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
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(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
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(Name and address of agent for service)
Registrant's telephone number, including area code: 800-527-3713
-------------
Date of fiscal year end: October 31, 2007
---------------------------
Date of reporting period: April 30, 2007
--------------------------
ITEM 1. REPORTS TO STOCKHOLDERS.
[AMF LOGO]
ASSET MANAGEMENT FUND
230 West Monroe Street
Chicago, IL 60606
[AMF LOGO]
ASSET MANAGEMENT FUND
MANAGED BY:
SHAY ASSETS MANAGEMENT, INC.
SEMI-ANNUAL REPORT
APRIL 30, 2007
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ASSET MANAGEMENT FUND
MONEY MARKET FUND
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS...................................... 100.1%
Bear Stearns, 5.24%*,
(Agreement dated 4/30/07 to be repurchased at $30,026,050
on 5/1/07. Collateralized by an Adjustable Rate U.S.
Government Mortgage Security, 7.44%, with a value of
$31,116,876, due 9/1/36) $ 30,000,000 $ 30,000,000
Citigroup Repo, 5.21%,
(Agreement dated 4/30/07 to be repurchased at
$151,823,969 on 5/1/07. Collateralized by various
Adjustable Rate U.S. Government Mortgage Securities,
3.92%-5.84%, with a value of $154,838,040, due 9/1/33-
1/1/37) 151,802,000 151,802,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $181,802,000) 181,802,000
------------
TOTAL INVESTMENTS.......................................... 100.1% 181,802,000
(Cost $181,802,000)
LIABILITIES IN EXCESS OF OTHER ASSETS...................... (0.1)% (253,226)
------------
Net Assets applicable to 181,563,045 Shares of Common Stock
issued and outstanding................................... 100.0% $181,548,774
============
Net Asset Value, Class I offering and redemption price per
share ($142,782,342 / 142,796,184) $1.00
============
Net Asset Value, Class D offering and redemption price per
share ($38,766,432 / 38,766,861) $1.00
============
</Table>
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* The rates presented are the rates in effect at April 30, 2007.
See notes to financial statements.
1
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT MORTGAGE FUND
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE MORTGAGE-RELATED
SECURITIES*............................... 67.9%
1 Yr. Constant Maturity Treasury Based ARMS 7.4%
Bear Stearns Adjustable Rate Mortgage Trust
7.41% 3/25/31 $ 4,886,488 $ 4,920,331
CS First Boston Mortgage Securities Corp.
8.59% 11/25/31 1,469,007 1,467,787
7.47% 6/25/32 1,129,546 1,164,844
Fannie Mae
7.42% 7/1/28 7,569,895 7,872,690
7.19% 1/1/29 7,524,486 7,778,437
7.07% 8/1/29 5,892,404 6,085,749
6.55% 3/1/30 2,993,437 3,068,273
7.29% 6/1/30 6,354,328 6,596,587
7.23% 9/1/30 3,972,648 4,112,932
7.17% 5/1/33 4,349,007 4,490,350
6.19% 5/25/42 14,641,581 14,824,601
Fannie Mae Grantor Trust
6.21% 5/25/42 8,324,758 8,439,224
Fannie Mae Whole Loan
6.31% 8/25/42 7,268,073 7,368,009
Fifth Third Mortgage Loan Trust
6.13% 11/19/32 9,054,665 9,061,330
Freddie Mac
6.14% 10/1/22 3,200,918 3,255,934
7.15% 8/1/24 3,478,488 3,606,757
7.12% 9/1/27 3,520,184 3,630,190
7.13% 12/1/27 3,391,260 3,500,416
7.15% 12/1/27 3,543,942 3,664,657
7.13% 9/1/28 23,812,161 24,563,732
7.16% 9/1/30 3,085,785 3,191,858
7.07% 7/1/31 15,520,570 16,005,588
Structured Asset Mortgage Investments, Inc.
7.60% 3/25/32 2,628,147 2,633,218
</Table>
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See notes to financial statements.
2
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ASSET MANAGEMENT FUND
ULTRA SHORT MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------
WAMU Mortgage Pass-Through Certificates
6.41% 4/25/44 $12,855,602 $ 12,883,724
--------------
164,187,218
--------------
6 Month Certificate of Deposit Based ARMS 0.5%
Fannie Mae
6.41% 6/1/21 3,366,883 3,387,725
6.90% 12/1/24 5,349,316 5,452,912
Freddie Mac
7.13% 1/1/26 1,530,130 1,561,284
--------------
10,401,921
--------------
6 Month London Interbank Offering Rate
(LIBOR) Based ARMS 7.1%
Bear Stearns Adjustable Rate Mortgage Trust
8.07% 3/25/31 832,116 832,116
Fannie Mae
6.64% 9/1/27 10,679,016 10,789,207
6.59% 3/1/28 9,340,169 9,448,716
6.90% 6/1/28 1,702,537 1,725,158
6.65% 12/1/32 947,519 963,117
6.64% 9/1/33 3,514,885 3,550,169
6.59% 11/1/33 7,111,934 7,173,435
6.66% 11/1/33 5,541,862 5,609,802
Freddie Mac
7.55% 9/1/30 6,937,549 7,125,005
Mastr Adjustable Rate Mortgages Trust
6.89% 1/25/34 1,958,770 1,963,667
MLCC Mortgage Investors, Inc.
7.03% 10/25/28 18,363,390 18,558,501
Structured Asset Mortgage Investments Inc.
6.94% 7/19/32 5,479,629 5,541,275
7.17% 11/19/33 7,882,598 7,986,057
7.13% 12/19/33 14,587,841 14,756,512
</Table>
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See notes to financial statements.
3
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ASSET MANAGEMENT FUND
ULTRA SHORT MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp.
6.85% 5/25/32 $ 4,157,826 $ 4,163,024
7.71% 11/25/32 6,777,982 6,837,289
7.75% 12/25/32 7,739,004 7,884,110
7.87% 2/25/33 7,756,066 7,831,203
7.74% 3/25/33 6,355,872 6,425,389
7.84% 5/25/33 14,036,209 14,255,525
7.71% 9/25/33 14,247,099 14,451,902
--------------
157,871,179
--------------
Cost of Funds Index Based ARMS 5.5%
Fannie Mae
5.65% 11/1/32 10,733,275 10,745,785
5.64% 8/1/33 21,762,128 21,791,583
5.64% 5/1/35 46,276,653 46,328,922
5.63% 11/1/36 25,244,728 25,282,280
5.63% 6/1/38 17,671,419 17,694,083
--------------
121,842,653
--------------
HYBRID ARMS 6.4%
Banc of America Funding Corp.
4.11% 5/25/35 15,173,724 14,799,444
First Horizon Alternative Mortgage
Securities
5.32% 6/25/35 9,776,578 9,723,797
JP Morgan Mortgage Trust
5.27% 9/25/35 9,745,517 9,701,441
4.82% 7/25/35 10,479,337 10,273,738
MASTR Adjustable Rate Mortgages Trust
7.46% 10/25/32 3,474,847 3,474,847
Morgan Stanley Mortgage Loan Trust
5.46% 6/25/36 11,463,925 11,409,937
Residential Accredit Loans, Inc.
5.28% 4/25/35 8,241,058 8,178,161
Structured Adjustable Rate Mortgage Loan
Trust
5.05% 5/25/34 14,140,372 13,936,675
6.13% 5/25/36 8,941,197 9,052,262
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
4
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ASSET MANAGEMENT FUND
ULTRA SHORT MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage Backed Securities
Trust,
4.62% 10/25/33 $ 2,872,029 $ 2,872,029
3.99% 12/25/34 19,122,679 18,596,461
5.10% 3/25/36 19,957,285 19,643,575
5.63% 5/25/36 9,981,816 9,951,284
--------------
141,613,651
--------------
MONTHLY London Interbank Offering Rate
(LIBOR) Collateralized Mortgage
Obligations 41.0%
Adjustable Rate Mortgage Trust
5.52% 3/25/37 24,050,567 24,050,567
Banc of America Funding Corp.
5.61% 2/20/47 10,781,000 10,781,000
Bear Stearns Alt-A Trust
5.58% 11/25/35 7,928,686 7,928,297
5.54% 8/25/36 27,395,650 27,378,807
5.54% 12/25/46 15,841,013 15,824,771
5.52% 1/25/47 9,325,376 9,310,882
Fannie Mae
5.72% 9/18/31 5,975,449 6,013,430
5.64% 8/25/35 28,858,716 28,888,795
5.62% 12/25/36 35,586,349 35,693,282
5.62% 12/25/36 53,492,625 53,654,478
5.57% 2/25/37 94,324,546 94,373,349
5.58% 2/25/37 96,553,826 96,686,973
Freddie Mac
5.62% 11/15/36 42,443,128 42,566,735
Greenpoint Mortgage Funding Trust
5.63% 10/25/45 17,493,118 17,505,332
GSR Mortgage Loan Trust
5.67% 3/25/32 3,233,904 3,231,419
IndyMAC Indx Mortgage Loan Trust
5.62% 2/25/37 11,797,000 11,693,776
5.65% 2/25/37 4,857,000 4,809,948
5.67% 2/25/37 3,470,000 3,432,047
</Table>
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See notes to financial statements.
5
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------
JP Morgan Alternative Loan Trust
5.54% 11/25/36 $ 8,597,794 $ 8,601,945
5.63% 11/25/36 15,968,000 15,848,240
Lehman XS Trust
5.48% 3/25/37 108,968,329 108,559,699
Merrill Lynch Mortgage Investors Trust 14,554,193 14,557,315
5.52% 7/25/36
Morgan Stanley Mortgage Loan Trust
5.56% 8/25/36 28,523,350 28,473,853
5.56% 9/25/36 11,061,487 11,070,126
5.56% 10/25/36 13,592,985 13,588,744
5.57% 11/25/36 21,094,122 21,117,199
Nomura Asset Acceptance Corp.
5.67% 12/25/35 10,108,049 10,111,311
Residential Accredit Loans, Inc.
5.54% 7/25/36 23,554,347 23,514,005
Structured Adjustable Rate Mortgage Loan
Trust
5.53% 2/25/37 14,987,173 14,979,826
Thornburg Mortgage Securities Trust
5.45% 7/25/36 86,152,422 86,152,422
5.50% 8/25/36 60,376,134 60,231,588
--------------
910,630,161
--------------
TOTAL ADJUSTABLE RATE MORTGAGE-RELATED
SECURITIES
(Cost $1,503,474,863) 1,506,546,783
--------------
FIXED RATE MORTGAGE-RELATED SECURITIES...... 24.6%
Collateralized Mortgage Obligations 24.6%
Fannie Mae
4.00% 7/25/31 22,242,042 21,311,350
3.50% 6/25/33 33,321,578 32,061,752
4.35% 3/25/34 37,086,298 35,917,049
4.50% 3/25/35 23,383,522 22,212,159
4.35% 9/25/36 64,197,507 61,987,585
4.25% 2/25/37 70,074,854 67,576,125
4.25% 4/25/37 51,907,470 49,987,231
4.25% 5/25/37 69,000,000 65,912,659
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
6
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------
Freddie Mac
4.00% 9/15/17 $32,135,785 $ 31,264,478
4.25% 12/15/36 71,937,531 69,202,552
Prime Mortgage Trust
5.25% 1/25/34 11,970,043 11,867,499
Residential Accredit Loans, Inc.
6.00% 12/25/35 16,836,285 16,825,319
6.00% 5/25/36 37,668,905 37,721,664
Residential Asset Securitization Trust
5.50% 9/25/35 22,784,162 22,760,002
--------------
TOTAL FIXED RATE MORTGAGE-RELATED SECURITIES
(Cost $544,722,496) 546,607,424
--------------
REPURCHASE AGREEMENTS....................... 7.4%
Citigroup Repo, 5.21%*, (Agreement dated
4/30/07 to be repurchased at $83,826,130
on 5/1/07. Collateralized by various
Adjustable Rate U.S. Government Mortgage
Securities, 4.25%-6.49%, with a value of
$85,490,280, due 12/1/13-9/1/36) 83,814,000 83,814,000
Bear Stearns, 5.24%*, (Agreement dated
4/30/07 to be repurchased at $80,011,644
on 5/1/07. Collateralized by an Adjustable
Rate U.S. Government Mortgage Security,
5.71%, with a value of $82,478,269, due
11/25/36) 80,000,000 80,000,000
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $163,814,000) 163,814,000
--------------
TOTAL INVESTMENTS
(Cost $2,212,011,359)..................... 99.9% 2,216,968,207
OTHER ASSETS IN EXCESS OF LIABILITIES....... 0.1% 1,473,092
--------------
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
7
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------
Net Assets applicable to 229,151,947 Shares
of Common Stock issued and outstanding.... 100.0% $2,218,441,299
==============
Net Asset Value, offering and redemption
price per share
($2,218,441,299 / 229,151,947) $9.68
==============
</Table>
- --------------------------------------------------------------------------------
* The rates presented are the rates in effect at April 30, 2007.
See notes to financial statements.
8
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT FUND
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------
ADJUSTABLE RATE MORTGAGE-RELATED SECURITIES*..... 71.6%
1 Yr. Constant Maturity Treasury Based ARMS...... 16.0%
Fannie Mae
7.28% 10/1/26 $1,398,635 $ 1,451,521
7.17% 10/1/28 1,278,753 1,325,108
7.50% 12/1/30 2,910,948 3,027,386
7.32% 8/1/31 2,112,378 2,194,893
7.15% 7/1/33 4,447,111 4,604,150
7.14% 12/1/33 1,861,354 1,928,828
Freddie Mac
7.21% 11/1/28 888,479 910,691
7.71% 1/1/29 3,664,962 3,811,561
7.19% 9/1/30 853,182 879,844
7.36% 8/1/31 6,798,116 7,050,921
Fund America Investors Corp. II
6.85% 6/25/23 2,653,936 2,653,936
WAMU Mortgage Pass-Through Certificates
6.33% 4/25/44 1,977,815 1,982,142
------------
31,820,981
------------
6 Mo. Certificate of Deposit Based ARMS.......... 2.1%
Fannie Mae,
6.38% 4/1/20 4,155,647 4,179,493
------------
6 Mo. London Interbank Offering Rate (LIBOR)
Based ARMS..................................... 2.4%
Structured Adjustable Rate Mortgage Loan Trust
7.37% 8/25/34 2,530,686 2,563,900
Structured Asset Securities Corp.
