0000912057-01-537584.txt : 20011112
0000912057-01-537584.hdr.sgml : 20011112
ACCESSION NUMBER: 0000912057-01-537584
CONFORMED SUBMISSION TYPE: N-30D
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20010831
FILED AS OF DATE: 20011105
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: WARBURG PINCUS LONG SHORT MARKET NEUTRAL FUND INC
CENTRAL INDEX KEY: 0001067476
STANDARD INDUSTRIAL CLASSIFICATION: []
STATE OF INCORPORATION: MD
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: N-30D
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-08925
FILM NUMBER: 1774529
BUSINESS ADDRESS:
STREET 1: 466 LEXINGTON AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10017-3147
BUSINESS PHONE: 2127166081
MAIL ADDRESS:
STREET 1: 466 LEXINGTON AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10017-3147
N-30D
1
a2061760zn-30d.txt
N-30D
CREDIT SUISSE WARBURG PINCUS FUNDS
[CREDIT SUISSE ASSET MANAGEMENT LOGO]
ANNUAL
REPORT
AUGUST 31, 2001
CREDIT SUISSE WARBURG PINCUS
LONG-SHORT MARKET NEUTRAL FUND
More complete information about the Fund, including charges and expenses, is
provided in the PROSPECTUS, which must precede or accompany this document and
which should be read carefully before investing. You may obtain additional
copies by calling 800-WARBURG (800-927-2874) or by writing to Credit Suisse
Warburg Pincus Funds, P.O. Box 9030, Boston, MA 02205-9030.
Credit Suisse Asset Management Securities, Inc., Distributor, is located at 466
Lexington Ave., New York, NY 10017-3147. Credit Suisse Warburg Pincus Funds are
advised by Credit Suisse Asset Management, LLC.
THE FUND'S INVESTMENT ADVISER AND CO-ADMINISTRATORS MAY WAIVE SOME FEES AND/OR
REIMBURSE SOME EXPENSES, WITHOUT WHICH PERFORMANCE WOULD BE LOWER. WAIVERS
AND/OR REIMBURSEMENTS ARE SUBJECT TO CHANGE.
RETURNS ARE HISTORICAL AND INCLUDE CHANGE IN SHARE PRICE AND REINVESTMENT OF
DIVIDENDS AND CAPITAL GAINS. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS.
RETURNS AND SHARE PRICE WILL FLUCTUATE, AND REDEMPTION VALUE MAY BE MORE OR LESS
THAN ORIGINAL COST.
THE VIEWS OF THE FUND'S MANAGEMENT ARE AS OF THE DATE OF THE LETTER AND
PORTFOLIO HOLDINGS DESCRIBED IN THIS DOCUMENT ARE AS OF AUGUST 31, 2001; THESE
VIEWS AND PORTFOLIO HOLDINGS MAY HAVE CHANGED SUBSEQUENT TO THESE DATES. NOTHING
IN THIS DOCUMENT IS A RECOMMENDATION TO PURCHASE OR SELL SECURITIES.
FUND SHARES ARE NOT DEPOSITS OR OTHER OBLIGATIONS OF CREDIT SUISSE ASSET
MANAGEMENT, LLC ("CSAM") OR ANY AFFILIATE, ARE NOT FDIC INSURED AND ARE NOT
GUARANTEED BY CSAM OR ANY AFFILIATE. FUND INVESTMENTS ARE SUBJECT TO INVESTMENT
RISKS, INCLUDING LOSS OF YOUR INVESTMENT.
CREDIT SUISSE WARBURG PINCUS LONG-SHORT MARKET NEUTRAL FUND
PORTFOLIO MANAGER'S LETTER-August 31, 2001
October 2, 2001
Dear Shareholders:
We are writing to report on the results of the Credit Suisse Warburg Pincus
Long-Short Market Neutral Fund1,2 (the "Fund") for the fiscal year ended August
31, 2001. Please note that we will discuss the impact of the events of September
11, 2001 on the Fund's investment environment and performance in our letter for
the calendar quarter ended September 30, 2001.
