-----------------------------
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-----------------------------
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 811-3541
--------
Asset Management Fund
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
230 West Monroe Street, Chicago, IL 60606
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 312-214-1410
----------------
Date of fiscal year end: October 31, 2003
----------------------
Date of reporting period: October 31, 2003
----------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its regulatory,
disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form
N-CSR, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
Include a copy of the report transmitted to stockholders pursuant to
Rule 30e-1 under the Act (17 CFR 270.30e-1).
[AMF LOGO]
ASSET MANAGEMENT FUND
230 West Monroe Street
Chicago, IL 60606
[AMF LOGO]
ASSET MANAGEMENT FUND
MANAGED BY:
SHAY ASSETS MANAGEMENT, INC.
ANNUAL REPORT
OCTOBER 31, 2003
CHAIRMAN'S MESSAGE
Dear Shareholder:
The Asset Management Fund (AMF) celebrates its 23rd anniversary this year, and
we are pleased to present to shareholders the 2003 Annual Report. With growth in
assets under management increasing $1.4 billion, AMF concluded the year at a
historical level of $5.7 billion in net assets, marking the third consecutive
year of net inflows into the AMF mutual fund portfolios. While this growth
attests to the confidence and trust you, our shareholders, have placed in the
Trustees, fund management and supporting providers, it also reflects the
over-riding importance and value of being invested in actively managed
portfolios.
In our view, on the economic front there were no cataclysmic events,
substantial year over year changes in interest rates, or economic statistics
that were truly noteworthy. Most of the issues that will likely shape our future
continue to simmer on the back burner for now. There was, however, a brief but
sizable intra-year bond rally that commenced in late April and carried through
mid June. Although the rally was short lived, it was sufficient to spike
mortgage prepayments to substantial levels. For owners of mortgages or mortgage
related securities the prepayment frenzy was the story of the year. How a
security was performing or how it would be expected to perform from a prepayment
perspective, was a factor in most of our investment decisions in the AMF
portfolios throughout the year.
Looking forward, the front burner issues are likely to be the usual suspects,
that being economic growth, inflation and employment. However, other key
indicators may well come into play such as dollar strength or weakness, runaway
government spending and the trade deficit.
The long-term success of the AMF mutual funds can be attributed to our
original founding purpose of delivering to our investors strategic,
professionally managed products utilizing a disciplined investment approach
while emphasizing investments in high quality mortgage-related, government and
agency securities. While we have attempted to deliver strong investment
performance and superior customer service, we have above all endeavored to serve
our shareholders' best interests with the highest ethical standards and will not
waiver in that regard.
Sincerely,
/s/ Rodger D. Shay
Rodger D. Shay
Chairman
Asset Management Fund
This report has been prepared for the information of the shareholders of the
Asset Management Fund and must be preceded or accompanied by a prospectus. It is
not to be construed as an offering to sell or buy any shares of the Fund. Such
an offering is made only by the prospectus.
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND REVIEW
ADJUSTABLE RATE MORTGAGE FUND - In Fiscal 2003, we were once again confronted
by having to deal with rapid mortgage prepayments. Securities that were bought
in 2002 to avoid prepay problems, such as GNMA ARMs, traded to high premiums in
2003. The Fund reduced its holdings of these securities and enlarged its
position in lower dollar cost structured ARMs. In addition, the Fund increased
its holdings of AAA, non-agency securities in order to further diversify its
credit profile. The Fund's total return for the 12 month period ended October
31, 2003 was 1.57%.
ULTRA SHORT FUND - The front end of the Treasury yield curve steepened
dramatically during the year, as the spread between 6 month Treasury Bills and 3
year Treasury Notes widened more than 50 basis points to 121 basis points.
During the year, the Fund reduced its holdings of cash and equivalents in favor
of short, well-structured Agency and AA floating rate CMOs. The Fund's total
return for the 12 month period ended October 31, 2003 was 1.87%.
SHORT U.S. GOVERNMENT FUND - The Federal Open Market Committee (FOMC)
continued its easing campaign into 2003 and cut the Federal Funds rate an
additional 75 basis points to 1.00%. During the year, the Fund reduced its
holdings of Treasury and Agency debentures in favor of short, well-structured
CMOs to preserve NAV and enhance yield. The Fund's total return for the 12 month
period ended October 31, 2003 was 1.92%.
INTERMEDIATE MORTGAGE FUND - The Fund found opportunity in GNMA ARMs and
Hybrid ARMs as a way of offsetting higher mortgage prepayments in fixed rate 15
year MBS. Towards the end of the year as refinancing activity receded, the Fund
started to find value in short structured CMOs and higher coupon 15 year MBS.
The Fund's total return for the 12 month period ended October 31, 2003 was
1.41%.
US GOVERNMENT MORTGAGE FUND - During the year, the Fund increased its
commitment to GNMA ARMs to avoid rapid prepayments across the mortgage sector.
As the refinancing boom ended during the fiscal 4th quarter and the prepayment
picture became more favorable, the Fund began increasing its exposure to higher
coupon 15 year and 30 year fixed rate mortgage passthroughs. The Fund's total
return for the 12 month period ended October 31, 2003 was 2.04%.
- --------------------------------------------------------------------------------
Portfolio composition is subject to change.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. Investment return and
net asset value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost.
- -------------------------
INVESTMENT
COMPARISON
Comparison of change in
value of
a hypothetical $10,000
investment for the years
ended October 31
- --------------------------------------------------------------------------------
ADJUSTABLE RATE MORTGAGE FUND
[GRAPH]
<Table>
<Caption>
ADJUSTABLE RATE MORTGAGE
(ARM) FUND 6 MONTH T-BILL BELLWETHERS
------------------------ --------------------------
1993 10000 10000
1994 10204 10386
1995 11022 11047
1996 11713 11677
1997 12492 12338
1998 13117 13060
1999 13737 13670
2000 14648 14501
2001 15671 15389
2002 16161 15736
2003 16415 15955
</Table>
This graph compares the performance
of the Adjustable Rate Mortgage (ARM)
Fund to the Lehman 6 Month T-Bill
Bellwethers Index.
-------------------------------------
Adjustable Rate Mortgage (ARM) Fund
Average Annual Return
<Table>
One Five Ten
Year Year Year
------------------------------
1.57% 4.59% 5.08%
</Table>
- --------------------------------------------------------------------------------
ULTRA SHORT FUND
[GRAPH]
<Table>
<Caption>
ULTRA SHORT FUND 6 MONTH T-BILL BELLWETHERS
---------------- --------------------------
2001 10000.00 10000.00
2002 10229.00 10226.00
2003 10420.30 10368.10
</Table>
This graph compares the performance
of the Ultra Short Fund to the Lehman
6 Month T-Bill Bellwethers Index.
-------------------------------------
Ultra Short Fund
Average Annual Return
<Table>
One Since
Year Inception
-------------------
1.87% 2.12%
The chart represents historical performance of an initial
investment of $10,000 in the Ultra Short Fund from November 14,
2001 to October 31, 2003.
</Table>
- --------------------------------------------------------------------------------
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. The Lehman 6 Mo. T-Bill
Bellwethers Index is an unmanaged index comprised of U.S. Government Treasury
Bonds with an average maturity of six months. The Lehman index represents
unmanaged groups of bonds that differ from the composition of each AMF Fund. The
Lehman index does not include a reduction in return for expenses. Investors
cannot invest directly in an index, although they can invest in its underlying
securities.
- -------------------------
INVESTMENT
COMPARISON
Comparison of change in
value of
a hypothetical $10,000
investment for the years
ended October 31
- --------------------------------------------------------------------------------
SHORT U.S. GOVERNMENT FUND
[GRAPH]
<Table>
<Caption>
SHORT U.S. GOVERNMENT FUND LEHMAN 1-3 YR INDEX
-------------------------- -------------------
1993 10000.00 10000.00
1994 10095.00 10115.50
1995 10997.50 11008.70
1996 11546.30 11667.70
1997 12243.70 12423.50
1998 13110.50 13375.00
1999 13439.60 13771.40
2000 14215.00 14615.60
2001 15588.20 16248.90
2002 16208.60 17072.00
2003 16519.80 17435.20
</Table>
This graph compares the performance
of the Short U.S. Government Fund to
the Lehman Short Government 1-3 Year
Index.
-------------------------------------
Short U.S. Government Fund
Average Annual Return
<Table>
One Five Ten
Year Year Year
------------------------------
1.92% 4.73% 5.15%
</Table>
- --------------------------------------------------------------------------------
INTERMEDIATE MORTGAGE FUND
[GRAPH]
<Table>
<Caption>
INTERMEDIATE MORTGAGE FUND LEHMAN MORTGAGE INDEX
-------------------------- ---------------------
1993 10000 10000
1994 9880 9851
1995 10930.2 11291
1996 11458.2 12072
1997 12363.4 13173
1998 13252.3 14134
1999 13559.8 14557
2000 14437.1 15661
2001 16110.3 17709
2002 16755.7 18825
2003 17012.2 19340
</Table>
This graph compares the performance
of the Intermediate Mortgage Fund to
the Lehman Mortgage Index.
-------------------------------------
Intermediate Mortgage Fund
Average Annual Return
<Table>
One Five Ten
Year Year Year
------------------------------
1.41% 5.12% 5.46%
</Table>
- --------------------------------------------------------------------------------
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. The Lehman Short
Government 1-3 Year Index is an unmanaged index generally representative of
government and investment-grade corporate securities with maturities of one to
three years. The Lehman Mortgage Index is an unmanaged market index representing
fixed rate mortgages issued by FHLMC. Lehman indices represent unmanaged groups
of bonds that differ from the composition of each AMF Fund. The Lehman indices
do not include a reduction in return for expenses. Investors cannot invest
directly in an index, although they can invest in its underlying securities.
- -------------------------
INVESTMENT
COMPARISON
Comparison of change in
value of
a hypothetical $10,000
investment for the years
ended October 31
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE FUND
[GRAPH]
<Table>
<Caption>
US GOVERNMENT MORTGAGE FUND LEHMAN MORTGAGE INDEX
--------------------------- ---------------------
1993 10000.00 10000.00
1994 9816.00 9851.00
1995 11030.20 11291.00
1996 11652.30 12072.00
1997 12684.70 13173.00
1998 13646.20 14134.00
1999 13868.70 14557.00
2000 14825.60 15661.00
2001 16603.20 17709.00
2002 17357.00 18825.00
2003 17711.10 19340.00
</Table>
This graph compares the performance
of the U.S. Government Mortgage Fund
to the Lehman Mortgage Index.
-------------------------------------
U.S. Government Mortgage Fund
Average Annual Return
<Table>
One Five Ten
Year Year Year
------------------------------
2.04% 5.35% 5.88%
</Table>
- --------------------------------------------------------------------------------
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. The Lehman Mortgage
Index is an unmanaged market index representing fixed rate mortgages issued by
FHLMC. The Lehman index represents unmanaged groups of bonds that differ from
the composition of each AMF Fund. The Lehman index does not include a reduction
in return for expenses. Investors cannot invest directly in an index, although
they can invest in its underlying securities.
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
MONEY MARKET FUND
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- -----------------------------------------------------------------------------------------------------
AGENCY OBLIGATIONS................................ 81.4%
Fannie Mae -- Discount Note
1.01% 12/17/03 $10,000,000 $ 9,987,094
1.06% 1/22/04 10,000,000 9,975,856
-----------
19,962,950
-----------
Federal Home Loan Bank -- Discount Note
0.92% 11/3/03 21,000,000 20,998,926
-----------
Federal Home Loan Mortgage -- Discount Note
1.04% 11/19/03 11,370,000 11,364,088
-----------
TOTAL AGENCY OBLIGATIONS
(Cost $52,325,964) 52,325,964
REPURCHASE AGREEMENTS............................. 18.7%
Citigroup, 1.01% (Agreement dated 10/31/03 to be
repurchased at $11,988,009 on 11/03/03.