7.74% 11/25/32 1,080,634 1,090,090
7.74% 11/25/32 1,080,634 1,090,090
------------
4,744,080
------------
Cost of Funds Index Based ARMS................... 0.7%
Regal Trust IV
5.90% 9/29/31 825,573 825,361
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
9
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------
Ryland Mortgage Securities Corp.
6.27% 10/25/23 $ 624,673 $ 624,673
------------
1,450,034
------------
HYBRID ARMS...................................... 20.4%
Adjustable Rate Mortgage Trust
4.92% 10/25/35 2,075,000 2,054,572
5.04% 3/25/36 1,693,737 1,679,787
Banc of America Funding Corp.
5.04% 5/20/35 5,929,218 5,852,949
4.61% 2/20/36 1,922,140 1,865,327
Bear Stearns Adjustable Rate Mortgage Trust
4.80% 10/25/35 5,744,613 5,584,607
GSR Mortgage Loan Trust
5.23% 1/25/36 4,984,526 4,928,157
Morgan Stanley Mortgage Loan Trust
5.46% 6/25/36 3,959,974 3,909,823
Mortgageit Trust
4.75% 5/25/35 1,768,992 1,734,496
4.75% 5/25/35 1,104,655 1,078,237
Sequoia Mortgage Trust
4.08% 4/20/35 1,740,000 1,692,974
Structured Adjustable Rate Mortgage Loan Trust
5.44% 4/25/35 3,985,032 3,969,635
5.77% 10/25/35 6,380,071 6,389,833
------------
40,740,397
------------
MONTHLY London Interbank Offering Rate (LIBOR)
Collateralized Mortgage Obligations............ 30.0%
Adjustable Rate Mortgage Trust
5.59% 11/25/35 4,554,798 4,564,299
American Home Mortgage Investment Trust
5.47% 9/25/35 4,160,841 4,160,345
Bear Stearns Alt-A Trust
5.54% 8/25/36 8,103,898 8,094,178
Fannie Mae
5.58% 1/15/37 9,745,314 9,764,184
5.57% 2/25/37 11,318,946 11,324,801
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
10
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------
Merrill Lynch Alternative Note Asset
6.12% 1/25/37 $2,841,000 $ 2,841,000
6.32% 1/25/37 1,420,500 1,420,500
Morgan Stanley Mortgage Loan Trust
5.41% 6/25/36 5,923,162 5,924,409
Sequoia Mortgage Trust
5.63% 9/20/33 3,349,075 3,350,121
Structured Asset Mortgage Investments, Inc.
6.52% 2/19/35 2,616,377 2,636,000
Structured Asset Securities Corp.
6.57% 3/25/33 1,472,529 1,480,352
6.67% 5/25/33 2,029,279 2,040,694
6.52% 11/25/33 2,152,622 2,164,058
------------
59,764,941
------------
TOTAL ADJUSTABLE RATE MORTGAGE-RELATED SECURITIES
(Cost $142,077,476) 142,699,926
------------
FIXED RATE MORTGAGE-RELATED SECURITIES........... 19.0%
Collateralized Mortgage Obligations 19.0%
Fannie Mae
4.35% 9/25/36 13,756,609 13,283,054
4.25% 4/25/37 9,844,384 9,480,206
Freddie Mac
4.50% 5/15/16 10,000,000 9,871,591
3.03% 6/15/17 5,553,005 5,237,267
------------
TOTAL FIXED RATE MORTGAGE-RELATED SECURITIES
(Cost $37,811,221) 37,872,118
------------
REPURCHASE AGREEMENTS............................ 9.1%
Citigroup Repo, 5.21%*, (Agreement dated 4/30/07
to be repurchased at $18,189,632 on 5/1/07.
Collateralized by an Adjustable Rate U.S.
Government Mortgage Security, 5.27%, with a
value of $18,550,740, due 1/1/36) 18,187,000 18,187,000
------------
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
11
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(Cost $18,187,000) $ 18,187,000
------------
TOTAL INVESTMENTS
(Cost $198,075,697)............................ 99.7% 198,759,044
OTHER ASSETS IN EXCESS OF LIABILITIES 0.3% 518,181
------------
Net Assets applicable to 20,466,013 Shares of
Common Stock issued and outstanding............ 100.0% $199,277,225
============
Net Asset Value, offering and redemption price
per share ($199,277,225 / 20,466,013) $9.74
============
</Table>
- --------------------------------------------------------------------------------
* The rates presented are the rates in effect at April 30, 2007.
See notes to financial statements.
12
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
SHORT U.S. GOVERNMENT FUND
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE MORTGAGE-RELATED SECURITIES*... 38.9%
1 Yr. Constant Maturity Treasury Based ARMS.... 16.0%
Fannie Mae
7.19% 5/1/26 $ 3,142,451 $ 3,256,365
7.15% 5/1/27 913,857 946,699
7.12% 7/1/27 442,684 458,040
7.22% 7/1/28 2,530,242 2,619,591
7.32% 5/1/31 2,639,252 2,744,822
7.17% 9/1/33 2,899,485 3,001,873
Freddie Mac
7.38% 5/1/18 577,314 593,551
7.08% 3/1/27 1,734,582 1,791,498
7.36% 8/1/31 7,827,936 8,119,038
------------
23,531,477
------------
HYBRID ARMS.................................... 10.1%
Adjustable Rate Mortgage Trust
4.96% 10/25/35 2,247,647 2,233,589
Banc of America Funding Corporation
5.04% 5/20/35 3,952,812 3,901,966
Bear Stearns Adjustable Rate Mortgage Trust
4.80% 10/25/35 2,606,574 2,552,333
IndyMAC Indx Mortgage Loan Trust
5.44% 7/25/35 4,176,718 4,127,537
5.43% 9/25/35 2,020,088 2,004,868
------------
14,820,293
------------
MONTHY London Interbank Offering Rate (LIBOR)
Collateralized Mortgages Obligations......... 12.8%
Fannie Mae
5.58% 1/15/37 7,503,892 7,518,422
5.57% 2/25/37 11,318,946 11,324,803
------------
18,843,225
------------
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
13
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
SHORT U.S. GOVERNMENT FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------
TOTAL ADJUSTABLE RATE MORTGAGE-
RELATED SECURITIES
(Cost $57,167,983) $ 57,194,995
------------
FIXED RATE MORTGAGE-RELATED SECURITIES......... 39.3%
15 Yr. Securities.............................. 0.3%
Freddie Mac
8.50% 8/17/07 $ 3,509 3,509
8.00% 12/17/15 365,829 372,333
------------
375,842
------------
Collateralized Mortgage Obligations............ 39.0%
Fannie Mae
4.35% 3/25/34 4,817,720 4,665,828
4.35% 9/25/36 13,756,609 13,283,054
4.25% 4/25/37 4,922,192 4,740,103
------------
22,688,985
------------
Freddie Mac
4.50% 5/15/16 10,000,000 9,871,591
3.03% 6/15/17 12,115,648 11,426,763
4.50% 4/15/19 8,674,598 8,547,366
4.25% 12/15/36 4,846,302 4,662,051
------------
34,507,771
------------
TOTAL FIXED RATE MORTGAGE-RELATED SECURITIES
(Cost $57,611,765) 57,572,598
------------
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
14
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
SHORT U.S. GOVERNMENT FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS...................... 5.4%
U.S. Treasury Notes 5.4%
4.88% 5/15/09 $ 3,000,000 $ 3,015,703
4.75% 5/15/14 3,000,000 3,032,813
4.25% 11/15/14 2,000,000 1,957,812
------------
8,006,328
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $8,118,978) 8,006,328
------------
REPURCHASE AGREEMENTS.......................... 15.9%
Citigroup Repo, 5.21%*, (Agreement dated
4/30/07 to be repurchased at $23,369,382
on 5/1/07. Collateralized by an Adjustable
Rate U.S. Government Mortgage Security,
5.63%, with a value of $28,833,321, due
5/1/36) 23,366,000 23,366,000
------------
Total REPURCHASE AGREEMENTS
(Cost $23,366,000) 23,366,000
------------
TOTAL INVESTMENTS
(Cost $146,264,726).......................... 99.5% 146,139,921
OTHER ASSETS IN EXCESS OF LIABILITIES 0.5% 771,264
------------
Net Assets applicable to 14,172,038 Shares of
Common Stock issued and outstanding.......... 100.0% $146,911,185
============
Net Asset Value, offering and redemption price
per share ($146,911,185 / 14,172,038) $10.37
============
</Table>
- --------------------------------------------------------------------------------
* The rates presented are the rates in effect at April 30, 2007.
See notes to financial statements.
15
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
INTERMEDIATE MORTGAGE FUND
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------
ADJUSTABLE RATE MORTGAGE-RELATED SECURITIES*..... 45.2%
1 Yr. Constant Maturity Treasury Based ARMS.... 4.2%
Countrywide Home Loans
7.42% 1/20/35 $ 4,407,110 $ 4,484,234
Lehman XS Trust
6.01% 11/25/35 6,107,447 6,177,109
------------
10,661,343
------------
HYBRID ARMS.................................... 28.4%
Adjustable Rate Mortgage Trust
5.25% 10/25/35 8,874,805 8,784,330
Banc of America Mortgage Securities
4.33% 3/25/33 2,076,430 2,053,610
7.25% 4/25/33 117,230 117,334
Bear Stearns Adjustable Rate Mortgage Trust
4.80% 10/25/35 12,251,593 11,982,104
Countrywide Home Loans
4.95% 12/25/33 3,913,015 3,839,151
Countrywide Alternative Loan Trust
5.19% 12/25/34 7,338,391 7,264,456
First Horizon Alternative Mortgage
Securities
5.45% 7/25/35 11,395,841 11,255,086
GSR Mortgage Loan Trust
5.23% 1/25/36 4,984,526 4,928,157
JP Morgan Mortgage Trust
4.97% 8/25/35 3,973,451 3,889,065
Structured Adjustable Rate Mortgage Loan
Trust
4.68% 4/25/34 9,153,350 8,981,623
5.58% 6/25/36 10,000,000 10,009,635
------------
73,104,551
------------
MONTHLY London Interbank Offering Rate (LIBOR)
Collateralized Mortgage Obligations......... 12.6%
American Home Mortgage Investment Trust
5.47% 9/25/35 3,890,315 3,889,852
Banc of America Funding Corporation
5.63% 2/20/47 4,312,000 4,312,000
5.66% 2/20/47 3,594,000 3,594,000
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
16
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
INTERMEDIATE MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust Inc.
5.63% 1/25/37 $ 4,238,000 $ 4,238,000
Impac CMB Trust
6.34% 6/25/33 4,009,393 4,011,153
Merrill Lynch Alternative Note Asset
5.62% 1/25/37 3,247,500 3,247,500
Structured Adjustable Rate Mortgage Loan
Trust
5.61% 2/25/37 2,415,000 2,415,000
5.64% 2/25/37 3,105,000 3,105,000
5.68% 2/25/37 3,450,000 3,450,000
------------
32,262,505
------------
TOTAL ADJUSTABLE RATE MORTGAGE-RELATED
SECURITIES
(Cost $116,122,208) 116,028,399
------------
FIXED RATE MORTGAGE-RELATED SECURITIES........... 52.0%
15 Yr. Securities.............................. 3.6%
Fannie Mae
7.00% 3/1/15 824,998 853,371
7.00% 3/1/15 448,934 463,492
7.00% 3/1/15 469,244 484,926
7.50% 11/1/15 630,347 659,464
6.50% 1/1/16 631,860 647,558
6.00% 6/1/16 1,599,483 1,629,786
6.00% 7/1/17 1,619,601 1,650,284
6.00% 7/1/17 855,958 872,174
Freddie Mac
7.50% 1/1/10 275,535 280,188
6.00% 6/1/17 1,695,566 1,726,630
------------
9,267,873
------------
Collateralized Mortgage Obligations............ 48.4%
Countrywide Alternative Loan Trust
5.50% 12/25/35 8,275,455 8,305,859
Countrywide Home Loans
5.75% 2/25/37 20,000,000 19,839,624
5.75% 5/25/37 10,000,000 9,972,217
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
17
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
INTERMEDIATE MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------
Credit Suisse Mortgage Capital Certificates
6.00% 5/25/36 $10,000,000 $ 10,066,748
6.00% 2/25/37 6,940,000 6,997,100
Fannie Mae
4.00% 10/25/32 6,289,966 5,952,334
5.00% 9/25/35 4,212,502 4,166,180
4.25% 4/25/37 4,922,192 4,740,103
First Horizon Mortgage Pass-Through Trust
5.75% 5/25/36 10,000,000 10,035,621
First Horizon Alternative Mortgage
Securities Trust
6.00% 7/25/36 4,109,000 4,122,270
6.00% 7/25/36 5,190,000 5,235,365
Freddie Mac
3.25% 9/15/27 9,746,898 9,412,374
5.00% 2/15/30 8,933,000 8,768,738
4.75% 3/15/30 10,000,000 9,733,257
Residential Funding Mortgage Security I
6.00% 1/25/37 6,900,000 6,924,857
------------
124,272,647
------------
TOTAL FIXED RATE MORTGAGE-RELATED SECURITIES
(Cost $133,145,074) 133,540,520
------------
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
18
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
INTERMEDIATE MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS............................ 2.7%
Citigroup Repo, 5.21%*, (Agreement dated
4/30/07 to be repurchased at $6,848,991 on
5/1/07. Collateralized by an Adjustable Rate
U.S. Government Mortgage Security, 6.36%,
with a value of $6,984,960, due 5/1/36) $ 6,848,000 $ 6,848,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $6,848,000) 6,848,000
------------
TOTAL INVESTMENTS
(Cost $256,115,282)............................ 99.9% 256,416,919
OTHER ASSETS IN EXCESS OF LIABILITIES............ 0.1% 128,694
------------
Net Assets applicable to 27,528,477 Shares of
Common Stock issued and outstanding............ 100.0% $256,545,613
============
Net Asset Value, offering and redemption price
per share ($256,545,613 / 27,528,477) $9.32
============
</Table>
- --------------------------------------------------------------------------------
* The rates presented are the rates in effect at April 30, 2007.
