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