Collateralized by various U.S. Government
Agency Securities with a value of
$12,297,267.) 11,987,000 11,987,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $11,987,000) 11,987,000
-----------
TOTAL INVESTMENTS IN SECURITIES................... 100.1% 64,312,964
(Cost $64,312,964) (a)
LIABILITIES IN EXCESS OF OTHER ASSETS............. (0.1%) (50,972)
-----------
Net Assets applicable to 64,273,535 Shares of
Common Stock issued and outstanding............. 100.0% $64,261,992
===========
Net Asset Value, Class I, offering and Redemption
price per share ($40,736,581 / 40,747,839) $1.00
===========
Net Asset Value, Class D, offering and redemption
price per share ($23,525,411 / 23,525,696) $1.00
===========
</Table>
- --------------------------------------------------------------------------------
(a) Cost for federal income tax purposes is the same.
See notes to financial statements.
1
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADJUSTABLE RATE MORTGAGE (ARM) FUND
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE MORTGAGE-
RELATED SECURITIES*....................... 76.2%
1 Yr. Constant Maturity Treasury Based
ARMS
Bear Stearns Companies, Inc.
4.11% 3/25/31 $ 19,317,201 $ 19,606,959
4.24% 12/25/40 4,006,556 4,036,605
Fannie Mae
3.90% 7/1/28 19,389,007 20,231,217
3.78% 1/1/29 20,067,460 20,794,905
3.58% 8/1/29 16,864,978 17,465,793
5.40% 3/1/30 17,537,773 18,288,609
3.77% 6/1/30 17,442,405 18,129,200
3.74% 9/1/30 10,127,462 10,507,242
3.67% 5/1/33 30,331,448 31,241,391
4.13% 6/1/33 77,400,125 79,988,191
5.23% 5/25/42 45,916,373 47,738,679
Fannie Mae Grantor Trust
4.93% 5/25/42 24,312,933 25,407,015
Fannie Mae Whole Loan
4.62% 8/25/42 20,535,815 21,504,848
Fifth Third Mortgage Loan Trust
3.85% 11/19/32 41,529,049 42,022,207
Freddie Mac
5.09% 10/1/22 7,111,975 7,387,564
5.50% 8/1/24 12,442,045 12,893,070
3.79% 9/1/27 8,408,157 8,710,325
3.71% 12/1/27 12,848,573 13,338,425
3.80% 12/1/27 11,743,054 12,176,079
3.74% 9/1/28 62,332,180 64,552,764
3.69% 9/1/30 9,194,622 9,548,040
3.71% 7/1/31 44,781,849 46,419,185
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
2
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADJUSTABLE RATE MORTGAGE (ARM) FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
Government National Mortgage
Association II
5.63% 10/20/25 $ 4,892,557 $ 5,030,424
5.63% 10/20/26 8,137,043 8,339,191
4.38% 4/20/27 8,652,518 8,792,749
4.38% 4/20/27 13,535,792 13,755,274
4.75% 8/20/27 16,908,956 17,373,411
5.63% 10/20/27 6,195,911 6,343,182
4.50% 3/20/32 18,983,890 19,219,082
4.50% 4/20/32 13,313,725 13,530,846
4.00% 5/20/32 17,981,070 18,139,564
4.00% 6/20/32 30,280,755 30,547,725
4.00% 7/20/32 19,761,927 20,016,787
4.00% 2/20/33 42,001,858 42,197,272
4.50% 2/20/33 26,100,836 26,424,982
4.00% 5/20/33 15,450,230 15,586,911
4.00% 6/20/33 22,431,040 22,629,364
Structured Asset Mortgage Investments
4.31% 3/25/32 20,882,392 21,273,937
--------------
841,189,014
--------------
6 Mo. Certificate of Deposit Based ARMS
Fannie Mae
2.36% 6/1/21 8,922,951 9,034,488
2.83% 12/1/24 12,753,579 13,056,476
Freddie Mac
3.28% 1/1/26 4,084,735 4,203,447
--------------
26,294,411
--------------
6 Mo. London Interbank Offering Rate
(LIBOR) Based ARMS
Bear Stearns Companies, Inc.
4.67% 3/25/31 4,463,174 4,549,648
Donaldson Lufkin & Jenrette Securities
Corp.
3.35% 7/25/22 2,461,023 2,467,176
4.53% 4/25/24 539,799 540,473
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
3
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADJUSTABLE RATE MORTGAGE (ARM) FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
Fannie Mae
2.41% 9/1/27 $ 63,434,069 $ 65,039,744
2.50% 12/1/27 32,735,740 33,523,444
2.50% 3/1/28 67,716,019 69,366,597
2.50% 3/1/28 76,254,801 78,256,489
2.59% 4/1/28 23,082,125 23,774,589
2.52% TBA 6/1/28 21,992,618 22,501,197
2.54% TBA 6/1/28 17,934,580 18,416,572
2.58% 6/1/28 43,034,946 44,191,510
2.89% 6/1/28 6,629,475 6,865,650
2.59% 7/1/28 14,580,073 14,981,025
2.47% 8/1/28 21,061,289 21,607,566
2.42% 9/1/28 13,027,727 13,361,563
2.89% 9/1/28 4,196,666 4,333,057
2.59% 11/1/32 12,730,184 13,104,133
2.63% 12/1/32 10,077,729 10,389,509
2.66% 3/1/33 23,273,382 24,058,859
2.36% 7/1/33 1,429,452 1,459,381
2.64% 7/1/33 4,888,101 5,042,382
2.59% 8/1/33 1,479,795 1,517,252
2.45% 9/1/33 29,780,463 30,506,362
2.49% 9/1/33 18,237,683 18,630,933
2.47% 10/1/33 6,410,246 6,558,483
2.67% 10/1/33 4,175,850 4,289,381
Freddie Mac
3.68% 9/1/30 20,208,537 20,713,750
MLCC Mortgage Investors, Inc.
2.90% 10/25/33 99,698,476 102,938,676
Structured Asset Mortgage Investments
2.67% 7/19/32 37,259,007 38,167,195
3.03% 8/19/33 89,506,689 91,744,356
3.12% 10/19/33 80,031,644 82,032,435
3.16% 3/19/34 46,303,800 47,692,914
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
4
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADJUSTABLE RATE MORTGAGE (ARM) FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp.
2.64% 5/25/32 $ 46,030,545 $ 46,620,312
3.75% 11/25/32 50,336,703 51,988,376
3.70% 12/25/32 41,068,612 42,441,843
3.55% 2/25/33 79,641,875 82,528,893
3.73% 3/25/33 50,577,655 52,411,095
3.65% 5/25/33 98,519,311 102,244,572
3.77% 9/25/33 111,024,730 115,049,378
4.02% 11/25/33 50,000,000 51,750,000
--------------
1,467,656,770
--------------
6 Mo. Treasury Bill Based ARMS
Citicorp
3.74% 11/25/22 11,325,472 11,343,168
--------------
Cost of Funds Index Based ARMS
Fannie Mae
3.24% 1/1/18 16,044,957 16,240,505
3.21% 1/1/29 9,240,341 9,352,958
3.36% 6/1/32 9,920,993 10,041,905
3.36% 11/1/32 23,043,826 23,288,666
3.27% 8/1/33 48,191,686 48,643,483
3.28% 11/1/36 65,042,407 65,692,831
3.21% 6/1/38 42,567,477 42,939,942
Washington Mutual
3.27% 11/25/42 45,305,889 45,730,632
--------------
261,930,922
--------------
HYBRID ARMS
Bank of America Mortgage Securities
7.01% 6/20/31 17,078,946 17,527,268
6.68% 7/20/32 18,845,363 19,310,608
Credit Suisse First Boston
6.64% 11/25/31 17,114,175 17,520,636
5.86% 6/25/32 17,552,893 17,903,951
Fannie Mae
5.10% 6/1/32 8,055,433 8,370,098
GSR Mortgage Loan Trust
4.77% 10/25/33 49,565,000 50,323,964
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
5
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADJUSTABLE RATE MORTGAGE (ARM) FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
Master Adjustable Rate Mortgage
5.56% 10/25/32 $ 38,332,211 $ 38,907,194
Merrill Lynch Mortgage Investors
5.31% 6/25/23 10,287,756 10,377,774
Salomon Brothers Mortgage Securities
VII
5.83% 9/25/32 23,083,376 23,436,840
Structured Asset Securities Corp.
2.01% 3/25/33 1,450,192 1,450,192
1.75% 4/25/33 8,798,192 8,798,192
4.23% 9/25/33 97,263,641 98,418,646
4.75% 10/25/33 38,788,714 39,419,031
Washington Mutual
4.82% 10/25/32 109,934,411 111,892,617
Wells Fargo Mortgage Backed Securities
Trust
4.64% 10/25/33 73,052,706 74,057,181
4.52% 11/25/33 75,522,000 76,536,827
4.64% 10/25/33 31,590,164 31,994,913
--------------
646,245,932
--------------
MONTHLY London Interbank Offering Rate
(LIBOR) Collateralized Mortgage
Obligation
ABN AMRO Mortgage Corp.
1.57% 10/25/32 7,350,221 7,344,479
Fannie Mae
1.52% 4/18/28 3,466,336 3,477,389
2.37% 6/1/28 9,021,817 9,278,374
2.41% TBA 9/1/28 25,365,153 26,134,035
2.45% 9/1/28 4,043,363 4,170,981
1.42% 12/18/28 9,729,503 9,749,373
1.37% 8/25/31 7,979,833 7,992,144
1.52% 9/18/31 22,236,982 22,306,410
2.60% 2/1/33 37,629,283 39,110,938
2.41% 5/1/33 13,984,539 14,434,666
2.41% 7/1/33 6,173,457 6,364,448
2.42% 9/1/33 18,817,600 19,393,889
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
6
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADJUSTABLE RATE MORTGAGE (ARM) FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust
1.77% 12/25/31 $ 10,346,046 $ 10,358,978
1.47% 3/25/32 20,944,023 20,891,663
1.82% 7/25/32 8,901,977 8,924,037
Master Asset Securitization Trust
1.52% 9/25/32 4,478,440 4,473,876
1.57% 12/25/32 16,304,778 16,309,873
MLCC Mortgage Investors, Inc.
1.50% 9/15/21 10,152,960 10,171,997
Residential Accredit Loans, Inc.,
1.47% 1/25/32 7,453,964 7,446,517
--------------
248,334,067
--------------
TOTAL ADJUSTABLE RATE MORTGAGE-RELATED
SECURITIES*
(Cost $3,487,685,130) 3,502,994,284
FIXED RATE MORTGAGE-RELATED SECURITIES...... 16.2%
Collateralized Mortgage Obligations
Bank of America Mortgage Securities
4.25% 8/25/33 69,297,409 70,411,094
Fannie Mae
3.00% 11/25/15 23,726,829 23,960,626
1.62% 3/25/32 82,098,517 81,688,025
2.10% 8/28/32 26,632,937 26,657,905
3.25% 6/25/33 30,089,518 30,324,592
2.05% 10/25/42 23,946,212 23,953,696
2.23% 9/25/42 44,909,960 44,994,166
Freddie Mac
2.50% 12/15/08 39,214,000 39,409,003
3.00% 3/15/10 39,085,000 39,549,603
5.00% 3/15/11 28,996,877 29,758,045
2.75% 2/15/16 46,776,897 47,132,270
3.50% 7/15/18 27,530,876 27,969,649
4.00% 7/15/18 36,813,116 37,679,954
3.25% 7/15/20 35,000,000 35,336,676
Residential Asset Securities Corp.
3.75% 8/25/17 9,789,058 9,863,445
4.25% 11/25/33 45,980,344 46,727,524
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
7
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADJUSTABLE RATE MORTGAGE (ARM) FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp.
3.25% 8/25/32 $ 34,105,450 $ 34,016,496
2.50% 9/25/33 71,559,951 71,924,993
Wells Fargo Mortgage Backed Securities
Trust
5.00% 2/25/33 23,292,096 23,360,686
--------------
TOTAL FIXED RATE MORTGAGE-RELATED
SECURITIES
(Cost $745,454,957) 744,718,448
--------------
U.S. TREASURY OBLIGATIONS................... 0.2%
U.S. Treasury Notes
2.38% 8/15/06 10,000,000 10,031,250
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $10,019,023) 10,031,250
--------------
REPURCHASE AGREEMENTS....................... 8.7%
Bear Stearns*, 1.07%, (Agreement dated
10/14/03 with open maturity.
Collateralized by various Adjustable
Rate Mortgage U.S. Government Agency
Securities with a value of
$257,741,473.) 250,000,000 250,000,000
Citigroup, 1.01%, (Agreement dated
10/31/03 to be repurchased at
$148,478,496 on 11/03/03.
