-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, JPLccWAsXH32sq6NqBMwi66xEFMXo4SLpGqcCqce8XFoscUXnpH4NWp1H4tcuM80 0fZim7Byx6JCEXvX7n435A== 0000950116-99-002379.txt : 19991231 0000950116-99-002379.hdr.sgml : 19991231 ACCESSION NUMBER: 0000950116-99-002379 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19991031 FILED AS OF DATE: 19991230 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DLJ HIGH YIELD BOND FUND CENTRAL INDEX KEY: 0001061353 STANDARD INDUSTRIAL CLASSIFICATION: [] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-08777 FILM NUMBER: 99784192 BUSINESS ADDRESS: STREET 1: 277 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10172 BUSINESS PHONE: 2128926692 MAIL ADDRESS: STREET 1: 277 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10172 N-30D 1 PRESIDENT'S LETTER Dear Shareholders, Overall, during our recent fiscal year, equity investors in foreign markets have achieved significant performance results. After ten months in existence, the new European single currency seems to be a success. Well accepted by the financial community since its introduction, the euro has been successfully tested over the past year and is now at a much more competitive level with the U.S. dollar. Our international markets have been re-emerging and we believe that they will continue to offer strong potential and favorable opportunities for investment growth. DLJ Winthrop Developing Markets Fund The total return of the DLJ Winthrop Developing Markets Fund for the fiscal year ending October 31, 1999, amounted to +39.82% (Class A shares) and +38.79% (Class B shares), vs. +44.63% for the Fund's benchmark, the MSCI Emerging Markets Free Index. The period began with the fantastic recovery of the Asian stock markets following the intervention of the International Monetary Fund (IMF) throughout the region. In contrast, the Brazilian currency collapsed in early January, driving down the value of Brazilian stocks and all Latin American stock exchanges. These markets bottomed out in March, after which Brazilian president Cardoso took the appropriate measures to stabilize currency and refinance the country's heavy debt. Latin American markets were the last to recover from their financial crisis as they were the last to go into turmoil. The rest of the period was well oriented as recovering situations in Asia were supported by the strengthening of the Japanese economy. Strong discrepancies in company valuations were tracked in Latin America and Eastern Europe while in Asia prospects for earnings growth was the main focus of investors. During the first half of the fiscal year, the Fund was mainly invested in Latin America. For that reason, it underperformed its benchmark during the first quarter of 1999. During the following quarters, the spectacular recovery in stock prices gave us the opportunity to reduce our overweight in Latin America and increase our weightings in Asia. Financial sector and technology stocks were added to the Asian part of the portfolio along with utilities and commodity linked stocks. DLJ Winthrop International Equity Fund The total return of the DLJ Winthrop International Equity Fund for the fiscal year ending October 31, 1999 amounted to +21.76% (Class A shares) and +20.86% (Class B shares) vs. +23.37% for the Fund's benchmark, the MSCI EAFE Free Index. During the period, European markets enjoyed a +10.8% return, but underperformed the MSCI EAFE Free Index. European equities have benefited from improving economic prospects, better than anticipated corporate results and very strong merger and acquisition activity across all industry sectors. These factors have continued and have guided momentum over the past quarter. During the first part of the year, European markets suffered from a lack of relative economic momentum (relative to the U.S., Asia and Japan), certain political problems and, at the time, a weaker Euro which had not yet achieved its recent relative success. During the second part of the year, a much stronger economic trend was anticipated, particularly in Germany leading to strong corporate activity. Sectors such as services, technology, telecommunications and internet companies performed well. The Japanese market showed strong performance during the period. The Topix Index (top 1200 Japanese stocks) gained 51% in local currency and 68% in US$ while the MSCI Japan Index gained 41% in yen and 57% in local currency. The strong performance was due to the increasing realization that the Japanese economy was finally pulling out of its recession and showing signs of progress on the restructuring front. The government announced a number of supply-side reforms covering pension plan reforms, bankruptcy legislation, debt/equity swap reforms and a host of other legislation making it easier for restructuring to be carried out. The government loan guarantee program to small and medium sized companies marked an important step in the improvement of consumer confidence. In terms of market focus, activity centered on 'new Japan' growth style companies for most of the year. Sectors such as services, technology, components, hi-tech electronics, internet-related and niche retailers performed very well. Old style Japan, where it is perceived that management is slow to make necessary changes and properly focus on priorities, lost out. Many raw materials and deep cyclical stocks fall into this category. Pressure from Asian competition and cross-shareholding unwinding is also a threat. For the most part, markets in Asia have reflected the beginnings of an economic recovery during the twelve months under review. As U.S. interest rates eased in the fourth quarter of 1998, and hedge fund activity declined, speculative pressure on Asian currencies eased, allowing interest rates to decline at a far quicker rate than previously anticipated. This laid the foundation for the recovery in Asia in 1999, stronger in some countries than others. For Australia, fear that the U.S. Federal Reserve would reverse the interest rate cuts of 1998 proved correct, keeping a lid on the rise in the equity market as global bond yields adjusted to rising interest rate expectations. In Hong Kong, the government's stock market intervention underpinned a recovery in most areas of the economy over the course of the year, despite little respite for the beleaguered property sector, where there was no improvement in 1999. China and intra-Asian trade boosted exports and a strong technology and internet-related rally gave the market a boost. In Singapore, the government led the way with affirmative policies that included liberalization of the financial sector, a relaxation of employees' contributions to the Central Provident Fund, and beneficial housing policies. The recovery was aided by stronger exports, particularly in the electronic manufacturing sector. The Fund favored technology stocks and remained overweighted in domestic consumer and cyclical companies. The Fund was invested largely in European stocks at the beginning of the fiscal year. It benefited from the restructuring situations within the European economies. The Japanese part of the portfolio remained neutral which allowed the Fund to take advantage of the strength of the Yen. During the second part of the fiscal year Japanese weightings were increased and focus was placed on banks and the technology sector. This increase of the Asian part of the portfolio was financed by reducing the overall weight of European stocks. The portfolio benefited largely from this restructuring and the recovering situations recognized throughout Asia. We would like to thank you for your investment in the DLJ Winthrop Opportunity Funds. The Officers and Trustees wish you a happy and prosperous New Year. Sincerely, /s/ G. Moffett Cochran - ---------------------------- G. Moffett Cochran December, 1999 President OPPORTUNITY FUND HIGHLIGHTS (unaudited) - -------------------------------------------------------------------------------- DLJ Winthrop International Equity Fund Asset Allocation by Country October 31, 1999 Finland 1.1 Germany 8.1 Ireland 1.3 France 9.3 Sweden 1.9 Portugal 1.1 Cash & Other Assets/Liabilities 2.4 Australia 1.0 Netherelands 4.0 Belgium 0.7 Spain 4.3 Denmark 0.4 Italy 4.5 Singapore 0.3 Switzerland 6.5 Japan 28.1 Hong Kong 6.9 United Kingdom 18.1 Ten Largest Holdings October 31, 1999
Percent of Country US $ Value Net Assets ---------------- -------------- ----------- NTT Mobile Communication Network, Inc. .......... Japan $ 2,125,252 3.8% BP Amoco Plc. ................................... United Kingdom 1,326,645 2.4 Nippon Telegragh & Telephone Corp. Ltd. ......... Japan 1,273,617 2.3 Fujitsu Support and Service, Inc. ............... Japan 1,124,005 2.0 The Asahi Bank Ltd. ............................. Japan 888,079 1.6 Glaxo Wellcome Plc. ............................. United Kingdom 766,765 1.4 Telefonica SA. .................................. Spain 707,159 1.3 Deutsche Bank AG ................................ Germany 702,948 1.3 Shell Transport & Trading Co. Plc. .............. United Kingdom 697,836 1.3 Nestle SA ....................................... Switzerland 694,534 1.3 ------------ ---- $ 10,306,840 18.7% ============ ====
