/2029............ 430 425
Tyson Foods, Incorporated, 6.625%, Due 10/1/2004............ 660 689
Union Oil Company of California, 7.90%, Due 4/18/2008....... 100 118
Union Pacific Corporation, 6.50%, Due 4/15/2012............. 550 624
Verizon Virginia, 4.625%, Due 3/15/2013..................... 1,400 1,391
Verizon Wireless Capital LLC, 5.375%, Due 12/15/2006........ 1,040 1,121
Viacom, Incorporated, 5.625%, Due 8/15/2012................. 805 871
Vodafone Group PLC, 3.95%, Due 1/30/2008.................... 600 615
Wal-Mart Stores, Incorporated, 7.55%, Due 2/15/2030......... 550 704
Walt Disney Company, 5.375%, Due 6/1/2007................... 360 383
Weyerhaeuser Company, 5.95%, Due 11/1/2008.................. 580 634
Wyeth Corporation, 6.70%, Due 3/15/2011, 144A (Note A)...... 550 632
--------
TOTAL INDUSTRIAL........................................ 39,687
--------
UTILITIES - 2.33%
AEP Texas Central Company, 6.65%, Due 2/15/2033, 144A (Note
A)........................................................ 230 248
Alberta Energy Limited, 7.375%, Due 11/1/2031............... 600 723
Consolidated Natural Gas Company, 6.875%, Due 10/15/2026.... 550 612
Dominion Resources, Incorporated,
7.625%, Due 7/15/2005..................................... 850 944
5.00%, Due 3/15/2013...................................... 400 403
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
54
AMERICAN AADVANTAGE INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
----------- --------
(DOLLARS IN THOUSANDS)
Emerson Electrical Company, 5.00%, Due 12/15/2014*.......... $ 350 $ 364
FirstEnergy Corporation, 6.45%, Due 11/15/2011.............. 475 514
Kinder Morgan, Incorporated, 6.50%, Due 9/1/2012............ 300 334
Marathon Oil Corporation, 5.375%, Due 6/1/2007.............. 750 796
MidAmerican Energy Holdings Company, 5.875%, Due
10/1/2012................................................. 400 418
Oncor Electric Delivery Company, 7.25%, Due 1/15/2033, 144A
(Note A).................................................. 260 304
--------
TOTAL UTILITIES......................................... 5,660
--------
FOREIGN - 0.76%
Canadian Natural Resources Limited, 5.45%, Due 10/1/2012.... 455 479
Province of Ontario, 5.50%, Due 10/1/2008................... 850 943
United Mexican States, 6.375%, Due 1/16/2013................ 395 414
--------
TOTAL FOREIGN........................................... 1,836
--------
TOTAL CORPORATE OBLIGATIONS............................. 98,565
--------
ASSET-BACKED SECURITIES - 3.08%
Citibank Credit Card Master Trust I 1998-2 A, 6.05%, Due
1/15/2010*................................................ 2,900 3,237
Discover Card Master Trust 1999-6 A, 6.85%, 7/17/2007....... 1,500 1,629
Ford Credit Auto Owner Trust 2002-C A4, 3.79%, Due
9/15/2006................................................. 1,500 1,562
Honda Auto Receivables Owner Trust 2002-1 A3, 3.50%, Due
10/17/2005................................................ 1,050 1,065
--------
TOTAL ASSET-BACKED SECURITIES........................... 7,493
--------
</Table>
<Table>
<Caption>
SHARES
-----------
SHORT-TERM INVESTMENTS - 23.99%
American AAdvantage Money Market Select Fund................ 39,834,415 39,834
AMR Investments Enhanced Yield Business Trust............... 18,445,704 18,446
--------
TOTAL SHORT-TERM INVESTMENTS............................ 58,280
--------
TOTAL INVESTMENTS - 118.76% (COST $280,591)................. 288,486
--------
LIABILITIES, NET OF OTHER ASSETS - (18.76%)................. (45,578)
--------
TOTAL NET ASSETS - 100%..................................... $242,908
========
</Table>
- ---------------
(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 $6,370 or 2.62% of net assets.
* - All or a portion of this security is on loan at April 30, 2003. See Note 4
See accompanying notes
- --------------------------------------------------------------------------------
55
AMERICAN AADVANTAGE SHORT-TERM BOND FUND
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
---------- --------
(DOLLARS IN THOUSANDS)
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS - 11.75%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 4.03%
REMIC, M H-1 A, 10.15%, Due 4/15/2006....................... $ 1 $ 1
REMIC, 2494 MB, 5.50%, Due 1/15/2010........................ 2,000 2,023
Pool #E44213, 7.00%, Due 1/1/2008........................... 751 797
Pool #G10084, 6.50%, Due 3/1/2008........................... 1,023 1,078
Pool #E00228, 6.50%, Due 7/1/2008........................... 774 823
--------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION............ 4,722
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 5.22%
Pool #050763, 7.00%, Due 7/1/2008........................... 366 392
Pool #050952, 6.50%, Due 12/1/2008.......................... 831 886
Pool #252448, 5.50%, Due 4/1/2009........................... 859 909
Pool #313430, 6.50%, Due 3/1/2012........................... 886 942
Pool #323980, 6.00%, Due 4/1/2014........................... 1,460 1,534
Pool #545038, 6.00%, Due 9/1/2014........................... 1,388 1,458
--------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION............. 6,121
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.50%
Pool #780286, 7.00%, Due 6/15/2008.......................... 943 1,006
Pool #351992, 6.00%, Due 12/15/2008......................... 1,816 1,925
--------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION.......... 2,931
--------
TOTAL U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS........... 13,774
--------
CORPORATE OBLIGATIONS - 65.35%
FINANCIAL - 42.29%
American General Finance Corporation, 6.75%, Due
11/15/2004................................................ 2,000 2,145
Bank of America Corporation, 5.25%, Due 2/1/2007............ 2,000 2,172
Bank One Corporation, 7.625%, Due 8/1/2005.................. 2,000 2,244
Bear Stearns Companies, Incorporated, 3.00%, Due
3/30/2006................................................. 2,000 2,035
Caterpillar Financial Services Corporation, 6.875%, Due
8/1/2004.................................................. 1,000 1,064
Chase Manhattan Corporation, 5.75%, Due 4/15/2004........... 1,300 1,352
Citigroup, Incorporated, 6.75%, Due 12/1/2005............... 2,000 2,226
Countrywide Home Loan, Incorporated, 6.85%, Due 6/15/2004... 2,000 2,113
FleetBoston Financial Corporation, 3.85%, Due 2/15/2008..... 2,500 2,542
Ford Motor Credit Company,
7.50%, Due 6/15/2003...................................... 1,000 1,004
1.74%, Due 1/26/2004...................................... 2,100 2,076
General Electric Capital Corporation, 7.50%, Due
5/15/2005................................................. 2,000 2,225
General Motors Acceptance Corporation, 4.15%, Due
2/7/2005.................................................. 3,000 3,027
Goldman Sachs Group, Incorporated, 7.625%, Due 8/17/2005.... 2,000 2,239
Household Financial Corporation,
6.00%, Due 5/1/2004....................................... 1,025 1,067
8.00%, Due 5/9/2005....................................... 3,000 3,356
Merrill Lynch & Company, Incorporated, 7.00%, Due
3/15/2006................................................. 1,660 1,851
MetLife, Incorporated, 3.911%, Due 5/15/2005................ 1,000 1,036
Monumental Global Funding, 5.20%, Due 1/30/2007, 144A (Note
A)........................................................ 1,200 1,285
Morgan Stanley Dean Witter & Company, 5.625%, Due
1/20/2004................................................. 2,000 2,060
Simon Property Group, LP, 6.625%, Due 6/15/2003............. 1,200 1,207
SLM Corporation, 2.90%, Due 7/1/2005........................ 2,000 2,041
Synovus Financial Corporation, 7.25%, Due 12/15/2005........ 1,500 1,686
Wachovia Corporation, 6.95%, Due 11/1/2004.................. 2,000 2,161
Washington Mutual Financial Corporation, 1.64%, Due
5/17/2004................................................. 1,205 1,207
Wells Fargo & Company, 5.125%, Due 2/15/2007................ 2,000 2,166
--------
TOTAL FINANCIAL......................................... 49,587
--------
INDUSTRIAL - 20.39%
Aristar, Incorporated, 7.375%, Due 9/1/2004................. 1,000 1,073
AT&T Wireless Services, Incorporated, 7.35%, Due 3/1/2006... 1,000 1,114
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
56
AMERICAN AADVANTAGE SHORT-TERM BOND FUND
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PAR
AMOUNT VALUE
---------- --------
(DOLLARS IN THOUSANDS)
BellSouth Corporation, 5.00%, Due 10/15/2006................ $ 500 $ 537
Computer Sciences Corporation, 7.50%, Due 8/8/2005.......... 1,000 1,110
Conagra Foods, Incorporated, 9.875%, Due 11/15/2005......... 1,000 1,175
Continental Cablevision, Incorporated, 8.30%, Due
5/15/2006................................................. 1,500 1,696
DaimlerChrysler North America, 7.40%, Due 1/20/2005......... 2,000 2,159
International Paper Company, 7.10%, Due 9/1/2005............ 1,395 1,538
Kroger Company, 7.375%, Due 3/1/2005........................ 1,000 1,081
Northrop Grumman Corporation, 7.00%, Due 3/1/2006........... 2,000 2,227
Pepsico, Incorporated, 4.50%, Due 9/15/2004................. 1,000 1,040
Sprint Capital Corporation, 7.90%, Due 3/15/2005............ 400 424
Unilever Capital Corporation, 6.875%, Due 11/1/2005......... 1,000 1,111
Union Oil Company of California, 6.375%, Due 2/1/2004....... 1,880 1,934
Union Pacific Corporation, 5.84%, Due 5/25/2004............. 1,550 1,610
Verizon Wireless Capital LLC, 1.659%, Due 12/17/2003........ 2,000 1,999
Wal-Mart Stores, Incorporated, 6.55%, Due 8/10/2004......... 1,000 1,063
Vodafone Group PLC, 7.00%, Due 10/1/2003.................... 1,000 1,022
--------
TOTAL INDUSTRIAL........................................ 23,913
--------
UTILITY - 2.67%
Dominion Resources, Incorporated, VA, 7.60%, Due
7/15/2003................................................. 1,000 1,011
Occidental Petroleum Corporation, 6.50%, Due 4/1/2005....... 1,962 2,121
--------
TOTAL UTILITY........................................... 3,132
--------
TOTAL CORPORATE OBLIGATIONS............................. 76,632
--------
ASSET-BACKED SECURITIES - 20.31%
American Express Credit Account Master Trust 2000-1 A,
7.20%, Due 9/17/2007...................................... 2,395 2,624
Capital Auto Receivables Asset Trust 2002-2 A4, 4.50%, Due
10/15/2007................................................ 2,000 2,102
Chase Credit Card Owner Trust 1999-3 A, 6.66%, Due
1/15/2007................................................. 2,000 2,125
Chase Manhattan Auto Owner Trust 2000-A A4, 6.26%, Due
6/15/2007................................................. 3,000 3,109
Chemical Master Credit Card Trust 1996-2 A, 5.98%, Due
9/15/2008................................................. 3,000 3,186
Citibank Credit Card Master Trust 1 1999-7 A, 6.65%, Due
11/15/2006................................................ 3,000 3,233
DaimlerChrysler Auto Trust 2001-C A4, 4.63%, Due
12/6/2006................................................. 2,000 2,096
Discover Card Master Trust 1999-6 A, 6.85%, Due 7/17/2007... 2,438 2,648
Honda Auto Receivables 2002-3 A3, 3.00%, Due 5/18/2006...... 1,000 1,020
Honda Auto Receivables 2001-3 A4, 3.96%, Due 2/19/2007...... 1,625 1,676
--------
TOTAL ASSET-BACKED SECURITIES........................... 23,819
--------
</Table>
<Table>
<Caption>
SHARES
---------
SHORT-TERM INVESTMENTS - 1.33%
American AAdvantage Money Market Select Fund................ 1,561,577 1,562
--------
TOTAL SHORT-TERM INVESTMENTS............................ 1,562
--------
TOTAL INVESTMENTS - 98.74% (COST $113,263).................. 115,787
--------
ASSETS, NET OF OTHER LIABILITIES - 1.26%.................... 1,480
--------
TOTAL NET ASSETS - 100%..................................... $117,267
========
</Table>
- ---------------
(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 $1,285 or 1.10% of net assets.