Collateralized by various Adjustable
Rate Mortgage U.S. Government Agency
Securities with a value of
$151,476,595.) 148,466,000 148,466,000
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $398,466,000) 398,466,000
--------------
TOTAL INVESTMENTS IN SECURITIES
(Cost $4,641,625,110) (a)................. 101.3% 4,656,209,982
LIABILITIES IN EXCESS OF OTHER ASSETS....... (1.3%) (59,271,080)
--------------
Net Assets applicable to 465,065,263 Shares
of Common Stock issued and outstanding.... 100.0% $4,596,938,902
==============
Net Asset Value, offering and redemption
price per share ($4,596,938,902 /
465,065,263) $9.88
==============
</Table>
- --------------------------------------------------------------------------------
* The rates presented are the rates in effect at October 31, 2003.
(a) Cost for federal income tax purposes is the same.
See notes to financial statements.
TBA -- To be Announced/when-issued securities
8
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT FUND
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE MORTGAGE-RELATED SECURITIES*... 66.5%
1 Yr. Constant Maturity Treasury Based ARMS
Fannie Mae
3.68% 10/1/26 $ 3,572,434 $ 3,710,866
3.50% 10/1/28 3,438,914 3,549,604
3.64% 8/1/31 8,281,110 8,614,942
First Republic Mortgage Loan Trust,
3.20% 10/15/30 17,139,649 17,471,728
Freddie Mac
3.59% 11/1/28 4,315,246 4,462,234
4.33% 1/1/29 8,275,264 8,606,275
3.57% 9/1/30 3,373,947 3,477,274
Government National Mortgage Association
II
5.63% 10/20/25 6,276,862 6,453,687
4.00% 4/20/32 5,575,539 5,624,685
4.00% 8/20/32 6,921,028 7,010,306
------------
68,981,601
------------
6 Mo. Certificate of Deposit Based ARMS
Fannie Mae
2.38% 4/1/20 8,802,799 8,910,084
2.45% 7/1/24 3,883,357 3,935,539
------------
12,845,623
------------
6 Mo. London Interbank Offering Rate (LIBOR)
Based ARMS
Fannie Mae
2.54% 12/1/26 11,649,267 11,940,499
2.59% 7/1/28 8,003,324 8,223,415
3.36% 6/1/32 3,053,009 3,133,151
2.47% 9/1/32 11,750,570 12,081,055
Structured Asset Securities Corp.
2.64% 5/25/32 5,076,898 5,141,946
3.75% 11/25/32 8,023,831 8,287,113
3.80% 11/25/32 8,023,831 8,287,113
------------
57,094,292
------------
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
9
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
Cost of Funds Index Based ARMS
Regal Trust
3.60% 9/29/31 $ 3,708,842 $ 3,662,482
Ryland Mortgage Securities Corp.
4.15% 10/25/23 2,849,931 2,849,931
------------
6,512,413
------------
HYBRID ARMS
Bank of America Mortgage Securities
6.68% 7/20/32 2,164,790 2,218,233
GSR Mortgage Loan Trust
4.77% 10/25/33 10,000,000 10,153,125
------------
12,371,358
------------
MONTHLY London Interbank Offering Rate
(LIBOR) Collateralized Mortgage
Obligations
Structured Asset Securities Corp.
2.37% 3/25/33 4,254,840 4,238,885
2.47% 5/25/33 5,021,371 5,024,509
------------
9,263,394
------------
TOTAL ADJUSTABLE RATE MORTGAGE-RELATED
SECURITIES*
(Cost $165,909,951) 167,068,681
CORPORATE NOTES................................ 9.1%
CIT Group, Inc.
7.50% 11/14/03 5,500,000 5,513,609
GE Corp.
7.00% 6/12/06 3,500,000 3,877,482
Household Netherlands BV
6.20% 12/1/03 6,500,000 6,526,620
VZ GTE
6.54% 12/1/05 6,550,000 7,096,806
------------
TOTAL CORPORATE NOTES
(Cost $23,060,065) 23,014,517
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
10
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
FIXED RATE MORTGAGE-RELATED SECURITIES......... 20.4%
Collateralized Mortgage Obligations
Fannie Mae
2.23% 9/25/42 $ 9,623,563 $ 9,641,607
Freddie Mac
4.00% 2/15/10 9,705,000 9,956,723
4.00% 3/15/14 8,267,540 8,448,947
GSR Mortgage Loan Trust
4.50% 4/25/33 14,875,229 14,845,833
Residential Accredit Loans, Inc.
3.75% 5/25/33 8,373,640 8,457,225
------------
TOTAL FIXED RATE MORTGAGE-RELATED SECURITIES
(Cost $51,238,844) 51,350,335
REPURCHASE AGREEMENTS.......................... 3.5%
Citigroup, 1.01%, (Agreement dated 10/31/03
to be repurchased at $8,921,751 on
11/03/03. Collateralized by various U.S.
Government Agency Securities with a value
of $9,190,242.) 8,921,000 8,921,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $8,921,000) 8,921,000
------------
TOTAL INVESTMENTS IN SECURITIES
(Cost $249,129,860)(a)....................... 99.5% 250,354,533
OTHER ASSETS IN EXCESS OF LIABILITIES.......... 0.5% 1,313,516
------------
Net Assets applicable to 25,363,254 Shares of
Common Stock issued and outstanding.......... 100.0% $251,668,049
============
Net Asset Value, offering and redemption price
per share ($251,668,049 / 25,363,254) $9.92
============
</Table>
- --------------------------------------------------------------------------------
* The rates presented are the rates in effect at October 31, 2003.
(a) Cost for federal income tax purposes is the same.
See notes to financial statements.
11
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
SHORT U.S. GOVERNMENT FUND
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE MORTGAGE-RELATED SECURITIES*... 19.8%
1 Yr. Constant Maturity Treasury Based ARMS..
Fannie Mae
5.24% 11/1/29 $ 2,858,301 $ 2,977,992
5.40% 3/1/30 2,402,544 2,505,403
Freddie Mac
3.86% 5/1/18 2,315,066 2,396,817
3.28% 9/1/32 2,618,946 2,694,241
Government National Mortgage Association
II
5.63% 12/20/23 4,500,761 4,625,945
4.75% 7/20/27 1,238,322 1,272,339
5.63% 12/20/27 2,365,680 2,421,920
4.50% 12/20/32 4,006,574 4,039,880
4.50% 1/20/33 3,410,708 3,453,062
4.50% 3/20/33 9,216,492 9,330,970
------------
35,718,569
------------
HYBRID ARMS
Fannie Mae
4.07% 6/1/33 5,196,291 5,303,464
3.93% 8/1/33 4,877,491 4,965,896
------------
10,269,360
------------
TOTAL ADJUSTABLE RATE MORTGAGE-RELATED
SECURITIES* (Cost $45,730,224) 45,987,929
AGENCY OBLIGATIONS............................. 7.5%
Freddie Mac
3.88% 2/15/05 11,000,000 11,313,774
2.88% 9/15/05 6,000,000 6,094,688
------------
TOTAL AGENCY OBLIGATIONS (Cost $17,145,042) 17,408,462
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
12
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
SHORT U.S. GOVERNMENT FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
FIXED RATE MORTGAGE-RELATED SECURITIES......... 48.2%
15 Yr. Securities
Freddie Mac
8.50% 8/17/07 $ 1,861,233 $ 1,961,164
8.00% 12/17/15 2,994,022 3,217,754
------------
5,178,918
------------
BALLOONS
Freddie Mac
4.50% 2/1/08 4,032,179 4,124,793
6.50% 7/1/08 913,251 940,149
------------
5,064,942
------------
Collateralized Mortgage Obligations
Fannie Mae
3.50% 2/25/09 10,000,000 10,178,125
3.50% 6/25/10 9,602,282 9,750,180
1.62% 3/25/32 8,023,702 7,983,583
2.23% 9/25/42 9,623,563 9,641,607
Freddie Mac
7.00% 12/15/06 801,143 802,591
4.00% 2/15/10 14,000,000 14,363,125
4.00% 3/15/14 9,822,430 10,037,955
4.00% 10/15/16 10,000,000 10,265,235
3.50% 7/15/18 10,000,000 10,146,875
4.00% 7/15/18 18,406,558 18,839,977
------------
102,009,253
------------
TOTAL FIXED RATE MORTGAGE-RELATED SECURITIES
(Cost $111,960,224) 112,253,113
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
13
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
SHORT U.S. GOVERNMENT FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- --------------------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS...................... 18.6%
U.S. Treasury Notes
5.88% 11/15/04 $ 5,000,000 $ 5,235,156
5.75% 11/15/05 8,000,000 8,620,000
4.63% 5/15/06 3,000,000 3,183,750
3.50% 11/15/06 4,000,000 4,128,125
3.25% 8/15/07 5,000,000 5,085,938
3.00% 11/15/07 10,000,000 10,049,999
2.63% 5/15/08 7,000,000 6,862,188
------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$42,311,685) 43,165,156
REPURCHASE AGREEMENTS.......................... 1.9%
Citigroup, 1.01%, (Agreement dated 10/31/03
to be repurchased at $4,431,373 on
11/03/03. Collateralized by various U.S.
Government Agency Securities with a value
of $4,564,731.) 4,431,000 4,431,000
------------
TOTAL REPURCHASE AGREEMENTS (Cost $4,431,000) 4,431,000
------------
TOTAL INVESTMENTS IN SECURITIES (Cost
$221,578,175) (a)............................ 96.0% 223,245,660
OTHER ASSETS IN EXCESS OF LIABILITIES.......... 4.0% 9,359,548
------------
Net Assets applicable to 21,782,871 Shares of
Common Stock issued and outstanding.......... 100.0% $232,605,208
============
Net Asset Value, offering and redemption price
per share ($232,605,208 / 21,782,871) $10.68
============
</Table>
- --------------------------------------------------------------------------------
* The rates presented are the rates in effect at October 31, 2003.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting in excess of federal income tax reporting of $45,645.
Cost for federal income tax purposes differs from fair value by net
unrealized appreciation of securities as follows:
<Table>
Unrealized appreciation $2,161,893
Unrealized depreciation (540,053)
----------
Net unrealized appreciation $1,621,840
==========
</Table>
See notes to financial statements.
14
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
INTERMEDIATE MORTGAGE FUND
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- -----------------------------------------------------------------------------------------------------
ADJUSTABLE RATE MORTGAGE-RELATED SECURITIES*.... 22.4%
1 Yr. Constant Maturity Treasury Based ARMS...
Government National Mortgage Association II
3.50% 2/20/33 $ 23,776,379 $ 23,888,722
3.50% 5/20/33 19,013,653 19,121,024
------------
43,009,746
------------
HYBRID ARMS
Fannie Mae
3.95% 3/1/33 8,923,772 9,099,459
4.22% 9/1/33 25,390,658 25,969,882
------------
35,069,341
------------
TOTAL ADJUSTABLE RATE MORTGAGE-RELATED
SECURITIES*
(Cost $78,583,400) 78,079,087
AGENCY OBLIGATIONS.............................. 3.9%
Freddie Mac
3.88% 2/15/05 11,000,000 11,313,774
5.75% 3/15/09 2,000,000 2,190,808
------------
TOTAL AGENCY OBLIGATIONS
(Cost $12,986,348) 13,504,582
FIXED RATE MORTGAGE-RELATED SECURITIES.......... 52.2%
15 Yr. Securities
Fannie Mae
7.00% 3/1/15 3,117,678 3,319,231
7.00% 3/1/15 1,677,093 1,785,514
7.00% 3/1/15 1,753,213 1,866,556
7.50% 11/1/15 2,383,676 2,551,651
6.50% 1/1/16 2,627,934 2,771,033
6.50% 2/1/17 3,392,001 3,576,706
6.50% 6/1/17 3,274,110 3,455,669
6.00% 7/1/17 4,822,026 5,027,866
6.00% 7/1/17 2,856,946 2,978,902
5.50% 9/1/17 7,283,170 7,515,947
5.50% 10/1/17 3,647,371 3,763,944
5.00% 11/1/17 13,137,182 13,359,898
4.50% 5/1/18 14,943,169 14,939,084
4.50% 9/1/18 14,925,970 14,921,890
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
15
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
INTERMEDIATE MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- -----------------------------------------------------------------------------------------------------
Freddie Mac
7.50% 1/1/10 $ 1,805,279 $ 1,927,981
6.00% 6/1/17 6,093,170 6,349,464
Government National Mortgage Association
6.00% 1/15/14 2,003,973 2,102,919
------------
92,214,255
------------
Collateralized Mortgage Obligations
Fannie Mae
3.50% 2/25/09 10,593,000 10,781,688
3.50% 6/25/10 19,204,563 19,500,359
Freddie Mac
3.50% 4/15/09 16,871,739 17,228,578
4.00% 2/15/10 13,000,000 13,337,188
4.00% 3/15/14 9,822,430 10,037,955
4.00% 10/15/16 10,604,957 10,886,238
3.50% 7/15/18 7,528,600 7,639,176
------------
89,411,182
------------
TOTAL FIXED RATE MORTGAGE-RELATED SECURITIES
(Cost $180,057,084) 181,625,437
U.S. TREASURY OBLIGATIONS....................... 8.9%
U.S. Treasury Notes
2.13% 10/31/04 4,000,000 4,034,375
5.75% 11/15/05 5,000,000 5,387,500
4.63% 5/15/06 7,000,000 7,428,750
3.00% 11/15/07 14,000,000 14,070,000
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $30,269,338) 30,920,625
REPURCHASE AGREEMENTS........................... 12.4%
Citigroup, 1.01%, (Agreement dated 10/31/03 to
be repurchased at $43,195,635 on 11/03/03.