Investment Results For the Periods Ended October 31, 1999 Without Load With Load MSCI EAFE Index ------------ --------- --------------- 9/95 10,000 9,425 10,000 10/95 9,580 9,029 9,852 10/96 10,380 9,783 10,916 10/97 11,420 10,763 11,454 10/98 12,357 11,646 12,594 10/99 15,045 14,180 15,537 Average Annual Total Return --------------------------------------- DLJ Winthrop International Equity Fund ------------------------- MSCI Without With EAFE Load Load INDEX ----------- ----------- ----------- Class A: 1 year ........................ 21.76% 14.76% 23.37% From inception 9/13/95 ........ 10.39 8.82 11.30 Class B: 1 year ........................ 20.86 16.86 23.37 From inception 9/13/95 ........ 9.58 9.58 11.30 Class D: From inception 5/17/99 ........ 10.48 n/a n/a The performance data quoted represents past performance, which is no indication of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. No adjustment has been made for any income taxes payable by shareholders on dividends or capital gains. Class A returns shown above are computed with and without the imposition of the maximum 5.75% front-end sales load. Class B shares which, instead of a front-end sales load, are subject to a contingent deferred sales charge (CDSC) ranging from 4% during the first year to 0% after 4 years. Accordingly, returns on Class B shares will differ from those of Class A shares and are referenced in the table above with and without the imposition of the applicable CDSC. Class D shares are offered only to employees of DLJ and its subsidiaries who are eligible to participate in the DLJ 401(K) Retirement Savings Plan for Employees. Class D shares are not subject to any sales charges or distribution fees. The MSCI EAFE Index is an unmanaged index composed of a sample of companies representative of the market structure of European and Pacific Basin countries. The index is the property of Morgan Stanley & Co. Incorporated. The index does not take into account charges, fees and other expenses. Further information relating to Fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the Prospectus and elsewhere in this report. - -------------------------------------------------------------------------------- OPPORTUNITY FUND HIGHLIGHTS (unaudited) - -------------------------------------------------------------------------------- DLJ Winthrop Developing Markets Fund Asset Allocation by Country October 31, 1999 Chile 2.2 South Africa 8.5 Czech Republic 3.0 Greece 9.1 Malaysia 3.1 Philippines 2.2 Argentina 3.8 Hungary 1.5 India 4.2 Indonesia 0.5 Cash & Other Assets/Liabilities 3.5 Poland 0.4 China 5.3 South Korea 14.9 Thailand 4.6 Mexico 14.2 Taiwan 6.4 Brazil 12.6 Ten Largest Holdings October 31, 1999
Percent of Country US $ Value Net Assets -------------- -------------- ----------- Samsung Electronics GDR .................... South Korea $ 1,136,450 6.1% Telefonos de Mexico SA Cl.'L' ADR .......... Mexico 871,245 4.7 Pohang Iron ADR ............................ South Korea 622,310 3.3 De Beers Centenary AG ...................... South Africa 510,161 2.7 Hon Hai Precision Industry ................. Taiwan 503,684 2.7 Cifra SA de CV Ser.'V' ..................... Mexico 484,125 2.6 Grupo Mexico SA de CV Ser.'B' .............. Mexico 418,549 2.2 Korea Electrical Power ADR ................. South Korea 416,714 2.2 SK Telecom Co. Ltd. ........................ South Korea 360,217 1.9 Companhia Vale do Rio Doce SA Prf. ......... Brazil 342,552 1.8 ----------- ---- $ 5,666,007 30.2% =========== ====
Investment Results For the Periods Ended October 31, 1999 Without Load With Load MSCI EMF Index ------------ --------- -------------- 9/95 10,000 9,425 10,000 10/95 9,530 8,982 9,462 10/96 9,960 9,387 10,075 10/97 9,544 8,995 9,220 10/98 7,158 6,746 6,363 10/99 10,001 9,433 9,203 Average Annual Total Return --------------------------------------- DLJ Winthrop Developing MSCI Markets Fund ------------------------- EMERGING Without With MARKETS Load Load FREE INDEX ----------- ----------- ----------- Class A: 1 year ........................ 39.82% 31.78% 44.63% From inception 9/13/95 ........ 0.02 -1.40 -1.98 Class B: 1 year ........................ 38.79 34.79 44.63 From inception 9/13/95 ........ -0.77 -0.77 -1.98 The performance data quoted represents past performance, which is no indication of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. No adjustment has been made for any income taxes payable by shareholders on dividends or capital gains. Class A returns shown above are computed with and without the imposition of the maximum 5.75% front-end sales load. Class B shares which, instead of a front-end sales load, are subject to a contingent deferred sales charge (CDSC) ranging from 4% during the first year to 0% after 4 years. Accordingly, returns on Class B shares will differ from those of Class A shares and are referenced in the table above with and without the imposition of the applicable CDSC. The MSCI Emerging Markets Free Index is an unmanaged index composed of a sample of companies representative of the market structure of developing countries worldwide. The index is the property of Morgan Stanley & Co. Incorporated. The index does not take into account charges, fees and other expenses. Further information relating to Fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the Prospectus and elsewhere in this report. - -------------------------------------------------------------------------------- DLJ Winthrop Opportunity Funds--Statement of Investments October 31, 1999 - -------------------------------------------------------------------------------- DLJ Winthrop International Equity Fund COMMON STOCKS -- 97.6% Shares U.S. $ Value ---------- --------------- AUSTRALIA--1.0% National Australia Bank Ltd. ............ 4,410 $ 68,067 Normandy Mining Ltd. .................... 46,400 35,217 Qantas Airways Ltd. ..................... 42,100 133,988 Telstra Corporation Ltd. ................ 36,150 183,921 The News Corporation Ltd. ............... 9,810 70,952 Woodside Petroleum Ltd. ................. 8,100 48,820 --------- 540,965 --------- BELGIUM--0.7% Fortis Cl.'B' ........................... 10,970 370,360 --------- DENMARK--0.4% ISS International Service Systems A/S .................................. 4,440 238,117 --------- FINLAND--1.1% Oy Nokia (Ab) Ser 'A' ................... 5,420 620,270 --------- FRANCE--9.3% Accor SA ................................ 1,630 366,872 Air Liquide SA .......................... 1,020 157,163 Alcatel Alsthom ......................... 2,190 342,045 CAP Gemini SA ........................... 1,000 151,452 Carrefour SA ............................ 1,330 246,193 Compagnie de Saint Gobain ............... 1,430 248,160 Danone Groupe ........................... 1,310 334,115 Elf Aquitaine SA ........................ 2,400 353,388 Groupe GTM .............................. 1,240 135,634 Hachette Filipacchi Medias .............. 5,300 267,008 Lafarge SA .............................. 49 4,716 Legrand SA .............................. 710 169,884 L'Oreal ................................. 270 180,181 LVMH (Moet-Hennessy Luois Vuitton) .............................. 860 259,593 PSA Peugeot Citroen SA .................. 1,980 380,050 Rhodia SA ............................... 10,365 200,041 Suez Lyonnaise des Eaux SA .............. 1,610 259,924 Television Francaise .................... 1,280 401,180 Total Fina SA ........................... 2,810 379,771 Vivendi ................................. 4,140 313,723 --------- 5,151,093 --------- GERMANY--8.1% Allianz AG. ............................. 1,169 356,554 Bayer AG ................................ 6,550 267,981 Bayerische Vereinsbank AG ............... 9,250 603,179 Celanese AG* ............................ 749 11,816 DaimlerChrysler AG ...................... 7,270 566,585 Deutsche Bank AG ........................ 9,800 702,948 Deutsche Lufthansa AG ................... 10,690 223,178 Hoechst AG .............................. 7,490 328,102 Mannesmann AG ........................... 4,010 630,519 SAP AG .................................. 590 254,543 Veba AG ................................. 10,170 555,673 ---------- 4,501,078 ---------- Shares U.S. $ Value ------ --------------- HONG KONG--6.9% Cheung Kong Holdings Ltd. ............... 60,000 $ 544,493 China Resources Enterprises Ltd. ........ 110,000 141,594 China Telecom (Hong Kong) Ltd. .......... 172,000 588,927 Citic Pacific Ltd. ...................... 170,000 439,842 Hong Kong & China Gas Company Ltd. .................................. 281,000 372,559 Hong Kong Electric Holdings ............. 55,000 168,143 Hutchison Whampoa Ltd. .................. 45,000 451,813 New World Development Company Ltd. .................................. 125,000 236,526 Shanghai Industrial Holdings Ltd. ....... 156,000 291,168 SmarTone Telecommunications Holdings Ltd. ......................... 61,000 215,145 Total Access Communication Public Company Ltd. .......................... 44,000 106,480 Wharf Holdings Ltd. ..................... 94,000 271,642 ---------- 3,828,332 ---------- ITALY--4.5% Autogrill SPA ........................... 26,040 278,258 Banca di Roma SPA ....................... 199,610 268,723 Benetton Group SPA ...................... 141,500 312,528 Italcementi SPA ......................... 23,760 300,125 Mediolanum SPA .......................... 35,140 285,689 San Paolo--IMI SPA ...................... 22,500 291,545 Seat Pagine Gialle SPA .................. 412,100 394,851 Telecom Italia SPA ...................... 40,840 352,648 ---------- 2,484,367 ---------- IRELAND--1.3% Bank of Ireland Plc. .................... 19,960 155,138 Bank of Ireland Plc. .................... 15,760 122,991 CRH Plc. ................................ 12,540 236,610 Irish Life & Permanent Plc. ............. 2,149 22,248 Irish Permanent Plc. .................... 15,900 162,211 ---------- 699,198 ---------- JAPAN--28.1% Bank of Tokyo-Mitsubishi Ltd. ........... 36,000 596,605 Bridgestone Corp. Ltd. .................. 16,000 440,395 Canon, Inc. ............................. 6,000 169,752 Daifuku Co. Ltd. ........................ 72,000 468,860 Fujitsu Ltd. ............................ 10,000 301,141 Fujitsu Support and Service, Inc. ....... 4,000 1,124,005 Hitachi Ltd. ............................ 40,000 432,339 Honda Motor Co. Ltd. .................... 8,000 337,585 Ito-Yokado Co. Ltd. ..................... 5,000 399,923 Japan Tobacco Inc. ...................... 39 430,133 Kirin Brewery Co. Ltd. .................. 22,000 251,923 Minebea Co. Ltd. ........................ 24,000 323,391 Mitsubishi Chemical Corp. Ltd. .......... 