See accompanying notes
- --------------------------------------------------------------------------------
57
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
LARGE CAP LARGE CAP
BALANCED VALUE GROWTH
----------- ----------- ----------
(IN THOUSANDS)
ASSETS:
Investments in securities, at value*.................... $ 563,118 $ 568,262 $ 36,310
Investments in Portfolio, at value...................... -- -- --
Cash.................................................... -- -- 26
Cash denominated in foreign currency (cost $610 Emerging
Markets).............................................. -- -- --
Dividends and interest receivable....................... 2,635 826 17
Receivable for investments sold......................... 1,842 3,087 731
Receivable for fund shares sold......................... 1,409 250 61
Receivable for variation margin on open futures
contracts............................................. 2 -- --
Other assets............................................ -- -- --
----------- ----------- ----------
TOTAL ASSETS........................................ 569,006 572,425 37,145
----------- ----------- ----------
LIABILITIES:
Payable for investments purchased....................... 6,186 1,530 811
Payable upon return of securities loaned................ 35,300 29,426 494
Payable for fund shares redeemed........................ 27 12 --
Payable for variation margin on open futures
contracts............................................. -- -- --
Dividends payable....................................... -- -- --
Management and investment advisory fees payable (Note
2).................................................... 379 386 60
Other liabilities....................................... 116 106 8
----------- ----------- ----------
TOTAL LIABILITIES................................... 42,008 31,460 1,373
----------- ----------- ----------
NET ASSETS.................................................. $ 526,998 $ 540,965 $ 35,772
=========== =========== ==========
ANALYSIS OF NET ASSETS:
Paid-in-capital......................................... 540,272 621,682 53,074
Undistributed net investment income..................... 1,046 1,385 28
Accumulated net realized loss........................... (23,394) (67,377) (17,412)
Unrealized appreciation (depreciation) of investments,
futures contracts and foreign currency................ 9,074 (14,725) 82
----------- ----------- ----------
NET ASSETS.................................................. $ 526,998 $ 540,965 $ 35,772
=========== =========== ==========
Shares outstanding (no par value):
Institutional Class..................................... 792,871 1,506,573 109
=========== =========== ==========
PlanAhead Class......................................... 973,107 1,313,143 N/A
=========== =========== ==========
AMR Class............................................... 45,773,696 39,552,063 7,649,299
=========== =========== ==========
Net asset value, offering and redemption price per share:
Institutional Class..................................... $ 11.43 $ 12.93 $ 4.67
=========== =========== ==========
PlanAhead Class......................................... $ 10.94 $ 12.48 N/A
=========== =========== ==========
AMR Class............................................... $ 11.08 $ 12.77 $ 4.68
=========== =========== ==========
*Cost of investments........................................ $ 557,803 $ 585,131 $ 36,237
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
58
- --------------------------------------------------------------------------------
<Table>
<Caption>
SMALL CAP INTERNATIONAL EMERGING HIGH YIELD INTERMEDIATE SHORT-TERM
VALUE EQUITY MARKETS BOND BOND BOND
----------- ------------- ---------- ----------- ------------ -----------
(IN THOUSANDS)
$ 267,413 $ -- $ 40,066 $ 227,639 $ 288,486 $ 115,787
-- 970,245 -- -- -- --
-- -- -- 15 -- --
-- -- 624 -- -- --
138 -- 178 4,246 2,244 1,486
1,659 -- 182 2,953 722 --
771 2,027 157 598 201 115
188 -- -- -- -- --
-- -- 5 1 42 --
----------- ----------- ---------- ----------- ----------- -----------
270,169 972,272 41,212 235,452 291,695 117,388
----------- ----------- ---------- ----------- ----------- -----------
1,796 -- 506 5,446 21,148 --
41,261 -- 3,548 13,552 27,318 --
27 1,447 -- 154 21 73
-- -- -- -- -- --
-- -- -- 436 237 19
307 142 105 318 46 28
25 83 -- 58 17 1
----------- ----------- ---------- ----------- ----------- -----------
43,416 1,672 4,159 19,964 48,787 121
----------- ----------- ---------- ----------- ----------- -----------
$ 226,753 $ 970,600 $ 37,053 $ 215,488 $ 242,908 $ 117,267
=========== =========== ========== =========== =========== ===========
242,710 1,214,470 43,849 207,002 247,864 122,820
657 (1,292) 204 -- -- (378)
(12,671) (168,034) (6,484) (30) (12,852) (7,699)
(3,943) (74,544) (516) 8,516 7,896 2,524
----------- ----------- ---------- ----------- ----------- -----------
$ 226,753 $ 970,600 $ 37,053 $ 215,488 $ 242,908 $ 117,267
=========== =========== ========== =========== =========== ===========
407,415 47,407,999 255,191 10,140,191 6,739,328 807,118
=========== =========== ========== =========== =========== ===========
3,271,806 9,654,869 25,404 10,451,150 683,239 377,244
=========== =========== ========== =========== =========== ===========
15,282,600 22,083,212 4,588,389 N/A 15,736,937 11,204,428
=========== =========== ========== =========== =========== ===========
$ 12.04 $ 12.26 $ 7.59 $ 10.46 $ 10.63 $ 9.48
=========== =========== ========== =========== =========== ===========
$ 11.88 $ 12.18 $ 7.56 $ 10.47 $ 10.47 $ 9.48
=========== =========== ========== =========== =========== ===========
$ 11.97 $ 12.31 $ 7.61 N/A $ 10.43 $ 9.46
=========== =========== ========== =========== =========== ===========
$ 273,091 N/A $ 40,595 $ 219,123 $ 280,591 $ 113,263
</Table>
- --------------------------------------------------------------------------------
59
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF OPERATIONS
Six Months Ended April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
LARGE CAP LARGE CAP SMALL CAP
BALANCED VALUE GROWTH VALUE
-------- --------- --------- ---------
(IN THOUSANDS)
INVESTMENT INCOME:
Investment Income Allocated from the Portfolio.......... $ -- $ -- $ -- $ --
Interest income......................................... 5,139 235 3 99
Dividend income (net of foreign taxes of $57, $112, $0,
$6, $0, $61, $0, $0, $0, respectively)................ 4,153 7,000 181 1,645
Income derived from commission recapture................ 7 95 3 19
Income derived from securities lending, net............. 31 13 1 40
Expenses Allocated from the AMR Investment Services
Portfolio............................................. -- -- -- --
-------- -------- ------- --------
TOTAL INVESTMENT INCOME............................. 9,330 7,343 188 1,803
-------- -------- ------- --------
EXPENSES:
Management and investment advisory fees (Note 2)........ 757 830 102 566
Administrative service fees (Note 2):
Institutional Class................................... 11 26 -- 12
PlanAhead Class....................................... 13 20 -- 37
Transfer agent fees:
Institutional Class................................... 13 1 -- 1
PlanAhead Class....................................... 4 4 -- 7
AMR Class............................................. 11 8 1 4
Fund Accounting fees.................................... 109 98 5 30
Professional fees....................................... 27 26 -- 4
Registration fees and expenses.......................... 11 12 1 11
Service Fees -- PlanAhead Class (Note 2)................ 13 20 -- 37
Other expenses.......................................... 39 32 -- 19
-------- -------- ------- --------
1,008 1,077 109 728
-------- -------- ------- --------
Less fees waived (Note 2)............................... -- -- -- --
-------- -------- ------- --------
TOTAL EXPENSES...................................... 1,008 1,077 109 728
-------- -------- ------- --------
NET INVESTMENT INCOME....................................... 8,322 6,266 79 1,075
-------- -------- ------- --------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on:
Investments........................................... 405 (13,281) (2,431) (10,779)
Foreign currency transactions......................... -- -- -- --
Futures............................................... (47) 81 22 (376)
Net realized loss allocated from Portfolio.............. -- -- -- --
Change in net unrealized appreciation or depreciation
of:
Investments........................................... 16,785 32,961 3,204 28,395
Foreign currency translations......................... -- -- -- --
Futures contracts..................................... 2,229 2,107 6 1,429
Change in net unrealized gain allocated from
Portfolio............................................. -- -- -- --
-------- -------- ------- --------
NET GAIN ON INVESTMENTS............................. 19,372 21,868 801 18,669
-------- -------- ------- --------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 27,694 $ 28,134 $ 880 $ 19,744
======== ======== ======= ========
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
60
- --------------------------------------------------------------------------------
<Table>
<Caption>
INTERNATIONAL EMERGING HIGH YIELD INTERMEDIATE SHORT-TERM
EQUITY MARKETS BOND BOND BOND
------------- -------- ---------- ------------ ----------
(IN THOUSANDS)
$ 11,960 $ -- $ -- $ -- $ --
-- 6 6,342 5,332 2,300
-- 502 -- -- --
-- -- -- -- --
-- 5 8 36 3
(2,176) -- -- -- --
-------- ------- ------- ------ ------
9,784 513 6,350 5,368 2,303
-------- ------- ------- ------ ------
-- 176 496 284 136
673 2 105 89 10
129 -- 77 5 4
50 -- 8 9 --
76 -- 18 1 1
4 1 -- 4 4
-- 51 14 26 11
17 2 -- 11 7
23 13 14 11 11
129 -- 77 5 4
49 1 9 7 4
-------- ------- ------- ------ ------
1,150 246 818 452 192
-------- ------- ------- ------ ------
-- -- 42 -- --
-------- ------- ------- ------ ------
1,150 246 776 452 192
-------- ------- ------- ------ ------
8,634 267 5,574 4,916 2,111
-------- ------- ------- ------ ------
-- (1,048) 2,255 1,447 304
-- 108 -- -- --
-- -- -- -- --
(28,386) -- -- -- --
-- 1,641 10,480 3,116 659
-- 1,269 -- -- --
-- -- -- -- --
61,396 -- -- -- --
-------- ------- ------- ------ ------
33,010 1,970 12,735 4,563 963
-------- ------- ------- ------ ------
$ 41,644 $ 2,237 $18,309 $9,479 $3,074
======== ======= ======= ====== ======
</Table>
- --------------------------------------------------------------------------------
61
AMERICAN AADVANTAGE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
- --------------------------------------------------------------------------------
<Table>
<Caption>
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,
2003 2002 2003 2002 2003 2002
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income............. $ 8,322 $ 22,820 $ 6,266 $ 13,729 $ 79 $ 85
Net realized gain (loss) on
investments, futures, and
foreign currency transactions... 358 (19,434) (13,200) (41,557) (2,409) (8,539)
Change in net unrealized
appreciation or depreciation of
investments, futures contracts,
and foreign currency
translations.................... 19,014 (31,940) 35,068 (39,427) 3,210 1,396
-------- --------- -------- --------- ------- -------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. 27,694 (28,554) 28,134 (67,255) 880 (7,058)
-------- --------- -------- --------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class............. (105) (5,693) (502) (211) -- --
PlanAhead Class................. (421) (435) (333) (222) -- --
AMR Class....................... (22,194) (20,504) (12,821) (14,794) (107) (29)
Net realized gain on investments:
Institutional Class............. -- (1,030) -- (121) -- --
PlanAhead Class................. -- (84) -- (149) -- --
AMR Class....................... -- (3,458) -- (7,694) -- --
-------- --------- -------- --------- ------- -------
NET DISTRIBUTIONS TO
SHAREHOLDERS................ (22,720) (31,204) (13,656) (23,191) (107) (29)
-------- --------- -------- --------- ------- -------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares..... 30,237 111,202 18,036 85,242 12,940 20,300
Reinvestment of dividends and
distributions................... 22,704 31,145 13,368 23,106 107 29
Cost of shares redeemed........... (37,998) (271,864) (53,734) (145,685) (6,066) (9,029)
Shares acquired from merger....... -- -- -- -- -- --
Redemption fees................... -- -- -- -- -- --
-------- --------- -------- --------- ------- -------
NET INCREASE (DECREASE) IN NET
ASSETS FROM CAPITAL SHARE
TRANSACTIONS................ 14,943 (129,517) (22,330) (37,337) 6,981 11,300
-------- --------- -------- --------- ------- -------
NET INCREASE (DECREASE) IN NET
ASSETS.............................. 19,917 (189,275) (7,852) (127,783) 7,754 4,213
-------- --------- -------- --------- ------- -------
NET ASSETS:
Beginning of period............... 507,081 696,356 548,817 676,600 28,018 23,805
-------- --------- -------- --------- ------- -------
END OF PERIOD*.................... $526,998 $ 507,081 $540,965 $ 548,817 $35,772 $28,018
======== ========= ======== ========= ======= =======
* Includes undistributed net
investment income (loss) of..... $ 1,046 $ 14,238 $ 1,385 $ 8,825 $ 28 $ 56
======== ========= ======== ========= ======= =======
<Caption>
SMALL CAP VALUE
-------------------------
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, OCTOBER 31,
2003 2002
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income............. $ 1,075 $ 2,581
Net realized gain (loss) on
investments, futures, and
foreign currency transactions... (11,155) 5,775
Change in net unrealized
appreciation or depreciation of
investments, futures contracts,
and foreign currency
translations.................... 29,824 (30,512)
-------- --------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. 19,744 (22,156)
-------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class............. (11) (22)
PlanAhead Class................. (371) (7)
AMR Class....................... (2,228) (1,747)
Net realized gain on investments:
Institutional Class............. (125) (156)
PlanAhead Class................. (849) (64)
AMR Class....................... (4,420) (9,735)
-------- --------
NET DISTRIBUTIONS TO
SHAREHOLDERS................ (8,004) (11,731)
-------- --------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares..... 45,350 199,422
Reinvestment of dividends and
distributions................... 8,004 11,729
Cost of shares redeemed........... (57,647) (99,330)
Shares acquired from merger....... -- --
Redemption fees................... -- --
-------- --------
NET INCREASE (DECREASE) IN NET
ASSETS FROM CAPITAL SHARE
TRANSACTIONS................ (4,293) 111,821
-------- --------
NET INCREASE (DECREASE) IN NET
ASSETS.............................. 7,447 77,934
-------- --------
NET ASSETS:
Beginning of period............... 219,306 141,372
-------- --------
END OF PERIOD*.................... $226,753 $219,306
======== ========
* Includes undistributed net
investment income (loss) of..... $ 657 $ 2,192
======== ========
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
62
- --------------------------------------------------------------------------------
<Table>
<Caption>
INTERNATIONAL EQUITY EMERGING MARKETS HIGH YIELD BOND INTERMEDIATE BOND
------------------------- ------------------------- ------------------------- -------------------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31,
2003 2002 2003 2002 2003 2002 2003 2002
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
$ 8,634 $ 16,465 $ 267 $ 471 $ 5,574 $ 6,426 $ 4,916 $ 8,707
(28,386) (78,487) (940) (1,557) 2,255 (1,471) 1,447 (373)
61,396 (33,591) 2,910 1,421 10,480 (1,561) 3,116 (660)
--------- ----------- ------- -------- -------- -------- -------- --------
41,644 (95,613) 2,237 335 18,309 3,394 9,479 7,674
--------- ----------- ------- -------- -------- -------- -------- --------
(15,830) (9,850) (12) (21) (3,273) (6,388) (1,474) (3,441)
(2,465) (1,966) -- -- (2,301) (38) (73) (28)
(8,401) (6,474) (319) (366) -- -- (3,369) (5,238)
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
--------- ----------- ------- -------- -------- -------- -------- --------
(26,696) (18,290) (331) (387) (5,574) (6,426) (4,916) (8,707)
--------- ----------- ------- -------- -------- -------- -------- --------
236,856 1,875,187 4,553 25,988 173,145 76,632 42,480 128,116
24,545 17,162 331 387 2,966 5,932 3,498 8,444
(208,156) (1,811,884) (4,238) (13,977) (82,200) (23,965) (28,341) (71,882)
-- -- -- -- -- -- -- 101
716 268 -- -- -- -- -- --
--------- ----------- ------- -------- -------- -------- -------- --------
53,961 80,733 646 12,398 93,911 58,599 17,637 64,779
--------- ----------- ------- -------- -------- -------- -------- --------
68,909 (33,170) 2,552 12,346 106,646 55,567 22,200 63,746
--------- ----------- ------- -------- -------- -------- -------- --------
901,691 934,861 34,501 22,155 108,842 53,275 220,708 156,962
--------- ----------- ------- -------- -------- -------- -------- --------
$ 970,600 $ 901,691 $37,053 $ 34,501 $215,488 $108,842 $242,908 $220,708
========= =========== ======= ======== ======== ======== ======== ========
$ (1,292) $ 22,632 $ 204 $ 260 $ -- $ -- $ -- $ --
========= =========== ======= ======== ======== ======== ======== ========
<Caption>
SHORT-TERM BOND
-------------------------
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, OCTOBER 31,
2003 2002
----------- -----------
(UNAUDITED)
$ 2,111 $ 4,024
304 (545)
659 (429)
-------- --------
3,074 3,050
-------- --------
(190) (321)
(74) (104)
(2,504) (4,120)
-- --
-- --
-- --
-------- --------
(2,768) (4,545)
-------- --------
23,033 56,909
2,649 4,451
(10,569) (44,870)
-- --
-- --
-------- --------
15,113 16,490
-------- --------
15,419 14,995
-------- --------
101,848 86,853
-------- --------
$117,267 $101,848
======== ========
$ (378) $ --
======== ========
</Table>
- --------------------------------------------------------------------------------
63
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
April 30, 2003 (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 Intermediate Bond Fund and the American AAdvantage
Short-Term Bond Fund (each a "Fund" and collectively, the "Funds"), each a
series of the Trust.
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.
Each Fund has multiple classes of shares. Differences between the classes
include the services offered to and the expenses borne by each class and certain
voting rights. 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 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, 2003 the International
Fund's investment was 94.64% of the Portfolio.
The financial statements of the Portfolio, including Notes to the 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 includes a discussion of investment
valuation, security transactions and investment income, the Management Agreement
and securities lending.
Reorganization
Prior to March 1, 2002, the American AAdvantage Balanced Fund, the American
AAdvantage Large Cap Value Fund, the American AAdvantage Small Cap Value Fund,
the American AAdvantage Emerging Markets Fund, the American AAdvantage
Intermediate Bond Fund and the American AAdvantage Short-Term Bond Fund (the
"AAdvantage Funds") invested all of their investable assets in the respective
portfolio of the AMR Investment Services Trust.
At the close of business on February 28, 2002, the AMR Investment Services
Balanced Portfolio, the AMR Investment Services Large Cap Value Portfolio, the
AMR Investment Services Small Cap Value Portfolio, the AMR Investment Services
International Equity Portfolio and the AMR Investment
- --------------------------------------------------------------------------------
64
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Services Short-Term Bond Portfolio redeemed for cash the investment of each
respective American AAdvantage Mileage Fund ("Mileage Funds") as follows (in
thousands):
<Table>
American AAdvantage Balanced Mileage Fund................... $2,115
American AAdvantage Large Cap Value Mileage Fund............ $4,653
American AAdvantage Small Cap Value Mileage Fund............ $ 435
American AAdvantage International Equity Mileage Fund....... $3,734
American AAdvantage Short-Term Bond Mileage Fund............ $ 406
</Table>
Each of the respective American AAdvantage Mileage Funds was then
liquidated.
Also on February 28, 2002, the American AAdvantage Intermediate Bond
Fund -- Plan Ahead Class acquired all the net assets of the American AAdvantage
Intermediate Bond Mileage Fund pursuant to a Plan of Reorganization approved by
the shareholders on February 20, 2002. The acquisition was accomplished by a
tax-free exchange of 9,983.218 shares of the Plan Ahead Class of the American
AAdvantage Intermediate Bond Fund for 9,904.962 shares of the American
AAdvantage Intermediate Bond Mileage Fund outstanding on February 28, 2002. On
that date the American AAdvantage Intermediate Bond Mileage Fund had net assets
of $101,130, including $16,041 of unrealized appreciation.