Collateralized by various Adjustable Rate
Mortgage U.S. Government Agency Securities
with a value of $44,632,431.) 43,192,000 43,192,000
------------
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
16
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
INTERMEDIATE MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- -----------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(Cost $43,192,000) $ 43,192,000
------------
TOTAL INVESTMENTS IN SECURITIES
(Cost $345,088,170) (a)....................... 99.8% 347,321,731
OTHER ASSETS IN EXCESS OF LIABILITIES........... 0.2% 535,934
------------
Net Assets applicable to 36,145,665 Shares of
Common Stock issued and outstanding........... 100.0% $347,857,665
============
Net Asset Value, offering and redemption price
per share ($347,857,665 / 36,145,665) $9.62
============
</Table>
- --------------------------------------------------------------------------------
* The rates presented are the rates in effect at October 31, 2003.
(a) Cost for federal income tax purposes is the same.
See notes to financial statements.
17
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
U.S. GOVERNMENT MORTGAGE FUND
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- -----------------------------------------------------------------------------------------------------
ADJUSTABLE RATE MORTGAGE-RELATED SECURITIES*.... 12.7%
1 Yr. Constant Maturity Treasury Based ARMS
Government National Mortgage Association II
4.00% 11/20/32 $ 13,712,709 $ 13,717,625
4.00% 2/20/33 12,228,309 12,285,201
------------
TOTAL ADJUSTABLE RATE MORTGAGE-RELATED
SECURITIES*
(Cost $26,535,542) 26,002,826
AGENCY OBLIGATIONS.............................. 1.6%
Freddie Mac
5.75% 3/15/09 3,000,000 3,286,212
------------
TOTAL AGENCY OBLIGATIONS
(Cost $2,758,455) 3,286,212
FIXED RATE MORTGAGE-RELATED SECURITIES.......... 63.7%
15 Yr. Securities
Fannie Mae
7.00% 3/1/15 2,811,600 2,993,365
7.50% 11/1/15 1,059,412 1,134,067
6.50% 2/1/17 1,696,000 1,788,353
6.50% 6/1/17 1,403,190 1,481,001
5.00% 3/1/18 3,378,551 3,435,828
------------
10,832,614
------------
30 Yr. Securities
Fannie Mae
6.50% 8/1/29 9,452,215 9,838,427
6.00% 1/1/32 1,566,743 1,610,502
6.00% 10/1/32 1,554,368 1,597,781
6.00% 10/1/32 2,485,489 2,554,908
5.50% 12/1/32 4,388,697 4,434,641
6.00% 12/1/32 1,781,985 1,831,755
5.50% 2/1/33 11,962,326 12,087,557
5.50% 2/1/33 16,637,136 16,811,308
6.00% 3/1/33 8,309,331 8,541,408
5.00% 6/1/33 4,776,323 4,715,873
5.00% 8/1/33 16,787,919 16,575,449
6.50% 11/1/29 13,667,175 14,242,692
Freddie Mac
5.00% 4/1/33 15,972,441 15,737,845
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
18
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
U.S. GOVERNMENT MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY PAR VALUE
- -----------------------------------------------------------------------------------------------------
Government National Mortgage Association
7.50% 2/15/24 $ 1,918,599 $ 2,070,663
7.00% 4/15/27 2,843,538 3,029,590
6.00% 11/15/28 1,166,480 1,209,493
6.00% 1/15/29 2,505,025 2,597,397
------------
119,487,289
------------
TOTAL FIXED RATE MORTGAGE-RELATED SECURITIES
(Cost $129,463,050) 130,319,903
U.S. TREASURY OBLIGATIONS....................... 6.2%
U.S. Treasury Notes
1.88% 9/30/04 4,000,000 4,025,000
2.13% 10/31/04 2,000,000 2,017,188
3.00% 11/15/07 2,000,000 2,010,000
6.50% 2/15/10 4,000,000 4,640,000
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $12,033,996) 12,692,188
REPURCHASE AGREEMENTS........................... 13.3%
Citigroup, 1.01%, (Agreement dated
10/31/03 to be repurchased at $27,119,282
on 11/03/03. Collateralized by various
Adjustable Rate Mortgage U.S. Government
Agency Securities with a value of
$27,675,923.) 27,117,000 27,117,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $27,117,000) 27,117,000
------------
TOTAL INVESTMENTS IN SECURITIES
(Cost $197,908,043) (a).................... 97.5% 199,418,129
OTHER ASSETS IN EXCESS OF LIABILITIES........... 2.5% 5,147,605
------------
Net Assets applicable to 19,367,358 Shares of
Common Stock issued and outstanding........... 100.0% $204,565,734
============
Net Asset Value, offering and redemption price
per share ($204,565,734 / 19,367,358) $10.56
============
</Table>
- --------------------------------------------------------------------------------
* The rates presented are the rates in effect at October 31, 2003.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting in excess of federal income tax reporting of $85,335.
Cost for federal income tax purposes differs from fair value by net
unrealized appreciation of securities as follows:
<Table>
Unrealized appreciation $2,890,180
Unrealized depreciation (1,465,429)
----------
Net unrealized appreciation $1,424,751
==========
</Table>
See notes to financial statements.
19
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
ADJUSTABLE U.S.
MONEY RATE MORTGAGE ULTRA SHORT U.S. INTERMEDIATE GOVERNMENT
MARKET (ARM) SHORT GOVERNMENT MORTGAGE MORTGAGE
FUND FUND FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest income............ $ 619,030 $97,265,336 $5,956,443 $6,184,371 $10,200,797 $6,515,767
---------- ----------- ---------- ----------- ----------- ----------
Operating expenses:
Investment advisory
fees................... 81,797 18,651,043 1,259,285 525,010 1,192,608 421,331
Distribution fee -- Class
I Shares............... 51,593 11,209,186 699,600 315,008 511,121 252,800
Distribution fee -- Class
D
Shares................. 120,817 -- -- -- -- --
Administration fee....... 16,359 748,370 83,950 63,000 102,222 50,559
Custodian fee............ 10,199 310,824 41,317 30,221 47,849 21,460
Transfer agent fee....... 2,818 82,613 12,668 2,534 3,870 1,891
Legal.................... 2,616 217,849 12,100 8,868 16,754 9,710
Printing................. 654 53,932 3,274 2,834 4,160 2,738
Trustees' fees........... 954 77,892 5,129 3,630 5,871 2,665
Other.................... 16,441 525,704 29,825 36,353 47,771 25,079
---------- ----------- ---------- ----------- ----------- ----------
Total expenses before fee
reductions............. 304,248 31,877,413 2,147,148 987,458 1,932,226 788,233
Expenses reduced by
Investment Advisor..... (34,301) (7,441,857) (559,685) -- (340,743) --
Expenses reduced by
Distributor............ (72,123) (4,483,642) (279,838) -- -- --
---------- ----------- ---------- ----------- ----------- ----------
Net expenses........... 197,824 19,951,914 1,307,625 987,458 1,591,483 788,233
---------- ----------- ---------- ----------- ----------- ----------
Net investment income.. 421,206 77,313,422 4,648,818 5,196,913 8,609,314 5,727,534
---------- ----------- ---------- ----------- ----------- ----------
REALIZED AND UNREALIZED GAINS
FROM INVESTMENT ACTIVITIES:
Realized gains/(losses)
from investment
transactions............. -- (9,360,230) (448,262) 449,599 (927,235) (1,141,229)
Change in unrealized
appreciation/depreciation
from investments......... -- (2,967,734) 888,151 (2,071,854) (3,511,347) (2,323,780)
---------- ----------- ---------- ----------- ----------- ----------
Net realized/unrealized
gains/(losses) from
investments.............. -- (12,327,964) 439,889 (1,622,255) (4,438,582) (3,465,009)
---------- ----------- ---------- ----------- ----------- ----------
CHANGE IN NET ASSETS RESULTING
FROM OPERATIONS.............. $ 421,206 $64,985,458 $5,088,707 $3,574,658 $ 4,170,732 $2,262,525
========== =========== ========== =========== =========== ==========
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
20
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEARS ENDED OCTOBER 31, 2003 AND 2002
- --------------------------------------------------------------------------------
<Table>
<Caption>
MONEY MARKET FUND
------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, OCTOBER 31,
2003 2002
- --------------------------------------------------------------------------------------------
Increase (decrease) in net assets:
Operations:
Net investment income.................................. $ 421,206 $ 842,938
------------- -------------
Change in net assets resulting from operations....... 421,206 842,938
------------- -------------
Dividends paid to Class I stockholders:
From net investment income............................. (330,837) (734,664)
Dividends paid to Class D stockholders:
From net investment income............................. (90,369) (108,274)
------------- -------------
Total dividends paid to stockholders................. (421,206) (842,938)
------------- -------------
Capital Transactions Class I Shares:
Proceeds from sale of shares........................... 303,435,934 348,087,003
Shares issued to stockholders in reinvestment of
dividends............................................. 321,764 648,460
Cost of shares repurchased............................. (293,591,768) (363,655,739)
Capital Transactions Class D Shares:
Proceeds from sale of shares........................... 228,413,674 127,098,202
Shares issued to stockholders in reinvestment of
dividends............................................. 42,261 47,264
Cost of shares repurchased............................. (219,969,777) (120,893,245)
------------- -------------
Net increase (decrease) in net assets from capital
transactions........................................ 18,652,088 (8,668,055)
------------- -------------
Total increase (decrease) in net assets.............. 18,652,088 (8,668,055)
Net Assets:
Beginning of year......................................... 45,609,904 54,277,959
------------- -------------
End of year............................................... $ 64,261,992 $ 45,609,904
============= =============
Accumulated net investment income/(loss).................... -- --
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
21
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEARS ENDED OCTOBER 31, 2003 AND 2002
- --------------------------------------------------------------------------------
<Table>
<Caption>
ADJUSTABLE RATE
MORTGAGE (ARM) FUND ULTRA SHORT FUND
---------------------------------------------------------------------
NOVEMBER 14,
YEAR ENDED YEAR ENDED YEAR ENDED 2001(A)
OCTOBER 31, OCTOBER 31, OCTOBER 31, TO OCTOBER 31,
2003 2002 2003 2002
- -------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets:
Operations:
Net investment income........... $ 77,313,422 $ 76,561,186 $ 4,648,818 $ 4,364,900
Net realized gains (losses) from
investments.................. (9,360,230) 7,690,298 (448,262) 189,228
Change in unrealized
appreciation/depreciation
from investments............. (2,967,734) (726,538) 888,151 336,522
--------------- --------------- ------------- -------------
Change in net assets
resulting from
operations................. 64,985,458 83,524,946 5,088,707 4,890,650
--------------- --------------- ------------- -------------
Dividends paid to stockholders:
From net investment income...... (100,452,092) (87,602,582) (6,019,913) (5,973,806)
--------------- --------------- ------------- -------------
Total dividends paid to
stockholders............... (100,452,092) (87,602,582) (6,019,913) (5,973,806)
--------------- --------------- ------------- -------------
Capital Transactions:
Proceeds from sale of shares.... 4,920,698,520 3,458,666,524 202,953,038 494,150,334
Shares issued to stockholders in
reinvestment of dividends.... 64,449,754 53,723,023 3,481,425 3,304,993
Cost of shares repurchased...... (3,742,718,116) (2,183,181,013) (240,951,312) (209,256,067)
--------------- --------------- ------------- -------------
Change in net assets from
capital transactions....... 1,242,430,158 1,329,208,534 (34,516,849) 288,199,260
--------------- --------------- ------------- -------------
Change in net assets......... 1,206,963,524 1,325,130,898 (35,448,055) 287,116,104
Net Assets:
Beginning of year................. 3,389,975,378 2,064,844,480 287,116,104 --
--------------- --------------- ------------- -------------
End of year....................... $ 4,596,938,902 $ 3,389,975,378 $ 251,668,049 $ 287,116,104
=============== =============== ============= =============
Accumulated net investment
income/(loss)..................... $ (2,683,640) $ (3,464,049) $ 7,706 $ (22,237)
</Table>
- --------------------------------------------------------------------------------
(a) Commencement of operations.