See notes to financial statements.
19
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
U.S. GOVERNMENT MORTGAGE FUND
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------
ADJUSTABLE RATE MORTGAGE-RELATED SECURITIES*..... 21.2%
HYBRID ARMS...................................... 21.2%
Banc of America Funding Corporation
4.61% 2/20/36 $ 5,574,905 $ 5,448,524
Fannie Mae
5.36% 10/1/35 2,339,031 2,328,882
5.99% 4/1/36 836,853 843,393
Freddie Mac
5.64% 4/1/36 9,797,732 9,803,296
GSR Mortgage Loan Trust
5.23% 1/25/36 4,984,526 4,928,157
IndyMAC Inda Mortgage Loan Trust
5.20% 11/25/35 3,742,723 3,676,052
Wells Fargo Mortgage Backed Securities Trust
5.12% 9/25/35 1,056,000 1,041,668
------------
TOTAL ADJUSTABLE RATE MORTGAGE-RELATED SECURITIES
(Cost $27,750,533) 28,069,972
------------
FIXED RATE MORTGAGE-RELATED SECURITIES........... 75.9%
15 Yr. Securities.............................. 0.6%
Fannie Mae
7.00% 3/1/15 752,625 777,031
------------
30 Yr. Securities.............................. 12.0%
Fannie Mae
5.00% 8/1/33 10,065,532 9,749,805
6.00% 6/1/34 4,118,622 4,159,486
Government National Mortgage Association
7.50% 2/15/24 405,564 428,609
7.00% 4/15/27 422,664 442,641
6.00% 1/15/29 978,790 996,568
------------
15,777,109
------------
Collateralized Mortgage Obligations............ 63.3%
Fannie Mae
4.50% 10/25/31 9,000,000 8,537,431
5.00% 9/25/32 13,929,000 13,634,614
4.00% 1/25/33 921,668 874,887
4.00% 9/25/33 3,066,140 2,893,957
5.50% 12/25/36 8,573,000 8,411,286
4.25% 4/25/37 4,922,192 4,740,103
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
20
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
U.S. GOVERNMENT MORTGAGE FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET PRINCIPAL
ASSETS MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------
Freddie Mac
5.50% 12/15/28 $ 5,496,270 $ 5,539,524
5.00% 3/15/30 10,670,000 10,573,361
4.00% 3/15/33 1,198,907 1,128,593
5.50% 6/15/33 12,201,000 12,124,885
4.25% 12/15/36 4,846,302 4,662,051
Government National Mortgage Association
4.50% 4/16/31 10,988,400 10,712,724
------------
83,833,416
------------
TOTAL FIXED RATE MORTGAGE-RELATED SECURITIES
(Cost $99,509,251) 100,387,556
------------
REPURCHASE AGREEMENTS............................ 2.7%
Citigroup Repo, 5.21%*, Agreement dated 4/30/07
to be repurchased at $3,605,522 on 5/1/07.
Collateralized by an Adjustable Rate U.S.
Government Mortgage Security, 4.42%, with a
value of $3,677,100, due 8/1/34) 3,605,000 3,605,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $3,605,000) 3,605,000
------------
TOTAL INVESTMENTS
(Cost $130,864,784)............................ 99.8% 132,062,528
OTHER ASSETS IN EXCESS OF LIABILITIES............ 0.2% 299,959
------------
Net Assets applicable to 12,945,775 Shares of
Common Stock issued and outstanding............ 100.0% $132,362,487
============
Net Asset Value, offering and redemption price
per share ($132,362,487 / 12,945,775) $10.22
============
</Table>
- --------------------------------------------------------------------------------
* The rates presented are the rates in effect at April 30, 2007.
See notes to financial statements.
21
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
LARGE CAP EQUITY FUND
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------
COMMON STOCKS....................................... 95.5%
Advertising......................................... 3.0%
Omnicom Group, Inc. $ 16,000 $ 1,675,360
-----------
Automotive.......................................... 2.0%
Harley-Davidson, Inc. 18,000 1,139,760
-----------
Banks............................................... 2.7%
Wells Fargo & Co. 42,000 1,507,380
-----------
Beverages........................................... 3.1%
Anheuser Busch Companies, Inc. 35,000 1,721,650
-----------
Beverages Non-Alcoholic............................. 8.0%
Coca-Cola Co. 43,000 2,244,170
PepsiCo, Inc. 34,000 2,247,060
-----------
4,491,230
-----------
Building Products................................... 3.7%
Home Depot, Inc. 55,000 2,082,850
-----------
Business Services................................... 2.4%
Staples, Inc. 55,000 1,364,000
-----------
Computer Hardware................................... 5.8%
Cisco Systems, Inc.(b) 60,000 1,604,400
Dell, Inc.(b) 65,000 1,638,650
-----------
3,243,050
-----------
Computer Software & Services........................ 7.2%
Automatic Data Processing, Inc. 40,000 1,790,400
Microsoft Corp. 75,000 2,245,500
-----------
4,035,900
-----------
Consumer Non-Durable................................ 4.8%
Procter & Gamble Co. 42,000 2,701,020
-----------
Distributor-Consumer Products....................... 2.4%
Sysco Corp. 42,000 1,375,080
-----------
Diversified Manufacturing........................... 12.0%
3M Co. 26,000 2,152,020
General Electric Co. 80,000 2,948,800
Illinois Tool Works, Inc. 32,000 1,641,920
-----------
6,742,740
-----------
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
22
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
LARGE CAP EQUITY FUND (CONTINUED)
STATEMENT OF NET ASSETS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE
OF NET
ASSETS MATURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------
Financial Services.................................. 5.1%
American Express Co. 25,000 $ 1,516,750
Merrill Lynch & Co. 15,000 1,353,450
-----------
2,870,200
-----------
Food Processing..................................... 3.1%
Wm. Wrigley Jr. Co. 30,000 1,766,400
-----------
Health Care......................................... 4.8%
Johnson & Johnson 42,000 2,697,240
-----------
Insurance........................................... 9.2%
American International Group, Inc. 35,000 2,446,850
Berkshire Hathaway, Inc.(b) 25 2,730,000
-----------
5,176,850
-----------
Medical Instruments................................. 3.4%
Medtronic, Inc. 36,000 1,905,480
-----------
Oil & Gas........................................... 2.5%
Exxon Mobil Corp. 18,000 1,428,840
-----------
Pharmaceuticals..................................... 3.2%
Abbott Laboratories 32,000 1,811,840
-----------
Retail.............................................. 4.7%
Wal-Mart Stores, Inc. 55,000 2,635,600
-----------
Transportation & Shipping........................... 2.4%
Fedex Corp. 13,000 1,370,720
-----------
TOTAL COMMON STOCKS
(Cost $37,448,584) 53,743,190
-----------
CASH EQUIVALENTS.................................... 4.6%
Money Market Mutual Funds........................... 4.6%
Vanguard Admiral Money Market Fund 2,578,731 2,578,731
-----------
TOTAL CASH EQUIVALENTS
(Cost $2,578,731) 2,578,731
-----------
TOTAL INVESTMENTS
(Cost $40,027,315)................................ 100.1% 56,321,921
LIABILITIES IN EXCESS OF OTHER ASSETS............... (0.1)% (50,380)
-----------
Net Assets applicable to 5,574,338 Shares of Common
Stock issued and outstanding...................... 100.0% $56,271,541
===========
Net Asset Value, offering and redemption price per
share ($56,271,540 / 5,574,338) $10.09
===========
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
23
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
U.S.
MONEY ULTRA SHORT SHORT U.S. INTERMEDIATE GOVERNMENT LARGE CAP
MARKET MORTGAGE ULTRA SHORT GOVERNMENT MORTGAGE MORTGAGE EQUITY
FUND FUND FUND FUND FUND FUND FUND*
- -------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest income.............. $4,213,261 $63,619,776 $5,749,456 $4,169,278 $7,245,073 $4,390,390 $ 374,915
---------- ----------- ---------- ---------- ---------- ---------- -----------
Operating expenses:
Investment advisory........ 118,510 5,028,559 452,159 191,288 449,775 194,302 140,413
Distribution -- Class I
Shares................... 91,288 2,793,630 251,198 114,773 192,762 116,582 49,302
Distribution -- Class D
Shares................... 108,892 -- -- -- -- -- --
Fund accounting............ -- 4,637 833 1,326 2,553 2,313 282
Administration............. 23,702 260,502 30,143 22,954 38,551 23,316 7,547
Custodian.................. 8,570 71,822 12,580 11,121 16,617 8,219 3,398
Transfer agent............. 11,145 27,680 2,793 2,232 1,346 1,021 10,292
Legal...................... 6,768 43,088 3,673 8,107 5,505 3,583 84,955
Registration and filing
fees..................... 4,105 3 2,183 4,467 4,435 3,237 151
Printing................... 11,372 18,033 1,130 775 1,489 771 1,773
Chief Compliance Officer... 2,695 42,535 3,724 2,899 4,867 3,048 4,259
Trustees................... 2,634 38,428 3,296 2,683 4,294 2,761 10,182
Other...................... 19,628 113,862 12,473 11,631 14,032 9,402 26,826
---------- ----------- ---------- ---------- ---------- ---------- -----------
Total expenses before fee
reductions............... 409,309 8,442,779 776,185 374,256 736,226 368,555 339,380
Expenses reduced by
Investment Adviser....... (118,510) (2,234,928) (200,961) -- (128,506) -- (19,357)
Expenses reduced by
Distributor.............. (68,356) (1,117,444) (100,478) -- -- -- --
---------- ----------- ---------- ---------- ---------- ---------- -----------
Net expenses............. 222,443 5,090,407 474,746 374,256 607,720 368,555 320,023
---------- ----------- ---------- ---------- ---------- ---------- -----------
Net investment income.... 3,990,818 58,529,369 5,274,710 3,795,022 6,637,353 4,021,835 54,892
---------- ----------- ---------- ---------- ---------- ---------- -----------
REALIZED AND UNREALIZED
GAINS/(LOSSES) FROM INVESTMENT
ACTIVITIES:
Realized gains/(losses) from
investment transactions...... -- (2,277,767) 98,171 (216,648) (831,296) 155,755 4,122,937
Change in unrealized
appreciation/depreciation
from investments............. -- 835,327 (100,863) 215,301 1,431,174 434,335 (3,561,944)
---------- ----------- ---------- ---------- ---------- ---------- -----------
Net realized/unrealized
gains/(losses) from
investments................ -- (1,442,440) (2,692) (1,347) 599,878 590,090 560,993
---------- ----------- ---------- ---------- ---------- ---------- -----------
CHANGE IN NET ASSETS RESULTING
FROM OPERATIONS................ $3,990,818 $57,086,929 $5,272,018 $3,793,675 $7,237,231 $4,611,925 $ 615,885
========== =========== ========== ========== ========== ========== ===========
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
* For the four months ended April 30, 2007.
See notes to financial statements.
24
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
MONEY MARKET FUND
-----------------------------------
SIX MONTHS ENDED
APRIL 30, 2007 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2006
- -------------------------------------------------------------------------------------------------
Increase (decrease) in net assets:
Operations:
Net investment income.................................. $ 3,990,818 $ 5,660,591
------------- -------------
Change in net assets resulting from operations....... 3,990,818 5,660,591
------------- -------------
Dividends paid to Class I stockholders:
From net investment income............................. (3,141,457) (4,264,854)
Dividends paid to Class D stockholders:
From net investment income............................. (849,361) (1,395,737)
------------- -------------
Total dividends paid to stockholders................. (3,990,818) (5,660,591)
------------- -------------
Capital Transactions Class I Shares:
Proceeds from sale of shares........................... 328,218,667 547,595,058
Shares issued to stockholders in reinvestment of
dividends............................................ 2,345,068 3,304,340
Cost of shares repurchased............................. (297,802,201) (522,189,701)
Capital Transactions Class D Shares:
Proceeds from sale of shares........................... 258,408,532 584,490,918
Shares issued to stockholders in reinvestment of
dividends............................................ 592,923 954,298
Cost of shares repurchased............................. (251,416,322) (592,886,171)
------------- -------------
Net increase (decrease) in net assets from capital
transactions...................................... 40,346,667 21,268,742
------------- -------------
Total increase (decrease) in net assets.............. 40,346,667 21,268,742
Net Assets:
Beginning of year......................................... 141,202,107 119,933,365
------------- -------------
End of the period......................................... $ 181,548,774 $ 141,202,107
============= =============
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
25
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
ULTRA SHORT ULTRA SHORT
MORTGAGE FUND FUND
-----------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED
APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED
2007 OCTOBER 31, 2007 OCTOBER 31,
(UNAUDITED) 2006 (UNAUDITED) 2006
- ---------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets:
Operations:
Net investment income................................ $ 58,529,369 $ 106,265,575 $ 5,274,710 $ 10,101,983
Net realized gains (losses) from investments......... (2,277,767) (10,499,986) 98,171 (1,319,862)
Change in unrealized appreciation/
depreciation from investments...................... 835,327 10,378,859 (100,863) 1,680,389
-------------- -------------- -------------- --------------
Change in net assets resulting from
operations....................................... 57,086,929 106,144,448 5,272,018 10,462,510
-------------- -------------- -------------- --------------
Dividends paid to stockholders:
From net investment income........................... (57,399,700) (109,621,055) (5,334,585) (10,498,576)
-------------- -------------- -------------- --------------
From net realized gain on investment................... -- -- -- --
Tax Return of Capital.................................. -- -- -- --
-------------- -------------- -------------- --------------
Total dividends paid to stockholders............. (57,399,700) (109,621,055) (5,334,585) (10,498,576)
-------------- -------------- -------------- --------------
Capital Transactions:
Proceeds from sale of shares......................... 68,194,937 98,015,298 20,262,540 31,874,639
Shares issued to stockholders in reinvestment of
dividends.......................................... 23,038,263 44,176,667 1,599,090 3,701,434
Cost of shares repurchased........................... (164,852,476) (520,639,566) (27,183,831) (62,674,517)
-------------- -------------- -------------- --------------
Change in net assets from capital
transactions..................................... (73,619,276) (378,447,601) (5,322,201) (27,098,444)
-------------- -------------- -------------- --------------
Change in net assets............................... (73,932,047) (381,924,208) (5,384,768) (27,134,510)
Net Assets:
Beginning of year...................................... 2,292,373,346 2,674,297,554 204,661,993 231,796,503
-------------- -------------- -------------- --------------
End of period.......................................... $2,218,441,299 $2,292,373,346 $ 199,277,225 $ 204,661,993
Undistributed (distributions in excess of)
net investment income.................................. $ 1,446,702 $ 317,033 $ 56,773 $ 116,648
</Table>
- --------------------------------------------------------------------------------
See notes to financial statements.