Upon completion of the Mileage Fund transactions, the AAdvantage Funds were
the sole shareholders in the respective AMR Investment Services Portfolios ("the
Terminating Portfolios"). Accordingly, on February 28, 2002, each AAdvantage
Fund withdrew its interest in the respective Terminating Portfolio. Each
AAdvantage Fund received a distribution of cash and securities from its
respective Terminating Portfolio with a market value equal to the AAdvantage
Fund's investment in the Terminating Portfolio at the close of business as
follows (in thousands):
<Table>
American AAdvantage Balanced Fund........................... $722,131
American AAdvantage Large Cap Value Fund.................... $711,475
American AAdvantage Small Cap Value Fund.................... $219,017
American AAdvantage Emerging Markets Fund................... $ 32,312
American AAdvantage Intermediate Bond Fund.................. $162,254
American AAdvantage Short-Term Bond Fund.................... $ 85,839
</Table>
The Terminating Portfolios then ceased operations.
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.
Securities that are primarily traded on foreign securities exchanges are
generally valued at the preceding closing values of such securities on their
respective exchanges where primarily traded. Over-the-counter equity securities
are valued on the basis of the last bid price on that date prior to the close of
trading.
- --------------------------------------------------------------------------------
65
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
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 Trust's Board of Trustees
(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 bid price of such currencies
against U.S. dollars as last quoted by a recognized dealer. Income, expenses and
purchases and sales of investments are translated into U.S. dollars at the rate
of exchange prevailing on the respective dates of such transactions. The 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 reported with all other foreign currency gains and losses in
the Fund's Statement of Operations.
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.
- --------------------------------------------------------------------------------
66
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
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 by U.S. Treasury or
Government agency securities. 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
exceeds the carrying value of the repurchase agreement.
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 and High Yield Bond 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.
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,
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 normally will be paid annually after the close of the fiscal year
in which realized.
Dividends are determined in accordance with income tax principles which may
treat certain transactions differently than generally accepted accounting
principles. Accordingly, the character of distributions and composition of net
assets for tax purposes differ from those reflected in the accompanying
financial statements.
- --------------------------------------------------------------------------------
67
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
The tax character of distributions during the six months ended April 30,
2003 and the fiscal year ended October 31, 2002 were as follows:
<Table>
<Caption>
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,
2003 2002 2003 2002 2003 2002
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
DISTRIBUTIONS PAID FROM:
ORDINARY INCOME
Institutional Class............ $ 105,000 $ 5,693,000 $ 502,000 $ 211,000 $ -- $ --
Plan Ahead Class............... 421,000 435,000 333,000 222,000 -- --
AMR Class...................... 22,194,000 20,504,000 12,821,000 14,794,000 107,000 29,000
LONG-TERM CAPITAL GAIN
Institutional Class............ -- 1,030,000 -- 121,000 -- --
Plan Ahead Class............... -- 84,000 -- 149,000 -- --
AMR Class...................... -- 3,458,000 -- 7,694,000 -- --
----------- ----------- ----------- ----------- -------- -------
TOTAL DISTRIBUTIONS PAID... $22,720,000 $31,204,000 $13,656,000 $23,191,000 $107,000 $29,000
----------- ----------- ----------- ----------- -------- -------
</Table>
<Table>
<Caption>
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,
2003 2002 2003 2002 2003 2002
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
DISTRIBUTIONS PAID FROM:
ORDINARY INCOME
Institutional Class............. $ 117,000 $ 119,000 $15,830,000 $ 9,850,000 $ 12,000 $ 21,000
Plan Ahead Class................ 1,089,000 47,000 2,465,000 1,966,000 -- --
AMR Class....................... 5,971,000 7,821,000 8,401,000 6,474,000 319,000 366,000
LONG-TERM CAPITAL GAIN
Institutional Class............. 19,000 59,000 -- -- -- --
Plan Ahead Class................ 130,000 24,000 -- -- -- --
AMR Class....................... 678,000 3,661,000 -- -- -- --
---------- ----------- ----------- ----------- -------- --------
TOTAL DISTRIBUTIONS PAID.... $8,004,000 $11,731,000 $26,696,000 $18,290,000 $331,000 $387,000
---------- ----------- ----------- ----------- -------- --------
</Table>
<Table>
<Caption>
HIGH YIELD BOND INTERMEDIATE BOND SHORT-TERM BOND
------------------------- ------------------------- -------------------------
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,
2003 2002 2003 2002 2003 2002
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
DISTRIBUTIONS PAID FROM:
ORDINARY INCOME
Institutional Class............... $3,273,000 $6,388,000 $1,474,000 $3,441,000 $ 190,000 $ 321,000
Plan Ahead Class.................. 2,301,000 38,000 73,000 28,000 74,000 104,000
AMR Class......................... -- -- 3,369,000 5,238,000 2,504,000 4,120,000
LONG-TERM CAPITAL GAIN
Institutional Class............... -- -- -- -- -- --
Plan Ahead Class.................. -- -- -- -- -- --
AMR Class......................... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
TOTAL DISTRIBUTIONS PAID...... $5,574,000 $6,426,000 $4,916,000 $8,707,000 $2,768,000 $4,545,000
---------- ---------- ---------- ---------- ---------- ----------
</Table>
- --------------------------------------------------------------------------------
68
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
As of April 30, 2003, the components of distributable earnings were as
follows:
<Table>
<Caption>
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.... $564,940,000 $598,222,000 $ 38,505,000 $275,399,000 $1,291,957,000 $42,040,000
Unrealized appreciation......... 37,621,000 48,271,000 1,674,000 15,247,000 77,095,000 2,702,000
Unrealized depreciation......... (39,443,000) (78,231,000) (3,869,000) (23,233,000) (172,203,000) (4,676,000)
------------ ------------ ------------ ------------ -------------- -----------
Net unrealized/(depreciation)... (1,822,000) (29,960,000) (2,195,000) (7,986,000) (95,108,000) (1,974,000)
Undistributed ordinary income... 4,579,000 1,841,000 22,000 1,027,000 160,000 258,000
Undistributed long-term gain/
(loss)......................... (15,247,000) (51,187,000) (15,128,000) (8,680,000 (145,308,000) (3,968,000)
------------ ------------ ------------ ------------ -------------- -----------
Distributable earnings.......... $(12,490,000) $(79,306,000) $(17,301,000) $(15,639,000) $ (240,256,000) $(5,684,000)
============ ============ ============ ============ ============== ===========
<Caption>
HIGH YIELD INTERMEDIATE SHORT-TERM
BOND FUND BOND FUND BOND FUND
------------ ------------- ------------
Cost basis of Investments for
federal income tax purposes.... $219,128,000 $280,660,000 $114,260,000
Unrealized appreciation......... 9,148,000 7,910,000 1,784,000
Unrealized depreciation......... (637,000) (84,000) (257,000)
------------ ------------ ------------
Net unrealized/(depreciation)... 8,511,000 7,826,000 1,527,000
Undistributed ordinary income... 279,000 787,000 466,000
Undistributed long-term gain/
(loss)......................... (2,283,000) (14,180,000) (9,927,000)
------------ ------------ ------------
Distributable earnings.......... $ 6,507,000 $ (5,567,000) $ (7,934,000)
============ ============ ============
</Table>
The differences between book-basis and tax-basis unrealized
appreciation/(depreciation) is attributable primarily to the tax deferral of
losses from wash sales, the realization for tax purposes of unrealized
gains/(losses) on certain derivative instruments, the difference between book
and tax amortization for premium and market discount, and the realization for
tax purposes of unrealized gains/(losses) on investment in passive foreign
investment companies.
Federal Income and Excise Taxes
It is the policy of each of the Funds to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all net investment income as well as any net realized
capital gains on the sale of investments. Therefore, no federal income or excise
tax provision is required. At April 30, 2003, capital loss carryforward
positions for federal income tax purposes were as follows:
<Table>
<Caption>
FUND AMOUNT EXPIRES
- ---- ------------ -------
Balanced.................................................... $ 18,008,000 2010
Large Cap Value............................................. 40,572,000 2010
Large Cap Growth............................................ 13,001,000 2008-2010
International Equity........................................ 112,374,000 2009-2010
Emerging Markets............................................ 3,968,000 2009-2010
High Yield Bond............................................. 2,283,000 2009-2010
Intermediate Bond........................................... 14,180,000 2008-2010
Short-Term Bond............................................. 9,927,000 2003-2010
</Table>
Expenses
Expenses directly attributable to a Fund are charged to that Fund's
operations. Expenses directly attributable to a class of shares are charged to
that class. Expenses incurred by the Trust with respect to any two or more of
the Funds are allocated in proportion to the net assets of each Fund, except
where allocations of direct expenses to each Fund can otherwise be made fairly.
Each share of each Fund, regardless of class, bears equally those expenses that
are allocated to the Fund as a whole.
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
- --------------------------------------------------------------------------------
69
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
the amounts reported in the financial statements and accompanying notes. Actual
results may differ from those estimated.
Changes in Accounting Policy
Effective November 1, 2001, the Funds adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing premium
and discount on all debt securities, as required. Upon adoption, the Balanced
and Short-Term Bond Funds decreased the cost of securities by $153,000 and
$428,000, respectively, reflecting the cumulative amortization that would have
been recognized had amortization been in effect from the purchase date of each
holding. For the period ended October 31, 2002, interest income decreased by
$609,000, net realized gain on investments increased by $475,000 and the change
in net unrealized appreciation increased by $134,000 for the Balanced Fund.
During the same period interest income decreased by $520,000, net realized loss
on investments decreased by $339,000 and the change in net unrealized
depreciation decreased by $181,000 for the Short-Term Bond Fund. For the period
ended April 30, 2003, interest income decreased by $326,000, net realized gain
on investment increased by $222,000 and the change in net unrealized
appreciation increased by $104,000 for the Balanced Fund. During the same
period, interest income decreased by $656,000, net realized gain on investment
increased by $267,000 and the change in net unrealized appreciation increased by
$389,000 for the Short-Term Bond Fund.
This change had no effect on either of the Fund's net assets or total
return.
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 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 and High Yield Bond 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
- --------------------------------------------------------------------------------
70
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
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, 2003 were as
follows (dollars in thousands):
<Table>
<Caption>
AMOUNTS PAID TO NET AMOUNTS
MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY
FEE RATE FEE ADVISERS MANAGER
----------- ---------- --------------- -----------
Balanced Fund...................................... .225%-.70% $757 $502 $255
Large Cap Value Fund............................... .225%-.70% 830 563 267
Large Cap Growth Fund.............................. .50%-.70% 102 86 16
Small Cap Value Fund............................... .50%-.60% 566 458 108
Emerging Markets Fund.............................. .80%-1.20% 176 158 18
High Yield Bond Fund............................... .65% 496 422 74
Intermediate Bond Fund............................. .25% 284 117 167
</Table>
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.
The Manager and the Investment Adviser have each contractually agreed to
waive a portion of their fees through October 31, 2003 to the extent that Total
Fund Operating Expenses exceed 0.90%. During the six months ended April 30,
2003, management fees waived were as follows (in thousands):
<Table>
<Caption>
WAIVED BY
INVESTMENT WAIVED BY
ADVISER MANAGER
---------- ---------
High Yield Bond Fund........................................ $21 $21
</Table>
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 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):
<Table>
Balanced Fund............................................... $ 5
Large Cap Value Fund........................................ 3
Small Cap Value Fund........................................ 6
Emerging Markets Fund....................................... 1
High Yield Bond Fund........................................ 1
Intermediate Bond Fund...................................... 5
</Table>
Administrative Service Agreement
The Manager and the Trust entered into an Administrative Service 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 and PlanAhead Classes
of each of the Funds.
- --------------------------------------------------------------------------------
71
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Distribution Plan
The Trust has adopted a "defensive" Distribution 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.
Services Agreement
The Manager and the Trust entered into a Service Agreement which obligates
the Manager to oversee additional shareholder servicing of the PlanAhead Class.
As compensation for performing the duties required under the Service Agreement,
the Manager receives 0.25% based on the daily net assets of the PlanAhead Class.
Investment in Affiliated Funds
The Balanced, Large Cap Value, Large Cap Growth, Small Cap Value, Emerging
Markets, High Yield Bond, Intermediate Bond and Short-Term Bond Funds may invest
in the American AAdvantage Money Market Select Fund (the "Select Fund"), an
open-end management investment company managed by the Manager. The Manager
receives from the Select Fund an annualized fee equal to 0.10% of the average
daily net assets. Income distributions from the Select Fund are recorded as
interest income in the accompanying financial statements and totaled $247,128,
$216,451, $3,383, $91,190, $5,407, $141,646 and $21,257 during the period for
the Balanced, Large Cap Value, Large Cap Growth, Small Cap Value, Emerging
Markets, Intermediate Bond and Short-Term Bond Funds, respectively. Cash
collateral received by certain Funds is invested in the Select Fund and the AMR
Enhanced Yield Business Trust (the "Business Trust"). See further discussion on
securities lending in Note 4.
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, 2003, the
cost of air transportation was not material to any of the Funds. 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.
- --------------------------------------------------------------------------------
72
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended April 30, 2003 (excluding
short-term investments) are as follows (in thousands):
<Table>
<Caption>
LARGE CAP LARGE CAP SMALL CAP EMERGING HIGH YIELD
BALANCED VALUE GROWTH VALUE MARKETS BOND INTERMEDIATE SHORT-TERM
FUND FUND FUND FUND FUND FUND BOND FUND BOND FUND
-------- --------- --------- --------- -------- ---------- ------------ ----------
Purchases................. $144,938 $61,913 $29,942 $ 70,990 $10,921 $167,611 $197,732 $44,414
Proceeds from sales....... $161,648 $89,513 $22,987 $102,057 $11,224 $ 82,998 $160,006 $27,600
</Table>
The Intermediate Bond Fund had purchases and sales of U.S. Government
securities of $26,926 and $39,478, respectively.
4. SECURITIES LENDING
The Balanced, Large Cap Value, Large Cap Growth, Small Cap Value, Emerging
Markets, High Yield Bond, 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 the 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, 2003, the Funds had securities on loan as follows:
<Table>
<Caption>
MARKET VALUE OF
FUND SECURITIES ON LOAN NON-CASH COLLATERAL CASH COLLATERAL
- ---- ------------------ ------------------- ---------------
Balanced................................ $34,298,350 $ -- $35,299,662
Large Cap Value......................... 28,320,277 -- 29,425,929
Large Cap Growth........................ 487,600 -- 494,188
Small Cap Value......................... 39,586,707 46,886 41,260,569
Emerging Markets........................ 3,323,275 3,612 3,548,534
High Yield Bond......................... 13,270,477 -- 13,551,821
Intermediate Bond....................... 26,933,980 -- 27,318,279
</Table>
The Custodian for each Fund, other than High Yield Bond, invested the cash
collateral in the Business Trust and the Select Fund. Income earned on these
investments is reported as Income derived from securities lending in the
Statements of Operations.
The Manager serves as Trustee and as investment adviser to the Business
Trust and the Select Fund. The Manager receives from the Business Trust and
Select Fund an annualized fee equal to 0.10% of the average daily net assets.