See notes to financial statements.
22
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHORT U.S. GOVERNMENT INTERMEDIATE MORTGAGE U.S. GOVERNMENT
FUND FUND MORTGAGE FUND
- ------------------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
2003 2002 2003 2002 2003 2002
- ------------------------------------------------------------------------------------------------
$ 5,196,913 $ 5,977,703 $ 8,609,314 $ 9,198,360 $ 5,727,534 $ 4,821,263
449,599 1,231,346 (927,235) 126,957 (1,141,229) 107,599
(2,071,854) (739,164) (3,511,347) (1,135,402) (2,323,780) (661,601)
------------- ------------- ------------- ------------- ------------- ------------
3,574,658 6,469,885 4,170,732 8,189,915 2,262,525 4,267,261
------------- ------------- ------------- ------------- ------------- ------------
(5,865,998) (6,540,177) (10,605,928) (9,657,659) (6,600,815) (5,015,711)
------------- ------------- ------------- ------------- ------------- ------------
(5,865,998) (6,540,177) (10,605,928) (9,657,659) (6,600,815) (5,015,711)
------------- ------------- ------------- ------------- ------------- ------------
184,063,440 152,488,315 339,487,102 216,826,116 241,251,413 47,210,000
3,229,364 4,118,203 4,470,067 3,976,778 4,022,730 2,930,281
(114,566,189) (185,998,683) (230,308,881) (183,581,377) (130,524,325) (60,950,579)
------------- ------------- ------------- ------------- ------------- ------------
72,726,615 (29,392,165) 113,648,288 37,221,517 114,749,818 (10,810,298)
------------- ------------- ------------- ------------- ------------- ------------
70,435,275 (29,462,457) 107,213,092 35,753,773 110,411,528 (11,558,748)
162,169,933 191,632,390 240,644,573 204,890,800 94,154,206 105,712,954
------------- ------------- ------------- ------------- ------------- ------------
$ 232,605,208 $ 162,169,933 $ 347,857,665 $ 240,644,573 $ 204,565,734 $ 94,154,206
============= ============= ============= ============= ============= ============
$ (21,680) $ 35,617 $ 9,957 $ (67,327) $ 5,917 $ 219,921
</Table>
- --------------------------------------------------------------------------------
23
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
MONEY MARKET FUND CLASS I SHARES
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
--------------------------------------------------------
2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------
Net asset value, beginning of year.......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income..................... 0.0096 0.0152 0.0441 0.0578 0.0480
Net realized losses from investments...... -- -- -- --(a) --
-------- -------- -------- -------- --------
Total from investment operations..... 0.0096 0.0152 0.0441 0.0578 0.0480
-------- -------- -------- -------- --------
Less distributions:
Dividends paid to stockholders:
From net investment income............. (0.0096) (0.0152) (0.0441) (0.0578) (0.0480)
From net realized gains................ -- -- -- -- --(a)
-------- -------- -------- -------- --------
Change in net asset value................... -- -- -- -- --
-------- -------- -------- -------- --------
Net asset value, end of year................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total return................................ 0.97% 1.54% 4.50% 5.93% 4.94%
Ratios/Supplemental data:
Net assets, end of year (in 000's)........ $ 40,737 $ 30,571 $ 45,491 $ 48,202 $ 92,074
Ratio of expenses to average net assets... 0.18% 0.26% 0.30% 0.30% 0.25%
Ratio of net investment income to average
net assets............................. 0.96% 1.53% 4.31% 5.74% 4.81%
Ratio of expenses to average net
assets*................................ 0.39% 0.41% 0.45% 0.45% 0.40%
</Table>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Net realized losses per share and/or distributions from net realized gains
were less than $0.00005.
See notes to financial statements.
24
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
MONEY MARKET FUND CLASS D SHARES
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
DECEMBER 19,
YEAR ENDED OCTOBER 31, 1999(A) TO
-------------------------------- OCTOBER 31,
2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------
Net asset value, beginning of year................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- --------
Income from investment operations:
Net investment income.............................. 0.0046 0.0104 0.0397 0.0466
Net realized losses from investments............... -- -- -- --(b)
-------- -------- -------- --------
Total from investment operations.............. 0.0046 0.0104 0.0397 0.0466
-------- -------- -------- --------
Less distributions:
Dividends paid to stockholders:
From net investment income...................... (0.0046) (0.0104) (0.0397) (0.0466)
-------- -------- -------- --------
Change in net asset value............................ -- -- -- --
-------- -------- -------- --------
Net asset value, end of year......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========
Total return......................................... 0.47% 1.05% 4.04% 4.74%(c)
Ratios/Supplemental data:
Net assets, end of year (in 000's)................. $ 23,525 $ 15,039 $ 8,787 $ 3,388
Ratio of expenses to average net assets............ 0.67% 0.75% 0.75% 0.75%(d)
Ratio of net investment income to average net
assets.......................................... 0.45% 1.04% 3.46% 5.66%(d)
Ratio of expenses to average net assets*........... 0.84% 0.86% 0.91% 0.94%(d)
</Table>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Commencement of operations.
(b) Net realized losses per share was less than $0.00005.
(c) Represents the total return for the period from December 19, 1999 to October
31, 2000.
(d) Annualized.
See notes to financial statements.
25
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADJUSTABLE RATE MORTGAGE (ARM) FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
--------------------------------------------------------------
2003 2002 2001+ 2000 1999
- --------------------------------------------------------------------------------------------------------
Net asset value, beginning of year...... $ 9.95 $ 9.97 $ 9.86 $ 9.84 $ 9.91
---------- ---------- ---------- -------- --------
Income from investment operations:
Net investment income................. 0.1778 0.2947 0.5319 0.6048 0.5290
Net realized and unrealized gains
(losses) from investments.......... (0.0230) 0.0124 0.1386 0.0233 (0.0700)
---------- ---------- ---------- -------- --------
Total from investment
operations.................... 0.1548 0.3071 0.6705 0.6281 0.4590
---------- ---------- ---------- -------- --------
Less distributions:
Dividends paid to stockholders:
From net investment income......... (0.2248) (0.3271) (0.5605) (0.6129) (0.5290)
---------- ---------- ---------- -------- --------
Change in net asset value............... (0.07) (0.02) 0.11 0.02 (0.07)
---------- ---------- ---------- -------- --------
Net asset value, end of year............ $ 9.88 $ 9.95 $ 9.97 $ 9.86 $ 9.84
========== ========== ========== ======== ========
Total return............................ 1.57% 3.13% 6.98% 6.63% 4.73%
Ratios/Supplemental data:
Net assets, end of year (in 000's).... $4,596,939 $3,389,975 $2,064,844 $681,652 $877,608
Ratio of expenses to average net
assets............................. 0.44% 0.45% 0.49% 0.48% 0.48%
Ratio of net investment income to
average net assets................. 1.72% 2.91% 5.37% 6.22% 5.34%
Ratio of expenses to average net
assets*............................ 0.71% 0.75% 0.79% 0.78% 0.78%
Portfolio turnover rate............... 117% 107% 72% 67% 51%
</Table>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
+ Net investment income is based on average shares outstanding through the
period.
See notes to financial statements.
26
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
NOVEMBER 14,
YEAR ENDED 2001(A) TO
OCTOBER 31, 2003 OCTOBER 31, 2002
- --------------------------------------------------------------------------------------------------
Net asset value, beginning of year.......................... $ 9.95 $ 10.00
-------- --------
Income from investment operations:
Net investment income..................................... 0.1601 0.2204
Net realized and unrealized gains on investments.......... 0.0242 0.0058
-------- --------
Total from investment operations..................... 0.1843 0.2262
-------- --------
Less distributions:
Dividends paid to stockholders:
From net investment income............................. (0.2143) (0.2762)
-------- --------
Change in net asset value................................... (0.03) (0.05)
-------- --------
Net asset value, end of year................................ $ 9.92 $ 9.95
======== ========
Total return................................................ 1.87% 2.29%(b)
Ratios/Supplemental data:
Net assets, end of year (in 000's)........................ $251,668 $287,116
Ratio of expenses to average net assets................... 0.47% 0.50%(c)
Ratio of net investment income to average net assets...... 1.66% 2.11%(c)
Ratio of expenses to average net assets*.................. 0.77% 0.80%(c)
Portfolio turnover rate................................... 126% 127%
</Table>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Commencement of operations.
(b) Not annualized.
(c) Annualized.
See notes to financial statements.
27
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
SHORT U.S. GOVERNMENT FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
--------------------------------------------------------
2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------
Net asset value, beginning of year.......... $ 10.78 $ 10.75 $ 10.34 $ 10.36 $ 10.66
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income..................... 0.2738 0.3512 0.5652 0.5973 0.5600
Net realized and unrealized gains (losses)
from investments....................... (0.0686) 0.0674 0.4086 (0.0240) (0.3000)
-------- -------- -------- -------- --------
Total from investment operations..... 0.2052 0.4186 0.9738 0.5733 0.2600
-------- -------- -------- -------- --------
Less distributions:
Dividends paid to stockholders:
From net investment income............. (0.3052) (0.3886) (0.5638) (0.5976) (0.5600)
-------- -------- -------- -------- --------
Change in net asset value................... (0.10) 0.03 0.41 (0.02) (0.30)
-------- -------- -------- -------- --------
Net asset value, end of year................ $ 10.68 $ 10.78 $ 10.75 $ 10.34 $ 10.36
======== ======== ======== ======== ========
Total return................................ 1.92% 3.98% 9.66% 5.77% 2.51%
Ratios/Supplemental data:
Net assets, end of year (in 000's)........ $232,605 $162,170 $191,632 $ 96,098 $114,840
Ratio of expenses to average net assets... 0.47% 0.49% 0.51% 0.51% 0.49%
Ratio of net investment income to average
net assets............................. 2.47% 3.35% 5.25% 5.79% 5.35%
Portfolio turnover rate................... 72% 75% 54% 138% 155%
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
28
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
INTERMEDIATE MORTGAGE FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
--------------------------------------------------------
2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------
Net asset value, beginning of year.......... $ 9.79 $ 9.83 $ 9.33 $ 9.33 $ 9.66
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income..................... 0.2525 0.4155 0.5675 0.5754 0.5490
Net realized and unrealized gains (losses)
from investments....................... (0.1156) (0.0213) 0.4861 0.0051 (0.3300)
-------- -------- -------- -------- --------
Total from investment operations..... 0.1369 0.3942 1.0536 0.5805 0.2190
-------- -------- -------- -------- --------
Less distributions:
Dividends paid to stockholders:
From net investment income............. (0.3069) (0.4342) (0.5536) (0.5795) (0.5490)
-------- -------- -------- -------- --------
Change in net asset value................... (0.17) (0.04) 0.50 0.00 (0.33)
-------- -------- -------- -------- --------
Net asset value, end of year................ $ 9.62 $ 9.79 $ 9.83 $ 9.33 $ 9.33
======== ======== ======== ======== ========
Total return................................ 1.41% 4.13% 11.59% 6.47% 2.32%
Ratios/Supplemental data:
Net assets, end of year (in 000's)........ $347,858 $240,645 $204,891 $ 90,768 $101,710
Ratio of expenses to average net assets... 0.47% 0.47% 0.50% 0.51% 0.48%
Ratio of net investment income to average
net assets............................. 2.52% 4.28% 5.74% 6.25% 5.78%
Ratio of expenses to average net
assets*................................ 0.57% 0.57% 0.60% 0.61% 0.58%
Portfolio turnover rate................... 98% 54% 47% 110% 90%
</Table>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
See notes to financial statements.