26
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHORT U.S. GOVERNMENT INTERMEDIATE MORTGAGE U.S. GOVERNMENT LARGE CAP EQUITY
FUND FUND MORTGAGE FUND FUND
- -------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS FOUR MONTHS
ENDED ENDED ENDED ENDED
APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED
2007 OCTOBER 31, 2007 OCTOBER 31, 2007 OCTOBER 31, 2007 DECEMBER 31,
(UNAUDITED) 2006 (UNAUDITED) 2006 (UNAUDITED) 2006 (UNAUDITED) 2006
- -------------------------------------------------------------------------------------------------------------------------
$ 3,795,022 $ 6,552,081 $ 6,637,353 $ 12,360,383 $ 4,021,835 $ 8,165,770 $ 54,892 $ 62,678
(216,648) (533,158) (831,296) (2,787,679) 155,755 (2,976,770) 4,122,937 6,951,631
215,301 785,906 1,431,174 3,104,041 434,335 2,836,325 (3,561,944) 2,267,874
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
3,793,675 6,804,829 7,237,231 12,676,745 4,611,925 8,025,325 615,885 9,282,183
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
(3,790,799) (6,880,069) (6,468,688) (12,424,316) (3,904,217) (8,241,573) (63,106) (108,133)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
-- -- -- -- -- -- -- (6,909,248)
-- -- -- -- -- -- -- (3,839)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
(3,790,799) (6,880,069) (6,468,688) (12,424,316) (3,904,217) (8,241,573) (63,106) 7,021,220
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
317,122 23,723,773 60,031 10,000 107,180 224,760 22,001 300,000
2,284,942 3,828,509 2,127,182 3,893,012 2,266,138 5,169,528 32,235 3,234,016
(17,943,635) (21,549,296) (5,516,570) (23,010,045) (34,806,768) 7,137,906 (10,694,221) (4,265,561)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
(15,341,571) 6,002,986 (3,329,357) (19,107,033) (32,433,450) 1,743,618 (10,441,985) (19,732,208)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
(15,338,695) 5,927,746 (2,560,814) (18,854,604) (31,725,742) (1,959,866) 9,889,206 (17,471,245)
162,249,880 156,322,134 259,106,427 277,961,031 164,088,229 166,048,095 66,160,747 83,631,992
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
$146,911,185 $162,249,880 $256,545,613 $259,106,427 $132,362,487 $164,088,229 $ 56,271,541 $ 66,160,747
$ 21,514 $ 17,291 $ 179,484 $ 10,819 $ 94,238 $ (23,380) $ (8,214) $ --
</Table>
- --------------------------------------------------------------------------------
27
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
MONEY MARKET FUND CLASS I SHARES
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, 2007 --------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------
Net asset value, beginning of
period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Income from investment
operations:
Net investment income....... 0.0256 0.0465 0.0264 0.0104 0.0096 0.0152
Net realized losses from
investments.............. -- -- --(a) -- -- --
-------- -------- -------- -------- -------- --------
Total from investment
operations.......... 0.0256 0.0465 0.0264 0.0104 0.0096 0.0152
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends paid to
stockholders:
From net investment
income................. (0.0256) (0.0465) (0.0264) (0.0104) (0.0096) (0.0152)
-------- -------- -------- -------- -------- --------
Net asset value, end of
period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total return.................. 2.58%(b) 4.76% 2.68% 1.04% 0.97% 1.54%
Ratios/Supplemental data:
Net assets, end of year (in
000's)................... $142,782 $110,021 $ 81,311 $ 31,883 $ 40,737 $ 30,571
Ratio of expenses to average
net assets............... 0.17%(c) 0.18% 0.17% 0.11% 0.18% 0.26%
Ratio of net investment
income to average net
assets................... 5.16%(c) 4.68% 2.84% 1.04% 0.96% 1.53%
Ratio of expenses to average
net assets*.............. 0.41%(c) 0.43% 0.42% 0.41% 0.39% 0.41%
</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 were less than $0.00005.
(b) Not Annualized.
(c) Annualized.
See notes to financial statements.
28
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
MONEY MARKET FUND CLASS D SHARES
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, 2007 --------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------
Net asset value, beginning of
period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Income from investment
operations:
Net investment income....... 0.0232 0.0420 0.0219 0.0054 0.0046 0.0104
Net realized losses from
investments.............. -- -- --(a) -- -- --
-------- -------- -------- -------- -------- --------
Total from investment
operations............. 0.0232 0.0420 0.0219 0.0054 0.0046 0.0104
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends paid to
stockholders:
From net investment
income................. (0.0232) (0.0420) (0.0219) (0.0054) (0.0046) (0.0104)
-------- -------- -------- -------- -------- --------
Net asset value, end of
year........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total return.................. 2.34%(b) 4.29% 2.22% 0.54% 0.47% 1.05%
Ratios/Supplemental data:
Net assets, end of year
(in 000's)............... $ 38,766 $ 31,181 $ 38,622 $ 19,089 $ 23,525 $ 15,039
Ratio of expenses to average
net assets............... 0.65%(c) 0.63% 0.63% 0.61% 0.67% 0.75%
Ratio of net investment
income to average net
assets................... 4.68%(c) 4.29% 2.23% 0.54% 0.45% 1.04%
Ratio of expenses to average
net assets*.............. 0.87%(c) 0.88% 0.88% 0.86% 0.84% 0.86%
</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 were less than $0.00005.
(b) Not Annualized.
(c) Annualized.
See notes to financial statements.
29
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT MORTGAGE FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
SIX MONTHS --------------------------------------------------------------
ENDED
APRIL 30, 2007
(UNAUDITED) 2006 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------------
Net asset value, beginning
of period................. $ 9.68 $ 9.69 $ 9.83 $ 9.88 $ 9.95 $ 9.97
---------- ---------- ---------- ---------- ---------- ----------
Income from investment
operations:
Net investment income..... 0.2517 0.4216 0.2706 0.1824 0.1778 0.2947
Net realized and
unrealized gains
(losses) from
investments............ (0.0050) 0.0041(a) (0.0930) (0.0070) (0.0230) 0.0124
---------- ---------- ---------- ---------- ---------- ----------
Total from investment
operations........... 0.2467 0.4257 0.1776 0.1754 0.1548 0.3071
---------- ---------- ---------- ---------- ---------- ----------
Less distributions:
Dividends paid to
stockholders:
From net investment
income............... (0.2467) (0.4357) (0.3176) (0.2254) (0.2248) (0.3271)
---------- ---------- ---------- ---------- ---------- ----------
Change in net asset value... 0.00 (0.01) (0.14) (0.05) (0.07) (0.02)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of
year...................... $ 9.68 $ 9.68 $ 9.69 $ 9.83 $ 9.88 $ 9.95
========== ========== ========== ========== ========== ==========
Total return................ 2.58%(b) 4.49% 1.83% 1.79% 1.57% 3.13%
Ratios/Supplemental data:
Net assets, end of year
(in 000's)............. $2,218,441 $2,292,373 $2,674,298 $3,317,024 $4,596,939 $3,389,975
Ratio of expenses to
average net assets..... 0.46%(c) 0.46% 0.46% 0.44% 0.44% 0.45%
Ratio of net investment
income to average net
assets................. 5.24%(c) 4.35% 2.80% 1.92% 1.72% 2.91%
Ratio of expenses to
average net assets*.... 0.76%(c) 0.76% 0.76% 0.72% 0.71% 0.75%
Portfolio turnover rate... 43%(b) 83% 63% 50% 117% 107%
</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) The amount shown for a share outstanding throughout the period does not
accord with the change in aggregate gains and losses in the portfolio of
securities during the period because of the timing of sales and purchases of
fund shares in relation to fluctuating market values during the period.
(b) Not Annualized.
(c) Annualized.
See notes to financial statements.
30
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ULTRA SHORT FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS NOVEMBER 14,
ENDED YEAR ENDED OCTOBER 31, 2001(A) TO
APRIL 30, 2007 -------------------------------------------- OCTOBER 31,
(UNAUDITED) 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------
Net asset value, beginning
of period................ $ 9.74 $ 9.74 $ 9.87 $ 9.92 $ 9.95 $ 10.00
-------- -------- -------- -------- -------- --------
Income from investment
operations:
Net investment income.... 0.2535 0.4462 0.2909 0.1985 0.1601 0.2204
Net realized and
unrealized gains
(losses) from
investments........... 0.0028 0.0185 (0.0832) (0.0217) 0.0242 0.0058
-------- -------- -------- -------- -------- --------
Total from
investment
operations....... 0.2563 0.4647 0.2077 0.1768 0.1843 0.2262
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends paid to
stockholders:
From net investment
income.............. (0.2563) (0.4647) (0.3377) (0.2268) (0.2143) (0.2762)
-------- -------- -------- -------- -------- --------
Change in net asset
value.................... -- -- (0.13) (0.05) (0.03) (0.05)
-------- -------- -------- -------- -------- --------
Net asset value, end of
period................... $ 9.74 $ 9.74 $ 9.74 $ 9.87 $ 9.92 $ 9.95
======== ======== ======== ======== ======== ========
Total return............... 2.66%(b) 4.88% 2.14% 1.80% 1.87% 2.29%(b)
Ratios/Supplemental data:
Net assets, end of period
(in 000's)............ $199,277 $204,662 $231,797 $291,349 $251,668 $287,116
Ratio of expenses to
average net assets.... 0.47%(c) 0.48% 0.49% 0.47% 0.47% 0.50%(c)
Ratio of net investment
income to average net
assets................ 5.25%(c) 4.57% 2.99% 2.00% 1.66% 2.11%(c)
Ratio of expenses to
average net assets*... 0.77%(c) 0.78% 0.79% 0.77% 0.77% 0.80%(c)
Portfolio turnover
rate.................. 19%(b) 89% 36% 118% 126% 127%(b)
</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.
31
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
SHORT U.S. GOVERNMENT FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, 2007 --------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------
Net asset value, beginning of
period....................... $ 10.37 $ 10.37 $ 10.61 $ 10.68 $ 10.78 $ 10.75
-------- -------- -------- -------- -------- --------
Income from investment
operations:
Net investment income........ 0.2552 0.4370 0.3421 0.2640 0.2738 0.3512
Net realized and unrealized
gains (losses) from
investments............... (0.0004) 0.0209 (0.2035) (0.0415) (0.0686) 0.0674
-------- -------- -------- -------- -------- --------
Total from investment
operations........... 0.2548 0.4579 0.1386 0.2225 0.2052 0.4186
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends paid to
stockholders:
From net investment
income.................. (0.2548) (0.4579) (0.3786) (0.2925) (0.3052) (0.3886)
-------- -------- -------- -------- -------- --------
Change in net asset value...... -- -- (0.24) (0.07) (0.10) 0.03
-------- -------- -------- -------- -------- --------
Net asset value, end of
period....................... $ 10.37 $ 10.37 $ 10.37 $ 10.61 $ 10.68 $ 10.78
======== ======== ======== ======== ======== ========
Total return................... 2.48%(a) 4.52% 1.33% 2.11% 1.92% 3.98%
Ratios/Supplemental data:
Net assets, end of year (in
000's).................... $146,911 $162,250 $156,322 $153,252 $232,605 $162,170
Ratio of expenses to average
net assets................ 0.49%(b) 0.51% 0.50% 0.48% 0.47% 0.49%
Ratio of net investment
income to average net
assets.................... 4.96%(b) 4.22% 3.24% 2.50% 2.47% 3.35%
Ratio of expenses to average
net assets*............... 0.73%(b) -- -- -- -- --
Portfolio turnover rate...... 25%(a) 56% 95% 152% 72% 75%
</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) Not Annualized.
(b) Annualized.
See notes to financial statements.
32
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
INTERMEDIATE MORTGAGE FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, 2007 --------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------------------------
Net asset value, beginning of
period....................... $ 9.29 $ 9.28 $ 9.57 $ 9.62 $ 9.79 $ 9.83
-------- -------- -------- -------- -------- --------
Income from investment
operations:
Net investment income........ 0.2382 0.4306 0.3792 0.2892 0.2525 0.4155
Net realized and unrealized
gains (losses) from
investments............... 0.0239 0.0123 (0.2778) (0.0233) (0.1156) (0.0213)
-------- -------- -------- -------- -------- --------
Total from investment
operations........... 0.2621 0.4429 0.1014 0.2659 0.1369 0.3942
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends paid to
stockholders:
From net investment
income.................. (0.2321) (0.4329) (0.3914) (0.3159) (0.3069) (0.4342)
-------- -------- -------- -------- -------- --------
Change in net asset value...... 0.03 0.01 (0.29) (0.05) (0.17) (0.04)
-------- -------- -------- -------- -------- --------
Net asset value, end of
period....................... $ 9.32 $ 9.29 $ 9.28 $ 9.57 $ 9.62 $ 9.79
======== ======== ======== ======== ======== ========
Total return................... 2.85%(a) 4.90% 1.07% 2.81% 1.41% 4.13%
Ratios/Supplemental data:
Net assets, end of year
(in 000's)................ $256,546 $259,106 $277,961 $298,308 $347,858 $240,645
Ratio of expenses to average
net assets................ 0.47%(b) 0.48% 0.48% 0.47% 0.47% 0.47%
Ratio of net investment
income to average net
assets.................... 5.17%(b) 4.65% 4.02% 3.02% 2.52% 4.28%
Ratio of expenses to average
net assets*............... 0.57%(b) 0.58% 0.58% 0.57% 0.57% 0.57%
Portfolio turnover rate...... 31%(a) 56% 95% 148% 98% 54%
</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) Not Annualized.