5. COMMISSION RECAPTURE
The Funds have established brokerage commission recapture arrangements with
certain brokers or dealers. If a Fund 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
- --------------------------------------------------------------------------------
73
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
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, 2003 is as follows:
<Table>
<Caption>
UNREALIZED
MARKET APPRECIATION/
TYPE OF FUTURE EXPIRATION CONTRACTS VALUE (DEPRECIATION)
- -------------- ---------- --------- ----------- --------------
BALANCED FUND:
S&P 500 Index......................................... June 2003 232 $53,133,800 $3,759,141
LARGE CAP VALUE FUND:
Emini S&P 500 Index................................... June 2003 171 39,163,275 2,144,795
LARGE CAP GROWTH FUND:
Emini S&P 500 Index................................... June 2003 9 412,245 7,695
SMALL CAP VALUE FUND:
Russell 2000 Index.................................... June 2003 131 26,111,575 1,735,083
</Table>
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, 2003 (Unaudited)
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ---------------------- -------------------
BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ------------- ------- --------- ------- ----------- ------- ---------
Shares sold................................ 374 $ 4,070 100 $ 1,056 2,315 $ 25,111
Reinvestment of dividends.................. 8 92 39 418 2,049 22,194
Shares redeemed............................ (409) (4,498) (143) (1,516) (2,984) (31,984)
------- --------- ------- ----------- ------ ---------
Net increase (decrease) in shares
outstanding.............................. (27) $ (336) (4) $ (42) 1,380 $ 15,321
======= ========= ======= =========== ====== =========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ---------------------- -------------------
LARGE CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- --------- ------- ----------- ------- ---------
Shares sold................................ 299 $ 3,760 222 $ 2,681 941 $ 11,595
Reinvestment of dividends.................. 17 214 27 333 1,022 12,821
Shares redeemed............................ (530) (6,610) (254) (3,043) (3,638) (44,081)
------- --------- ------- ----------- ------ ---------
Net decrease in shares outstanding......... (214) $ (2,636) (5) $ (29) (1,675) $ (19,665)
======= ========= ======= =========== ====== =========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS AMR CLASS
-------------------- ----------------------
LARGE CAP GROWTH FUND SHARES AMOUNT SHARES AMOUNT
- --------------------- ------- --------- ------- -----------
Shares sold................................ -- $ -- 2,835 $ 12,940
Reinvestment of dividends.................. -- -- 24 107
Shares redeemed............................ -- -- (1,384) (6,066)
------- --------- ------- -----------
Net increase in shares outstanding......... -- $ -- 1,475 $ 6,981
======= ========= ======= ===========
</Table>
- --------------------------------------------------------------------------------
74
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ---------------------- -------------------
SMALL CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- --------- ------- ----------- ------- ---------
Shares sold................................ 349 $ 3,979 2,152 $ 24,978 1,433 $ 16,393
Reinvestment of dividends.................. 12 136 107 1,219 579 6,649
Shares redeemed............................ (1,898) (22,258) (430) (4,798) (2,762) (30,591)
------- --------- ------- ----------- ------ ---------
Net increase (decrease) in shares
outstanding.............................. (1,537) $ (18,143) 1,829 $ 21,399 (750) $ (7,549)
======= ========= ======= =========== ====== =========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ---------------------- -------------------
INTERNATIONAL EQUITY FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ------------------------- ------- --------- ------- ----------- ------- ---------
Shares sold................................ 10,490 $ 123,074 8,205 $ 95,704 1,546 $ 18,078
Reinvestment of dividends.................. 1,158 13,713 207 2,431 707 8,401
Shares redeemed*........................... (8,650) (102,257) (7,095) (82,970) (1,898) (22,213)
------- --------- ------- ----------- ------ ---------
Net increase in shares outstanding......... 2,998 $ 34,530 1,317 $ 15,165 355 $ 4,266
======= ========= ======= =========== ====== =========
</Table>
* Net of Redemption Fees
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ---------------------- -------------------
EMERGING MARKETS FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- --------------------- ------- --------- ------- ----------- ------- ---------
Shares sold................................ 8 $ 55 25 $ 184 587 $ 4,314
Reinvestment of dividends.................. 2 12 -- -- 42 319
Shares redeemed............................ -- -- -- -- (572) (4,238)
------- --------- ------- ----------- ------ ---------
Net increase in shares outstanding......... 10 $ 67 25 $ 184 57 $ 395
======= ========= ======= =========== ====== =========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS
-------------------- ----------------------
HIGH YIELD BOND FUND SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- --------- ------- -----------
Shares sold................................ 6,331 $ 63,927 10,915 $ 109,218
Reinvestment of dividends.................. 254 2,579 38 387
Shares redeemed............................ (7,329) (72,904) (920) (9,296)
------- --------- ------- -----------
Net increase (decrease) in shares
outstanding.............................. (744) $ (6,398) 10,033 $ 100,309
======= ========= ======= ===========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ---------------------- -------------------
INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ---------------------- ------- --------- ------- ----------- ------- ---------
Shares sold................................ 294 $ 3,102 664 $ 6,878 3,149 $ 32,500
Reinvestment of dividends.................. 10 107 2 22 326 3,369
Shares redeemed............................ (753) (7,896) (147) (1,522) (1,839) (18,923)
------- --------- ------- ----------- ------ ---------
Net increase (decrease) in shares
outstanding.............................. (449) $ (4,687) 519 $ 5,378 1,636 $ 16,946
======= ========= ======= =========== ====== =========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ---------------------- -------------------
SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- --------- ------- ----------- ------- ---------
Shares sold................................ 123 $ 1,166 407 $ 3,851 1,905 $ 18,016
Reinvestment of dividends.................. 8 74 7 71 265 2,504
Shares redeemed............................ (213) (2,010) (409) (3,874) (496) (4,685)
------- --------- ------- ----------- ------ ---------
Net increase (decrease) in shares
outstanding.............................. (82) $ (770) 5 $ 48 1,674 $ 15,835
======= ========= ======= =========== ====== =========
</Table>
- --------------------------------------------------------------------------------
75
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Year Ended October 31, 2002
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ---------------------- -------------------
BALANCED FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ------------- ------- --------- ------- ----------- ------- ---------
Shares sold................................ 3,527 $ 41,875 416 $ 4,967 5,439 $ 64,360
Reinvestment of dividends.................. 554 6,667 44 516 1,997 23,962
Shares redeemed............................ (16,328) (188,773) (507) (5,958) (6,696) (77,133)
------- --------- ------- ----------- ------ ---------
Net increase (decrease) in capital shares
outstanding.............................. (12,247) $(140,231) (47) $ (475) 740 $ 11,189
======= ========= ======= =========== ====== =========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ---------------------- -------------------
LARGE CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- --------- ------- ----------- ------- ---------
Shares sold................................ 1,292 $ 17,936 2,268 $ 30,589 2,534 $ 36,717
Reinvestment of dividends.................. 16 246 25 371 1,514 22,489
Shares redeemed............................ (282) (3,985) (1,852) (25,285) (8,442) (116,415)
------- --------- ------- ----------- ------ ---------
Net increase (decrease) in capital shares
outstanding.............................. 1,026 $ 14,197 441 $ 5,675 (4,394) $ (57,209)
======= ========= ======= =========== ====== =========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS AMR CLASS
-------------------- ----------------------
LARGE CAP GROWTH FUND SHARES AMOUNT SHARES AMOUNT
- --------------------- ------- --------- ------- -----------
Shares sold................................ -- $ -- 3,748 $ 20,300
Reinvestment of dividends.................. -- -- 5 29
Shares redeemed............................ -- -- (1,774) (9,029)
------- --------- ------- -----------
Net increase in capital shares
outstanding.............................. -- $ -- 1,979 $ 11,300
======= ========= ======= ===========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ---------------------- -------------------
SMALL CAP VALUE FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- --------- ------- ----------- ------- ---------
Shares sold................................ 2,296 $ 32,038 1,910 $ 25,673 10,370 $ 141,711
Reinvestment of dividends.................. 14 178 6 70 927 11,481
Shares redeemed............................ (568) (6,849) (577) (7,272) (7,036) (85,209)
------- --------- ------- ----------- ------ ---------
Net increase in capital shares
outstanding.............................. 1,742 $ 25,367 1,339 $ 18,471 4,261 $ 67,983
======= ========= ======= =========== ====== =========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ---------------------- -------------------
INTERNATIONAL EQUITY FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ------------------------- ------- --------- ------- ----------- ------- ---------
Shares sold................................ 56,942 $ 789,155 76,125 $ 1,032,877 3,890 $ 53,155
Reinvestment of dividends.................. 625 8,727 142 1,961 461 6,474
Shares redeemed............................ (50,862) (712,783) (76,321) (1,039,202) (4,403) (59,899)
------- --------- ------- ----------- ------ ---------
Net increase (decrease) in capital shares
outstanding.............................. 6,705 $ 85,099 (54) $ (4,096) (52) $ (270)
======= ========= ======= =========== ====== =========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- ---------------------- -------------------
EMERGING MARKETS FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- --------------------- ------- --------- ------- ----------- ------- ---------
Shares sold................................ 18 $ 152 -- $ 1 3,113 $ 25,835
Reinvestment of dividends.................. 3 21 -- -- 49 366
Shares redeemed............................ -- -- -- -- (1,737) (13,977)
------- --------- ------- ----------- ------ ---------
Net increase in capital shares
outstanding.............................. 21 $ 173 -- $ 1 1,425 $ 12,224
======= ========= ======= =========== ====== =========
</Table>
- --------------------------------------------------------------------------------
76
AMERICAN AADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS
-------------------- --------------------
HIGH YIELD BOND FUND SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- --------- ------- ---------
Shares sold.................................. 7,138 $ 71,171 566 $ 5,461
Reinvestment of dividends.................... 594 5,900 3 32
Shares redeemed.............................. (2,275) (22,513) (151) (1,452)
------- --------- ------- ---------
Net increase in capital shares outstanding... 5,457 $ 54,558 418 $ 4,041
======= ========= ======= =========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- -------------------- -------------------
INTERMEDIATE BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ---------------------- ------- --------- ------- --------- ------- ---------
Shares sold.................................. 3,344 $ 34,250 224 $ 2,267 9,032 $ 91,599
Reinvestment of dividends.................... 310 3,180 3 26 519 5,238
Shares redeemed.............................. (2,256) (23,199) (100) (1,015) (4,753) (47,668)
Shares acquired from merger.................. -- -- 10 101 -- --
------- --------- ------- --------- ------ ---------
Net increase in capital shares outstanding... 1,398 $ 14,231 137 $ 1,379 4,798 $ 49,169
======= ========= ======= ========= ====== =========
</Table>
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
-------------------- -------------------- -------------------
SHORT-TERM BOND FUND SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------- ------- --------- ------- --------- ------- ---------
Shares sold.................................. 2,306 $ 21,752 1,052 $ 9,909 2,674 $ 25,248
Reinvestment of dividends.................... 24 233 10 95 437 4,123
Shares redeemed.............................. (1,881) (17,746) (821) (7,729) (2,054) (19,395)
------- --------- ------- --------- ------ ---------
Net increase in capital shares outstanding... 449 $ 4,239 241 $ 2,275 1,057 $ 9,976
======= ========= ======= ========= ====== =========
</Table>
- --------------------------------------------------------------------------------
77
AMERICAN AADVANTAGE BALANCED FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
---------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ------------------------------------------------------
2003 2002 2001(D E) 2000(B) 1999 1998
----------- ------ --------- -------- -------- --------
(UNAUDITED)
Net asset value, beginning of period............ $10.97 $12.07 $ 12.27 $ 13.01 $ 14.56 $ 16.18
------ ------ -------- -------- -------- --------
Income from investment operations:
Net investment income(A C).................. 0.17(G) 0.11(G) 0.51 0.58 0.50 0.51
Net gains (losses) on securities (both
realized and unrealized)(C)............... 0.42(G) (0.69)(G) (0.03) (0.03) (0.39) 0.76
------ ------ -------- -------- -------- --------
Total income (loss) from investment
operations.................................... 0.59 (0.58) 0.48 0.55 0.11 1.27
------ ------ -------- -------- -------- --------
Less distributions:
Dividends from net investment income........ (0.13) (0.44) (0.68) (0.51) (0.49) (0.63)
Distributions from net realized gains on
securities................................ -- (0.08) -- (0.78) (1.17) (2.26)
------ ------ -------- -------- -------- --------
Total distributions............................. (0.13) (0.52) (0.68) (1.29) (1.66) (2.89)
------ ------ -------- -------- -------- --------
Net asset value, end of period.................. $11.43 $10.97 $ 12.07 $ 12.27 $ 13.01 $ 14.56
====== ====== ======== ======== ======== ========
Total return.................................... 5.39%(H) (5.14)% 4.07% 5.13% 0.53% 9.04%
====== ====== ======== ======== ======== ========
Ratios and supplemental data:
Net assets, end of period (in thousands).... $9,059 $8,994 $157,775 $260,880 $139,519 $145,591
Ratios to average net assets (annualized):
Expenses(C)............................... 0.92% 0.62% 0.62% 0.61% 0.59% 0.59%
Net investment income(C).................. 2.76%(G) 3.12%(G) 3.56% 4.39% 3.55% 3.54%
Portfolio turnover rate(F).................. 31%(H) 84% 122% 121% 90% 87%
</Table>
- ---------------
(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) Without the adoption of the change in amortization method as discussed in
Note 1 in the Notes to Financial Statements, these amounts would have been:
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
------------------------- ------------------------- -------------------------
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,
2003 2003 2003 2003 2003 2003
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
Net investment income.. $ 0.18 $ 0.13 $ 0.18 $ 0.42 $ 0.22 $ 0.49
Net gains (losses) on
securities (both
realized and
unrealized).......... $ 0.41 $(0.71) $ 0.38 $(1.00) $ 0.38 $(1.02)
Net investment income
ratio................ 2.89% 3.21% 2.85% 2.92% 3.42% 3.48%
</Table>
(H) Not annualized.
- --------------------------------------------------------------------------------
78
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS AMR CLASS
- ---------------------------------------------------------------------- -----------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ----------------------------------------------------- APRIL 30, ------------------------
2003 2002 2001(D E) 2000(B) 1999 1998 2003 2002 2001(D E)
- ----------- ------- --------- ------- ------- ------- ----------- -------- ---------
(UNAUDITED) (UNAUDITED)
$ 10.81 $ 11.88 $ 12.08 $ 12.79 $ 14.35 $ 16.03 $ 10.98 $ 12.06 $ 12.27
------- ------- ------- ------- ------- ------- -------- -------- --------
0.17(G) 0.41(G) 0.51 0.53 0.44 0.47 0.22(G) 0.48(G) 0.56
0.39(G) (0.99)(G) (0.06) -- (0.39) 0.75 0.38(G) (1.01)(G) (0.05)
------- ------- ------- ------- ------- ------- -------- -------- --------
0.56 (0.58) 0.45 0.53 0.05 1.22 0.60 (0.53) 0.51
------- ------- ------- ------- ------- ------- -------- -------- --------
(0.43) (0.41) (0.65) (0.46) (0.44) (0.64) (0.50) (0.47) (0.72)
-- (0.08) -- (0.78) (1.17) (2.26) -- (0.08) --
------- ------- ------- ------- ------- ------- -------- -------- --------
(0.43) (0.49) (0.65) (1.24) (1.61) (2.90) (0.50) (0.55) (0.72)
------- ------- ------- ------- ------- ------- -------- -------- --------
$ 10.94 $ 10.81 $ 11.88 $ 12.08 $ 12.79 $ 14.35 $ 11.08 $ 10.98 $ 12.06
======= ======= ======= ======= ======= ======= ======== ======== ========
5.31%(H) (5.18)% 3.84% 4.88% 0.22% 8.73% 5.58%(H) (4.71)% 4.38%
======= ======= ======= ======= ======= ======= ======== ======== ========
$10,642 $10,561 $12,176 $11,643 $22,753 $40,717 $507,297 $487,526 $526,405
0.95% 0.90% 0.84% 0.90% 0.90% 0.89% 0.37% 0.35% 0.36%
2.72%(G) 2.83%(G) 3.29% 4.01% 3.21% 3.23% 3.29%(G) 3.39%(G) 3.77%
31%(H) 84% 122% 121% 90% 87% 31%(H) 84% 122%
<Caption>
AMR CLASS
- ----------- ------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ------------------------------
2003 2000(B) 1999 1998
- ----------- -------- -------- --------
(UNAUDITED)
$ 10.81 $ 13.02 $ 14.57 $ 16.23
------- -------- -------- --------
0.17(G 0.61 0.54 0.55
0.39(G (0.03) (0.39) 0.76
------- -------- -------- --------
0.56 0.58 0.15 1.31
------- -------- -------- --------
(0.43) (0.55) (0.53) (0.71)
-- (0.78) (1.17) (2.26)
------- -------- -------- --------
(0.43) (1.33) (1.70) (2.97)
------- -------- -------- --------
$ 10.94 $ 12.27 $ 13.02 $ 14.57
======= ======== ======== ========
5.31%(H 5.37% 0.83% 9.34%
======= ======== ======== ========
$10,642 $525,040 $840,935 $886,908
0.95% 0.35% 0.34% 0.33%
2.72%(G 4.54% 3.81% 3.79%
31%(H 121% 90% 87%
</Table>
- --------------------------------------------------------------------------------
79
AMERICAN AADVANTAGE LARGE CAP VALUE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
---------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ------------------------------------------------------
2003 2002 2001(B G) 2000(E) 1999(D) 1998
----------- ------- --------- ------- ------- --------
(UNAUDITED)
Net asset value, beginning of period.............. $ 12.55 $ 14.51 $ 15.83 $ 18.69 $ 20.93 $ 21.63
------- ------- ------- ------- ------- --------
Income from investment operations:
Net investment income (loss)(A C).............. 0.08 0.27 0.28 0.47 0.38 0.40
Net gains (losses) on securities (both realized
and unrealized)(C)........................... 0.59 (1.76) (0.61) 0.06 0.04 0.89
------- ------- ------- ------- ------- --------
Total income (loss) from investment operations.... 0.67 (1.49) (0.33) 0.53 0.42 1.29
------- ------- ------- ------- ------- --------
Less distributions:
Dividends from net investment income........... (0.29) (0.30) (0.50) (0.34) (0.40) (0.41)
Distributions from net realized gains on
securities................................... -- (0.17) (0.49) (3.05) (2.26) (1.58)
------- ------- ------- ------- ------- --------
Total distributions............................... (0.29) (0.47) (0.99) (3.39) (2.66) (1.99)
------- ------- ------- ------- ------- --------
Net asset value, end of period.................... $ 12.93 $ 12.55 $ 14.51 $ 15.83 $ 18.69 $ 20.93
======= ======= ======= ======= ======= ========
Total return...................................... 5.38%(H) (10.83)% (2.21)% 4.81% 1.72% 6.28%
======= ======= ======= ======= ======= ========
Ratios and supplemental data:
Net assets, end of period (in thousands)....... $19,485 $21,589 $10,081 $ 7,594 $45,039 $216,548
Ratios to average net assets (annualized):
Expenses(C).................................. 0.63% 0.61% 0.64% 0.53% 0.59% 0.57%
Net investment income(C)..................... 2.13% 1.82% 1.76% 3.71% 1.94% 1.86%
Portfolio turnover rate(F)..................... 12%(H) 34% 60% 58% 33% 40%
</Table>
- ---------------
(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 advisor 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 advisor to the Large Cap Value Fund on December 1, 2000.