29
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
U.S. GOVERNMENT MORTGAGE FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
--------------------------------------------------------
2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------
Net asset value, beginning of year.......... $ 10.77 $ 10.83 $ 10.27 $ 10.26 $ 10.73
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income..................... 0.3689 0.5116 0.6381 0.6646 0.6416
Net realized and unrealized gains (losses)
on investments......................... (0.1511) (0.0377) 0.5590 0.0109 (0.4726)
-------- -------- -------- -------- --------
Total from investment operations..... 0.2178 0.4739 1.1971 0.6755 0.1690
-------- -------- -------- -------- --------
Less distributions:
Dividends paid to stockholders:
From net investment income............. (0.4278) (0.5339) (0.6371) (0.6682) (0.6390)
-------- -------- -------- -------- --------
Change in net asset value................... (0.21) (0.06) 0.56 0.01 (0.47)
-------- -------- -------- -------- --------
Net asset value, end of year................ $ 10.56 $ 10.77 $ 10.83 $ 10.27 $ 10.26
======== ======== ======== ======== ========
Total return................................ 2.04% 4.54% 11.99% 6.90% 1.63%
Ratios/Supplemental data:
Net assets, end of year (in 000's)........ $204,566 $ 94,154 $105,713 $ 71,449 $ 87,250
Ratio of expenses to average net assets... 0.47% 0.47% 0.50% 0.52% 0.52%
Ratio of net investment income to average
net assets............................. 3.39% 4.80% 6.09% 6.53% 6.13%
Portfolio turnover rate................... 102% 82% 86% 127% 73%
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
30
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
Asset Management Fund (the "Trust") was reorganized as a Delaware Statutory
Trust on September 30, 1999, and is registered under the Investment Company Act
of 1940, as amended (the "1940 Act"), as a diversified open-end management
company. As of October 31, 2003, the Trust is authorized to issue an unlimited
number of shares in six separate Funds, the Money Market Fund, the Adjustable
Rate Mortgage (ARM) Fund, the Ultra Short Fund, the Short U.S. Government Fund,
the Intermediate Mortgage Fund and the U.S. Government Mortgage Fund (referred
to individually as a "Fund" and collectively as the "Funds"). Each of the Funds,
except the Money Market Fund, offers a single class of shares. The Money Market
Fund is authorized to sell two classes of shares, namely, Class I Shares and
Class D Shares. Each Class I and Class D Share of the Money Market Fund
represents identical interests in the Fund and has the same rights except that
(i) Class D Shares bear a higher distribution fee, which will cause Class D
Shares to have a higher expense ratio and to pay lower dividends than those
related to Class I Shares; (ii) certain other class specific expenses will be
borne solely by the class to which such expenses are attributable; and (iii)
each class has exclusive voting rights with respect to the matters relating to
its own distribution arrangements.
A. Significant accounting policies are as follows:
SECURITY VALUATION
Money Market Fund:
Fund securities are valued under the amortized cost method, which approximates
current market value. Under this method, securities are valued at cost when
purchased and thereafter a constant proportionate amortization of any discount
or premium is recorded until maturity of the security. The Fund seeks to
maintain net asset value per share at $1.00.
Adjustable Rate Mortgage (ARM) Fund, Ultra Short Fund, Short U.S. Government
Fund, Intermediate Mortgage Fund, and U.S. Government Mortgage Fund:
For purposes of determining the net asset value per share of each Fund, Fund
assets are valued at market value using market quotations or prices obtained
from an independent pricing service. For certain securities, the Board of
Trustees has approved the use of a matrix pricing system developed by the
Adviser that the Board believes reflects the fair value of such securities.
Short-term instruments maturing within 60 days may be valued at amortized cost.
REPURCHASE AGREEMENTS
Eligible Fund investments may be purchased from primary government securities
dealers or the custodian bank, subject to the seller's agreement to repurchase
them at an agreed upon date and price. Each Fund will receive as collateral
instruments whose market value, including accrued interest, will be at least
equal to 100% of the dollar amount invested by the Fund in each agreement, and
each Fund will make payment for such instruments only upon their physical
delivery to, or evidence of their book entry transfer to the account of, the
Fund's custodian.
SECURITIES PURCHASED ON A WHEN-ISSUED BASIS
Each Fund, except the Money Market Fund, may purchase securities on a
"when-issued" basis. When-issued securities are securities purchased for
delivery beyond the normal settlement date at a stated price and/or yield,
thereby creating
31
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
the risk that the price and/or yield obtained may be more or less than those
available in the market when delivery takes place. A Fund records the
transaction and reflects the value of the security in determining net asset
value at the time the Fund makes the commitment to purchase a security on a
when-issued basis. Normally, the settlement date occurs within one month of the
purchase. No payment is made by the Fund, and no interest accrues to the Fund
during the period between purchase and settlement. The Fund establishes a
segregated account in which it maintains cash and marketable securities equal in
value to commitments for when-issued securities.
DIVIDENDS TO SHAREHOLDERS
Dividends from net investment income are declared daily and paid monthly. Net
short-term and long-term capital gains, if any, are declared and paid annually.
MANAGEMENT ESTIMATES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities at the date of the financial statements and the reported
amounts of revenues and expenses during the reporting period. Actual results
could differ from these estimates.
OTHER
Investment transactions are accounted for on the trade date, interest income
is recorded on the accrual basis, amortization and accretion is recognized based
on the effective maturity date, and the cost of investments sold is determined
by use of the specific identification method for both financial reporting and
income tax purposes.
B. Shay Assets Management, Inc. (SAMI) serves the Trust as investment adviser
(the "Adviser"). The Adviser is a wholly-owned subsidiary of Shay Investment
Services, Inc. (SISI), which is controlled by Rodger D. Shay, the Chairman of
the Board of Trustees of the Trust.
As compensation for investment advisory services, the Fund pays an investment
advisory fee monthly based upon an annual percentage of the average daily net
assets of each Fund as follows:
The investment advisory fee rate for the Money Market Fund is .15% of the
first $500 million, .125% of the next $500 million, and .10% of such net assets
in excess of $1 billion. As of June 25, 2003, the Adviser began waiving its
entire fee.
The investment advisory fee rate for the Adjustable Rate Mortgage (ARM) Fund
is .45% of the first $3 billion, .35% of the next $2 billion, and .25% of such
net assets in excess of $5 billion. The Adviser is currently voluntarily waiving
a portion of its fee so that the Fund pays .25% of average daily net assets.
The investment advisory fee rate for the Ultra Short Fund is .45% of the
average daily net assets. The Adviser is currently voluntarily waiving a portion
of its fee so that the Fund pays .25% of average daily net assets.
The investment advisory fee rate for each of the Short U.S. Government Fund
and the U.S. Government Mortgage Fund, computed separately, is .25% of the first
$500 million, .175% of the next $500 million, .125% of the next $500 million,
and .10% of such net asset in excess of $1.5 billion.
The investment advisory fee rate for the Intermediate Mortgage Fund is .35% of
the first $500 million, .275% of the next $500 million, .20% of the next $500
million, and .10% of such net assets in excess of $1.5 billion. The Adviser is
currently voluntarily waiving a portion of its fee so that the Fund pays .25% of
average daily net assets.
32
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
The Adviser has agreed to reduce or waive (but not below zero) its advisory
fees charged to the Money Market Fund, the Short U.S. Government Fund, the
Intermediate Mortgage Fund and the U.S. Government Mortgage Fund, to the extent
that the daily ratio of operating expenses to average daily net assets of each
Fund exceeds .75%.
Shay Financial Services, Inc. (SFSI) serves the Trust as distributor (the
"Distributor"). The Distributor is a wholly-owned subsidiary of SISI, which is
controlled by Rodger D. Shay, the Chairman of the Board of Trustees of the
Trust.
As compensation for distribution services, the Trust pays the Distributor a
distribution fee monthly in accordance with the distribution plan adopted by the
Trust, pursuant to Rule 12b-1 under the 1940 Act, based upon an annual
percentage of the average daily net assets of each fund as follows:
The distribution fee rate for each of the Money Market Fund Class I Shares and
Short U.S. Government Fund is based upon an annual percentage of the combined
average daily net assets of both funds and is as follows: .15% of the first $500
million, .125% of the next $500 million, .10% of the next $1 billion, and .075%
of such combined net assets in excess of $2 billion. The Distributor is
currently voluntarily waiving its entire 12b-1 fee for the Class I Shares of the
Money Market Fund. The Money Market distribution fee waiver amounted to $51,593
for Class I Shares for the year ended October 31, 2003.
The distribution fee rate for the Money Market Class D Shares is .60% of
average daily net assets. The Distributor is currently voluntarily waiving a
portion of the 12b-1 fees so that Total Fund Operating Expenses do not exceed
0.75% of average daily net assets. The Money Market distribution fee waiver
amounted to $20,530 for Class D Shares for the year ended October 31, 2003.
The distribution fee rate for the Adjustable Rate Mortgage (ARM) Fund and the
Ultra Short Fund, computed separately, is .25% of average daily net assets. The
Distributor is currently voluntarily waiving a portion of its fee so that the
Fund pays .15% of average daily net assets for the Adjustable Rate Mortgage
(ARM) Fund and the Ultra Short Fund.
The distribution fee rate for each of the Intermediate Mortgage Fund and the
U.S. Government Mortgage Fund, computed separately, is as follows: .15% of the
first $500 million, .125% of the next $500 million, .10% of the next $500
million, and .075% of such net assets in excess of $1.5 billion.
BISYS Fund Services Ohio, Inc. ("BISYS, Ohio"), serves the Trust as
administrator (the "Administrator") and transfer agent (the "Transfer Agent").
BISYS, Ohio is a subsidiary of The BISYS Group, Inc. The administration fee rate
for each of the Funds, computed separately, is as follows: .03% of the first $1
billion, .02% of the next $1 billion, and .01% of such net assets in excess of
$2 billion.
As compensation, the Trust pays the Transfer Agent, a monthly fee, in
accordance with the Transfer Agency agreement adopted by the Trust.
Other expenses directly attributable to a Fund are charged to that Fund.
Otherwise, expenses are allocated proportionately among the Funds in relation to
the net assets of each Fund or by another appropriate method.