(b) Annualized.
See notes to financial statements.
33
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
U.S. GOVERNMENT MORTGAGE FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, 2007 --------------------------------------------------------
(UNAUDITED) 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------
Net asset value, beginning of
period...................... $ 10.18 $ 10.19 $ 10.59 $ 10.56 $ 10.77 $ 10.83
-------- -------- -------- -------- -------- --------
Income from investment
operations:
Net investment income....... 0.2628 0.5038 0.4855 0.3875 0.3689 0.5116
Net realized and unrealized
gains (losses) on
investments.............. 0.0313 (0.0053) (0.3880) 0.0795 (0.1511) (0.0377)
-------- -------- -------- -------- -------- --------
Total from investment
operations............. 0.2941 0.4985 0.0975 0.4670 0.2178 0.4739
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends paid to
stockholders:
From net investment
income................. (0.2541) (0.5085) (0.4975) (0.4370) (0.4278) (0.5339)
-------- -------- -------- -------- -------- --------
Change in net asset value..... 0.04 (0.01) (0.40) 0.03 (0.21) (0.06)
-------- -------- -------- -------- -------- --------
Net asset value, end of
period...................... $ 10.22 $ 10.18 $ 10.19 $ 10.59 $ 10.56 $ 10.77
======== ======== ======== ======== ======== ========
Total return.................. 2.92%(a) 5.04% 0.92% 4.52% 2.04% 4.54%
Ratios/Supplemental data:
Net assets, end of year (in
000's)................... $132,362 $164,088 $166,048 $166,868 $204,566 $ 94,154
Ratio of expenses to average
net assets............... 0.47%(b) 0.48% 0.48% 0.47% 0.47% 0.47%
Ratio of net investment
income to average net
assets................... 5.18%(b) 4.98% 4.66% 3.70% 3.39% 4.80%
Portfolio turnover rate..... 20%(a) 105% 71% 171% 102% 82%
</Table>
- --------------------------------------------------------------------------------
(a) Not Annualized.
(b) Annualized.
See notes to financial statements.
34
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
LARGE CAP EQUITY FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
- --------------------------------------------------------------------------------
<Table>
<Caption>
FOUR MONTHS YEAR ENDED DECEMBER 31,
ENDED ---------------------------------------------------
APRIL 30, 2007* 2006 2005 2004 2003 2002
- ----------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net asset value, beginning of
period............................ $ 10.01 $ 9.77 $ 10.56 $ 10.61 $ 9.09 $ 11.16
------- ------- ------- ------- -------- -------
Income (Loss) from operations:
Net investment income............. 0.01 0.01 0.01 0.05 0.01 0.02
Net realized and unrealized gains
(losses) from investments...... 0.08 1.35 (0.29) 0.50 1.57 (1.83)
------- ------- ------- ------- -------- -------
Total from investment
operations................... 0.09 1.36 (0.28) 0.55 1.58 (1.81)
------- ------- ------- ------- -------- -------
Distributions:
From net investment income........ (0.01) (0.02) (0.01) (0.05) (0.01) (0.02)
From net realized gains on
investments.................... -- (1.10) (0.50) (0.55) (0.05) (0.24)
Return of capital................. -- (0.00) -- -- --(a) --
------- ------- ------- ------- -------- -------
Total distributions................. (0.01) (1.12) (0.51) (0.60) (0.06) (0.26)
------- ------- ------- ------- -------- -------
Change in net asset value........... 0.08 0.24 (0.79) (0.05) 1.52 (2.07)
------- ------- ------- ------- -------- -------
Net asset value, end of period...... $ 10.09 $ 10.01 $ 9.77 $ 10.56 $ 10.61 $ 9.09
======= ======= ======= ======= ======== =======
Total return........................ 0.90%(b) 13.83%(b) (2.70%) 5.16% 17.48% (16.19%)
Ratios/Supplemental data:
Net assets, end of period
(000's)........................ $56,272 $66,161 $83,632 $91,059 $107,923 $90,871
Ratio of net expenses to average
net assets..................... 1.50%(c) 1.68%(c) 1.44% 1.20% 1.32% 1.23%
Ratio of net investment income to
average net assets............. 0.26%(c) 0.09%(c) 0.11% 0.46% 0.14 % 0.20%
Ratio of net expenses to average
net assets**................... 1.54%(c) -- -- -- -- --
Portfolio turnover rate........... 5%(b) 10%(b) 23% 14% 22% 17%
</Table>
- --------------------------------------------------------------------------------
(a) Distributions per share were less than $0.005.
(b) Not annualized.
(c) Annualized.
* In connection with the reorganization of the AMF Large Cap Equity
Institutional Fund, Inc. (the Predecessor Fund) into the Large Cap Equity
Fund on January 8, 2007, the Net Asset Value (NAV) of the Predecessor Fund
changed to $10.00 per share. Shareholders received the number of shares of
Large Cap Equity Fund equal in value to the number of shares held in the
Predecessor Fund. The amounts presented prior to this date have been
restated to reflect the change in NAV during the reorganization.
** During the period, certain fees were voluntarily reduced. If such
voluntarily fee reductions had not occurred, the ratios would have been as
indicated.
See notes to financial statements.
35
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
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 April 30, 2007, the Trust is authorized to issue an unlimited
number of shares in seven separate series: the Money Market Fund, the Ultra
Short Mortgage Fund, the Ultra Short Fund, the Short U.S. Government Fund, the
Intermediate Mortgage Fund, U.S. Government Mortgage Fund and the Large Cap
Equity Fund (referred to individually as a "Fund" and collectively as the
"Funds"). Each of the Funds, except the Money Market Fund, offer a single class
of shares. The Money Market Fund is authorized to sell two classes of shares,
Class I Shares and Class D Shares. Each Class I and Class D Shares of the Money
Market Fund have the same rights and obligations 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.
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In addition, in the normal course of business, the Trust
enters into contracts with its vendors and others that provide general
indemnification. Each Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against a Fund.
However, based on experience, the Trust expects the risk of loss to be remote.
The Trust maintains an insurance policy which insures its officers and trustees
against certain liabilities.
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.
Ultra Short Mortgage Fund, Ultra Short Fund, Short U.S. Government Fund,
Intermediate Mortgage Fund, U.S. Government Mortgage Fund:
As of April 30, 2007, the Funds' debt securities are generally valued at
prices obtained from an independent pricing service or, for certain securities,
the Board of Trustees has approved the daily use of a fixed income fair value
pricing methodology developed by the Adviser that the Board believes reflects
the fair value of such securities. The Funds equity securities are valued at
market prices or if reliable market prices are unavailable or deemed unreliable
such securities will be valued pursuant to the Fair Valuation Procedures of the
Funds. Due to the subjective and variable nature of fair value pricing, it is
possible that the fair value determined for a particular security may be
materially different from the value realized upon such security's sale.
Short-term instruments maturing within 60 days of the valuation date may be
valued based upon their amortized cost.
Large Cap Equity Fund:
Securities traded on the NASDAQ National Market System are valued at the
official closing price as reported by NASDAQ. Securities traded on national
exchanges are valued at the last reported sale price thereof where the security
is principally traded. In the case of over-the-counter
36
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
securities, securities are valued at the mean between closing bid and asked
prices as of 4:00 PM Eastern time. Short-term instruments maturing within 60
days of the valuation date are valued at amortized cost, which approximates
market value. Securities for which market quotations are not readily available
are valued at the discretion of the Board of Directors.
In September 2006, the Financial Accounting Standards Board (FASB) issued
Statement of Financial Accounting Standards No. 157, "Fair Value Measurements"
(SFAS No. 157). SFAS No. 157 defines fair value, establishes a framework for
measuring fair value in accordance with generally accepted accounting principles
and expands disclosure about fair value measurements. SFAS No. 157 is effective
for fiscal years beginning after November 15, 2007. Management is currently
evaluating the impact the adoption of SFAS No. 157 will have on the Fund's
financial statement disclosures.
REPURCHASE AGREEMENTS
Obligations of the U.S. Government or other obligations that are not subject
to any investment limitation on the part of national banks may be purchased from
government securities dealers or the custodian bank, subject to the seller's
agreement to repurchase them at an agreed upon date and price. The value of
collateral underlying the repurchase agreement will always be at least equal to
the repurchase price, including any accrued interest earned on the repurchase
agreement. If the counter-party defaults, and the fair value of the collateral
declines, realization of the collateral by Funds may be delayed or limited.
SECURITIES PURCHASED ON A WHEN-ISSUED OR DELAYED-DELIVERY BASIS
Each Fund, except the Money Market Fund and the Large Cap Equity Fund, may
purchase securities on a when-issued or delayed-delivery basis. In when-issued
transactions, securities are bought or sold during the period between the
announcement of an offering and the issuance and payment date of the securities.
When securities are purchased on a delayed-delivery basis, the price of the
securities is fixed at the time the commitment to purchase is made, but
settlement may take place at a future date. By the time of delivery, securities
purchased on a when-issued of delayed-delivery basis may be valued at less than
the purchase price. At the time when-issued or delayed-delivery securities are
purchased, the Fund must set aside funds in a segregated account to pay for the
purchase, and until acquisition, the Fund will not earn any income on the
securities that it purchased. As of April 30, 2007, the Funds did not own any
when-issued or delayed-delivery securities.
DIVIDENDS TO SHAREHOLDERS
Money Market Fund, Ultra Short Mortgage Fund, Ultra Short Fund, Short U.S.
Government Fund, Intermediate Mortgage Fund, U.S. Government Mortgage Fund:
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.
Large Cap Equity Fund:
Dividends from net investment income are declared and paid quarterly. Net
short-term and long-term capital gains, if any, are declared and paid annually.
Distributions from net investment income and from net realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from accounting principles generally accepted in the United States. These
"book/tax" differences are either considered temporary or permanent in nature.
To the extent these differences are permanent in nature (e.g. reclass of
dividend distribution and return of capital), such amounts are reclassified
within
37
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
the composition of net assets based on their federal tax-basis treatment;
temporary differences do not require reclassification. Distributions to
shareholders that exceed net investment income and net realized capital gains
for tax purposes are reported as distributions of capital.
FEDERAL TAXES
No provision is made for Federal income taxes as 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.
Financial Accounting Standards Board Interpretation (FIN) No. 48
-- Accounting for Uncertainty in Tax Positions -- An interpretation of SFAS No.
109, was issued in July 2006 and is effective for fiscal years beginning after
December 15, 2006. This interpretation provides new requirements for the
recognition, measurement, and disclosure in the financial statements of a tax
position taken or expected to be taken in a tax return when there is uncertainty
about whether that tax position will ultimately be sustained. We have not yet
completed our evaluation of the impact on the Funds, if any, of adopting (FIN)
No. 48.
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 no later than one business day after
trade date. However, for financial reporting purposes, investment transactions
are reported on trade date. Interest income is recorded on the accrual basis,
amortization and accretion is recognized based on the anticipated 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. Paydown gains and losses on mortgage- and asset-backed securities are
recorded as adjustments to interest income in the Statement of Operations.
B. Fees and transactions with affiliates were as follows:
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, and Rodger D. Shay, Jr., a member of the
Board of Trustees and the President of SAMI and Shay Financial Services, Inc
(SFSI).
As compensation for investment advisory services, the Funds pay 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 0.15% of the
first $500 million, 0.125% of the next $500 million, and 0.10% of such net
assets in excess of $1 billion. The Adviser voluntarily waived its entire fee
for the six months ended April 30, 2007.
The investment advisory fee rate for the Ultra Short Mortgage Fund is 0.45% of
the first $3 billion, 0.35% of the next $2 billion, and 0.25% of such net assets
in excess of $5 billion.
38
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
The Adviser voluntarily waived a portion of its fee so that the Fund paid 0.25%
of average daily net assets for the six months ended April 30, 2007.
The investment advisory fee rate for the Ultra Short Fund is 0.45% of the
average daily net assets. The Adviser voluntarily waived a portion of its fee so
that the Fund paid 0.25% of average daily net assets for the six months ended
April 30, 2007.
The investment advisory fee rate for each of the Short U.S. Government Fund
and the U.S. Government Mortgage Fund, computed separately, is 0.25% of the
first $500 million, 0.175% of the next $500 million, 0.125% of the next $500
million, and 0.10% of such net asset in excess of $1.5 billion.
The investment advisory fee rate for the Intermediate Mortgage Fund is 0.35%
of the first $500 million, 0.275% of the next $500 million, 0.20% of the next
$500 million, and 0.10% of such net assets in excess of $1.5 billion. The
Adviser voluntarily waived a portion of its fee so that the Fund paid 0.25% of
average daily net assets for the six months ended April 30, 2007.
The investment advisory fee rate for the Large Cap Equity Fund is 0.65% of the
first $250 million and 0.55% for assets over $250 million.
The Adviser has agreed to reduce 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 0.75%.
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, and Rodger D. Shay, Jr., a
member of the Board of Trustees and the President of SAMI and SFSI.
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: 0.15% of the first
$500 million, 0.125% of the next $500 million, 0.10% of the next $1 billion, and
0.075% of such combined net assets in excess of $2 billion. The fee is allocated
between the two Funds based on their relative average set assets. The
Distributor voluntarily waived a portion of its 12b-1 fee for the Class I Shares
of the Money Market Fund so that the Fund paid 0.05% of average daily bet assets
for the six months ended April 30, 2007. The Money Market distribution fee
waiver amounted to $56,625.59 for Class I Shares for the six months ended April
30, 2007.
The distribution fee rate for the Money Market Class D Shares is 0.60% of
average daily net assets. The Distributor voluntarily waived a portion of the
12b-1 fees so that the Fund paid 0.55% of average daily net assets from December
18, 2006 to April 30, 2007. Prior to December 18, 2006 the Distributor
voluntarily waived a portion of its fee so that the Fund paid 0.50% of average
daily net assets. The Money Market Fund Class D Shares distribution fee waiver
amounted to $11,730.16 for the six months ended April 30, 2007.