(H) Not annualized.
- --------------------------------------------------------------------------------
80
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS AMR CLASS
--------------------------------------------------------------- ---------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ------------------------------------------------- APRIL 30, -------------------------------
2003 2002 2001(B G) 2000(E) 1999(D) 1998 2003 2002 2001(B G) 2000(E)
----------- ------- --------- ------- ------- ------- ----------- -------- --------- --------
(UNAUDITED) (UNAUDITED)
$ 12.09 $ 14.00 $ 15.40 $ 18.41 $ 20.67 $ 21.38 $ 12.40 $ 14.34 $ 15.75 $ 18.77
------- ------- ------- ------- ------- ------- -------- -------- -------- --------
(0.02) 0.25 0.26 0.60 0.35 0.35 0.15 0.31 0.34 0.65
0.66 (1.74) (0.62) (0.13) 0.01 0.86 0.53 (1.75) (0.63) (0.09)
------- ------- ------- ------- ------- ------- -------- -------- -------- --------
0.64 (1.49) (0.36) 0.47 0.36 1.21 0.68 (1.44) (0.29) 0.56
------- ------- ------- ------- ------- ------- -------- -------- -------- --------
(0.25) (0.25) (0.55) (0.43) (0.36) (0.34) (0.31) (0.33) (0.63) (0.53)
-- (0.17) (0.49) (3.05) (2.26) (1.58) -- (0.17) (0.49) (3.05)
------- ------- ------- ------- ------- ------- -------- -------- -------- --------
(0.25) (0.42) (1.04) (3.48) (2.62) (1.92) (0.31) (0.50) (1.12) (3.58)
------- ------- ------- ------- ------- ------- -------- -------- -------- --------
$ 12.48 $ 12.09 $ 14.00 $ 15.40 $ 18.41 $ 20.67 $ 12.77 $ 12.40 $ 14.34 $ 15.75
======= ======= ======= ======= ======= ======= ======== ======== ======== ========
5.30%(H) (11.13)% (2.47)% 4.56% 1.41% 5.94% 5.57%(H) (10.62)% (1.98)% 5.08%
======= ======= ======= ======= ======= ======= ======== ======== ======== ========
$16,387 $15,941 $12,280 $11,507 $20,095 $40,907 $505,093 $511,287 $654,239 $737,111
0.93% 0.93% 0.89% 0.84% 0.90% 0.86% 0.38% 0.36% 0.36% 0.34%
1.82% 1.53% 1.54% 2.51% 1.62% 1.58% 2.37% 2.06% 2.09% 3.07%
12%(H) 34% 60% 58% 33% 40% 12%(H) 34% 60% 58%
<Caption>
AMR CLASS
----------- -----------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, -----------------------
2003 1999(D) 1998
----------- ---------- ----------
(UNAUDITED)
$ 12.09 $ 21.03 $ 21.70
------- ---------- ----------
(0.02) 0.49 0.46
0.66 (0.02) 0.89
------- ---------- ----------
0.64 0.47 1.35
------- ---------- ----------
(0.25) (0.47) (0.44)
-- (2.26) (1.58)
------- ---------- ----------
(0.25) (2.73) (2.02)
------- ---------- ----------
$ 12.48 $ 18.77 $ 21.03
======= ========== ==========
5.30%(H 1.97% 6.56%
======= ========== ==========
$16,387 $1,384,358 $1,614,432
0.93% 0.34% 0.31%
1.82% 2.17% 2.12%
12%(H) 33% 40%
</Table>
- --------------------------------------------------------------------------------
81
AMERICAN AADVANTAGE LARGE CAP GROWTH FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS AMR CLASS
---------------------------------------------- ----------------------------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED OCTOBER 31, JULY 31 TO ENDED OCTOBER 31, JULY 31 TO
APRIL 30, ------------------ OCTOBER 31, APRIL 30, ------------------ OCTOBER 31,
2003 2002 2001 2000 2003 2002 2001 2000
----------- ------- ------- ----------- ----------- ------- ------- -----------
(UNAUDITED) (UNAUDITED)
Net asset value, beginning of
period....................... $ 4.53 $ 5.66 $ 9.54 $10.00 $ 4.54 $ 5.67 $ 9.55 $ 10.00
------ ------- ------- ------ ------- ------- ------- -------
Income from investment
operations:
Net investment income
(loss)(A)................ 0.01 0.03 (0.01) -- 0.01 0.02 0.01 0.01
Net gains (losses) on
securities (both realized
and unrealized)(A)....... 0.15 (1.16) (3.86) (0.46) 0.14 (1.14) (3.87) (0.46)
------ ------- ------- ------ ------- ------- ------- -------
Total income (loss) from
investment operations........ 0.16 (1.13) (3.87) (0.46) 0.15 (1.12) (3.86) (0.45)
------ ------- ------- ------ ------- ------- ------- -------
Less distributions:
Dividends from net
investment income........ (0.02) -- (0.01) -- (0.01) (0.01) (0.02) --
------ ------- ------- ------ ------- ------- ------- -------
Total distributions........... (0.02) -- (0.01) -- (0.01) (0.01) (0.02) --
------ ------- ------- ------ ------- ------- ------- -------
Net asset value, end of
period....................... $ 4.67 $ 4.53 $ 5.66 $ 9.54 $ 4.68 $ 4.54 $ 5.67 $ 9.55
====== ======= ======= ====== ======= ======= ======= =======
Total return.................. 3.43%(C) (19.96)% (40.62)% (4.60)%(C) 3.41%(C) (19.85)% (40.51)% (4.50)%(C)
====== ======= ======= ====== ======= ======= ======= =======
Ratios and supplemental data:
Net assets, end of period
(in thousands)........... $ 1 $ 1 $ 1 $ 1 $35,771 $28,017 $23,804 $19,505
Ratios to average net
assets (annualized)(A):
Expenses................. 0.87% 0.87% 0.99% 0.99% 0.68% 0.67% 0.70% 0.74%
Net investment income
(loss)................. 0.27% 0.06% (0.26)% -- 0.49% 0.30% 0.08% 0.25%
Decrease reflected in
above expense ratio due
to absorption of
expenses by the
Manager(A)............. -- -- 0.02% 0.29% -- -- 0.02% 0.14%
Portfolio turnover
rate(B).................. 73%(C) 135% 85% 9%(C) 73%(C) 135% 85% 9%(C)
</Table>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the 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.
- --------------------------------------------------------------------------------
82
[EAGLE GRAPHIC]
- --------------------------------------------------------------------------------
83
AMERICAN AADVANTAGE SMALL CAP VALUE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
------------------------------------------------------------
SIX MONTHS DECEMBER 31,
ENDED YEAR ENDED OCTOBER 31, 1998 TO
APRIL 30, ----------------------------- OCTOBER 31,
2003 2002 2001(C) 2000 1999
----------- ------- ------- ------- ------------
(UNAUDITED)
Net asset value, beginning of period................. $ 11.28 $ 11.69 $ 10.08 $ 9.07 $ 10.00
------- ------- ------- ------- -------
Income from investment operations:
Net investment income (loss)(A).................. 0.41 (0.01) 0.16 0.21 0.07
Net gains (losses) on securities (both realized
and unrealized)(A)............................. 0.65 0.47 1.81 1.01 (1.00)
------- ------- ------- ------- -------
Total income (loss) from investment operations....... 1.06 0.46 1.97 1.22 (0.93)
------- ------- ------- ------- -------
Less distributions:
Dividends from net investment income............. (0.02) (0.11) (0.19) (0.04) --
Distributions from net realized gains on
securities..................................... (0.28) (0.76) (0.17) (0.17) --
------- ------- ------- ------- -------
Total distributions.................................. (0.30) (0.87) (0.36) (0.21) --
------- ------- ------- ------- -------
Net asset value, end of period....................... $ 12.04 $ 11.28 $ 11.69 $ 10.08 $ 9.07
======= ======= ======= ======= =======
Total return......................................... 9.61%(D) 3.29% 20.16% 13.78% (9.30)%(D)
======= ======= ======= ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands)......... $ 4,908 $21,936 $ 2,364 $ 1,955 $ 2,117
Ratios to average net assets (annualized):
Expenses(A).................................... 0.84% 0.82% 0.89% 0.92% 0.96%
Net investment income(A)....................... 0.91% 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)....................... 35%(D) 81% 93% 63% 31%(D)
</Table>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the 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) Not annualized.
- --------------------------------------------------------------------------------
84
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS AMR CLASS
- ----------------------------------------------------------- ---------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, MARCH 1 TO ENDED YEAR ENDED OCTOBER 31, MARCH 1 TO
APRIL 30, --------------------------- OCTOBER 31, APRIL 30, ----------------------------- OCTOBER 31,
2003 2002 2001(C) 2000 1999 2003 2002 2001(C) 2000 1999
----------- ------- ------- ------- ----------- ----------- -------- -------- ------- -----------
(UNAUDITED) (UNAUDITED)
$ 11.22 $ 11.64 $ 10.08 $ 9.05 $ 9.13 $ 11.30 $ 11.71 $ 10.10 $ 9.08 $ 9.13
------- ------- ------- ------- ------- -------- -------- -------- ------- -------
0.02 0.06 0.15 0.08 0.02 0.06 0.15 0.15 0.22 0.04
1.04 0.36 1.76 1.14 (0.10) 1.03 0.34 1.85 1.04 (0.09)
------- ------- ------- ------- ------- -------- -------- -------- ------- -------
1.06 0.42 1.91 1.22 (0.08) 1.09 0.49 2.00 1.26 (0.05)
------- ------- ------- ------- ------- -------- -------- -------- ------- -------
(0.12) (0.08) (0.18) (0.02) -- (0.14) (0.14) (0.22) (0.07) --
(0.28) (0.76) (0.17) (0.17) -- (0.28) (0.76) (0.17) (0.17) --
------- ------- ------- ------- ------- -------- -------- -------- ------- -------
(0.40) (0.84) (0.35) (0.19) -- (0.42) (0.90) (0.39) (0.24) --
------- ------- ------- ------- ------- -------- -------- -------- ------- -------
$ 11.88 $ 11.22 $ 11.64 $ 10.08 $ 9.05 $ 11.97 $ 11.30 $ 11.71 $ 10.10 $ 9.08
======= ======= ======= ======= ======= ======== ======== ======== ======= =======
9.58%(D) 2.99% 19.58% 13.76% (0.88)%(D) 9.78%(D) 3.54% 20.52% 14.19% (0.55)%(D)
======= ======= ======= ======= ======= ======== ======== ======== ======= =======
$38,857 $16,190 $ 1,197 $ 440 $ 74 $182,988 $181,180 $137,811 $53,715 $64,662
1.13% 1.11% 1.17% 1.18% 1.28% 0.59% 0.56% 0.64% 0.68% 0.70%
0.52% 0.52% 1.06% 1.71% 0.57% 1.09% 1.09% 1.55% 1.89% 1.14%
-- -- -- 0.06% 0.18% -- -- -- 0.06% 0.24%
35%(D) 81% 93% 63% 31%(D) 35%(D) 81% 93% 63% 31%(D)
</Table>
- --------------------------------------------------------------------------------
85
AMERICAN AADVANTAGE INTERNATIONAL EQUITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
-----------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, --------------------------------------------------------
2003 2002 2001(E) 2000 1999(B) 1998
----------- -------- -------- -------- -------- --------
(UNAUDITED)
Net asset value, beginning of period.................... $ 12.10 $ 13.77 $ 17.95 $ 19.36 $ 16.93 $ 17.08
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income(A D)........................... 0.11 0.21 0.24 0.36 0.35 0.33
Net gains (losses) on securities (both realized and
unrealized)(D)...................................... 0.41 (1.62) (2.96) 0.18 2.92 0.34
-------- -------- -------- -------- -------- --------
Total income (loss) from investment operations.......... 0.52 (1.41) (2.72) 0.54 3.27 0.67
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment income................. (0.36) (0.26) (0.22) (0.31) (0.35) (0.34)
Distributions from net realized gains on
securities.......................................... -- -- (1.24) (1.64) (0.49) (0.48)
-------- -------- -------- -------- -------- --------
Total distributions..................................... (0.36) (0.26) (1.46) (1.95) (0.84) (0.82)
-------- -------- -------- -------- -------- --------
Net asset value, end of period.......................... $ 12.26 $ 12.10 $ 13.77 $ 17.95 $ 19.36 $ 16.93
======== ======== ======== ======== ======== ========
Total return............................................ 4.37%(F) (10.51)% (16.54)% 2.36% 19.98% 4.19%
======== ======== ======== ======== ======== ========
Ratios and supplemental data:
Net assets, end of period (in thousands)............. $581,158 $537,476 $519,151 $587,869 $601,923 $408,581
Ratios to average net assets (annualized):
Expenses(D)......................................... 0.77% 0.75% 0.78% 0.72% 0.64% 0.80%
Net investment income(D)............................ 1.90% 1.56% 1.54% 1.64% 2.00% 2.05%
Portfolio turnover rate(C)........................... 15%(F) 43% 36% 45% 63% 24%
</Table>
- ---------------
(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 advisor 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 advisor to the International Equity Fund on
August 31, 2001.
(F) Not annualized.