130,000 589,719 Mitsukoshi Ltd. ......................... 75,000 417,905 Mitsui Fudosan Co. Ltd. ................. 34,000 254,014 Nippon Express Co. Ltd. ................. 55,000 389,278 Nippon Telegraph & Telephone Corp. Ltd. ............................ 83 1,273,617 NTT Data Corporation Ltd. ............... 36 569,675 NTT Mobile Communication Network, Inc. ......................... 80 2,125,252 Oji Paper Co. Ltd. ...................... 60,000 422,940 Shiseido Co. Ltd. ....................... 21,000 320,226 See notes to financial statements. DLJ Winthrop Opportunity Funds--Statement of Investments October 31, 1999 (continued) - -------------------------------------------------------------------------------- DLJ Winthrop International Equity Fund Shares U.S. $ Value ---------- --------------- Takeda Chemical Industries Ltd. ....... 12,000 $ 689,364 TDK Corp. Ltd. ........................ 4,000 391,675 The Asahi Bank Ltd. ................... 100,000 888,079 The Tokio Marine & Fire Insurance Co. Ltd. ............................ 42,000 549,823 Tokyo Electron Ltd. ................... 5,000 415,268 Toshiba Corp. Ltd. .................... 55,000 346,025 Toyota Motor Corp. Ltd. ............... 12,000 415,460 World Co. Ltd. ........................ 2,000 205,236 ----------- 15,539,608 ----------- NETHERLANDS--4.0% Elsevier NV ........................... 2,910 27,637 Heineken NV ........................... 6,020 307,016 ING Groep NV .......................... 9,410 555,022 Koninklijke Ahold NV .................. 15,008 460,912 Royal Philips Electronics NV .......... 4,059 416,233 ST Microelectronics NV ................ 5,050 443,497 ----------- 2,210,317 ----------- PORTUGAL--1.1% Banco Pinto & Sotto Mayor SA .......... 14,450 300,916 Portugal Telecom SA ................... 6,961 310,420 ----------- 611,336 ----------- SINGAPORE--0.3% Fraser & Neave Ltd. ................... 15,100 64,479 Singapore Airlines Ltd. ............... 10,900 114,724 ----------- 179,203 ----------- SPAIN--4.3% Amadeus Global Travel Distribution SA* ................................ 24,170 144,644 Banco Popular Espanol SA .............. 4,730 318,386 Banco Santander SA .................... 31,690 328,967 Endesa SA ............................. 15,410 308,428 Ferrovial Agroman SA .................. 18,620 131,406 Grupo Dragados SA ..................... 42,250 447,476 Telefonica SA ......................... 42,990 707,159 ----------- 2,386,466 ----------- SWEDEN--1.9% Electrolux AB--Ser B .................. 14,280 284,732 Nordbanken Holding AB ................. 44,650 260,571 Telefonaktiebolaget LM Ericsson ....... 12,630 525,162 ----------- 1,070,465 ----------- Shares U.S. $ Value ------- --------------- SWITZERLAND--6.5% ABB Ltd. .............................. 3,360 $ 338,447 Holderbank Financiere Glarus AG ....... 260 320,244 Nestle SA ............................. 360 694,534 Novartis AG--Reg. Shares .............. 423 632,876 Roche Holding AG ...................... 40 480,346 Schindler Holding AG .................. 130 199,620 UBS--Union Bank of Switzerland ........ 1,680 488,930 Zurich Allied AG ...................... 690 390,754 ----------- 3,545,751 ----------- UNITED KINGDOM--18.1% Allied Domecq Plc. .................... 30,170 169,310 AstraZeneca Group Plc. ................ 13,000 585,984 BAA Plc. .............................. 26,310 192,613 Bank of Scotland Plc. ................. 24,440 304,831 Barclays Plc. ......................... 15,480 474,932 Bass Plc. ............................. 2,025 22,129 BP Amoco Plc. ......................... 136,600 1,326,645 British Aerospace Plc. ................ 44,000 258,491 British Telecommunications Plc. ....... 26,490 480,800 Cable & Wireless Plc. ................. 18,440 215,602 Carlton Communications Plc. ........... 24,810 178,879 Compass Group Plc. .................... 26,510 285,343 Glaxo Wellcome Plc. ................... 25,980 766,765 HSBC Holdings Plc. .................... 43,401 535,263 Kingfisher Plc. ....................... 38,970 426,182 Misys Plc. ............................ 27,000 226,060 National Westminister Bank Plc. ....... 15,610 352,457 Prudential Corporation Plc. ........... 17,390 272,767 Reed International Plc. ............... 37,430 218,817 Royal & Sun Alliance Insurance Group Plc. .......................... 33,610 228,934 Scottish & Southern Energy Plc. ....... 24,640 232,621 Smithkline Beecham Plc. ............... 36,460 469,731 Shell Transport & Trading Co. Plc...... 91,030 697,836 Tesco Plc. ............................ 173,690 515,191 Vodafone Group Plc. ................... 116,800 545,103 ----------- 9,983,286 ----------- TOTAL INVESTMENTS--97.6% (cost $43,705,327) .................... 53,960,212 ----------- Cash and Other Assets Net of Liabilities--2.4% ............... 1,333,801 ----------- NET ASSETS--100% ......................... $55,294,013 =========== * Non-income producing See notes to financial statements. DLJ Winthrop Opportunity Funds--Statement of Investments October 31, 1999 - -------------------------------------------------------------------------------- DLJ Winthrop Developing Markets Fund COMMON STOCKS--83.9% Shares U.S. $ Value ------------ --------------- ARGENTINA--3.8% Banco Frances SA ....................... 1,970 $14,388 Banco de Galicia y Buenos Aires SA 7,560 40,011 IRSA Inversiones y Representaciones SA .................. 39,280 118,681 Perez Compane SA ....................... 33,940 206,113 Siderca SA Cl.'A' ...................... 44,150 85,691 Telefonica de Argentina SA ADR ......... 9,580 245,488 --------- 710,372 --------- CHILE--2.2% Cia Cervecerias Unidas SA ADR .......... 3,760 82,015 Cia de Telecomunicaciones de Chile SA ADR ............................... 7,963 132,882 Enersis SA ADR ......................... 2,273 51,142 Gener SA ............................... 2,075 30,866 Madeco GDR ............................. 2,308 22,792 Quimica Minera Chile SA ADR ............ 3,099 90,065 --------- 409,762 --------- CHINA--5.3% Beijing Datang Power Generation Co. Ltd.* ........................... 405,560 84,571 Beijing Yanhua Petrochemical Company Ltd.* ........................ 20,700 190,828 China Eastern Airlines Ltd.* ........... 1,696,240 183,408 Guangdong Kelon Electric Holdings Co. Ltd.* ............................ 214,690 190,683 Huaneng Power International, Inc.* ..... 9,900 120,038 New World China Land Ltd. .............. 38,400 17,794 Pacific Century CyberWorks Ltd.* ....... 70,000 52,712 Tsingtao Brewery Co. Ltd.* ............. 560,000 156,783 --------- 996,817 --------- CZECH REPUBLIC--3.0% Ceske Energeticke Zavody AS* ........... 34,331 90,175 Inzenyrske Prumyslove Stavby* .......... 2,850 11,335 Komercni Banka AS ...................... 1,240 31,513 Skoda Plzen AS* ........................ 3,851 10,948 SPT Telecom AS* ........................ 20,840 314,479 Tabak AS ............................... 469 103,701 --------- 562,151 --------- GREECE--9.1% AG Petzetakis SA* ...................... 3,000 113,727 Aktor SA ............................... 2,340 58,517 Alpha Credit Bank SA ................... 734 56,118 Attica Enterprises ..................... 8,010 188,314 Bank of Piraeus ........................ 7,800 201,268 Chipita International SA ............... 2,800 92,721 EFG Eurobank SA* ....................... 720 31,905 Elais SA ............................... 1,000 44,567 Ergo Bank SA ........................... 217 21,222 Hellas Can Packaging SA ................ 730 35,929 Hellenic Bottling Company SA ........... 3,660 82,549 Shares U.S. $ Value --------- --------------- Hellenic Telecommunication Organization SA ...................... 1,593 $ 33,747 National Bank of Greece ................ 3,944 282,692 Panafon Hellenic Telecom SA ............ 22,580 298,516 Silver & Baryte Ores Mining SA ......... 744 28,678 Titan Cement Company SA ................ 1,210 134,140 ----------- 1,704,610 ----------- HUNGARY--1.5% Gedeon Richter Rt. ..................... 460 20,666 Magyar Tavkozlesi Rt.* ................. 3,900 112,369 Mol Magyar Olaj GDR .................... 7,000 140,000 ----------- 273,035 ----------- INDIA--4.2% Crompton Greaves Ltd. GDR .............. 34,200 41,040 Eih Limited GDR* ....................... 6,300 29,925 Grasim Industries Ltd. GDR ............. 6,900 89,700 Indian Aluminum Co. Ltd. GDR*. ......... 24,300 58,928 Mahindra & Mahindra Ltd. GDR*. ......... 6,800 54,400 Ranbaxy Laboratories GDR ............... 9,900 198,495 State Bank of India GDR ................ 10,600 141,113 Tata Engineering and Locomotive Co. Ltd. GDR. ........................ 16,100 103,040 Videsh Sanchar GDR* .................... 4,700 70,030 ----------- 786,671 ----------- INDONESIA--0.5% PT Telekomunikasi Indonesia ADR ........ 10,000 91,875 ----------- MALAYSIA--3.1% Ekran Bhd Warrants* .................... 15,000 3,158 Malayan Banking Bhd .................... 27,100 91,997 Petronas Gas Bhd ....................... 37,000 78,382 Rothmans of Pall Mall Bhd .............. 8,000 55,789 Telecom Malaysia Bhd ................... 61,500 189,355 Tenaga Nasional Bhd .................... 30,400 70,000 YTL Corporation Bhd .................... 40,000 76,316 YTL Corporation Bhd Warrants* .......... 40,000 17,763 ----------- 582,760 ----------- MEXICO--14.2% Cifra SA de CV Ser.'V' ................. 309,402 484,125 Grupo Carso SA de CV Ser.'A1'* ......... 51,810 216,684 Grupo Elektra SA de CV ................. 54,180 25,534 Grupo Industrial Bimbo SA de CV ........ 75,636 138,650 Grupo Mexico SA de CV Ser.'B' .......... 115,110 418,549 Grupo Modelo SA de CV Cl 'C' ........... 30,190 73,810 Kimberly-Clark de Mexico SA de CV Cl.'A' ............................ 99,150 313,583 Savia SA de CV ADR ..................... 1,000 21,375 Telefonos de Mexico SA Cl.'L' ADR 10,190 871,245 Tubos de Acero de Mexico SA* ........... 6,500 71,682 Vitro SA Cl.'A' ........................ 