The distribution fee rate for each of the Ultra Short Mortgage Fund and the
Ultra Short Fund, computed separately, is 0.25% of average daily net assets. The
Distributor voluntarily waived a
39
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
portion of its fee so that the Ultra Short Mortgage Fund and the Ultra Short
Fund paid 0.15% of average daily net assets for the six months ended April 30,
2007.
The distribution fee rate for each of the Intermediate Mortgage Fund and the
U.S. Government Mortgage Fund, computed separately, is as follows: 0.15% of the
first $500 million, 0.125% of the next $500 million, 0.10% of the next $500
million, and 0.075% of such net assets in excess of $1.5 billion.
The distribution fee rate for the Large Cap Equity Fund is 0.25% of average
daily net assets. The Distributor waived a portion of its fee so that the Large
Cap Equity Fund paid 0.15% of average daily net assets as of April 30, 2007.
BISYS Fund Services Ohio, Inc. ("BISYS Ohio"), serves the Trust as
administrator (the "Administrator"), fund accountant and transfer agent (the
"Transfer Agent"). BISYS Ohio is a wholly-owned subsidiary of The BISYS Group,
Inc. The fee rate for BISYS Ohio's services for each of the Funds, computed
separately, is as follows: 0.03% of the first $1 billion, 0.02% of the next $1
billion, and 0.01% of such net assets in excess of $2 billion, with a minimum
annual fee of $458,733 for the Trust. BISYS Ohio also receives an account based
fee and other servicing expenses.
Under a Compliance Services Agreement between the Funds' and BISYS Ohio (the
"CCO Agreement"), BISYS Ohio makes an employee available to serve as the Funds'
Chief Compliance Officer (the "CCO"). Under the CCO Agreement, BISYS Ohio also
provides infrastructure and support in implementing the written policies and
procedures comprising the Funds' compliance program, including support services
to the CCO. For the services provided under the CCO Agreement, the Funds paid
BISYS Ohio $72,917 for the six months ended April 30, 2007, plus certain out of
pocket expenses. BISYS Ohio pays the salary and other compensation earned by any
such individuals as employees of BISYS Ohio.
40
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
C. Transactions in shares of the Trust for the six months ended April 30, 2007
and the year ended October 31, 2006 were as follows, and for the four months
ended April 30, 2007 and the year ended December 31, 2007 for the Large Cap
Equity fund:
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------
MONEY MARKET FUND
-----------------------------------
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2007 OCTOBER 31, 2006
- -------------------------------------------------------------------------------------------------
(UNAUDITED)
Share transactions Class I:
Sale of shares............................................ 328,220,988 547,595,058
Shares issued to stockholders in reinvestment dividends... 2,345,068 3,304,340
Shares repurchased........................................ (297,802,201) (522,189,701)
------------ ------------
Net increase.............................................. 32,763,855 28,709,697
Shares Outstanding
Beginning of year...................................... 110,032,329 81,322,632
------------ ------------
End of period.......................................... 142,796,184 110,032,329
============ ============
Share transactions Class D:
Sale of shares............................................ 258,408,532 584,490,918
Shares issued to stockholders in reinvestment dividends... 592,923 954,298
Shares repurchased........................................ (251,416,322) (592,886,171)
------------ ------------
Net increase (decrease)................................... 7,585,133 (7,440,955)
Shares Outstanding
Beginning of year...................................... 31,181,729 38,622,684
------------ ------------
End of period.......................................... 38,766,862 31,181,729
============ ============
- -------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------------------
ULTRA SHORT MORTGAGE FUND ULTRA SHORT FUND
-------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2007 OCTOBER 31, 2006 APRIL 30, 2007 OCTOBER 31, 2006
- -------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Share transactions:
Sale of shares.................. 7,044,017 10,126,974 2,081,373 3,275,549
Shares issued to stockholders in
reinvestment dividends....... 2,380,033 4,566,382 164,204 380,569
Shares repurchased.............. (17,027,615) (53,798,732) (2,791,588) (6,441,292)
----------- ----------- ---------- ----------
Net decrease.................... (7,603,565) (39,105,376) (546,011) (2,785,174)
Shares Outstanding
Beginning of year............ 236,755,512 275,860,888 21,012,024 23,797,198
----------- ----------- ---------- ----------
End of period................ 229,151,947 236,755,512 20,466,013 21,012,024
=========== =========== ========== ==========
- -------------------------------------------------------------------------------------------------------------
</Table>
41
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHORT U.S. GOVERNMENT FUND INTERMEDIATE MORTGAGE FUND
-------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2007 OCTOBER 31, 2006 APRIL 30, 2007 OCTOBER 31, 2006
- -------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Share transactions:
Sale of shares.................. 30,639 2,298,508 6,456 1,083
Shares issued to stockholders in
reinvestment dividends....... 220,452 370,135 228,582 421,130
Shares repurchased.............. (1,731,402) (2,085,622) (593,752) (2,496,819)
----------- ----------- ---------- ----------
Net increase (decrease)......... (1,480,311) 583,021 (358,714) (2,074,606)
Shares Outstanding
Beginning of year............ 15,652,349 15,069,328 27,887,191 29,961,797
----------- ----------- ---------- ----------
End of period................ 14,172,038 15,652,349 27,528,477 27,887,191
=========== =========== ========== ==========
- -------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
U.S. GOVERNMENT MORTGAGE FUND LARGE CAP EQUITY FUND
---------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED FOUR MONTHS ENDED YEAR ENDED
APRIL 30, 2007 OCTOBER 31, 2006 APRIL 30, 2007 DECEMBER 31, 2006
- ------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Share transactions:
Sale of shares............... 10,490 22,427 6,180,025 4,516
Shares issued to stockholders
in reinvestment
dividends................. 222,080 510,616 3,327 23,123
Shares repurchased........... (3,405,750) (709,053) (1,061,623) (161,107)
----------- ----------- ---------- ----------
Net decrease................. (3,173,180) (176,010) 5,121,729 (133,468)
Shares Outstanding
Beginning of year......... 16,118,955 16,294,965 452,609 571,963
----------- ----------- ---------- ----------
End of period............. 12,945,775 16,118,955 5,574,338 452,609
=========== =========== ========== ==========
- ------------------------------------------------------------------------------------------------------------
</Table>
42
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
D. At April 30, 2007, Net Assets consisted of the following:
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------------
U.S.
SHORT U.S. INTERMEDIATE GOVERNMENT
MONEY ULTRA SHORT ULTRA SHORT GOVERNMENT MORTGAGE MORTGAGE LARGE CAP
MARKET FUND MORTGAGE FUND FUND FUND FUND FUND EQUITY FUND
- ----------------------------------------------------------------------------------------------------------------------------------
Capital.................. $181,744,960 $2,315,403,573 $206,538,220 $152,770,434 $270,017,163 $141,766,021 $35,862,212
Undistributed net
investment income....... -- 1,446,702 56,773 21,514 179,484 94,238 --
Accumulated net realized
gain/(loss)............. (196,186) (103,375,073) (8,001,115) (5,755,905) (13,950,981) (10,693,847) 4,114,723
Net unrealized
appreciation/
(depreciation) of
investments............. -- 4,966,096 683,347 (124,858) 299,947 1,196,075 16,294,606
------------ -------------- ------------ ------------ ------------ ------------ -----------
Net Assets............... $181,548,774 $2,218,441,298 $199,277,225 $146,911,185 $256,545,613 $132,362,487 $56,271,541
============ ============== ============ ============ ============ ============ ===========
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
E. At April 30, 2007, liabilities for the Funds included:
<Table>
<Caption>
- ---------------------------------------------------------------------------------------------------------------------------------
U.S.
MONEY ULTRA SHORT SHORT U.S. INTERMEDIATE GOVERNMENT LARGE CAP
MARKET MORTGAGE ULTRA SHORT GOVERNMENT MORTGAGE MORTGAGE EQUITY
FUND FUND FUND FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
Investment advisory fee payable..... $ -- $ 456,777 $40,970 $30,522 $52,932 $27,040 $33,768
Administration fee payable.......... 8,218 93,472 10,766 8,102 13,817 8,628 5,050
Distribution fee payable............ 19,375 274,067 24,582 18,313 31,760 16,224 7,529
Fund accounting fee payable......... -- -- -- -- -- -- --
Transfer agent fee payable.......... 13,132 37,815 3,696 2,870 1,711 1,266 17,137
Chief Compliance Officer payable.... 3,363 55,790 4,914 3,716 6,289 3,945 17,521
Distributions payable............... 223,563 5,709,871 624,792 246,923 747,463 247,054 --
Capital shares redeemed payable..... -- 415 -- -- -- -- --
Other liabilities................... 36,276 266,712 29,573 41,550 35,122 20,262 103,746
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
F. For the period April 30, 2007, purchases and sales of securities, other than
short-term investments and U.S. Government securities, were as follows:
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------------------------
SHORT U.S. INTERMEDIATE
ULTRA SHORT ULTRA SHORT GOVERNMENT MORTGAGE U.S. GOVERNMENT LARGE CAP
MORTGAGE FUND FUND FUND FUND MORTGAGE FUND EQUITY FUND*
- ------------------------------------------------------------------------------------------------------------------
Purchases............ $ 902,574,330 $35,762,750 $34,282,754 $79,360,726 $30,031,846 $ 3,350,510
Sales................ $1,060,897,941 $52,792,262 $51,320,875 $83,441,044 $62,511,473 $14,652,704
- ------------------------------------------------------------------------------------------------------------------
</Table>
* 4 months of operations for the Large Cap Equity Fund.
43
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
For the period ended April 30, 2007, purchases and sales of U.S. Government
securities, other than short-term investments, were as follows:
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------------
SHORT U.S. INTERMEDIATE
ULTRA SHORT ULTRA SHORT GOVERNMENT MORTGAGE U.S. GOVERNMENT
MORTGAGE FUND FUND FUND FUND MORTGAGE FUND
- -------------------------------------------------------------------------------------------------------
Purchases.................. $655,171,722 $31,501,250 $34,282,754 $11,130,397 $30,031,846
Sales...................... $474,206,109 $28,721,478 $50,768,049 $59,985,325 $51,118,166
- -------------------------------------------------------------------------------------------------------
</Table>
G. FEDERAL INCOME TAX INFORMATION:
The tax characteristics of distributions paid to shareholders during the
fiscal years ended October 31, 2006 and 2005 were as follows:
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS PAID FROM TOTAL TAXABLE TOTAL DISTRIBUTIONS
2006 ORDINARY INCOME DISTRIBUTIONS PAID*
- ------------------------------------------------------------------------------------------------------------
Money Market Fund............................ $ 5,237,006 $ 5,237,006 $ 5,237,006
Ultra Short Mortgage Fund.................... 108,442,120 108,442,120 108,442,120
Ultra Short Fund............................. 10,338,059 10,338,059 10,338,059
Short U.S. Government Fund................... 6,766,172 6,766,172 6,766,172
Intermediate Mortgage Fund................... 12,367,938 12,367,938 12,367,938
U.S. Government Mortgage Fund................ 8,247,024 8,247,024 8,247,024
- ------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS PAID FROM TOTAL TAXABLE TOTAL DISTRIBUTIONS
2005 ORDINARY INCOME DISTRIBUTIONS PAID*
- -------------------------------------------------------------------------------------------------------------
Money Market Fund............................. $ 1,348,467 $ 1,348,467 $ 1,348,467
Ultra Short Mortgage Fund..................... 95,359,339 95,359,339 95,359,339
Ultra Short Fund.............................. 8,932,070 8,932,070 8,932,070
Short U.S. Government Fund.................... 5,191,523 5,191,523 5,191,523
Intermediate Mortgage Fund.................... 11,907,708 11,907,708 11,907,708
U.S. Government Mortgage Fund................. 8,038,845 8,038,845 8,038,845
- -------------------------------------------------------------------------------------------------------------
</Table>
* Total distributions paid differ from the Statement of Changes in Net Assets
because dividends are recognized when actually paid for federal income tax
purposes.
The tax characteristics of distributions paid to shareholders during the
fiscal years ended December 31, 2006 and 2005 for the Large Cap Equity Fund were
as follows:
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------------------------
NET
DISTRIBUTIONS PAID FROM LONG TERM TOTAL TAXABLE TAX RETURN OF TOTAL DISTRIBUTIONS
2006 ORDINARY INCOME GAINS DISTRIBUTIONS CAPITAL PAID
- ------------------------------------------------------------------------------------------------------------------
Large Cap Equity
Fund................ $928,638 $6,088,743 $7,017,381 $3,839 $7,021,220
- ------------------------------------------------------------------------------------------------------------------
</Table>
44
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------------------------
NET
DISTRIBUTIONS PAID FROM LONG TERM TOTAL TAXABLE TAX RETURN OF TOTAL DISTRIBUTIONS
2005 ORDINARY INCOME GAINS DISTRIBUTIONS CAPITAL PAID
- ------------------------------------------------------------------------------------------------------------------
Large Cap Equity
Fund................ $216,412 $4,026,805 $4,243,217 $ -- $4,243,217
- ------------------------------------------------------------------------------------------------------------------
</Table>
At April 30, 2007, the cost, gross unrealized appreciation and gross
unrealized depreciation on securities, for federal income tax purposes, were as
follows:
<Table>
<Caption>
- -----------------------------------------------------------------------------------------------------------
NET UNREALIZED
TAX UNREALIZED TAX UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------
Money Market Fund....................... $ 181,802,000 $ -- $ -- $ --
Ultra Short Mortgage Fund............... 2,212,175,677 7,682,742 (2,890,212) 4,792,530
Ultra Short Fund........................ 198,075,697 882,150 (198,803) 683,347
Short U.S. Government Fund.............. 146,264,726 279,124 (403,929) (124,805)
Intermediate Mortgage Fund.............. 256,115,282 1,054,501 (752,864) 301,637
U.S. Government Mortgage Fund........... 130,864,784 1,297,222 (99,478) 1,197,744
Large Cap Equity Fund................... 40,027,315 16,966,642 (672,036) 16,294,606
- -----------------------------------------------------------------------------------------------------------
</Table>
As of October 31, 2006, the components of accumulated earnings/(deficit) on a
tax basis was 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.... $ 727,849 $ 727,849 $ (727,849) $ (196,186) $ -- $ (196,186)
Ultra Short Mortgage
Fund............... 10,209,581 10,209,581 (9,892,548) (100,932,988) 3,966,451 (96,649,504)
Ultra Short Fund..... 1,039,742 1,039,742 (923,093) (8,099,287) 784,210 (7,198,428)
Short U.S. Government
Fund............... 675,879 675,879 (658,588) (5,539,257) (340,159) (5,862,125)
Intermediate Mortgage
Fund............... 1,096,400 1,096,400 (1,085,581) (13,119,685) (1,131,227) (14,240,093)
U.S. Government
Mortgage Fund...... 669,969 669,969 (693,350) (10,849,602) 761,740 (10,111,243)
- ----------------------------------------------------------------------------------------------------------------------
</Table>
** For federal income tax purposes at October 31, 2006, the following Funds
had capital loss carry-forwards. All losses are available to offset future
realized capital gains, if any.