- --------------------------------------------------------------------------------
86
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS AMR CLASS
- ------------------------------------------------------------------ -----------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, ENDED
APRIL 30, ------------------------------------------------ APRIL 30,
2003 2002 2001(E) 2000 1999(B) 1998 2003
----------- ------- -------- ------- ------- ------- -----------
(UNAUDITED) (UNAUDITED)
$ 11.95 $ 13.58 $ 17.72 $ 19.13 $ 16.75 $ 16.92 $ 12.18
-------- ------- -------- ------- ------- ------- --------
0.09 0.15 0.19 0.31 0.30 0.31 0.13
0.43 (1.56) (2.92) 0.18 2.89 0.31 0.39
-------- ------- -------- ------- ------- ------- --------
0.52 (1.41) (2.73) 0.49 3.19 0.62 0.52
-------- ------- -------- ------- ------- ------- --------
(0.29) (0.22) (0.17) (0.26) (0.32) (0.31) (0.39)
-- -- (1.24) (1.64) (0.49) (0.48) --
-------- ------- -------- ------- ------- ------- --------
(0.29) (0.22) (1.41) (1.90) (0.81) (0.79) (0.39)
-------- ------- -------- ------- ------- ------- --------
$ 12.18 $ 11.95 $ 13.58 $ 17.72 $ 19.13 $ 16.75 $ 12.31
======== ======= ======== ======= ======= ======= ========
4.44%(F) (10.57)% (16.79)% 2.08% 19.68% 3.94% 4.38%(F)
======== ======= ======== ======= ======= ======= ========
$117,603 $99,636 $113,948 $85,680 $60,602 $46,242 $271,839
1.15% 1.04% 1.10% 1.01% 0.93% 1.08% 0.51%
1.58% 1.35% 1.22% 1.43% 1.71% 1.72% 2.11%
15%(F) 43% 36% 45% 63% 24% 15%(F)
<Caption>
AMR CLASS
- --- ----------------------------------------------------
YEAR ENDED OCTOBER 31,
----------------------------------------------------
2002 2001(E) 2000 1999(B) 1998
-------- -------- -------- -------- --------
$ 13.86 $ 18.07 $ 19.46 $ 17.01 $ 17.15
-------- -------- -------- -------- --------
0.24 0.28 0.41 0.39 0.37
(1.62) (2.98) 0.20 2.94 0.34
-------- -------- -------- -------- --------
(1.38) (2.70) 0.61 3.33 0.71
-------- -------- -------- -------- --------
(0.30) (0.27) (0.36) (0.39) (0.37)
-- (1.24) (1.64) (0.49) (0.48)
-------- -------- -------- -------- --------
(0.30) (1.51) (2.00) (0.88) (0.85)
-------- -------- -------- -------- --------
$ 12.18 $ 13.86 $ 18.07 $ 19.46 $ 17.01
======== ======== ======== ======== ========
(10.26)% (16.35)% 2.69% 20.27% 4.44%
======== ======== ======== ======== ========
$264,579 $301,762 $428,329 $602,593 $496,040
0.49% 0.52% 0.46% 0.39% 0.53%
1.81% 1.78% 1.92% 2.25% 2.26%
43% 36% 45% 63% 24%
</Table>
- --------------------------------------------------------------------------------
87
AMERICAN AADVANTAGE EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
-----------------------------------------------
SIX MONTHS YEAR ENDED
ENDED OCTOBER 31, JULY 31, TO
APRIL 30, ----------------- OCTOBER 31,
2003 2002 2001 2000
----------- ------ ------- -----------
(UNAUDITED)
Net asset value, beginning of period........................ $ 7.20 $ 6.64 $ 8.17 $ 10.00
------- ------ ------- -------
Income from investment operations:
Net investment income(A)................................ 0.05 0.09 0.11 --
Net gains (losses) on securities (both realized and
unrealized)(A)........................................ 0.39 0.56 (1.62) (1.83)
------- ------ ------- -------
Total income (loss) from investment operations.............. 0.44 0.65 (1.51) (1.83)
------- ------ ------- -------
Less distributions:
Dividends from net investment income.................... (0.05) (0.09) (0.01) --
Distributions from net realized gains on securities..... -- -- (0.01) --
------- ------ ------- -------
Total distributions......................................... (0.05) (0.09) (0.02) --
------- ------ ------- -------
Net asset value, end of period.............................. $ 7.59 $ 7.20 $ 6.64 $ 8.17
======= ====== ======= =======
Total return................................................ 6.24%(C) 9.80% (18.52)% (18.30)%(C)
======= ====== ======= =======
Ratios and supplemental data:
Net assets, end of period (in thousands)................ $ 1,938 $1,769 $ 1,495 $ 1
Ratios to average net assets (annualized):
Expenses(A)........................................... 1.64% 1.51% 1.43% 1.87%
Net investment income (loss)(A)....................... 1.31% 1.11% 2.07% (0.47)%
Portfolio turnover rate(B).............................. 33%(C) 94% 95% 23%(C)
</Table>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the 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.
- --------------------------------------------------------------------------------
88
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS AMR CLASS
- --------------------------------- ---------------------------------------------------
SIX MONTHS SIX MONTHS YEAR ENDED
ENDED OCTOBER 1, TO ENDED OCTOBER 31, JULY 31, TO
APRIL 30, OCTOBER 31, APRIL 30, ------------------- OCTOBER 31,
2003 2002 2003 2002 2001 2000
----------- ------------- ----------- ------- ------- -----------
(UNAUDITED) (UNAUDITED)
$ 7.19 $ 6.86 $ 7.22 $ 6.65 $ 8.18 $ 10.00
------- ------ ------- ------- ------- -------
-- -- 0.05 0.09 0.13 --
0.44 0.33 0.41 0.59 (1.63) (1.82)
------- ------ ------- ------- ------- -------
0.44 0.33 0.46 0.68 (1.50) (1.82)
------- ------ ------- ------- ------- -------
(0.07) -- (0.07) (0.11) (0.02) --
-- -- -- -- (0.01) --
------- ------ ------- ------- ------- -------
(0.07) -- (0.07) (0.11) (0.03) --
------- ------ ------- ------- ------- -------
$ 7.56 $ 7.19 $ 7.61 $ 7.22 $ 6.65 $ 8.18
======= ====== ======= ======= ======= =======
6.10%(C) 4.81%(C) 6.35%(C) 10.10% (18.40)% (18.20)%(C)
======= ====== ======= ======= ======= =======
$ 192 $ 1 $34,923 $32,731 $20,660 $17,308
2.03% 1.87% 1.38% 1.26% 1.30% 1.60%
2.93% (0.25)% 1.52% 1.35% 1.76% (0.19)%
33%(C) 94%(D) 33%(C) 94% 95% 23%(C)
</Table>
- --------------------------------------------------------------------------------
89
AMERICAN AADVANTAGE HIGH YIELD BOND FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS
--------------------------------------------- -------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED DECEMBER 29, 2000 ENDED MARCH 1, TO
APRIL 30, OCTOBER 31, TO OCTOBER 31, APRIL 30, OCTOBER 31,
2003 2002 2001 2003 2002
----------- ----------- ----------------- ----------- -----------
(UNAUDITED) (UNAUDITED)
Net asset value, beginning of period....... $ 9.63 $ 9.82 $ 10.00 $ 9.63 $10.10
-------- -------- ------- -------- ------
Income from investment operations:
Net investment income.................. 0.39 0.80 0.71 0.38 0.50
Net gains (losses) on securities (both
realized and unrealized)............. 0.83 (0.19) (0.18) 0.84 (0.47)
-------- -------- ------- -------- ------
Total income from investment operations.... 1.22 0.61 0.53 1.22 0.03
-------- -------- ------- -------- ------
Less distributions:
Dividends from net investment income... (0.39) (0.80) (0.71) (0.38) (0.50)
-------- -------- ------- -------- ------
Total distributions........................ (0.39) (0.80) (0.71) (0.38) (0.50)
-------- -------- ------- -------- ------
Net asset value, end of period............. $ 10.46 $ 9.63 $ 9.82 $ 10.47 $ 9.63
======== ======== ======= ======== ======
Total return............................... 12.84%(A) 6.28% 5.33%(A) 12.63%(A) (0.26)%(A)
======== ======== ======= ======== ======
Ratios and supplemental data:
Net assets, end of period (in
thousands)........................... $106,085 $104,813 $53,275 $109,403 $4,029
Ratios to average net assets
(annualized):
Expenses............................. 0.89% 0.90% 0.90% 1.26% 1.27%
Net investment income................ 7.78% 8.02% 8.48% 7.26% 7.20%
Decrease reflected in above expense
ratio due to absorption of expenses
by the Manager..................... 0.10% 0.08% 0.17% -- --
Portfolio turnover rate................ 62%(A) 163% 145%(A) 62%(A) 163%(B)
</Table>
- ---------------
(A) Not annualized.
(B) Portfolio turnover rate is for the period November 1, 2001 through October
31, 2002.
- --------------------------------------------------------------------------------
90
[EAGLE GRAPHIC]
- --------------------------------------------------------------------------------
91
AMERICAN AADVANTAGE INTERMEDIATE BOND FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
--------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ------------------------------------------------
2003 2002 2001 2000 1999 1998
----------- ------- ------- ------ -------- --------
(UNAUDITED)
Net asset value, beginning of period............. $ 10.42 $ 10.51 $ 9.72 $ 9.58 $ 10.50 $ 10.17
------- ------- ------- ------ -------- --------
Income from investment operations:
Net investment income(A)..................... 0.22 0.51 0.57 0.59 0.56 0.59
Net gains (losses) on securities (both
realized and unrealized)(A)................ 0.21 (0.09) 0.79 0.14 (0.63) 0.34
------- ------- ------- ------ -------- --------
Total income (loss) from investment operations... 0.43 0.42 1.36 0.73 (0.07) 0.93
------- ------- ------- ------ -------- --------
Less distributions:
Dividends from net investment income......... (0.22) (0.51) (0.57) (0.59) (0.56) (0.59)
Distributions from net realized gains on
securities................................. -- -- -- -- (0.29) (0.01)
------- ------- ------- ------ -------- --------
Total distributions.............................. (0.22) (0.51) (0.57) (0.59) (0.85) (0.60)
------- ------- ------- ------ -------- --------
Net asset value, end of period................... $ 10.63 $ 10.42 $ 10.51 $ 9.72 $ 9.58 $ 10.50
======= ======= ======= ====== ======== ========
Total return..................................... 4.12%(C) 4.21% 14.36% 7.89% (0.83)% 9.37%
======= ======= ======= ====== ======== ========
Ratios and supplemental data:
Net assets, end of period (in thousands)..... $71,669 $74,919 $60,842 $ 115 $205,218 $178,840
Ratios to average net assets (annualized):
Expenses(A)................................ 0.57% 0.56% 0.54% 0.59% 0.55% 0.57%
Net investment income(A)................... 4.15% 4.99% 5.55% 6.31% 5.62% 5.74%
Decrease reflected in above expense ratio
due to absorption of expenses by the
Manager(A)............................... -- -- -- -- -- --
Portfolio turnover rate(B)................... 90%(C) 185% 164% 102% 123% 181%
</Table>
- ---------------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the 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, 1997 through October
31, 1998.
(E) Portfolio turnover rate is for the period November 1, 1998 through October
31, 1999.
- --------------------------------------------------------------------------------
92
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLAN AHEAD CLASS AMR CLASS
- ------------------------------------------------------------------ --------------------------------------------------------
SIX MONTHS MARCH 2 SIX MONTHS MARCH 1
ENDED YEAR ENDED OCTOBER 31, TO ENDED YEAR ENDED OCTOBER 31, TO
APRIL 30, ---------------------------------- OCTOBER 31, APRIL 30, ---------------------------- OCTOBER 31,
2003 2002 2001 2000 1999 1998 2003 2002 2001 2000 1999
----------- ------ ------- ------ ------ ----------- ----------- -------- ------- ------- -----------
(UNAUDITED) (UNAUDITED)
$ 10.27 $10.34 $ 9.57 $ 9.63 $10.55 $10.25 $ 10.22 $ 10.30 $ 9.53 $ 9.58 $ 9.95
------- ------ ------- ------ ------ ------ -------- -------- ------- ------- -------
0.20 0.48 0.53 0.59 0.53 0.37 0.23 0.53 0.58 0.64 0.39
0.20 (0.07) 0.77 (0.06) (0.63) 0.30 0.21 (0.08) 0.77 (0.05) (0.37)
------- ------ ------- ------ ------ ------ -------- -------- ------- ------- -------
0.40 0.41 1.30 0.53 (0.10) 0.67 0.44 0.45 1.35 0.59 0.02
------- ------ ------- ------ ------ ------ -------- -------- ------- ------- -------
(0.20) (0.48) (0.53) (0.59) (0.53) (0.37) (0.23) (0.53) (0.58) (0.64) (0.39)
-- -- -- -- (0.29) -- -- -- -- -- --
------- ------ ------- ------ ------ ------ -------- -------- ------- ------- -------
(0.20) (0.48) (0.53) (0.59) (0.82) (0.37) (0.23) (0.53) (0.58) (0.64) (0.39)
------- ------ ------- ------ ------ ------ -------- -------- ------- ------- -------
$ 10.47 $10.27 $ 10.34 $ 9.57 $ 9.63 $10.55 $ 10.43 $ 10.22 $ 10.30 $ 9.53 $ 9.58
======= ====== ======= ====== ====== ====== ======== ======== ======= ======= =======
3.91%(C) 4.10% 13.91% 5.76% (0.98)% 6.63%(C) 4.30%(C) 4.57% 14.58% 6.39% (0.17)%(C)
======= ====== ======= ====== ====== ====== ======== ======== ======= ======= =======
$ 7,156 $1,691 $ 300 $ 102 $1,545 $ 30 $164,083 $144,098 $95,820 $40,555 $46,655
0.86% 0.86% 0.83% 0.87% 0.85% 0.86% 0.30% 0.30% 0.30% 0.39% 0.30%
3.86% 4.60% 5.04% 6.07% 5.32% 5.21% 4.41% 5.23% 5.84% 6.72% 6.12%
-- -- 0.01% 0.02% -- -- -- -- -- -- --
90%(C) 185% 164% 102% 123% 181%(D) 90%(C) 185% 164% 102% 123%(E)
</Table>
- --------------------------------------------------------------------------------
93
AMERICAN AADVANTAGE SHORT-TERM BOND FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INSTITUTIONAL CLASS
-------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, --------------------------------------------------
2003 2002 2001 2000 1999 1998(A)
----------- ------ ------- ------ ------ -------
(UNAUDITED)
Net asset value, beginning of period.......... $ 9.45 $ 9.62 $ 9.21 $ 9.30 $ 9.63 $ 9.63
------ ------ ------- ------ ------ -------
Income from investment operations:
Net investment income(C).................. 0.17(D) 0.42(D) 0.57 0.62 0.53 0.62
Net gains (losses) on securities (both
realized and unrealized)(C)............. 0.09(D) (0.11)(D) 0.41 (0.10) (0.29) --
------ ------ ------- ------ ------ -------
Total income from investment operations....... 0.26 0.31 0.98 0.52 0.24 0.62
------ ------ ------- ------ ------ -------
Less distributions:
Dividends from net investment income...... (0.23) (0.48) (0.57) (0.61) (0.57) (0.62)
------ ------ ------- ------ ------ -------
Total distributions........................... (0.23) (0.48) (0.57) (0.61) (0.57) (0.62)
------ ------ ------- ------ ------ -------
Net asset value, end of period................ $ 9.48 $ 9.45 $ 9.62 $ 9.21 $ 9.30 $ 9.63
====== ====== ======= ====== ====== =======
Total return.................................. 2.79%(E) 3.37% 10.98% 5.83% 2.56% 6.60%
====== ====== ======= ====== ====== =======
Ratios and supplemental data:
Net assets, end of period (in
thousands).............................. $7,649 $8,396 $ 4,226 $3,687 $5,034 $18,453
Ratios to average net assets (annualized):
Expenses(C)............................. 0.51% 0.44% 0.51% 0.58% 0.62% 0.65%
Net investment income(C)................ 3.72%(D) 4.47%(D) 6.06% 6.61% 5.92% 6.43%
Decrease reflected in above expense
ratio due to absorption of expenses by
the Manager(C)........................ -- -- -- -- -- --
Portfolio turnover rate(B)................ 26%(E) 63% 104% 89% 115% 74%
</Table>
- ---------------
(A) Prior to March 1, 1998, the American AAdvantage Short-Term Bond Fund was
known as the American AAdvantage Limited-Term Income Fund.