33
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
C. Transactions in shares of the Trust for the periods ended October 31, 2003
and October 31, 2002, were as follows:
- --------------------------------------------------------------------------------
<Table>
<Caption>
MONEY MARKET FUND
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
- ----------------------------------------------------------------------------------------------------
Share transactions Class I:
Sale of shares............................................ 303,435,935 348,087,003
Shares issued to stockholders in reinvestment dividends... 321,764 648,460
Shares repurchased........................................ (293,591,768) (363,655,739)
------------ ------------
Net increase (decrease)................................... 10,165,931 (14,920,276)
Shares outstanding
Beginning of period.................................... 30,581,908 45,502,184
------------ ------------
End of period.......................................... 40,747,839 30,581,908
============ ============
Share transactions Class D:
Sale of shares............................................ 228,413,673 127,098,202
Shares issued to stockholders in reinvestment dividends... 42,261 47,264
Shares repurchased........................................ (219,969,777) (120,893,245)
------------ ------------
Net increase.............................................. 8,486,157 6,252,221
Shares outstanding
Beginning of period.................................... 15,039,539 8,787,318
------------ ------------
End of period.......................................... 23,525,696 15,039,539
============ ============
</Table>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
ADJUSTABLE RATE ULTRA SHORT
MORTGAGE (ARM) FUND FUND
--------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002*
- ---------------------------------------------------------------------------------------------------------------
Share transactions:
Sale of shares................... 494,903,553 347,597,471 20,377,204 49,486,088
Shares issued to stockholders in
reinvestment of dividends..... 6,486,942 5,397,406 349,592 330,998
Shares repurchased............... (376,937,871) (219,444,526) (24,210,819) (20,969,810)
------------ ------------ ----------- -----------
Net increase (decrease).......... 124,452,624 133,550,351 (3,484,023) 28,847,276
Shares outstanding
Beginning of period........... 340,612,639 207,062,288 28,847,277 1.00
------------ ------------ ----------- -----------
End of period................. 465,065,263 340,612,639 25,363,254 28,847,277
============ ============ =========== ===========
</Table>
- --------------------------------------------------------------------------------
34
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHORT U.S. INTERMEDIATE MORTGAGE
GOVERNMENT FUND FUND
-------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002
- ---------------------------------------------------------------------------------------------------------------
Share transactions:
Sale of shares.................... 17,098,986 14,219,122 34,781,632 22,226,248
Shares issued to stockholders in
reinvestment of dividends...... 300,342 384,872 459,440 409,090
Shares repurchased................ (10,660,144) (17,388,766) (23,684,181) (18,892,803)
----------- ----------- ----------- -----------
Net increase (decrease)........... 6,739,184 (2,784,772) 11,556,891 3,742,535
Shares outstanding
Beginning of period............ 15,043,687 17,828,459 24,588,774 20,846,239
----------- ----------- ----------- -----------
End of period.................. 21,782,871 15,043,687 36,145,665 24,588,774
=========== =========== =========== ===========
</Table>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
U.S. GOVERNMENT
MORTGAGE FUND
-----------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
- -------------------------------------------------------------------------------------------------
Share transactions:
Sale of shares............................................ 22,398,837 4,399,610
Shares issued to stockholders in reinvestment of
dividends.............................................. 375,997 274,729
Shares repurchased........................................ (12,146,643) (5,693,438)
----------- ----------
Net increase (decrease)................................... 10,628,191 (1,019,099)
Shares outstanding
Beginning of period.................................... 8,739,167 9,758,266
----------- ----------
End of period.......................................... 19,367,358 8,739,167
=========== ==========
</Table>
- --------------------------------------------------------------------------------
* Period from November 14, 2001 (commencement of operations) to October 31,
2002.
35
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
D. At October 31, 2003, Net Assets consisted of the following:
- --------------------------------------------------------------------------------
<Table>
<Caption>
ADJUSTABLE RATE SHORT U.S. INTERMEDIATE
MONEY MARKET MORTGAGE ULTRA SHORT GOVERNMENT MORTGAGE U.S. GOVERNMENT
FUND (ARM) FUND FUND FUND FUND MORTGAGE FUND
- --------------------------------------------------------------------------------------------------------------------
Capital.............. $64,276,736 $4,630,316,986 $253,627,282 $234,938,356 $354,101,016 $208,351,296
Accumulated net
investment
income/(loss)...... -- (2,683,640) 7,706 (21,680) 9,957 5,917
Accumulated net
realized
gain/(loss)........ (14,744) (45,279,316) (3,191,612) (3,978,953) (8,486,869) (5,301,565)
Net unrealized
appreciation/
(depreciation) of
investments........ -- 14,584,872 1,224,673 1,667,485 2,233,561 1,510,086
----------- -------------- ------------ ------------ ------------ ------------
$64,261,992 $4,596,938,902 $251,668,049 $232,605,208 $347,857,665 $204,565,734
=========== ============== ============ ============ ============ ============
</Table>
- --------------------------------------------------------------------------------
E. At October 31, 2003, liabilities for the Funds included:
- --------------------------------------------------------------------------------
<Table>
<Caption>
ADJUSTABLE RATE SHORT U.S. INTERMEDIATE U.S. GOVERNMENT
MONEY MARKET MORTGAGE ULTRA SHORT GOVERNMENT MORTGAGE MORTGAGE
FUND (ARM) FUND FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------
Investment advisory
fee payable........ $ -- $ 1,006,992 $ 55,985 $ 51,398 $ 74,752 $ 44,115
Administration fee
payable............ 211 8,416 856 787 1,145 673
Distribution fee
payable............ 10,653 578,455 32,082 29,866 42,980 25,671
Distributions
payable............ 38,054 8,310,723 454,758 512,500 831,276 613,732
Securities purchased
payable............ -- 67,050,539 -- -- -- --
Other liabilities.... 6,925 364,215 29,278 23,706 33,284 18,003
</Table>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
F. FEDERAL INCOME TAX INFORMATION:
It is the policy of each Fund to continue to qualify as a regulated investment
company by complying with the provisions available to certain investment
companies, as defined in applicable sections of the Internal Revenue Code, and
to make distributions of net investment income and net realized capital gains
sufficient to relieve it from all, or substantially all, federal income taxes.
36
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
The tax characteristics of distributions paid to shareholders during the fiscal
years ended October 31, 2003 and 2002 were as follows:
- --------------------------------------------------------------------------------
<Table>
<Caption>
DISTRIBUTIONS TOTAL
PAID FROM TOTAL TAXABLE DISTRIBUTIONS
2003 ORDINARY INCOME DISTRIBUTIONS PAID*
- ---------------------------------------------------------------------------------------------------------
Money Market Fund..................................... $ 436,473 $ 436,473 $ 436,473
ARM Fund.............................................. 100,691,032 100,691,032 100,691,032
Ultra Short Fund...................................... 6,161,647 6,161,647 6,161,647
Short U.S. Government Fund............................ 5,829,192 5,829,192 5,829,192
Intermediate Mortgage Fund............................ 10,619,213 10,619,213 10,619,213
U.S. Government Mortgage Fund......................... 6,375,143 6,375,143 6,375,143
</Table>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
DISTRIBUTIONS TOTAL
PAID FROM TOTAL TAXABLE DISTRIBUTIONS
2002 ORDINARY INCOME DISTRIBUTIONS PAID*
- -----------------------------------------------------------------------------------------------------------
Money Market Fund....................................... $ 897,464 $ 897,464 $ 897,494
ARM Fund................................................ 86,292,442 86,292,442 86,292,442
Ultra Short Fund........................................ 5,377,314 5,377,314 5,377,314
Short U.S. Government Fund.............................. 6,567,581 6,567,581 6,567,581
Intermediate Mortgage Fund.............................. 9,610,445 9,610,445 9,610,445
U.S. Government Mortgage Fund........................... 5,044,152 5,044,152 5,044,152
</Table>
- --------------------------------------------------------------------------------
* Total distributions paid differ from the Statement of Changes in Net Assets
because dividends are recognized when actually paid for tax purposes.
37
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
As of October 31, 2003 the components of accumulated earnings/(deficit) on a tax
basis were as follows:
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOTAL
UNDISTRIBUTED ACCUMULATED UNREALIZED ACCUMULATED
ORDINARY ACCUMULATED DISTRIBUTIONS CAPITAL AND APPRECIATION/ EARNINGS/
INCOME EARNINGS PAYABLE OTHER LOSSES** (DEPRECIATION)*** DEFICIT)
- ---------------------------------------------------------------------------------------------------------------------------------
Money Market Fund.......... $ 38,054 $ 38,054 $ (38,054) $ (14,744) -- $ (14,744)
ARM Fund................... 5,627,083 5,627,083 (8,310,723) (45,279,316) 14,584,872 (33,378,084)
Ultra Short Fund........... 462,464 462,464 (454,758) (3,191,612) 1,224,673 (1,959,233)
Short U.S. Government
Fund..................... 490,820 490,820 (512,500) (3,933,308) 1,621,840 (2,333,148)
Intermediate Mortgage
Fund..................... 841,233 841,233 (831,276) (8,486,869) 2,233,561 (6,243,351)
U.S. Government Mortgage
Fund..................... 619,649 619,649 (613,732) (5,216,229) 1,424,751 (3,785,561)
</Table>
- --------------------------------------------------------------------------------
**For tax purposes at October 31, 2003, the following Funds had capital loss
carryforwards. All losses are available to offset future realized capital
gains, if any.
<Table>
<Caption>
FUND AMOUNT EXPIRES
- -----------------------------------------------------------------------------------
Money Market Fund........................................... $ 14,744 2008
ARM Fund.................................................... 819,918 2004
ARM Fund.................................................... 1,301,928 2006
ARM Fund.................................................... 4,959,047 2007
ARM Fund.................................................... 1,824,665 2008
ARM Fund.................................................... 2,995,058 2010
ARM Fund.................................................... 33,378,700 2011
Ultra Short Fund............................................ 1,342,312 2010
Ultra Short Fund............................................ 1,849,300 2011
Short U.S. Government Fund.................................. 1,966,811 2004
Short U.S. Government Fund.................................. 642,561 2007
Short U.S. Government Fund.................................. 1,193,651 2008
Short U.S. Government Fund.................................. 130,285 2011
Intermediate Mortgage Fund.................................. 2,314,129 2004
Intermediate Mortgage Fund.................................. 817,175 2007
Intermediate Mortgage Fund.................................. 2,029,049 2008
Intermediate Mortgage Fund.................................. 312,894 2010
Intermediate Mortgage Fund.................................. 3,013,622 2011
U.S. Government Mortgage Fund............................... 29,820 2004
U.S. Government Mortgage Fund............................... 124,825 2005
U.S. Government Mortgage Fund............................... 802,809 2007
U.S. Government Mortgage Fund............................... 2,276,740 2008
U.S. Government Mortgage Fund............................... 181,530 2010
U.S. Government Mortgage Fund............................... 1,800,505 2011
</Table>
- --------------------------------------------------------------------------------
***The difference between book-basis and tax-basis unrealized
appreciation/(depreciation) is attributable to the tax deferral of losses on
wash sales.
38
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 2003
- --------------------------------------------------------------------------------
G. For the year ended October 31, 2003, purchases and proceeds from
sales/maturities of securities, other than short-term investments, were as
follows:
- --------------------------------------------------------------------------------
<Table>
<Caption>
ADJUSTABLE RATE SHORT U.S.
MORTGAGE (ARM) ULTRA SHORT GOVERNMENT INTERMEDIATE U.S. GOVERNMENT
FUND FUND FUND MORTGAGE FUND MORTGAGE FUND
- ------------------------------------------------------------------------------------------------------------
Purchases.............. $5,854,950,540 $320,647,675 $202,756,331 $384,007,596 $238,209,943
============== ============ ============ ============ ============
Sales and Maturities... $4,424,874,037 $326,818,158 $135,036,707 $294,459,991 $149,117,927
============== ============ ============ ============ ============
</Table>
- --------------------------------------------------------------------------------
39
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT AUDITORS
To the Board of Trustees and Shareholders
of the Asset Management Fund:
In our opinion, the accompanying statements of net assets, including the
schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Money Market Fund, Adjustable
Rate Mortgage (ARM) Fund, Ultra Short Fund, Short U.S. Government Fund,
Intermediate Mortgage Fund, and the U.S. Government Mortgage Fund (collectively
referred to as the "Funds") at October 31, 2003, the results of their operations
for the year then ended, the changes in their net assets and the financial
highlights for each of the periods presented, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Funds' management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with auditing
standards generally accepted in the United States of America, which require that
we plan and perform the audits to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at October 31, 2003 by correspondence with the custodian and
brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
December 19, 2003
40
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
TRUSTEES AND OFFICERS OF ASSET MANAGEMENT FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
NUMBER OF
POSITION(S) HELD WITH PORTFOLIOS
TRUST, LENGTH OF TIME IN FUND OTHER
SERVED AND TERM OF COMPLEX DIRECTORSHIPS(1)
NAME, ADDRESS AND AGE OFFICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS OVERSEEN HELD
- ------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
Richard M. Amis.............. Trustee since 1997. President, First Federal Community Bank 6 None
630 Clarksville Street Indefinite Term of since 1984; Director, First Financial Trust
Paris, TX 75460 Office Company
Age: 53
Arthur G. De Russo........... Trustee since 1993. Retired; Chief Executive Officer, Eastern 6 None
5397 S.E. Major Way Indefinite Term of Financial Federal Credit Union Trust Co.,
Stuart, FL 34997 Office Inc. from 1974 to 1992
Age: 82
David F. Holland............. Trustee since 1993 Chairman of the Board, Chief Executive 6 None
17 New England Executive Park and from 1988 to Officer and President of BostonFed Bancorp
Burlington, MA 01803 1989. Indefinite Term Inc.
Age: 62 of Office
Gerald J. Levy............... Vice Chairman of the Chairman and Chief Executive Officer, 6 None
4000 W. Brown Deer Road Board and Trustee Guaranty Bank, F.S.B. since 1984
Milwaukee, WI 53209 since 1982.