*** The differences between book-basis and tax-basis unrealized
appreciation/(depreciation) is attributable primarily to tax deferral of
losses on wash sales.
45
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
At October 31, 2006, the following Funds had capital loss carry-forwards
available to offset future net capital gains through the indicated expiration
dates:
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------------
FUND AMOUNT EXPIRES AMOUNT EXPIRES
- ------------------------------------------------------------------------------------------------------
Money Market Fund...................................... $ 14,744 2008 $ 407 2013
Money Market Fund...................................... 181,035 2011
Ultra Short Mortgage Fund.............................. 4,959,047 2007 24,633,492 2012
Ultra Short Mortgage Fund.............................. 1,824,665 2008 19,172,685 2013
Ultra Short Mortgage Fund.............................. 2,995,058 2010 13,969,341 2014
Ultra Short Mortgage Fund.............................. 33,378,700 2011
Ultra Short Fund....................................... 1,342,312 2010 1,507,357 2013
Ultra Short Fund....................................... 1,849,300 2011 1,784,218 2014
Ultra Short Fund....................................... 1,616,100 2012
Short U.S. Government Fund............................. 665,009 2007 757,854 2012
Short U.S. Government Fund............................. 1,193,651 2008 1,805,629 2013
Short U.S. Government Fund............................. 236,551 2011 880,563 2014
Intermediate Mortgage Fund............................. 817,175 2007 2,261,965 2012
Intermediate Mortgage Fund............................. 2,029,049 2008 1,821,864 2013
Intermediate Mortgage Fund............................. 312,894 2010 2,863,116 2014
Intermediate Mortgage Fund............................. 3,013,622 2011
U.S. Government Mortgage Fund.......................... 802,809 2007 1,808,782 2011
U.S. Government Mortgage Fund.......................... 2,276,740 2008 2,721,813 2012
U.S. Government Mortgage Fund.......................... 181,530 2010 3,057,928 2014
- ------------------------------------------------------------------------------------------------------
</Table>
As of December 31, 2006, the components of accumulated earnings/(deficit) on a
tax basis for the Large Cap Equity Fund was as follows:
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED TOTAL
UNDISTRIBUTED LONG TERM ACCUMULATED UNREALIZED ACCUMULATED
ORDINARY CAPITAL ACCUMULATED DISTRIBUTIONS CAPITAL AND APPRECIATION/ EARNINGS/
INCOME GAINS/(LOSSES) EARNINGS PAYABLE OTHER LOSSES (DEPRECATION) (DEFICIT)
- ----------------------------------------------------------------------------------------------------------------------
$ -- $ -- $ -- $ -- $ -- $19,856,550 $19,856,550
- ----------------------------------------------------------------------------------------------------------------------
</Table>
46
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
Dividends and distributions are determined in accordance with federal income tax
regulations and may differ from accounting principles generally accepted in the
United States of America. These differences are primarily due to differing
treatments for deferral of losses on wash sales and net capital losses incurred
after October 31 and within the taxable year ("Post-October losses). To the
extent these difference are permanent, adjustments are made to the appropriate
equity accounts in the period that these differences arise. Accordingly, the
following reclassification has been made to/from the following accounts for the
Large Cap Equity Fund as of December 31, 2006:
<Table>
<Caption>
- ------------------------------------------------------------------------------
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAIN (LOSS) PAID-IN-CAPITAL
- ------------------------------------------------------------------------------
$46,222 $(42,383) $(3,839)
- ------------------------------------------------------------------------------
</Table>
47
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
(UNAUDITED)
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 PRINCIPAL OCCUPATION(S) COMPLEX DIRECTORSHIPS
NAME, ADDRESS AND AGE OFFICE DURING PAST 5 YEARS OVERSEEN HELD
- -----------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
Richard M. Amis......... Trustee since 1997. President, First Federal 7 None
630 Clarksville Street Indefinite Term of Office Community Bank since 1984;
Paris, TX 75460 Director, First Financial Trust
Age: 56 Company from 1993 to 2006; and
Chairman, Texas Savings and
Community Bankers Association
from 1997 to 1998.
David F. Holland........ Trustee since 1993 and Retired; Chairman of the Board, 7 TD Banknorth -
17 Ledgewood Circle from 1988 to 1989. Chief Executive Officer and Massachusetts
Topsfield, MA 01983 Indefinite Term of Office President, BostonFed Bancorp Inc.
Age: 65 from 1995 to 2005; Chairman of
the Board from 1989 to 2005 and
Chief Executive Officer from 1986
to 2005, Boston Federal Savings
Bank; Consultant, TD Banknorth
since 2005.
Gerald J. Levy.......... Vice Chairman of the Chairman since 1984 and Director 7 FISERV, Inc.;
4000 W. Brown Deer Road Board since 1997 and since 1963, Guaranty Bank, F.S.B. Guaranty Financial;
Milwaukee, WI 53209 Trustee since 1982. Federal Home Loan
Age: 74 Indefinite Term of Office Bank of Chicago
William A. McKenna, Trustee since 2002. Retired; Chairman and Chief 7 RS Group Trust
Jr.................... Indefinite Term of Office Executive Officer from 1992 to Company; Retirement
42 Dorothy Grace Road 2004 and President from 1985 to System Group, Inc.;
Saugerties, NY 12477 2001, Ridgewood Savings Bank. Irish Educational
Age: 70 Development
Foundation, Inc.; The
Catholic University
of America; RSI
Retirement Trust; St.
Vincent's Services;
Boys Hope Girls Hope;
Calvary Hospital
Fund; St. Aloysius
School; American
Institute of
Certified Public
Accountants;
TransVideo
Communications, Inc.
Christopher M. Owen..... Trustee since 2005. President and Chief Executive 7 Meriwest Mortgage LLC
5615 Chesbro Avenue Indefinite Term of Office Officer, Meriwest Credit Union
San Jose, CA 95123 Age: since 1995.
60
</Table>
48
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
(UNAUDITED)
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 PRINCIPAL OCCUPATION(S) COMPLEX DIRECTORSHIPS
NAME, ADDRESS AND AGE OFFICE DURING PAST 5 YEARS OVERSEEN HELD
- -----------------------------------------------------------------------------------------------------------------------------
Maria F. Ramirez........ Trustee since 2005. President and Chief Executive 7 Schroder Hedge Funds
One Liberty Plaza, Indefinite Term of Office Officer, Maria Fiorini Ramirez Bermuda; Pace
46th Floor Inc. (a global economic and University; Sovereign
New York, NY 10006 financial consulting firm) since Bank; Security Mutual
Age: 59 1992. Insurance Company
INTERESTED TRUSTEES(1)
Rodger D. Shay(2)....... Chairman of the Board Chairman and Director of Shay 7 Shay Assets
1000 Brickell Avenue since 1997 and Trustee Investment Services, Inc. and Management, Inc.
Miami, FL 33131 since 1993 and from 1985 Shay Financial Services, Inc.
Age: 70 to 1990. since 1997.
Indefinite Term of Office
Rodger D. Shay, Trustee since 2002. President and Chief Executive 7 Family Financial
Jr.(2)................ Indefinite Term of Office Officer of Shay Financial Holdings, LLC; First
230 West Monroe Street President since 2005. Services, Inc. since 1997; Financial Bank and
Suite 2810 Term of Office Expires President, Shay Assets Trust
Chicago, IL 60606 2008 Management, Inc. since 2005.
Age: 47
OFFICERS
Rodger D. Shay, President since 2005. President and Chief Executive 7 Family Financial
Jr.(2)................ Term of Office Officer of Shay Financial Holdings, LLC; First
230 West Monroe Street Expires 2007 Services, Inc. since 1997; Financial Bank and
Chicago, IL 60606 President, Shay Assets Trust
Age: 47 Management, Inc. since 2005
Robert T. Podraza....... Vice President and Vice President, Shay Investment 7 None
1000 Brickell Avenue Assistant Treasurer since Services, Inc. since 1990; Vice
Miami, FL 33131 1998. Term of Office President and Chief Compliance
Age: 62 Expires 2008 Officer, Shay Financial Services,
Inc. since 1990 and 1997,
respectively; Vice President,
Shay Assets Management, Inc.
since 1990.
Trent M. Statczar....... Treasurer since 2002. Financial Services Vice President 7 None
3435 Stelzer Road Term of Office Expires since 2003 and prior thereto
Columbus, OH 43219 2008 Director and Financial Services
Age: 36 Manager, BISYS Investment
Services Ohio, Inc.
Daniel K. Ellenwood..... Secretary since 1998. Chief Compliance Officer since 7 None
230 West Monroe Street Term of Office Expires 2004 and prior thereto Assistant
Suite 2810 2008 Vice President, Operations/
Chicago, IL 60606 Compliance Officer and Operations
Age: 37 Manager, Shay Assets Management,
Inc.
</Table>
49
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
(UNAUDITED)
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 PRINCIPAL OCCUPATION(S) COMPLEX DIRECTORSHIPS
NAME, ADDRESS AND AGE OFFICE DURING PAST 5 YEARS OVERSEEN HELD
- -----------------------------------------------------------------------------------------------------------------------------
Frederick J. Schmidt.... Chief Compliance Officer Senior Vice President and Chief 7 None
90 Park Avenue, 10th since 2004. Term of Compliance Officer, CCO Services
Floor Office Expires 2007 of BISYS Fund Services Ohio, Inc.
New York, NY 10016 since 2004; Chief Compliance
Age: 47 Officer of three other investment
companies or fund complexes for
which CCO Services of BISYS Fund
Services Ohio, Inc. provides
compliance services since 2004;
President, FJS Associates
(regulatory consulting firm) from
2002 to 2004; Vice President
Credit Agricole Asset Management,
U.S. from 1987 to 2002.
Christine A. Cwik....... Assistant Secretary since Executive Secretary, Shay Assets 7 None
230 West Monroe Street 1999. Term of Office Management, Inc. since 1999.
Suite 2810 Expires 2008
Chicago, IL 60606
Age: 57
Kinga Kapuscinski....... Assistant Secretary since Counsel, BISYS Fund Services 7 None
100 Summer Street 2006. Term of Office Ohio, Inc. since 2006; Assistant
Suite 1500 Expires 2008 Counsel, BISYS Funds Services
Boston, MA 02110 Ohio, Inc. from 2004 to 2006;
Age: 34 Associate, Goodwin Proctor LLP
from 2001 to 2004.
Velvet Regan............ Assistant Secretary since Assistant Counsel, BISYS Fund 7 None
100 Summer Street 2007. Term of Office Services Ohio, Inc. since 2006;
Suite 1500 Expires 2008 Associate, Gilmartin Magence
Boston, MA 02110 Camiel & Ross LLP, 2006; Tax
Age: 28 Administrator, State Street
Corporation from 2000 to 2002.
</Table>
- --------------------------------------------------------------------------------
(1) 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.
(2) Rodger D. Shay, Jr., Trustee, is the son of Rodger D. Shay, Chairman of the
Board of Trustees and Trustee.