9,750 12,882 ----------- 2,648,119 ----------- See notes to financial statements. DLJ Winthrop Opportunity Funds--Statement of Investments October 31, 1999 (continued) - -------------------------------------------------------------------------------- DLJ Winthrop Developing Markets Fund Shares U.S. $ Value ------------- --------------- PHILIPPINES--2.2% Manila Electric Company Cl.'B' ........ 80,000 $ 219,451 Philippine Long Distance Telephone Co. ....................... 9,000 185,063 ----------- 404,514 ----------- POLAND--0.4% Telekomukacja Polska SA ............... 15,190 77,039 ----------- SOUTH AFRICA--8.5% Anglo American Corp. .................. 2,900 154,383 AngloGold Ltd. ........................ 600 33,895 Barlow Ltd. ........................... 9,500 46,321 De Beers Centenary AG ................. 18,675 510,161 Edgars Consolidated Stores Ltd. ....... 902 8,811 Liberty International Plc. ............ 2,284 19,038 Liberty Life Association of Africa Ltd. ......................... 4,900 45,470 Metro Cash & Carry Ltd. ............... 162,300 134,755 Nedcor Ltd. ........................... 5,500 108,164 Pick 'N' Pay Stores Ltd. .............. 40,800 60,511 Rembrandt Group Ltd. .................. 17,700 132,408 Sasol Ltd. ............................ 20,000 136,752 South African Breweries Ltd. .......... 20,540 179,903 Standard Bank Investment Corp. Ltd. .......................... 5,746 19,644 ----------- 1,590,216 ----------- SOUTH KOREA--14.9% Korea Electrical Power ADR ............ 26,458 416,714 Korea Telecom Corp. ADR* .............. 7,000 246,750 Pohang Iron ADR ....................... 18,646 622,310 Samsung Electronics GDR ............... 13,370 1,136,450 SK Telecom Co. Ltd. ................... 27,576 360,217 ----------- 2,782,441 ----------- TAIWAN--6.4% Cathay Construction Corp. ............. 152,050 61,357 Cathay Life Insurance Co. Ltd. ........ 26,611 68,793 Evergreen Marine Corp. ................ 63,914 59,844 Far Eastern Textile Ltd. .............. 153,300 209,748 Formosa Chemicals & Fibre Corp. ....... 52,179 58,890 Hon Hai Precision Industry* ........... 73,626 503,684 Hua Nan Commercial Bank ............... 31,315 44,425 International Commercial Bank of China ............................... 63,701 64,464 Microtek International, Inc.* ......... 72,980 27,609 Pacific Electrical Wire & Cable Corp. ............................... 122,792 59,228 U-Ming Marine Transport Corp. ......... 102,206 41,727 Yang Ming Marine Transport ............ 4,801 2,679 ----------- 1,202,448 ----------- Shares U.S. $ Value -------- --------------- THAILAND--4.6% Bangkok Bank Public Co. Ltd. .......... 95,100 $ 221,707 National Finance Public Co. Ltd. ...... 70,000 26,744 PTT Exploration and Production Public Co. Ltd.* .................... 13,100 95,691 Siam Cement Public Co. Ltd. ........... 4,700 121,746 TelecomAsia Corporation Public Co. Ltd.* ............................... 165,900 127,847 Thai Farmers Bank Public Co. Ltd....... 195,200 275,571 ----------- 869,306 ----------- Total Common Stocks (cost $14,332,580) ..................... 15,692,136 ----------- PREFERRED STOCKS--12.6% BRAZIL--12.6% Banco Bradesco SA Prf ................. 7,563,040 37,002 Banco Itau SA Prf ..................... 3,130,000 179,590 Centrais Electricas Brasileiras SA Prf Cl.'B' .......................... 17,853,000 317,366 Centrais Geradoras do Sul do Brasil SA Prf .............................. 24,871,000 18,475 Companhia Brasileira de Petroleo Ipiranga SA Prf ..................... 25,123,000 201,164 Companhia Siderurgica Nacional SA Prf ................................. 6,350,000 168,835 Companhia Vale do Rio Doce SA Prf ................................. 17,238 342,552 Embratel Participacoes SA Prf. ........ 10,582,000 134,986 Lojas Americanas SA Prf ............... 72,646,403 93,041 Petroleo Brasileiro SA Prf ............ 683,000 108,643 Sao Carlos Empreendimentos SA Prf* ................................ 72,646,403 121,325 Tele Celular Sul Participacoes SA Prf ................................. 13,744,000 23,939 Tele Centro Sul Participacoes SA Prf 10,582,000 126,366 Tele Norte Leste Participacoes SA Prf* ................................ 10,582,000 177,811 Tele Sudeste Celular Participacoes SA Prf* ............................. 10,582,000 43,044 Telesp Celular Participacoes SA Prf* 10,582,000 103,001 Telesp Participacoes SA Prf*. ......... 10,582,000 169,681 ----------- Total Preferred Stocks (cost $2,991,638) ...................... 2,366,821 ----------- TOTAL INVESTMENTS--96.5% (cost $17,324,218) ...................... 18,058,957 ----------- Cash and Other Assets Net of Liabilities--3.5% ............... 648,682 ----------- NET ASSETS--100% $18,707,639 =========== * Non-income producing See notes to financial statements. DLJ Winthrop Opportunity Funds -- Statement of Assets and Liabilities October 31, 1999 - --------------------------------------------------------------------------------
International Developing Equity Fund Markets Fund ----------------- --------------- ASSETS: Investments in securities, at value (cost $43,705,327 and $17,324,218, respectively) ..................................... $ 53,960,212 $ 18,058,957 Cash -- foreign, at value (cost $580,229 and $259,394, respectively) .................................................. 596,350 282,728 Cash -- domestic ................................................ 803,231 466,394 Receivable for capital stock sold ............................... 18,855 500 Dividends and interest receivable ............................... 201,438 36,164 Deferred organization costs (Note A) ............................ 13,819 13,819 ------------- ------------ Total assets ................................................. 55,593,905 18,858,562 ------------- ------------ LIABILITIES: Payable to investment advisor ................................... 93,282 56,174 Payable to distributor .......................................... 14,552 5,620 Payable for securities purchased ................................ 31,605 -- Payable for capital stock redeemed .............................. -- 62,790 Accrued expenses and other liabilities .......................... 160,453 26,339 ------------- ------------ Total liabilities ............................................ 299,892 150,923 ------------- ------------ NET ASSETS ......................................................... $ 55,294,013 $ 18,707,639 ============= ============ NET ASSETS CONSIST OF: Capital paid-in ................................................. $ 38,066,271 $ 22,492,415 Accumulated undistributed net investment income ................. -- 612 Accumulated net realized gain (loss) on investments and foreign currency transactions .......................................... 6,956,736 (4,543,462) Net unrealized appreciation of investments and foreign currency denominated assets and liabilities ............................. 10,271,006 758,074 ------------- ------------ $ 55,294,013 $ 18,707,639 ============= ============ CLASS A SHARES: Net assets ...................................................... $ 48,181,313 $ 16,022,605 ------------- ------------ Shares outstanding .............................................. 3,441,031 1,611,030 ------------- ------------ Net asset value and redemption value per share .................. $ 14.00 $ 9.95 ============= ============ Maximum offering price per share (net asset value plus sales charge of 5.75% of offering price) ............................. $ 14.85 $ 10.56 ============= ============ CLASS B SHARES: Net assets ...................................................... $ 5,526,577 $ 2,685,034 ------------- ------------ Shares outstanding .............................................. 405,513 277,935 ------------- ------------ Net asset value and offering price per share .................... $ 13.63 $ 9.66 ============= ============ CLASS D SHARES: Net assets ...................................................... $ 1,586,123 ------------- Shares outstanding .............................................. 113,153 ------------- Net asset value and offering price per share .................... $ 14.02 =============
See notes to financial statements. DLJ Winthrop Opportunity Funds -- Statement of Operations for the year ended October 31, 1999 - --------------------------------------------------------------------------------
International Developing Equity Fund Markets Fund --------------- --------------- INVESTMENT INCOME: Dividend income ............................................... $ 944,642 $ 676,664 Interest income ............................................... 41,691 19,846 ------------ ----------- 986,333 696,510 Less withholding tax on foreign source dividends ........... (106,902) (269,341) ------------ ----------- Total investment income .................................... 879,431 427,169 ------------ ----------- EXPENSES: Investment advisory fees (Note B) ............................. $ 641,576 $ 215,235 Distribution fees--Class A (Note B) ........................... 112,495 36,671 Distribution fees--Class B (Note B) ........................... 58,838 25,503 Custodian fees ................................................ 88,000 73,000 Transfer agent fees ........................................... 57,000 54,000 Registration fees ............................................. 50,000 34,100 Legal fees .................................................... 43,000 19,000 Auditing fees ................................................. 32,000 15,000 Printing fees ................................................. 30,000 14,000 Trustees' fees (Note B) ....................................... 14,000 4,600 Miscellaneous ................................................. 15,740 5,548 Amortization of organization costs (Note A) ................... 22,721 22,721 ------------ ----------- 1,165,370 519,378 Less fees waived by investment advisor and subadvisor (Note B) ....................................... (18,842) (130,046) ------------ ----------- Net expenses ............................................... 1,146,528 389,332 ------------ ----------- NET INVESTMENT INCOME (LOSS) ..................................... (267,097) 37,837 ------------ ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS--Note C: Net realized gain (loss) on investments ....................... 7,349,564 (447,362) Net realized loss on foreign currency transactions ............ (74,503) (23,171) Net change in unrealized appreciation on investments .......... 3,058,042 5,273,635 Net change in unrealized appreciation on translation of foreign currency denominated assets and liabilities .................. 7,643 25,088 ------------ ----------- Net realized and unrealized gain on investments and foreign currency transactions ........................................ 10,340,746 4,828,190 ------------ ----------- Contribution from subadvisor--Note B: ......................... -- 460,289 ------------ ----------- INCREASE IN NET ASSETS FROM OPERATIONS ........................... $ 10,073,649 $ 5,326,316 ============ ===========