Age: 71 Indefinite Term of
Office
William A. McKenna, Jr....... Trustee since 2002. Chairman and Chief Executive Officer 7 Asset Management
71-02 Forest Avenue Indefinite Term of Ridgewood Savings Bank Fund Large Cap
Ridgewood, NY 11385 Office Equity Institutional
Age: 67 Fund, Inc.
INTERESTED TRUSTEES(2)
Rodger D. Shay, Sr.(3)....... Chairman of the Board Chairman and Director of Shay Assets 6 None
1000 Brickell Avenue and Trustee since Management, Inc. since August 1997
Miami, FL 33131 1993 and Trustee from
Age: 67 1985 to 1990.
Indefinite Term of
Office
Rodger D. Shay, Jr.(3)....... Trustee since 2002. President, Shay Financial Services, Inc. 6 None
1000 Brickell Avenue Indefinite Term of since 1997
Miami, FL 33131 Office
Age: 44
OFFICERS
Edward E. Sammons, Jr. ...... President since 1998. President of Shay Assets Management, Inc. None
230 West Monroe Street Term of Office since August 1997
Chicago, IL 60606 Expires 2004
Age: 64
</Table>
41
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
TRUSTEES AND OFFICERS OF ASSET MANAGEMENT FUND (CONTINUED)
<Table>
<Caption>
NUMBER OF
POSITION(S) HELD WITH PORTFOLIOS
TRUST, LENGTH OF TIME IN FUND OTHER
SERVED AND TERM OF COMPLEX DIRECTORSHIPS(1)
NAME, ADDRESS AND AGE OFFICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS OVERSEEN HELD
- ------------------------------------------------------------------------------------------------------------------------------------
Robert T. Podraza............ Vice President and Vice President of Shay Assets Management, None
230 West Monroe Street Assistant Treasurer Inc. since 1990
Chicago, IL 60606 since 1998. Term of
Age: 59 Office Expires 2004
Trent Statczar............... Treasurer since 2002. Vice President, Director and Manager, BISYS None
3435 Stelzer Road Term of Office Fund Services Ohio, Inc. from 1993-present
Columbus, OH 43219 Expires 2004
Age: 32
Daniel K. Ellenwood.......... Secretary since 1998. Secretary of the Fund since April 1998; None
230 West Monroe Street Term of Office Operations Manager, Shay Assets Management,
Chicago, IL 60606 Expires 2004 Inc. since November 1997
Age: 34
Christine A. Cwik............ Assistant Secretary Executive Secretary, Shay Assets None
230 West Monroe Street since 1999. Term of Management, Inc. since February 1999;
Chicago, IL 60606 Office Expires 2004 Executive Secretary, Shay Investment
Age: 54 Services, Inc. from April 1997 to February
1999
Alaina Metz.................. Assistant Secretary Chief Admin. Officer, BISYS Fund Services None
3435 Stelzer Road since 1999 and Ohio, Inc. from June 1995- present
Columbus, OH 43219 Assistant Treasurer
Age: 36 since 2002. Term of
Office Expires 2004
</Table>
- --------------------------------------------------------------------------------
(1) Directorships held in (1) any other investment companies registered under
the 1940 Act, (2) any company with a class of securities registered pursuant
to Section 12 of the Securities Exchange Act of 1934, as amended (the
"Exchange Act") or (3) any company subject to the requirements of Section
15(d) of the Exchange Act.
(2) A trustee is an "interested person" of the Trust under the 1940 Act because
he holds certain positions with the Trust's Distributor and/or Investment
Adviser and because of his financial interest in Shay Investment Services,
Inc., parent company of the Trust's Investment Adviser, Shay Assets
Management, Inc., and Distributor, Shay Financial Services, Inc.
(3) Rodger D. Shay, Jr., Trustee, is the son of Rodger D. Shay, Sr., Chairman of
the Board of Trustees and Trustee.
(4) The Statement of Additional Information includes additional information
about Trustees and is available, without charge, upon request by calling
800-527-3713.
42
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
GENERAL INFORMATION
- --------------------------------------------------------------------------------
For general information about any of the Portfolios offered by Asset Management
Fund including fees and expenses, please send for a prospectus and read it
carefully before you invest.
SHAY FINANCIAL SERVICES, INC.
230 West Monroe Street/Chicago, IL 60606
800-527-3713
1000 Brickell Avenue/Miami, FL 33131
800-327-6190
83 East Avenue/Norwalk, CT 06851
800-456-8232
8500 Freeport Parkway South, Irving TX 75063
800-442-9825
4001 Stonewood Drive/Wexford, PA 15090
800-224-5177
350 Springfield Avenue/Summit, NJ 07091
800-553-6159
- --------------------------------------------------------------------------------
ACCOUNT INFORMATION
- --------------------------------------------------------------------------------
To obtain performance data and other account information, call toll free
800-527-3713.
NOTES
NOTES
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DISTRIBUTOR
Shay Financial Services, Inc.
230 West Monroe Street
Chicago, IL 60606
INVESTMENT ADVISER
Shay Assets Management, Inc.
230 West Monroe Street
Chicago, IL 60606
ADMINISTRATOR AND TRANSFER AGENT
BISYS Fund Services Ohio, Inc.
3435 Stelzer Road
Columbus, OH 43219
LEGAL COUNSEL
Vedder, Price, Kaufman & Kammholz, P.C.
222 North LaSalle Street
Chicago, IL 60601
CUSTODIAN
The Bank of New York
100 Church Street, 10th Fl.
New York, NY 10286
INDEPENDENT AUDITORS
PricewaterhouseCoopers LLP
100 East Broad Street, Suite 2100
Columbus, OH 43215
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the
registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or a
third party. If the registrant has not adopted such a code of ethics,
explain why it has not done so.
THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE
REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER,
PRINCIPAL ACCOUNTING OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR
FUNCTIONS. THIS CODE OF ETHICS IS INCLUDED AS EXHIBIT 10 (a)(1).
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant's board of directors has
determined that the registrant either:
(i) Has at least one audit committee financial expert serving
on its audit committee; or
(ii) Does not have an audit committee financial expert serving
on its audit committee.
(2) If the registrant provides the disclosure required by
paragraph (a)(1)(i) of this Item, it must disclose the name of the
audit committee financial expert and whether that person is
"independent." In order to be considered "independent" for
purposes of this Item, a member of an audit committee may not,
other than in his or her capacity as a member of the audit
committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or
other compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as
defined in Section 2(a)(19) of the Act (15 U.S.C.
80a-2(a)(19)).
(3) If the registrant provides the disclosure required by
paragraph (a)(1)(ii) of this Item, it must explain why it does not
have an audit committee financial expert.
3(a)(1) THE REGISTRANT'S BOARD OF DIRECTORS HAS DETERMINED THAT THE REGISTRANT
HAS AT LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT
COMMITTEE.
3(a)(2) THE AUDIT COMMITTEE FINANCIAL EXPERT IS DAVID F. HOLLAND. HE IS AN
INDEPENDENT TRUSTEE.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed
for each of the last two fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements for those fiscal
years.
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees
billed in each of the last two fiscal years for assurance and related services
by the principal accountant that are reasonably related to the performance of
the audit of the registrant's financial statements and are not reported under
paragraph (a) of this Item. Registrants shall describe the nature of the
services comprising the fees disclosed under this category.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in
each of the last two fiscal years for professional services rendered by the
principal accountant for tax compliance, tax advice, and tax planning.
Registrants shall describe the nature of the services comprising the fees
disclosed under this category.
(d) Disclose, under the caption All Other Fees, the aggregate fees
billed in each of the last two fiscal years for products and services provided
by the principal accountant, other than the services reported in paragraphs (a)
through (c) of this Item. Registrants shall describe the nature of the services
comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee's pre-approval policies and
procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of
paragraphs (b) through (d) of this Item that were approved by the audit
committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours
expended on the principal accountant's engagement to audit the registrant's
financial statements for the most recent fiscal year that were attributed to
work performed by persons other than the principal accountant's full-time,
permanent employees.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to the
registrant's investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by another
investment adviser), and any entity controlling, controlled by, or under common
control with the adviser that provides ongoing services to the registrant for
each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant's audit committee of the board of
directors has considered whether the provision of nonaudit services that were
rendered to the registrant's investment adviser (not including any subadviser
whose role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling, controlled
by, or under common control with the investment adviser that provides ongoing
services to the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the
principal accountant's independence.
ONLY EFFECTIVE FOR ANNUAL REPORTS WITH PERIODS ENDING ON OR AFTER DECEMBER 15,
2003.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3
under the Exchange Act (17CFR 240.10A-3), state whether or not the
registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange
Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a
committee, however designated, identify each committee member. If
the entire board of directors is acting as the registrant's audit
committee as specified in Section 3(a)(58)(B) of the Exchange Act
(15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d)
under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption
from the listing standards for all audit committees.
NOT APPLICABLE.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual
report on this Form N-CSR must, unless it invests exclusively in non-voting
securities, describe the policies and procedures that it uses to determine how
to vote proxies relating to portfolio securities, including the procedures that
the company uses when a vote presents a conflict between the interests of its
shareholders, on the one hand, and those of the company's investment adviser;
principal underwriter; or any affiliated person (as defined in Section 2(a)(3)
of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules
thereunder) of the company, its investment adviser, or its principal
underwriter, on the other. Include any policies and procedures of the company's
investment adviser, or any other third party, that the company uses, or that are
used on the company's behalf, to determine how to vote proxies relating to
portfolio securities.
NOT APPLICABLE.
ITEM 8. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS
ITEM 9. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive
and principal financial officers, or persons performing similar functions,
regarding the effectiveness of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as
of a date within 90 days of the filing date of the report that includes the
disclosure required by this paragraph, based on the evaluation of these controls
and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or
240.15d-15(b)).
IN THE OPINION OF THE PRINCIPAL EXECUTIVE OFFICER AND PRINCIPAL FINANCIAL
OFFICER, BASED ON THEIR EVALUATION, THE REGISTRANT'S DISCLOSURE CONTROLS AND
PROCEDURES ARE ADEQUATELY DESIGNED AND ARE OPERATING EFFECTIVELY TO ENSURE (i)
THAT MATERIAL INFORMATION RELATING TO THE REGISTRANT, INCLUDING ITS CONSOLIDATED
SUBSIDIARIES, IS MADE KNOWN TO THEM BY OTHERS WITHIN THOSE ENTITIES,
PARTICULARLY DURING THE PERIOD IN WHICH THIS REPORT IS BEING PREPARED; AND (ii)
THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR IS
RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE TIME PERIODS SPECIFIED
IN THE SECURITIES AND EXCHANGE COMMISSION'S RULES AND FORMS.
(b) Disclose any change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that
occurred during the registrant's last fiscal half-year (the registrant's second
fiscal half-year in the case of an annual report) that has materially affected,
or is reasonably likely to materially affect, the registrant's internal control
over financial reporting.
THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL
REPORTING THAT OCCURRED DURING THE REGISTRANT'S SECOND FISCAL HALF-YEAR THAT
HAVE MATERIALLY AFFECTED OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE
REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING.
ITEM 10. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or
number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of
the disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit.
THE CODE OF ETHICS THAT IS THE SUBJECT OF THE DISCLOSURE REQUIRED BY ITEM 2 IS
ATTACHED HERETO.
(a)(2) A separate certification for each principal executive officer
and principal financial officer of the registrant as required by Rule 30a-2
under the Act (17 CFR 270.30a-2).
CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 ARE
ATTACHED HERETO.
(b) A separate or combined certification for each principal executive
officer and principal officer of the registrant as required by Rule 30a-2(b)
under the Act of 1940.
CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 ARE
ATTACHED HERETO.
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) Asset Management Fund
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By (Signature and Title)* /s/ Trent M. Statczar Trent M. Statczar, Treasurer
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Date 12/24/03
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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 (Signature and Title)* /s/ Trent M. Statczar Trent M. Statczar, Treasurer
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Date 12/24/03
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By (Signature and Title)* /s/ Edward E. Sammons, Jr. Edward E. Sammons, Jr., President
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Date 12/24/03
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*Print the name and title of each signing officer under his or her signature.