50
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADDITIONAL INFORMATION
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
A. SECURITY ALLOCATION:
MONEY MARKET FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE OF
SECURITY ALLOCATION NET ASSETS
- ---------------------------------------------------------------------------
Repurchase Agreements....................................... 100.1%
-----
Total....................................................... 100.1%
=====
- ---------------------------------------------------------------------------
</Table>
ULTRA SHORT MORTGAGE FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE OF
SECURITY ALLOCATION NET ASSETS
- ---------------------------------------------------------------------------
Adjustable Rate Mortgage-Related Securities................. 67.9%
Fixed Rate Mortgage-Related Securities...................... 24.6%
Repurchase Agreements....................................... 7.4%
-----
Total....................................................... 99.9%
=====
- ---------------------------------------------------------------------------
</Table>
ULTRA SHORT FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE OF
SECURITY ALLOCATION NET ASSETS
- ---------------------------------------------------------------------------
Adjustable Rate Mortgage-Related Securities................. 71.6%
Fixed Rate Mortgage-Related Securities...................... 19.0%
Repurchase Agreements....................................... 9.1%
-----
Total....................................................... 99.7%
=====
- ---------------------------------------------------------------------------
</Table>
SHORT U.S. GOVERNMENT FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE OF
SECURITY ALLOCATION NET ASSETS
- ---------------------------------------------------------------------------
Fixed Rate Mortgage-Related Securities...................... 39.3%
Adjustable Rate Mortgage-Related Securities................. 38.9%
Repurchase Agreements....................................... 15.9%
U.S. Treasury Obligations................................... 5.4%
-----
Total....................................................... 99.5%
=====
- ---------------------------------------------------------------------------
</Table>
51
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADDITIONAL INFORMATION (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
INTERMEDIATE MORTGAGE FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE OF
SECURITY ALLOCATION NET ASSETS
- ---------------------------------------------------------------------------
Fixed Rate Mortgage-Related Securities...................... 52.0%
Adjustable Rate Mortgage-Related Securities................. 45.2%
Repurchase Agreements....................................... 2.7%
-----
Total....................................................... 99.9%
=====
</Table>
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE OF
SECURITY ALLOCATION NET ASSETS
- ---------------------------------------------------------------------------
Fixed Rate Mortgage-Related Securities...................... 75.9%
Adjustable Rate Mortgage-Related Securities................. 21.2%
Repurchase Agreements....................................... 2.7%
-----
Total....................................................... 99.8%
=====
</Table>
- --------------------------------------------------------------------------------
LARGE CAP EQUITY FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENTAGE OF
SECURITY ALLOCATION NET ASSETS
- ---------------------------------------------------------------------------
Common Stocks............................................... 95.5%
Cash Equivalents............................................ 4.6%
-----
Total....................................................... 100.1%
=====
</Table>
- --------------------------------------------------------------------------------
B. EXPENSE COMPARISON:
As a shareholder of the Asset Management Fund, you incur two types of costs:
(1) transaction costs, including sales charges (loads) on purchases, reinvested
dividends, or other distributions; redemption fees; and exchange fees; (2)
ongoing costs, including management fees; distribution (12b-1 fees); and other
Fund expenses. This example is intended to help you understand your ongoing
costs (in dollars) of investing in the Asset Management Fund and to compare
these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period from November 1, 2006 through April 30,
2007. (January 1, 2007 through April 30, 2007 for the Large Cap Equity Fund)
ACTUAL EXPENSES
The table below provides information about actual account values and actual
expenses. You may use the information below, together with the amount you
invested, to estimate the expenses that you paid over the period. Simply divide
your account value by $1,000 (for example, an $8,600 account value divided by
$1,000 = 8.6), then multiply the result by the number in the table under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
52
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADDITIONAL INFORMATION (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
BEGINNING ENDING ACCOUNT EXPENSE PAID EXPENSE RATIO
ACCOUNT VALUE VALUE DURING PERIOD* DURING PERIOD**
11/1/06 4/30/07 11/1/06 - 4/30/07 11/1/06 - 4/30/07
- -----------------------------------------------------------------------------------------------------------
Money Market Fund........ Class I $1,000.00 $1,025.80 $0.85 0.17%
Class D 1,000.00 1,023.40 3.26 0.65%
Ultra Short Mortgage
Fund................... 1,000.00 1,018.10 2.30 0.46%
Ultra Short Fund......... 1,000.00 1,018.50 2.35 0.47%
Short U.S. Government
Fund................... 1,000.00 1,018.50 2.45 0.49%
Intermediate Mortgage
Fund................... 1,000.00 1,021.10 2.36 0.47%
U.S. Government Mortgage
Fund................... 1,000.00 1,023.70 2.36 0.47%
Large Cap Equity
Fund***................ 1,000.00 1,027.90 5.00 1.50%
</Table>
- --------------------------------------------------------------------------------
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recent fiscal
half-year divided by the number of days in the fiscal year.
** Annualized
*** Data for the Large Cap Equity Fund is for the period starting January 1,
2007 through April 30, 2007.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The table below provides information about hypothetical account values and
hypothetical expenses based on each Asset Management Fund's actual expense ratio
and an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. The hypothetical account values and expenses may not be
used to estimate the actual ending account balance or expenses you paid for the
period. You may use this information to compare this 5% hypothetical example
with the 5% hypothetical examples that appear in the shareholder reports of
other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
53
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADDITIONAL INFORMATION (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
BEGINNING ENDING ACCOUNT EXPENSE PAID EXPENSE RATIO
ACCOUNT VALUE VALUE DURING PERIOD* DURING PERIOD**
11/1/06 4/30/07 11/1/06 - 4/30/07 11/1/06 - 4/30/07
- ------------------------------------------------------------------------------------------------------------
Money Market Fund........ Class I $1,000.00 $1,023.95 $0.85 0.17%
Class D 1,000.00 1,021.57 3.26 0.65%
Ultra Short Mortgage
Fund................... 1,000.00 1,022.51 2.31 0.46%
Ultra Short Fund......... 1,000.00 1,022.46 2.36 0.47%
Short U.S. Government
Fund................... 1,000.00 1,022.36 2.46 0.49%
Intermediate Mortgage
Fund................... 1,000.00 1,022.46 2.36 0.47%
U.S. Government Mortgage
Fund................... 1,000.00 1,022.46 2.36 0.47%
Large Cap Equity
Fund***................ 1,000.00 1,017.36 4.97 1.50%
</Table>
- --------------------------------------------------------------------------------
* Expenses are equal to the average account value times the Fund's annualized
expense ratio multiplied by the number of days in the most recent fiscal
half-year divided by the number of days in the fiscal year.
** Annualized
*** Data for the Large Cap Equity Fund is for the period starting January 1,
2007 through April 30, 2007.
C. BOARD CONSIDERATIONS IN APPROVING ADVISORY AGREEMENTS:
The Board of Trustees of Asset Management Fund (the "Trust") approved the
renewal of the investment advisory agreement for each series of the Trust (each,
a "Fund" and collectively, the "Funds") with the Funds' investment adviser, Shay
Assets Management, Inc. (the "Adviser"), at a meeting on January 27, 2007. In
considering renewal of the investment advisory agreements, the Board of Trustees
(the "Board") received a recommendation from the Independent Trustees for the
renewal of each investment advisory agreement.
In preparation for their review process, the Independent Trustees met with the
Trust's counsel and discussed the type and nature of information to be provided
and sent a formal request for information to the Adviser. The Adviser provided
information in response to the request.
Among other information, the Independent Trustees reviewed materials to assess
the services provided by the Adviser, information comparing the performance,
investment advisory fees and expense ratios of each Fund to other mutual funds,
and information about the profitability of the investment advisory agreements to
the Adviser, economies of scale and fall-out benefits to the Adviser and its
affiliates as a result of its relationship with the Funds. The Independent
Trustees also received a memorandum from Trust counsel advising them of their
duties and responsibilities in connection with the review of the investment
advisory agreements. In considering renewal of the investment advisory
agreement, the Independent Trustees met independently of management and of the
inter-
54
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADDITIONAL INFORMATION (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
ested Trustees to review and discuss materials received from the Adviser and
Trust counsel. The Independent Trustees noted that the Board also received
regular information throughout the year regarding the performance and operating
results of each Fund. Based upon the information reviewed and their accumulated
experience as Board members in working with the Adviser and overseeing the
Funds, the Independent Trustees determined to recommend renewal of the
investment advisory agreements.
Based upon the recommendation from the Independent Trustees as well as its own
review, the Board concluded that it was in the best interest of each Fund to
renew each investment advisory agreement. In reaching this conclusion for each
Fund, the Board did not identify any single factor or group of factors as all
important or controlling and considered all factors together.
Nature, Quality and Extent of Services. The Board considered the nature,
quality and extent of services provided under the investment advisory
agreements. The Board reviewed the experience and skills of senior management
and the investment management team and the organizational stability of the
Adviser. The Board also considered the Adviser's ability to manage investments
that met the special needs of the shareholders of the Funds. The Board also
considered the compliance program established by the Adviser and the level of
compliance attained by the Adviser. The Board additionally considered the
portfolio securities valuation services provided by the Adviser. Based upon all
relevant factors, the Board concluded that the nature, quality and extent of the
services the Adviser provides to each Fund continue to be satisfactory.
Investment Performance. The Board reviewed each Fund's investment performance
over short-term (three-months and one-year) and longer-term (three-year,
five-year and ten-year) periods, as applicable, and compared this information to
the performance of a peer group of funds in the same Lipper, Inc. ("Lipper")
category based on Lipper information and data. The Board also reviewed each
Fund's investment performance as compared to appropriate market indices for the
one-, five- and ten-year periods, as applicable. The Board considered whether
investment results were consistent with a Fund's investment objective and
policies and noted that the Funds (other than the Ultra Short Fund) limit their
investments and investment techniques in order to qualify for investment without
specific statutory limitation by national banks, federal savings associations
and federal credit unions under current applicable federal regulations while the
peer group of funds for the most part are not subject to such limitations. The
Board concluded that investment performance of each Fund was satisfactory,
taking into account the circumstances of each Fund. For the Money Market Fund,
the Board reviewed the performance of the Class I Shares, which were compared to
the Lipper Institutional U.S. Government Money Market Funds category. In
reviewing the performance of the Intermediate Mortgage Fund, the Board noted
that the Fund has a shorter duration than its Lipper peer group of funds, which
impacts its relative performance. The Board also took into account the
Intermediate Mortgage Fund's favorable short-term performance and the Adviser's
adherence to its investment style and strategies and the Fund's investment
limitations. On the basis of this evaluation and its ongoing review of
investment results, the Board concluded that the Adviser's performance was
satisfactory as to all Funds with respect to investment performance.
Fees and Expenses. The Board reviewed each Fund's investment advisory fees
and total expense ratios. The Board received information, based upon Lipper
data, comparing each Fund's investment advisory fee and total expense ratio
55
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADDITIONAL INFORMATION (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
to the investment advisory fees and total expense ratios of funds in a peer
group. The Board also received information on fee waivers and/or reimbursements
and noted that all of the Funds, other than the Short U.S. Government Fund and
U.S. Government Mortgage Fund, currently were benefiting from fee waivers. The
information provided to the Board showed that each Fund's investment advisory
fee, after taking into account fee waivers was below the average of the Lipper
peer group. The information also showed that the actual total expense ratio of
each Fund was below or within a reasonable range of the peer group average. The
Board noted that historically the Adviser has waived fees consistent with the
current waiver levels. The Board concluded that the contractual advisory fees
are within a reasonable range of the peer group average and that the Adviser has
indicated an intention to continue the current level of voluntary waivers for
the Money Market Fund, Ultra Short Mortgage Fund, Ultra Short Fund and
Intermediate Mortgage Fund. On the basis of all information provided, the Board
concluded that the investment advisory fees charged by the Adviser for managing
each Fund were reasonable and appropriate in light of the nature, quality and
extent of services provided by the Adviser.
Profitability. The Board considered certain financial information related to
the costs and profitability of the Adviser's investment advisory agreements with
the Funds. The Board also considered that for the Money Market Fund, the net
income generated from the advisory relationship was negative. The Board also
received the financial statements of the Adviser and its parent company, Shay
Investment Services, Inc., for various periods. Based upon the information
provided, the Board concluded that the profits realized by the Adviser in
connection with the management of the Funds were not unreasonable.
Economies of Scale. The Board considered whether there are economies of scale
with respect to the management of each Fund and whether the Funds benefit from
any such economies of scale through breakpoints in fees or otherwise. The Board
noted that the current fee structure is comprised of breakpoints for each Fund
except for the Ultra Short Fund. The Board concluded that given the size of the
Ultra Short Fund the institution of breakpoints was not necessary at this time.
The Board also considered whether the investment advisory fee rate for each Fund
is reasonable in relation to the size of such Fund. The Board concluded that the
investment advisory fee schedule reflects an appropriate level of sharing of any
economies of scale.
Other Benefits to the Adviser. The Board also considered the character and
amount of other incidental benefits received by the Adviser and its affiliate,
Shay Financial Services, Inc., which acts as the Trust's Distributor, as a
result of the Adviser's relationship with the Funds. The Board considered
payments under the Funds' Rule 12b-1 Plan to the Distributor and noted that the
Distributor reported a net loss on distribution services provided to the Trust
during the fiscal year ended October 31, 2006. The Board considered the
advantage that the Distributor's knowledge of its clients' investing preferences
offers the Funds. The Board noted that the Distributor does not execute
portfolio transactions on behalf of the Funds. The Board also considered that
the Adviser does not use brokerage of the Funds to obtain third party research.
Conclusion. Based upon all the information considered and the conclusions
reached, the Board determined that the terms of the investment advisory
agreements continue to be fair and reasonable and that continuance of the
Agreements is in the best interests of each Fund.
56
- --------------------------------------------------------------------------------
ASSET MANAGEMENT FUND
ADDITIONAL INFORMATION (CONTINUED)
APRIL 30, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
D. OTHER INFORMATION:
A description of the policies and procedures that the Funds use to determine
how to vote proxies relating to portfolio securities is available (i) without
charge, upon request, by calling 800-527-3713; and (ii) on the Securities and
Exchange Commission's website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio
securities is available (i) without charge, upon request, by calling
800-527-3713; and (ii) on the Securities and Exchange Commission's website at
http://www.sec.gov.
A complete schedules of each Fund's portfolio holdings for the first and third
fiscal quarter of each fiscal year is filed with the Securities and Exchange
Commission of Form N-Q and is available on the Securities and Exchange
Commission's website at http://www.sec.gov. In addition, the schedules may be
reviewed and copied at the Securities and Exchange Commission's Public Reference
Room in Washington, D.C. Information on the operation of the Public Reference
Room may be obtained by calling 1-800-SEC-0330.
The Statement of Additional Information includes additional information about
Trustees and is available, without charge, upon request, by calling
800-527-3713.
57
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
GENERAL INFORMATION
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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
12300 Perry Highway/Wexford, PA 15090
800-224-5177
350 Springfield Avenue/Summit, NJ 07901
800-553-6159
633 Library Park Drive/Greenwood, IN 46142
800-879-9958
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ACCOUNT INFORMATION
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To obtain performance data and other account information, call toll free
800-527-3713.
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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
One Wall Street
New York, NY 10286
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
PricewaterhouseCoopers LLP
100 East Broad Street, Suite 2100
Columbus, OH 43215
ITEM 2. CODE OF ETHICS.
Not applicable
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 11. CONTROLS AND PROCEDURES.
(a)The registrant's principal executive officer and principal financial officer
have concluded, based on their evaluation of the registrant's disclosure
controls and procedures as conducted within 90 days of the filing date of this
report, that these disclosure controls and procedures are adequately designed
and are operating effectively to ensure 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)There were no changes 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 second fiscal quarter of the period covered by this report
that have materially affected or are reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) NOT APPLICABLE
(a)(2) CERTIFICATIONS PURSUANT TO RULE 30A-2(a) ARE ATTACHED HERETO.
(a)(3) NOT APPLICABLE.
(b) CERTIFICATIONS PURSUANT TO RULE 30A-2(b) ARE FURNISHED HEREWITH.
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 Statczar
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Trent Statczar, Treasurer
Date July 9, 2007
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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 Statczar
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Trent Statczar, Treasurer
Date July 9, 2007
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By (Signature and Title)* /s/ Rodger D. Shay, Jr.
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Rodger D. Shay, Jr., President
Date July 9, 2007
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