See notes to financial statements. DLJ Winthrop Opportunity Funds -- Statement of Changes in Net Assets - --------------------------------------------------------------------------------
International Equity Fund -------------------------------- Year Ended Year Ended 10/31/1999 10/31/1998 --------------- --------------- OPERATIONS: Net investment income (loss) .................................... $ (267,097) $ (320,362) Net realized gain (loss) on investments and foreign currency transactions .......................................... 7,275,061 2,822,979 Net change in unrealized appreciation/depreciation on investments and foreign currency denominated assets and liabilities .................................................... 3,065,685 1,614,194 Contribution from subadvisor .................................... -- -- ------------ ------------ Increase (decrease) in net assets resulting from operations ..... 10,073,649 4,116,811 ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment income: Class A ........................................................ -- (212,893) Realized gains on investments: Class A ........................................................ (2,412,264) (333,161) Class B ........................................................ (358,183) (51,942) Tax return of capital: Class A ........................................................ -- -- ------------ ------------ Total dividends and distributions to shareholders ............... (2,770,447) (597,996) ------------ ------------ CAPITAL STOCK TRANSACTIONS-- (Net) Note D ...................................................... (2,428,179) (4,236,399) ------------ ------------ Total increase (decrease) in net assets ......................... 4,875,023 (717,584) NET ASSETS: Beginning of year ............................................... 50,418,990 51,136,574 ------------ ------------ End of year (including undistributed net investment income of $612 for the Developing Markets Fund at 10/31/99) ........... $ 55,294,013 $ 50,418,990 ============ ============
[restubbed]
Developing Markets Fund -------------------------------- Year Ended Year Ended 10/31/1999 10/31/1998 --------------- --------------- OPERATIONS: Net investment income (loss) .................................... $ 37,837 $ 28,815 Net realized gain (loss) on investments and foreign currency transactions .......................................... (470,533) (1,411,734) Net change in unrealized appreciation/depreciation on investments and foreign currency denominated assets and liabilities .................................................... 5,298,723 (5,517,894) Contribution from subadvisor .................................... 460,289 -- ------------ ------------- Increase (decrease) in net assets resulting from operations ..... 5,326,316 (6,900,813) ------------ ------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment income: Class A ........................................................ (7,744) -- Realized gains on investments: Class A ........................................................ -- -- Class B ........................................................ -- -- Tax return of capital: Class A ........................................................ (34,031) -- ------------ ------------- Total dividends and distributions to shareholders ............... (41,775) -- ------------ ------------- CAPITAL STOCK TRANSACTIONS-- (Net) Note D ...................................................... (5,440,079) (8,578,625) ------------ ------------- Total increase (decrease) in net assets ......................... (155,538) (15,479,438) NET ASSETS: Beginning of year ............................................... 18,863,177 34,342,615 ------------ ------------- End of year (including undistributed net investment income of $612 for the Developing Markets Fund at 10/31/99) ........... $ 18,707,639 $ 18,863,177 ============ =============
See notes to financial statements. Notes to Financial Statements October 31, 1999 - -------------------------------------------------------------------------------- Note (A) Significant Accounting Policies. DLJ Winthrop International Funds ("Fund" or "Funds") consists of two portfolios (the "Portfolios"), the DLJ Winthrop International Equity Fund and the DLJ Winthrop Developing Markets Fund (together the "International Funds"), each a separate diversified series of the DLJ Winthrop Opportunity Funds (the "Trust"). In addition, the Trust consists of the DLJ Winthrop Municipal Money Fund, the DLJ Winthrop U.S. Government Money Fund and the DLJ Winthrop High Income Fund. The Trust was organized as a Delaware business trust under the laws of Delaware on May 31, 1995 and is registered under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end investment company. The investment objective of the Developing Markets Fund is long-term growth of capital by investing primarily in common stocks and other equity securities from developing countries. The International Equity Fund seeks long-term growth of capital by investing primarily in common stocks and other equity securities from established markets outside the United States. Each Portfolio offers multiple classes of shares. Class A shares are sold with a front-end sales charge of up to 5.75%. Class B shares are sold with a contingent deferred sales charge which declines from 4% to zero depending on the period of time the shares are held. In addition, the DLJ Winthrop International Equity Fund also offers Class D shares exclusively to employees of DLJ and its subsidiaries who are eligible to participate in the DLJ 401(k) Retirement Savings Plan for Employees. Each class is identical in all respects except that Class A and Class B shares bear different distribution service fees and Class D shares are not subject to any distribution service fees. Each class has different exchange privileges and only Class B shares have a conversion feature. Class A and Class B have exclusive voting rights with respect to each class's distribution plan. DLJ Winthrop Opportunity Funds--Notes to Financial Statements October 31, 1999 (continued) - -------------------------------------------------------------------------------- The Funds account separately for the assets, liabilities and operations of each Portfolio. Expenses directly attributable to each Portfolio are charges to that Portfolio's operations: expenses which are applicable to all portfolios are allocated among them on a pro rata basis. The Fund's financial statements are prepared in accordance with generally accepted accounting principles which may require the use of management estimates and assumptions. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds. (1) Security Valuation: All securities for which current market quotations are readily available are valued at the last sale price prior to the time of determination, or, if there is no sales price on such date, and if bid and ask quotations are available, at the mean between the last current bid and asked prices. Securities that are traded over-the-counter, if bid and asked quotations are available, are valued at the mean between the current bid and asked prices, or, if quotations are not available, are valued as determined in good faith by the Board of Trustees of the Fund. Short-term investments having a maturity of 60 days or less are valued at amortized cost. Securities and assets for which current market quotations are not readily available are valued at fair value as determined in good faith by the Board of Trustees of the Fund. (2) Foreign Currency Translations: Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the bid prices of such currencies against the U.S. dollar as of the date of valuation. Purchases and sales of portfolio securities, commitments under forward foreign currency contracts, income receipts and expense accruals are translated at the prevailing exchange rate on the date of each transaction. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Reported net realized gain (loss) on foreign currency transactions arise from sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net change in unrealized appreciation on translation of foreign currency denominated assets and liabilities arises from changes in the value of assets and liabilities other than investments in securities at fiscal year end, resulting from changes in exchange rates. (3) Federal Income Taxes: The Funds intend to be treated as "regulated investment companies" under Sub-chapter M of the Internal Revenue Code and to distribute substantially all of their net taxable income. Accordingly, no provisions for Federal income or excise taxes have been made in the accompanying financial statements. The Developing Markets Fund has an unused capital loss carryover of approximately $4,543,000 available for Federal income tax purposes to be applied against future net securities profits, if any, realized subsequent to October 31, 1999. If not applied, approximately $3,185,000, $587,000 and $771,000 of the carryover expires in fiscal 2005, 2006 and 2007, respectively. (4) Investment Income and Securities Transactions: Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Security transactions are accounted for on the date securities are purchased or sold. Security gains and losses are determined on the identified cost basis. (5) Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. (6) Deferred Organization Costs: Costs incurred in connection with the Fund's organization are being amortized on a straight-line basis over five years commencing with the Fund's operation. DLJ Winthrop Opportunity Funds--Notes to Financial Statements October 31, 1999 (continued) - -------------------------------------------------------------------------------- (7) Reclassification of Components of Net Assets: At October 31, 1999, the following reclassifications were recorded to reflect permanent book/tax differences: International Equity Fund reduced capital paid-in $122,615; reduced accumulated net realized gain on investments $144,482; and reduced accumulated net investment loss $267,097. Developing Markets Fund reduced capital paid-in $635,296; reduced accumulated net realized loss on investments $630,746 and increased accumulated net investment income $4,550. These reclassifications had no effect on net assets or net asset value per share. Note (B) Advisory and Distribution Services Agreement: DLJ Asset Management Group, Inc. (the "Advisor") (formerly known as Wood, Struthers and Winthrop Management Corp.) is a wholly-owned subsidiary of Donaldson, Lufkin and Jenrette Securities Corporation, which is a wholly-owned subsidiary of Donaldson, Lufkin and Jenrette, Inc. ("DLJ"). DLJ is an independently operated, indirect subsidiary of AXA Financial, Inc. a holding company controlled by AXA, a member of a large French insurance group. AXA is indirectly controlled by a group of four French mutual insurance companies. The Advisor has retained AXA Investment Managers GM Ltd. as subadvisor to the Funds (the "Subadvisor"). Under the terms of an Advisory Agreement with the Advisor, for the investment management services furnished to each Portfolio, such Portfolio will pay the Advisor an advisory fee, on a graduated basis at an annual rate of 1.25% of the first $100 million of average daily net assets, 1.15% of the next $100 million and 1% of average daily net assets over $200 million. Such fee will be accrued daily and paid monthly. Under a Subadvisory Agreement between the Advisor and Subadvisor, the Advisor pays the Subadvisor for its services, out of the Advisor's own resources, at the following annual percentage rates of the average daily net assets of each Portfolio: .625 of 1% of each Portfolio's first $100 million, .575 of 1% of the next $100 million and .50 of 1% of the balance. Through October 31, 2000, the Advisor and Subadvisor have agreed to a contractual expense limitation to reduce their management fees by the amount that total fund operating expenses exceed 2.15% and 2.90% of the average daily net assets of the Class A and Class B shares, respectively, of each Fund. Any such reduction has or will be borne equally between the Advisor and Subadvisor. After October 31, 2000, the Advisor and Subadvisor may, in their sole discretion, determine to discontinue this practice with respect to either Fund. As a result of the voluntary waiver, the Advisor and Subadvisor waived fees amounting to $18,842 and $130,046 for the International Equity Fund and Developing Markets Fund, respectively, during the year ended October 31, 1999. The Fund has entered into a Distribution Services Agreement (the "Agreement") pursuant to Rule 12b-1 under the Investment Company Act of 1940 for Class A and Class B shares with Donaldson, Lufkin & Jenrette Secur-ities Corporation, the Fund's Distributor. Under the Agreement, each Portfolio will pay a distribution services fee to the Distributor at an annual rate of up to .25 of 1% of the average daily net assets attributable to Class A shares and 1% of the average daily net assets attributable to Class B shares. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Agreement also provides that the Advisor may use its own resources to finance the distribution of the Fund's shares. Each Trustee who is not an affiliated person receives an attendance fee of $2,000 per meeting. In addition, each unaffiliated Trustee receives an attendance fee of $1,000 per audit committee meeting. Attendance fees are charged to all series of the Trust and are allocated on a pro rata basis. During the year ended October 31, 1999, the Subadvisor reimbursed the Developing Markets Fund $460,289 for realized and unrealized losses on certain securities transactions. Note (C) Investment Transactions: Purchases and sales of investment securities (excluding short-term securities and forward currency exchange contracts) during the year ended October 31, 1999, aggregated $41,864,253 and $49,082,942 for the International Equity Fund; and $6,172,264 and $11,530,992 for the Developing Markets Fund, respectively. DLJ Winthrop Opportunity Funds--Notes to Financial Statements October 31, 1999 (continued) - -------------------------------------------------------------------------------- The Funds may enter into forward exchange currency contracts in order to hedge exposure to changes in foreign currency exchange rates on their foreign portfolio holdings. A forward exchange currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contracts and the closing of such contracts is included in net realized gain or loss from foreign currency transactions. Fluctuations in the value of forward exchange currency contracts are recorded for financial reporting purposes as net change in unrealized appreciation (depreciation) of foreign currency denominated assets and liabilities. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. At October 31, 1999, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. At October 31, 1999, the components of net unrealized appreciation of investments were as follows:
International Developing Equity Fund Markets Fund --------------- --------------- Gross appreciation (investments having an excess of value over cost) ............................................. $ 12,114,295 $ 4,160,448 Gross depreciation (investments having an excess of cost over value) ............................................ (1,859,410) (3,425,709) ------------ ------------ Net unrealized appreciation of investments .............. $ 10,254,885 $ 734,739 ============ ============
NOTE (D) Shares of Beneficial Interest: There is an unlimited number of shares ($0.001 par value) of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
International Equity Fund ----------------------------------------------------------------- Year Ended Year Ended October 31, 1999 October 31, 1998 --------------------------------- ------------------------------ Shares Amount Shares Amount --------------- ---------------- ------------- --------------- Class A Shares sold ............. 860,513 $ 11,381,549 139,783 $ 1,702,041 Shares issued through reinvestment of dividends and distributions .......... 208,666 2,393,398 48,974 540,052 ------- ------------- ------- ------------ 1,069,179 13,774,947 188,757 2,242,093 --------- ------------- ------- ------------ Shares redeemed ......... (1,256,969) (16,356,572) (440,781) (5,400,186) ---------- ------------- -------- ------------ Net decrease ............ (187,790) $ (2,581,625) (252,024) $ (3,158,093) ========== ============= ======== ============ Class B Shares sold ............. 68,854 $ 881,626 139,435 $ 1,763,811 Shares issued through reinvestment of dividends and distributions .......... 31,390 352,824 4,788 51,706 ---------- ------------- -------- ------------ 100,244 1,234,450 144,223 1,815,517 ---------- ------------- -------- ------------ Shares redeemed ......... (206,542) (2,568,893) (239,102) (2,893,823) ---------- ------------- -------- ------------ Net decrease ............ (106,298) $ (1,334,443) (94,879) $ (1,078,306) ========== ============= ======== ============ Class D Shares sold ............. 122,267 $ 1,606,921 Shares redeemed ......... (9,114) (119,032) ---------- ------------- Net increase ............ 113,153 $ 1,487,889 ========== =============
[RESTUBBED]
Developing Markets Fund -------------------------------------------------------------- Year Ended Year Ended October 31, 1999 October 31, 1998 ------------------------------ ------------------------------ Shares Amount Shares Amount ------------- --------------- ------------- --------------- Class A Shares sold ............. 295,113 $ 2,812,440 192,165 $ 1,656,541 Shares issued through reinvestment of dividends and distributions .......... 5,473 40,773 -- -- ------- ------------ ------- ------------ 300,586 2,853,213 192,165 1,656,541 ------- ------------ ------- ------------ Shares redeemed ......... (980,986) (7,682,356) (987,774) (8,873,605) -------- ------------ -------- ------------ Net decrease ............ (680,400) $ (4,829,143) (795,609) $ (7,217,064) ======== ============ ======== ============ Class B Shares sold ............. 25,395 $ 232,158 66,054 $ 582,468 Shares issued through reinvestment of dividends and distributions .......... -- -- -- -- -------- ------------ -------- ------------ 25,395 232,158 66,054 582,468 -------- ------------ -------- ------------ Shares redeemed ......... (108,041) (843,094) (233,191) (1,944,029) -------- ------------ -------- ------------ Net decrease ............ (82,646) $ (610,936) (167,137) $ (1,361,561) ======== ============ ======== ============ Class D Shares sold ............. Shares redeemed ......... Net increase ............
FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for a share of capital stock outstanding throughout the periods presented. This information has been derived from information provided in the financial statements.
International Equity Fund ------------------------------------------------------- Class A ------------------------------------------------------- Year Ended October 31, ------------------------------------------------------- 1999 1998 1997 1996 ------------ ------------ ------------ ------------- Net asset value, beginning of period .............. $ 12.20 $ 11.42 $ 10.38 $ 9.58 -------- -------- -------- -------- Net investment loss (1) ........................... (0.06) (0.06) (0.07) (0.04) Net realized and unrealized gain (loss) on investments and foreign currency transactions..... 2.56 0.99 1.11 0.84 -------- -------- -------- -------- Net increase (decrease) in net asset value from operations ....................................... 2.50 0.93 1.04 0.80 -------- -------- -------- -------- Dividends from net investment income .............. -- (0.06) -- -- Distributions from capital gains .................. (0.70) (0.09) -- -- -------- -------- -------- -------- Total distributions ............................... (0.70) (0.15) -- -- -------- -------- -------- -------- Net asset value, end of period .................... $ 14.00 $ 12.20 $ 11.42 $ 10.38 ======== ======== ======== ======== Total return (2) .................................. 21.76% 8.20% 10.02% 8.35% Ratio of expenses to average net assets (4) ....... 2.15% 2.15% 2.15% 2.15% Ratio of net investment loss to average net assets (4) ................................... (0.44)% (0.49)% (0.59)% (0.39)% Portfolio turnover rate ........................... 81.97% 69.66% 73.92% 94.12% Net assets, end of period (000 omitted) ........... $ 48,181 $ 44,286 $ 44,316 $ 42,170
[RESTUBBED]
International Equity Fund --------------------------- Class A --------------------------- Year Ended October 31, --------------------------- 1995* --------------------------- Net asset value, beginning of period .............. $ 10.00 ------- Net investment loss (1) ........................... -- Net realized and unrealized gain (loss) on investments and foreign currency transactions..... (0.42) ------- Net increase (decrease) in net asset value from operations ....................................... (0.42) ------- Dividends from net investment income .............. -- Distributions from capital gains .................. -- ------- Total distributions ............................... -- ------- Net asset value, end of period .................... $ 9.58 ======= Total return (2) .................................. (4.20)% Ratio of expenses to average net assets (4) ....... 2.15%(3) Ratio of net investment loss to average net assets (4) ................................... (0.02)%(3) Portfolio turnover rate ........................... 0.00% Net assets, end of period (000 omitted) ........... $28,819
[RESTUBBED]
International Equity Fund ------------------------------------------------------- Class B ------------------------------------------------------- Year Ended October 31, ------------------------------------------------------- 1999 1998 1997 1996 ------------ ------------ ------------ ------------- Net asset value, beginning of period .............. $ 11.98 $ 11.24 $ 10.29 $ 9.57 --------- --------- --------- --------- Net investment loss (1) ........................... (0.15) (0.15) (0.15) (0.13) Net realized and unrealized gain (loss) on investments and foreign currency transactions..... 2.50 0.98 1.10 0.85 --------- --------- --------- --------- Net increase (decrease) in net asset value from operations ....................................... 2.35 0.83 0.95 0.72 --------- --------- --------- --------- Dividends from net investment income .............. -- -- -- -- Distributions from capital gains .................. (0.70) (0.09) -- -- --------- --------- --------- --------- Total distributions ............................... (0.70) (0.09) -- -- --------- --------- --------- --------- Net asset value, end of period .................... $ 13.63 $ 11.98 $ 11.24 $ 10.29 ========= ========= ========= ========= Total return (2) .................................. 20.86% 7.43% 9.23% 7.52% Ratio of expenses to average net assets (4) ....... 2.90% 2.90% 2.90% 2.90% Ratio of net investment loss to average net assets (4) ................................... (1.18)% (1.24)% (1.32)% (1.25)% Portfolio turnover rate ........................... 81.97% 69.66% 73.92% 94.12% Net assets, end of period (000 omitted) ........... $ 5,527 $ 6,133 $ 6,821 $ 4,955
[RESTUBBED]
International Equity Fund --------------------------------------------------- Class B Class D(5) ------------------------ ------------------------- Year Ended October 31, --------------------------------------------------- 1995* 1999 ------------------------ ------------------------- Net asset value, beginning of period .............. $ 10.00 $ 12.69 ------- ------- Net investment loss (1) ........................... (0.02) (0.14) Net realized and unrealized gain (loss) on investments and foreign currency transactions..... (0.41) 1.47 ------- ------- Net increase (decrease) in net asset value from operations ....................................... (0.43) 1.33 ------- ------- Dividends from net investment income .............. -- -- Distributions from capital gains .................. -- -- ------- ------- Total distributions ............................... -- -- ------- ------- Net asset value, end of period .................... $ 9.57 $ 14.02 ======= ======= Total return (2) .................................. (4.30)% 10.48% Ratio of expenses to average net assets (4) ....... 2.90%(3) 1.90%(3) Ratio of net investment loss to average net assets (4) ................................... (1.77)%(3) (1.14)%(3) Portfolio turnover rate ........................... 0.00% 81.97% Net assets, end of period (000 omitted) ........... $ 1,803 $ 1,586
Developing Markets Fund ----------------------------------------- Class A ----------------------------------------- Year Ended October 31, ----------------------------------------- 1999 1998 1997 -------- -------- -------- Net asset value, beginning of period .............. $ 7.14 $ 9.52 $ 9.96 -------- -------- -------- Net investment income (loss) (1) .................. 0.03 0.02 (0.02) Net realized and unrealized gain (loss) on investments and foreign currency transactions..... 2.58 (2.40) (0.40) Contribution from subadvisor ...................... 0.23 -- -- -------- -------- -------- Net increase (decrease) in net asset value from operations ....................................... 2.84 (2.38) (0.42) -------- -------- -------- Dividends from net investment income .............. (0.01) -- -- Distributions from capital gains .................. -- -- (0.02) Tax return of capital ............................. (0.02) -- -- -------- -------- -------- Total distributions ............................... (0.03) -- (0.02) -------- -------- -------- Net asset value, end of period .................... $ 9.95 $ 7.14 $ 9.52 ======== ======== ======== Total return (2) .................................. 39.82% (25.00)% (4.18)% Ratio of expenses to average net assets (4) ....... 2.15% 2.15% 2.15% Ratio of net investment income (loss) to average net assets (4) ................................... 0.32% (0.22)% (0.17)% Portfolio turnover rate ........................... 36.93% 43.56% 52.79% Net assets, end of period (000 omitted) ........... $ 16,023 $ 16,355 $ 29,402
[RESTUBBED]
Developing Markets Fund ------------------------------------ Class A ---------------------------------- Year Ended October 31, ------------------------------------ 1996 1995* -------- -------- Net asset value, beginning of period .............. $ 9.53 $ 10.00 ------- -------- Net investment income (loss) (1) .................. (0.01) -- Net realized and unrealized gain (loss) on investments and foreign currency transactions..... 0.44 (0.47) Contribution from subadvisor ...................... -- -- ------- -------- Net increase (decrease) in net asset value from operations ....................................... 0.43 (0.47) ------- -------- Dividends from net investment income .............. -- -- Distributions from capital gains .................. -- -- Tax return of capital ............................. -- -- ------- -------- Total distributions ............................... -- -- ------- -------- Net asset value, end of period .................... $ 9.96 $ 9.53 ======= ======== Total return (2) .................................. 4.51% (4.70)% Ratio of expenses to average net assets (4) ....... 2.15% 2.15%(3) Ratio of net investment income (loss) to average net assets (4) ................................... (0.14)% 0.32%(3) Portfolio turnover rate ........................... 26.76% 0.00% Net assets, end of period (000 omitted) ........... $ 36,918 $ 14,622