(B) 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.
(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 Short-Term Bond Portfolio through February 28,
2002.
(D) Without the adoption of the changes in amortization method as discussed in
Note 1 in the Notes to Financial Statements, these amounts would have been:
<Table>
<Caption>
INSTITUTIONAL CLASS PLANAHEAD CLASS AMR CLASS
------------------------- ------------------------- -------------------------
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,
2003 2003 2003 2003 2003 2003
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
Net investment income......... $ 0.23 $ 0.47 $ 0.21 $ 0.46 $ 0.24 $ 0.49
Net gains (losses) on
securities (both realized
and unrealized)............. $ 0.03 $(0.16) $ 0.03 $(0.17) $ 0.02 $(0.16)
Net investment income ratio... 4.93% 5.07% 4.59% 4.75% 5.12% 5.23%
</Table>
(E) Not annualized.
- --------------------------------------------------------------------------------
94
- --------------------------------------------------------------------------------
<Table>
<Caption>
PLANAHEAD CLASS AMR CLASS
- -------------------------------------------------------------------- -------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ---------------------------------------------------- APRIL 30, ---------------------
2003 2002 2001 2000 1999 1998(A) 2003 2002 2001
- ----------- ------ ------- ------ ------ ------- ----------- ------- -------
(UNAUDITED) (UNAUDITED)
$ 9.45 $ 9.62 $ 9.21 $ 9.30 $ 9.64 $ 9.63 $ 9.44 $ 9.60 $ 9.20
------ ------ ------- ------ ------ ------- -------- ------- -------
0.16(D) 0.43(D) 0.55 0.59 0.54 0.60 0.19(D) 0.44(D) 0.59
0.08(D) (0.14)(D) 0.41 (0.09) (0.33) 0.01 0.07(D) (0.11)(D) 0.40
------ ------ ------- ------ ------ ------- -------- ------- -------
0.24 0.29 0.96 0.50 0.21 0.61 0.26 0.33 0.99
------ ------ ------- ------ ------ ------- -------- ------- -------
(0.21) (0.46) (0.55) (0.59) (0.55) (0.60) (0.24) (0.49) (0.59)
------ ------ ------- ------ ------ ------- -------- ------- -------
(0.21) (0.46) (0.55) (0.59) (0.55) (0.60) (0.24) (0.49) (0.59)
------ ------ ------- ------ ------ ------- -------- ------- -------
$ 9.48 $ 9.45 $ 9.62 $ 9.21 $ 9.30 $ 9.64 $ 9.46 $ 9.44 $ 9.60
====== ====== ======= ====== ====== ======= ======== ======= =======
2.62%(E) 3.16% 10.69% 5.56% 2.21% 6.50% 2.78%(E) 3.60% 11.07%
====== ====== ======= ====== ====== ======= ======== ======= =======
$3,577 $3,520 $ 1,257 $ 489 $1,638 $ 3,722 $106,041 $89,932 $81,370
0.85% 0.73% 0.75% 0.84% 0.84% 0.85% 0.32% 0.30% 0.33%
3.39%(D) 4.16%(D) 5.76% 6.29% 5.75% 6.24% 3.91%(D) 4.63%(D) 6.26%
-- 0.04% -- 0.10% 0.09% 0.08% -- -- --
26%(E) 63% 104% 89% 115% 74% 26%(E) 63% 104%
<Caption>
AMR CLASS
- ----------- -------------------------------
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, -------------------------------
2003 2000 1999 1998(A)
- ----------- ------- ------- -------
(UNAUDITED)
$ 9.45 $ 9.29 $ 9.62 $ 9.62
------ ------- ------- -------
0.16(D) 0.63 0.59 0.65
0.08(D) (0.09) (0.33) --
------ ------- ------- -------
0.24 0.54 0.26 0.65
------ ------- ------- -------
(0.21) (0.63) (0.59) (0.65)
------ ------- ------- -------
(0.21) (0.63) (0.59) (0.65)
------ ------- ------- -------
$ 9.48 $ 9.38 $ 9.29 $ 9.62
====== ======= ======= =======
2.62%(E) 6.09% 2.83% 6.93%
====== ======= ======= =======
$3,577 $56,714 $66,767 $95,056
0.85% 0.33% 0.35% 0.34%
3.39%(D) 6.88% 6.26% 6.71%
-- -- -- --
26%(E) 89% 115% 74%
</Table>
- --------------------------------------------------------------------------------
95
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ----------
(DOLLARS IN THOUSANDS)
STOCKS - 92.58%
AUSTRALIA - 2.38%
AUSTRALIA PREFERRED STOCK - 0.20%
The News Corporation+........ 345,000 $ 2,037
----------
TOTAL AUSTRALIA PREFERRED
STOCK.................. 2,037
----------
AUSTRALIA COMMON STOCK - 2.18%
Alumina Limited*............. 842,900 2,299
Australia & New Zealand
Banking Group Limited*..... 318,520 3,716
BHP Billiton Limited......... 840,800 4,755
Iluka Resources Limited...... 387,194 995
Mayne Group Limited*......... 1,341,200 2,483
QBE Insurance Group Limited,
144A (Note A)*............. 1,132,070 6,048
WMC Resources Limited+*...... 842,900 2,109
----------
TOTAL AUSTRALIA COMMON
STOCK.................. 22,405
----------
TOTAL AUSTRALIA.......... 24,442
----------
AUSTRIA COMMON STOCK - 0.06%
VA Technologie AG, 144A (Note
A)+*....................... 22,671 568
----------
TOTAL AUSTRIA COMMON
STOCK.................. 568
----------
TOTAL AUSTRIA............ 568
----------
BELGIUM COMMON STOCK - 0.42%
Fortis+*..................... 257,500 4,322
----------
TOTAL BELGIUM COMMON
STOCK.................. 4,322
----------
CANADA COMMON STOCK - 2.34%
Alcan, Incorporated.......... 134,200 3,929
BCE, Incorporated............ 249,200 4,925
Celestica, Incorporated+..... 544,100 6,258
Husky Energy, Incorporated+.. 309,200 3,535
Manulife Financial
Corporation................ 200,265 5,338
----------
TOTAL CANADA COMMON
STOCK.................. 23,985
----------
DENMARK COMMON STOCK - 0.87%
Novo Nordisk A/S............. 247,400 8,962
----------
TOTAL DENMARK COMMON
STOCK.................. 8,962
----------
FINLAND COMMON STOCK - 1.19%
KCI Konecranes Oyj........... 124,600 2,714
M-real Oyj................... 214,800 1,690
Stora Enso Oyj............... 227,600 2,474
UPM-Kymmene Oyj.............. 365,600 5,345
----------
TOTAL FINLAND COMMON
STOCK.................. 12,223
----------
FRANCE COMMON STOCK - 7.67%
Alstom, 144A (Note A)+*...... 220,212 447
Aventis S.A.*................ 306,052 15,544
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ----------
(DOLLARS IN THOUSANDS)
AXA*......................... 791,604 $ 12,023
BNP Paribas S.A.*............ 284,462 13,352
Compagnie Generale des
Etablissements Michelin*... 115,400 4,269
Lagardere S.C.A.*............ 117,600 4,494
Pechiney S.A.*............... 55,600 1,604
Schneider Electric S.A.*..... 46,700 2,211
Societe BIC S.A.+............ 56,737 1,995
Suez S.A.*................... 202,580 3,298
Total S.A.*.................. 105,914 13,889
Vinci S.A.*.................. 85,689 5,580
----------
TOTAL FRANCE COMMON
STOCK.................. 78,706
----------
GERMANY - 5.29%
GERMANY PREFERRED STOCK - 0.59%
Fresenius Medical Care AG*... 169,846 6,047
----------
TOTAL GERMANY PREFERRED
STOCK.................. 6,047
----------
GERMANY COMMON STOCK - 4.70%
BASF AG+*.................... 71,900 3,207
Bayer AG*.................... 111,600 2,036
Bayerische Motoren Werke
Aktiengesellschaft*........ 136,600 4,553
Celesio AG*.................. 148,865 5,904
Deutsche Post AG............. 592,000 7,063
E.ON AG*..................... 94,500 4,523
Fresenius Medical Care AG.... 45,000 2,258
Hugo Boss AG+*............... 253,350 3,506
Krones AG+................... 97,452 5,709
Merck KGaA................... 94,000 2,525
Muenchener Rueckversicherung-
Gesellschaft AG+........... 16,176 1,616
Siemens AG*.................. 41,500 2,069
Volkswagen AG*............... 92,300 3,245
----------
TOTAL GERMANY COMMON
STOCK.................. 48,214
----------
TOTAL GERMANY............ 54,261
----------
HONG KONG COMMON STOCK - 3.52%
ASM Pacific Technology
Limited*................... 1,941,000 4,816
Cheung Kong Holdings
Limited.................... 531,000 2,934
CLP Holdings Limited+........ 542,000 2,217
Henderson Land Development
Company Limited............ 1,588,000 3,940
Huaneng Power International,
Incorporated*.............. 1,948,000 1,848
Hutchison Whampoa Limited.... 177,000 985
PetroChina Company Limited*.. 32,664,000 7,455
SCMP Group Limited........... 3,435,000 1,299
Shandong International Power
Development Company
Limited.................... 11,920,000 2,583
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
96
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ----------
(DOLLARS IN THOUSANDS)
Swire Pacific Limited*....... 2,035,500 $ 8,039
----------
TOTAL HONG KONG COMMON
STOCK.................. 36,116
----------
IRELAND COMMON STOCK - 2.33%
Allied Irish Banks plc....... 464,894 7,135
Bank of Ireland.............. 241,100 2,946
Bank of Ireland+............. 14,000 173
CRH plc...................... 248,125 3,808
Depfa Bank plc+.............. 94,090 5,145
Greencore Group.............. 1,544,161 4,739
----------
TOTAL IRELAND COMMON
STOCK.................. 23,946
----------
ITALY COMMON STOCK - 3.66%
Alleanza Assicurazioni
S.p.A.*.................... 326,500 3,054
Banca Nazionale del Lavoro
S.p.A.+*................... 1,106,000 1,792
Eni S.p.A.*.................. 1,014,247 14,454
Riunione Adriatica di Sicurta
S.p.A.*.................... 192,193 2,771
Sanpaolo IMI S.p.A.*......... 310,000 2,557
Snam Rete Gas S.p.A.+........ 693,200 2,514
Telecom Italia S.p.A.*....... 1,272,950 10,399
----------
TOTAL ITALY COMMON
STOCK.................. 37,541
----------
JAPAN COMMON STOCK - 10.52%
Acom Company Limited......... 17,900 503
Canon, Incorporated.......... 323,000 13,054
DENSO Corporation............ 96,000 1,368
East Japan Railway Company... 1,340 6,067
FANUC Limited*............... 35,500 1,453
Hitachi Limited.............. 322,000 1,075
Honda Motor Company
Limited.................... 193,500 6,409
Kao Corporation*............. 206,000 3,757
Komatsu Limited*............. 764,000 2,915
Konica Corporation*.......... 1,161,340 10,624
Namco Limited*............... 320,100 4,485
NEC Corporation+*............ 372,000 1,163
Nintendo Company Limited..... 98,200 7,674
Nippon Telegraph & Telephone
Corporation................ 913 3,200
Nissan Motor Company
Limited.................... 1,049,000 8,048
Nomura Holdings,
Incorporated*.............. 167,000 1,654
NTT DoCoMo, Incorporated..... 1,703 3,513
Promise Company Limited...... 169,000 5,527
Sanyo Shinpan Finance Company
Limited.................... 145,800 3,405
Sompo Japan Insurance,
Incorporated*.............. 709,000 3,240
Sony Corporation............. 242,800 5,904
Takeda Chemical Industries
Limited.................... 94,800 3,474
Takefuji Corporation*........ 139,930 7,286
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ----------
(DOLLARS IN THOUSANDS)
Tokyo Gas Company Limited*... 657,000 $ 2,137
----------
TOTAL JAPAN COMMON
STOCK.................. 107,935
----------
MEXICO COMMON STOCK - 0.33%
Telefonos de Mexico S.A. de
C.V., ADR.................. 111,700 3,374
----------
TOTAL MEXICO COMMON
STOCK.................. 3,374
----------
NETHERLANDS COMMON STOCK - 7.08%
ABN AMRO Holding N.V.*....... 721,610 12,192
Akzo Nobel N.V.*............. 119,326 2,653
ASML Holding N.V.+........... 461,450 3,986
CNH Global NV................ 77,320 675
Hagemeyer N.V.*.............. 377,178 1,827
IHC Caland N.V............... 64,180 3,313
ING Groep N.V................ 620,892 10,082
Koninklijke (Royal) KPN
N.V.+...................... 704,000 4,683
Koninklijke (Royal) Philips
Electronics N.V............ 1,038,868 19,327
Royal Dutch Petroleum
Company+*.................. 148,000 6,053
TPG N.V.+.................... 214,270 3,343
Vedior N.V.*................. 683,351 4,507
----------
TOTAL NETHERLANDS COMMON
STOCK.................. 72,641
----------
NEW ZEALAND COMMON STOCK - 0.60%
Carter Holt Harvey
Limited*................... 2,333,889 2,128
Telecom Corporation of New
Zealand Limited............ 1,503,973 4,030
----------
TOTAL NEW ZEALAND COMMON
STOCK.................. 6,158
----------
NORWAY COMMON STOCK - 1.86%
Norsk Hydro ASA*............. 156,900 6,637
Statoil ASA*................. 193,600 1,535
Telenor ASA*................. 2,733,041 10,936
----------
TOTAL NORWAY COMMON
STOCK.................. 19,108
----------
PORTUGAL COMMON STOCK - 0.72%
Portugal Telecom, SGPS,
S.A........................ 1,038,807 7,431
----------
TOTAL PORTUGAL COMMON
STOCK.................. 7,431
----------
SINGAPORE COMMON STOCK - 1.49%
Creative Technology
Limited*................... 659,320 4,196
Development Bank of Singapore
Group Holdings Limited..... 579,795 2,841
Oversea-Chinese Banking
Corporation Limited........ 365,650 1,946
United Overseas Bank
Limited.................... 1,077,849 6,313
----------
TOTAL SINGAPORE COMMON
STOCK.................. 15,296
----------
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
97
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ----------
(DOLLARS IN THOUSANDS)
SOUTH KOREA COMMON STOCK - 0.78%
Kookmin Bank, ADR............ 140,510 $ 3,871
Korea Electric Power
Corporation................ 86,860 1,462
LG Electronics,
Incorporated............... 76,760 2,647
----------
TOTAL SOUTH KOREA COMMON
STOCK.................. 7,980
----------
SPAIN COMMON STOCK - 4.97%
Altadis S.A.................. 333,131 8,588
Banco Popular Espanol S.A.*.. 90,200 4,373
Banco Santander Central
Hispano S.A.*.............. 629,362 4,945
Endesa S.A.+*................ 286,145 4,059
Iberdrola S.A................ 215,157 3,465
Repsol YPF S.A............... 716,580 10,436
Telefonica S.A.*............. 1,347,830 14,906
Telefonica S.A.+............. 22,242 246
----------
TOTAL SPAIN COMMON
STOCK.................. 51,018
----------
SWEDEN COMMON STOCK - 2.75%
Atlas Copco AB*.............. 140,350 3,406
Autoliv, Incorporated+*...... 134,200 3,281
Electrolux AB*............... 193,300 3,627
ForeningsSparbanken AB....... 223,400 3,032
Nordea AB*................... 475,000 2,502
Sandvik AB*.................. 104,900 2,668
Stora Enso Oyj, Series A+.... 66,662 725
Stora Enso Oyj, Series R+*... 163,902 1,793
Volvo AB*.................... 360,500 7,206
----------
TOTAL SWEDEN COMMON
STOCK.................. 28,240
----------
SWITZERLAND COMMON STOCK - 6.97%
Adecco SA*................... 113,418 4,335
Centerpulse AG+.............. 8,079 1,766
Clariant AG+................. 150,000 1,676
Compagnie Financiere
Richemont AG+.............. 211,400 3,125
Credit Suisse Group*......... 354,915 8,478
Geberit AG................... 15,982 5,032
Nestle SA.................... 14,300 2,915
Novartis AG.................. 264,487 10,433
SIG Holding AG............... 119,370 12,344
Swiss Reinsurance............ 71,810 4,691
UBS AG*...................... 181,800 8,626
Zurich Financial Services
AG......................... 76,125 8,026
----------
TOTAL SWITZERLAND COMMON
STOCK.................. 71,447
----------
UNITED KINGDOM COMMON STOCK - 24.78%
Alliance and Leicester
plc*....................... 710,700 9,212
Amersham plc*................ 648,620 4,703
Arriva plc................... 1,496,174 7,664
Aviva plc.................... 785,393 5,523
BAE Systems plc.............. 3,151,558 6,397
</Table>
<Table>
<Caption>
SHARES VALUE
----------- ----------
(DOLLARS IN THOUSANDS)
Barclays plc................. 963,100 $ 6,654
BHP Billiton plc............. 924,279 4,727
Boots Group plc.............. 800,200 7,322
BP plc....................... 1,271,930 8,060
Brambles Industries plc...... 635,641 1,890
British American Tobacco
Industries plc............. 428,125 4,106
BT Group plc+................ 1,799,038 5,154
Cable and Wireless plc....... 1,452,300 1,747
Cadbury Schweppes plc........ 2,690,082 14,983
Celltech Group plc+.......... 171,700 701
Chubb plc.................... 2,250,167 2,401
Diageo plc................... 1,363,118 15,119
Dimension Data Holdings
plc+....................... 9,413,347 2,445
FirstGroup plc............... 895,952 3,437
GlaxoSmithKline plc.......... 476,100 9,542
Hanson plc+.................. 1,634,475 9,156
Hays plc..................... 3,430,819 4,579
HSBC Holdings plc............ 797,365 8,736
Imperial Chemical Industries
plc........................ 723,981 1,501
Imperial Tobacco Group plc... 291,340 4,875
International Power plc+..... 494,000 884
J. Sainsbury plc............. 429,500 1,623
Kidde plc.................... 1,680,500 1,934
Kingfisher plc............... 3,090,386 12,076
Lloyds TSB Group plc......... 786,050 5,170
Marks & Spencer Group plc.... 434,561 2,025
Reed Elsevier plc+........... 413,650 3,299
Reuters Group plc............ 1,979,047 4,270
Rolls-Royce plc.............. 966,500 1,402
Royal Bank of Scotland Group
plc........................ 386,346 10,133
SABMiller plc................ 1,101,612 7,588
Shell Transport & Trading
Company plc................ 754,900 4,521
Shire Pharmaceuticals Group
plc+....................... 277,700 1,784
Smiths Group plc............. 177,690 1,900
Spirent plc+................. 2,849,739 956
Tesco plc.................... 1,310,500 4,147
TI Automotive+............... 681,500 -
Unilever plc................. 1,529,700 15,036
United Business Media plc.... 1,139,939 4,555
Vodafone Group plc........... 6,291,993 12,419
Wolseley plc................. 582,535 5,633
WPP Group plc................ 296,000 2,106
----------
TOTAL UNITED KINGDOM
COMMON STOCK........... 254,095
----------
TOTAL STOCKS............. 949,795
----------
SHORT TERM INVESTMENTS - 30.96%
American AAdvantage Money
Market Select Fund......... 125,207,243 125,208
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
98
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES VALUE
----------- ----------
(DOLLARS IN THOUSANDS)
AMR Investments Enhanced
Yield Business Trust....... 192,040,302 $ 192,040
----------
TOTAL SHORT TERM
INVESTMENTS............ 317,248
----------
TOTAL INVESTMENTS - 123.54%
(COST $1,354,503).......... 1,267,043
----------
LIABILITIES, NET OF OTHER
ASSETS - (23.54%).......... (241,466)
----------
TOTAL NET ASSETS - 100%...... $1,025,577
==========
</Table>
- ---------------
(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 $7,063 or 0.69% of net assets.