[RESTUBBED]
Developing Markets Fund ------------------------------------------------------ Class B ---------------------------------------------------- Year Ended October 31, ------------------------------------------------------ 1999 1998 1997 1996 -------- -------- -------- -------- Net asset value, beginning of period .............. $ 6.96 $ 9.36 $ 9.86 $ 9.52 -------- -------- -------- -------- Net investment income (loss) (1) .................. (0.03) (0.04) (0.19) (0.08) Net realized and unrealized gain (loss) on investments and foreign currency transactions..... 2.50 (2.36) (0.29) 0.42 Contribution from subadvisor ...................... 0.23 -- -- -- -------- -------- -------- -------- Net increase (decrease) in net asset value from operations ....................................... 2.70 (2.40) (0.48) 0.34 -------- -------- -------- -------- Dividends from net investment income .............. -- -- -- -- Distributions from capital gains .................. -- -- (0.02) -- Tax return of capital ............................. -- -- -- -- -------- -------- -------- -------- Total distributions ............................... -- -- (0.02) -- -------- -------- -------- -------- Net asset value, end of period .................... $ 9.66 $ 6.96 $ 9.36 $ 9.86 ======== ======== ======== ======== Total return (2) .................................. 38.79% (25.64)% (4.83)% 3.57% Ratio of expenses to average net assets (4) ....... 2.90% 2.90% 2.90% 2.90% Ratio of net investment income (loss) to average net assets (4) ................................... (0.36)% (0.50)% (1.74)% (0.83)% Portfolio turnover rate ........................... 36.93% 43.56% 52.79% 26.76% Net assets, end of period (000 omitted) ........... $ 2,685 $ 2,509 $ 4,941 $ 3,641
[RESTUBBED]
Developing Markets Fund ------------------------- Class B ------------------------- Year Ended October 31, ------------------------- 1995* -------- Net asset value, beginning of period .............. $ 10.00 -------- Net investment income (loss) (1) .................. (0.01) Net realized and unrealized gain (loss) on investments and foreign currency transactions..... (0.47) Contribution from subadvisor ...................... -- -------- Net increase (decrease) in net asset value from operations ....................................... (0.48) -------- Dividends from net investment income .............. -- Distributions from capital gains .................. -- Tax return of capital ............................. -- -------- Total distributions ............................... -- -------- Net asset value, end of period .................... $ 9.52 ======== Total return (2) .................................. (4.80)% Ratio of expenses to average net assets (4) ....... 2.90%(3) Ratio of net investment income (loss) to average net assets (4) ................................... (1.00)%(3) Portfolio turnover rate ........................... 0.00% Net assets, end of period (000 omitted) ........... $ 1,004
- ------------------- * Commencement of operations was September 8, 1995 (1) Based on average shares outstanding (2) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charge or contingent deferred sales charge is not reflected in the calculation of total return. Total return calculated for a period of less than one year is not annualized. Total return for the year ended October 31, 1999 excluding the effect of the contribution from the Subadvisor for realized and unrealized securities losses was 36.59% and 35.49% for the Developing Markets Fund Class A and B shares, respectively. (3) Annualized (4) Net of voluntary reduction of management fees by Adviser and Subadviser expressed as a percentage of average daily net assets of both Class A and Class B shares of each Fund as follows: International Equity Fund .04%, .10%, .18%, .27% and .60% for the years ended 10/31/99, 98, 97, 96 and 95, respectively, and Developing Markets Fund .76%, .61%, .34%, .54% and .60% for the years ended 10/31/99, 98, 97, 96 and 95, respectively. International Equity Fund Class D shares: .04% (annualized) for the period from 5/17/99 to 10/31/99. (5) Class D shares commenced operations on May 17, 1999. Report of Ernst & Young LLP, Independent Auditors - ----------------------------------------------------------------------------- Shareholders and Board of Trustees DLJ Winthrop Developing Markets Fund and DLJ Winthrop International Equity Fund We have audited the accompanying statement of assets and liabilities, including the statement of investments, of DLJ Winthrop Developing Markets Fund and DLJ Winthrop International Equity Fund (two of the Funds constituting DLJ Winthrop Opportunity Funds) as of October 31, 1999, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended and financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 1999 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of DLJ Winthrop Developing Markets Fund and DLJ Winthrop International Equity Fund at October 31, 1999, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the indicated periods, in conformity with generally accepted accounting principles. /s/ Ernst & Young LLP New York, New York December 27, 1999 - -------------------------------------------------------------------------------- DLJ Winthrop Opportunity Funds--TAX INFORMATION (unaudited) - -------------------------------------------------------------------------------- We are required by Subchapter M of the Internal Revenue Code of 1986, as amended, to advise you as to the federal tax status of distributions received by shareholders during the Funds' fiscal year ended October 31, 1999. Accordingly, we are advising you that the following distributions paid during the fiscal year by the Fund were derived from the following sources: From Long-Term Capital Gains Fund -------------- DLJ Winthrop International Equity Fund--Class A ......... $ .700 DLJ Winthrop International Equity Fund--Class B ......... .700 Because the Fund's fiscal year is not the calendar year, calendar year taxpayers should use the dollar amounts and the nature of those amounts referenced on Form 1099-DIV which will be mailed to you in January, 2000. Shareholders are advised to consult their own tax advisors with respect to the tax consequences of their investment in the Fund. Annual Report TRUSTEES G. Moffett Cochran Robert E. Fischer John W. Waller, III Wilmot H. Kidd, III Martin Jaffe OFFICERS G. Moffett Cochran, Chairman and President James A. Engle, Vice President Martin Jaffe, Vice President, Secretary and Treasurer Brian A. Kammerer, Vice President Michael A. Snyder, Vice President INVESTMENT ADVISER DLJ Asset Management Group, Inc. An Investment Management Subsidiary of Donaldson, Lufkin & Jenrette 277 Park Avenue, New York, NY 10172 SUBADVISER AXA Investment Managers GS Ltd. 60 Gracechurch Street London EC3V 0HR, England CUSTODIAN Citibank, N.A. 111 Wall Street, New York, NY 10043 TRANSFER AGENT PFPC, Inc. P.O. Box 61787 (211 South Gulph Road) King of Prussia, PA 19406-0903 DISTRIBUTOR Donaldson, Lufkin & Jenrette Securities Corporation 277 Park Avenue, New York, NY 10172 INDEPENDENT AUDITORS Ernst & Young LLP 787 Seventh Avenue, New York, NY 10019 LEGAL COUNSEL Skadden, Arps, Slate, Meagher & Flom 919 Third Avenue, New York, NY 10022 This report is submitted for the general information of the stockholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which should be read carefully before investing. - ------------------- DLJ WINTHROP FUNDS - ------------------- 277 Park Avenue, New York, NY 10172 800-225-8011 ANN-INTL99 - ------------------- DLJ WINTHROP FUNDS - ------------------- [GRAPHIC OMITTED] Leadership through Experience DLJ Winthrop International Equity Fund DLJ Winthrop Developing Markets Fund October 31, 1999 -----END PRIVACY-ENHANCED MESSAGE-----