* - All or a portion of this security is on loan at April 30, 2003. See Note 5
+ - non-income producing
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
INTERNATIONAL EQUITY SECTOR DIVERSIFICATION
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENT OF
NET ASSETS
----------
Consumer Discretionary...................................... 12.19%
Consumer Staples............................................ 9.24%
Energy...................................................... 7.47%
Financials.................................................. 22.84%
Health Care................................................. 7.42%
Industrials................................................. 12.75%
Information Technology...................................... 3.70%
Materials................................................... 5.72%
Short-Term Investments...................................... 30.96%
Telecommunications Services................................. 8.48%
Utilities................................................... 2.83%
Liabilities, net of other assets............................ (23.54%)
-------
NET ASSETS............................................ 100.00%
=======
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
99
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2003 (in thousands)(Unaudited)
- --------------------------------------------------------------------------------
<Table>
ASSETS:
Investments in securities, at value..................... $1,267,043
Cash.................................................... 19,547
Cash denominated in foreign currency (cost $104)........ 105
Unrealized appreciation on foreign currency contracts... 1,372
Dividends and interest receivable....................... 5,482
Reclaims receivable..................................... 13
Receivable for variation margin on open futures
contracts.............................................. 292
Receivable for investments sold......................... 4,155
----------
TOTAL ASSETS........................................ 1,298,009
----------
LIABILITIES:
Payable for investments purchased....................... 3,395
Payable upon return of securities loaned................ 267,984
Management and investment advisory fees payable (Note
2)..................................................... 916
Other liabilities....................................... 137
----------
TOTAL LIABILITIES................................... 272,432
----------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.... $1,025,577
==========
Cost of investments......................................... $1,354,503
</Table>
STATEMENT OF OPERATIONS
Six months ended April 30, 2003 (in thousands)(Unaudited)
- --------------------------------------------------------------------------------
<Table>
INVESTMENT INCOME:
Interest income......................................... $ 318
Dividend income (net of foreign taxes of $2,106)........ 11,777
Income derived from commission recapture (Note 6)....... 92
Income derived from securities lending, net (Note 5).... 458
--------
TOTAL INVESTMENT INCOME............................. 12,645
--------
EXPENSES:
Management and investment advisory fees (Note 2)........ 1,765
Custodian fees.......................................... 504
Professional fees....................................... 19
Other expenses.......................................... 13
--------
TOTAL EXPENSES...................................... 2,301
--------
NET INVESTMENT INCOME....................................... 10,344
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on:
Investments........................................... (39,949)
Foreign currency transactions......................... 14,968
Futures contracts..................................... (5,018)
Change in net unrealized appreciation or depreciation
of:
Investments........................................... (3,154)
Foreign currency contracts and translations........... 1,797
Futures contracts..................................... 66,324
--------
NET GAIN ON INVESTMENTS............................. 34,968
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 45,312
========
</Table>
See accompanying notes
- --------------------------------------------------------------------------------
100
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, OCTOBER 31,
2003 2002
----------- -----------
(UNAUDITED)
(IN THOUSANDS)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................................... $ 10,344 $ 20,039
Net realized loss on investments, futures contracts and
foreign currency transactions.......................... (29,999) (82,834)
Change in net unrealized appreciation or depreciation of
investments, futures contracts and foreign currency
translations........................................... 64,967 (35,456)
---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.......................................... 45,312 (98,251)
---------- -----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Contributions........................................... 247,567 1,880,250
Withdrawals............................................. (215,907) (1,824,540)
---------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS..... 31,660 55,710
---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS....................... 76,972 (42,541)
---------- -----------
NET ASSETS:
Beginning of period..................................... 948,605 991,146
---------- -----------
END OF PERIOD........................................... $1,025,577 $ 948,605
========== ===========
</Table>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS:
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
-----------------------------------------------------
SIX MONTHS
ENDED
APRIL 30,
2003 2002 2001 2000 1999 1998
----------- ------- ----- ----- ----- -----
(UNAUDITED)
TOTAL RETURN............................................ 4.37%(A) (10.36%) N/A N/A N/A N/A
RATIOS TO AVERAGE NET ASSETS:
Expenses............................................ 0.49% 0.47% 0.49% 0.44% 0.37% 0.53%
Net investment income............................... 2.18% 1.86% 1.82% 1.93% 2.27% 2.29%
PORTFOLIO TURNOVER RATE................................. 15%(A) 43% 36% 45% 63% 24%
</Table>
- ---------------
(A) Not annualized.
See accompanying notes
- --------------------------------------------------------------------------------
101
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
April 30, 2003 (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.
Portfolio securities that are primarily traded on foreign securities exchanges
are generally valued at the preceding closing values of such securities on their
respective exchanges where primarily traded. Over-the-counter equity securities
are valued on the basis of the last bid price on that date prior to the close of
trading.
Debt securities (other than short-term securities) normally 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.
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.
- --------------------------------------------------------------------------------
102
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
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 $449,855 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 bid price of such currencies
against U.S. dollars as last quoted by a recognized dealer. Income, expenses and
purchases and sales of investments are translated into U.S. dollars at the rate
of exchange prevailing on the respective dates of such transactions. The 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 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.
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 sub-chapter M of the Internal Revenue Code.
- --------------------------------------------------------------------------------
103
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Use of Estimates
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States requires management to make
estimates and assumptions that affect the amounts reported in the financial
statements and accompanying notes. Actual results may differ from those
estimated.
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Trust and the Manager are parties to a Management Agreement which
obligates the Manager to provide or oversee the provision of all administrative,
investment advisory, 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 advisors hired by the Manager to direct investment activities of the
Portfolio. Management fees paid during the period were as follows (dollars in
thousands):
<Table>
<Caption>
AMOUNTS PAID TO NET AMOUNTS
MANAGEMENT MANAGEMENT INVESTMENT RETAINED BY
FEE RATE FEE ADVISORS MANAGER
---------- ---------- --------------- -----------
International Equity Portfolio..................... 25%-.60% $1,765 $1,291 $474
</Table>
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 than cash, a fee up to 25% of such loan fees. During the
period, the Portfolio paid securities lending fees of $103,000 to the Manager.
Investment in Affiliated Funds
The Portfolio may invest in the American AAdvantage Money Market Select
Fund (the "Select Fund"), an open-end management investment company managed by
the Manager. The Manager receives from the Select Fund an annualized fee equal
to 0.10% of the average daily net assets. Income distributions from the Select
Fund are recorded as interest income in the accompanying financial statements
and totaled $277,375 during the six months ended April 30, 2003 for the
Portfolio.
Other
Certain officers or Trustees of the Trust are also current or former
officers or employees of the Manager or American. The Trust makes no direct
payments to its officers. Unaffiliated Trustees and their spouses are provided
free unlimited air transportation on American. However, the Trust compensates
each Trustee with payments in an amount equal to the Trustee's income tax on the
value of this free airline travel. For the six months ended April 30, 2003, the
cost of air transportation
- --------------------------------------------------------------------------------
104
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
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, 2003 were $136,846 and $120,574, respectively.
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, 2003, the Portfolio had outstanding forward foreign
currency contracts as follows:
<Table>
<Caption>
SETTLEMENT UNREALIZED
CONTRACTS TO RECEIVE DATE VALUE GAIN
- -------------------- ---------- ------- ----------
(AMOUNTS IN THOUSANDS)
5,500 Australian Dollar.......................................... 5/14/2003 $ 3,440 $ 211
5,500 Canadian Dollar............................................ 5/14/2003 3,832 223
18,000 Euro Currency.............................................. 5/14/2003 20,116 778
2,000,000 Japanese Yen............................................... 5/14/2003 16,804 132
11,800 Pound Sterling............................................. 5/14/2003 18,859 (29)
6,000 Swiss Franc................................................ 5/14/2003 4,431 14
10,000 Swedish Krona.............................................. 5/14/2003 1,222 43
------- ------
Total contracts to receive (Payable amount $67,333)................... $68,704 $1,372
======= ======
</Table>
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
- --------------------------------------------------------------------------------
105
AMR INVESTMENT SERVICES TRUST INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
April 30, 2003 (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, 2003, securities with a market value of approximately
$258,006,494 were loaned by the Portfolio. Cash collateral held by the custodian
for the Portfolio in an investment in the AMR Investments Enhanced Yield
Business Trust and the American AAdvantage Money Market Select Fund (the
"Funds") totaled $267,985,843. The Manager serves as Trustee and as investment
adviser to the Funds. The Manager receives from the Funds annualized fees equal
to 0.10% of the average daily net assets.
6. COMMISSION RECAPTURE
The 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,
2003 is as follows:
<Table>
<Caption>
UNREALIZED
MARKET APPRECIATION/
TYPE OF FUTURE EXPIRATION CONTRACTS VALUE (DEPRECIATION)
- -------------- ---------- --------- ----------- --------------
France CAC 40 Index..................................... June 2003 243 $ 7,852,252 $ 405,886
Germany DAX Index....................................... June 2003 64 5,237,167 676,799
UK FTSE 100 Index....................................... June 2003 363 22,701,859 888,421
Hang Seng Index......................................... May 2003 23 1,280,342 56,058
Italy MIB 30 Index...................................... June 2003 24 3,227,607 309,426
Japan Nikkei 300 Index.................................. June 2003 155 1,954,721 23,394
Tokyo FE TOPIX Index.................................... June 2003 214 14,148,833 134,915
Spain IBEX 35 Index..................................... May 2003 43 3,099,786 (46,998)
Sweden OMX Index........................................ May 2003 290 1,844,475 111,361
Canada S&PCDA 60 Index.................................. June 2003 98 5,113,816 96,236
Australia SPI Index..................................... June 2003 93 4,339,941 140,624
----------- ----------
$70,800,799 $2,796,122
=========== ==========
</Table>
- --------------------------------------------------------------------------------
106
[EAGLE GRAPHIC]
[EAGLE GRAPHIC]
[AMERICAN AADVANTAGE FUNDS LOGO]
- --------------------------------------------------------------------------------
TO OBTAIN MORE INFORMATION ABOUT THE FUNDS:
<Table>
[GRAPHIC] [GRAPHIC]
BY E-MAIL: ON THE INTERNET:
american_aadvantage.funds@AA.com Visit our website at www.aafunds.com
</Table>
- --------------------------------------------------------------------------------
<Table>
[GRAPHIC] [GRAPHIC]
BY TELEPHONE: BY MAIL:
Institutional Class American AAdvantage Funds
Call (800) 658-5811 P.O. Box 619003, MD 2450
AMR Class(SM) DFW Airport, TX 75261-9003
Call (800) 345-2345
PlanAhead Class(R)
Call (800) 388-3344
</Table>
FUND SERVICE PROVIDERS:
<Table>
CUSTODIAN TRANSFER AGENT INDEPENDENT AUDITORS DISTRIBUTOR
STATE STREET BANK AND TRUST NATIONAL FINANCIAL DATA SERVICES ERNST & YOUNG LLP SWS FINANCIAL SERVICES
Boston, Massachusetts Kansas City, Missouri Dallas, Texas Dallas, Texas
</Table>
This report is prepared for shareholders of the American AAdvantage 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 Intermediate Bond Fund and American AAdvantage Short-Term
Bond Fund are service marks of AMR Investment Services, Inc.
[BACK COVER]
SAR 04/03
ITEM 2. CODE OF ETHICS.
Not Applicable.
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. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) 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 registrant are
effective.
(b) There have been no significant changes in the registrant's internal
controls or in other factors that could significantly affect these
controls subsequent to the date of their evaluation, including any
corrective actions with regard to significant deficiencies and
material weaknesses.
ITEM 10. EXHIBITS.
(a) Not Applicable.
(b) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule
30a-2 under the Investment Company Act of 1940 is attached hereto
as EX-99.CERT. The certifications required by Section 906 of the
Sarbanes-Oxley Act of 2002 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, 2003
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, 2003
By /s/ Rebecca L. Harris
---------------------
Rebecca L. Harris
Treasurer
Date: July 9, 2003