COMMON SHARES:
At August 31, 2001, the net asset value ("NAV") of the Fund's Common shares
was $15.70, compared to an NAV of $14.92 on August 31, 2000. As a result, the
common shares' total return was 9.25%, assuming the reinvestment of dividends
totaling $0.5476 per share. By comparison, the Salomon Smith Barney One-Month
U.S. Treasury Bill Index3 benchmark returned 4.88% during the same period.
INSTITUTIONAL SHARES:
At August 31, 2001, the NAV of the Fund's Institutional shares was $15.52,
compared to an NAV of $14.78 on August 31, 2000. As a result, the Fund's total
return was 9.46%, assuming the reinvestment of dividends totaling $0.5988 per
share. By comparison, the Salomon Smith Barney One-Month U.S. Treasury Bill
Index3 benchmark returned 4.88% during the same period.
The Fund meaningfully outperformed its benchmark in the fiscal year because
of the effectiveness of our relative emphasis on certain of the drivers of stock
prices that we track closely as part of our stock selection methodology. The net
result of our choices was that we primarily added value on the short side of the
portfolio.
By far, the driver that contributed most positively to the Fund's return was
financial strength (in terms of net profit margins). To a lesser degree,
relative valuation (as measured by a company's book value-to-price and
earnings-to-price ratios) additionally helped.
Throughout much of the period, we opted for a fairly defensive approach
highlighting companies that scored well according to these attributes. This was
because such companies were more likely than not to hold their value, or even
appreciate, as macroeconomic growth slowed and investor uncertainty remained
high. The consistently downward movement of the S&P 500 during the period meant
that our thinking in this regard was on target.
Looking at the portfolio in terms of industry sectors, our stock selection
was especially favorable in health care, utilities, telecommunications and
energy. Health care fared best by a wide margin, based on our decision to take a
net-short stance at a time when most leading pharmaceutical stocks performed
fairly poorly. We also were net-short in utilities, which paid off as the stocks
we
1
shorted declined much more than our longs appreciated. In energy, the individual
names in our net-long positions solidly outperformed.
Our stance with regard to leverage and earnings revisions partially offset
our successes. We de-emphasized companies with higher-than-average indebtedness
based on the likelihood that it would hurt their financial condition while the
economy was weak; such companies, however, greatly benefited from the Federal
Reserve's unprecedentedly rapid reduction of short-term interest rates in the
first six months of 2001. As for earnings revisions, our analysis concluded that
companies whose earnings estimates were most likely to be revised upward, would
generate above-market returns. This proved inaccurate, however, in an overall
climate in which earnings estimates tended to be revised downward much more
frequently than upward.
Sincerely yours,
The Credit Suisse Asset Management Structured Equity Team
Eric N. Remole, Michael A. Welhoelter,
Managing Director Vice President
Marc E. Bothwell,
Vice President
Credit Suisse Asset Management, LLC (CSAM)
[NOTE: INVESTING IN SHARES OF THE FUND CAN BE MORE VOLATILE AND RISKY THAN
SOME OTHER FORMS OF INVESTMENTS. IN ADDITION, IF THE ADVISOR TAKES LONG
POSITIONS IN STOCKS THAT DECLINE OR SHORT POSITIONS IN STOCKS THAT INCREASE IN
VALUE, THEN LOSSES OF THE FUND MAY EXCEED THOSE OF OTHER STOCK MUTUAL FUNDS THAT
HOLD LONG POSITIONS ONLY.]
2
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE CREDIT SUISSE
WARBURG PINCUS LONG-SHORT MARKET NEUTRAL FUND(1,2) COMMON SHARES AND
THE SALOMON SMITH BARNEY U.S. ONE-MONTH TREASURY INDEX(3) FROM
INCEPTION (9/8/98) AND AT EACH QUARTER END (UNAUDITED)
[CHART]
CREDIT SUISSE WARBURG PINCUS SALOMON SMITH BARNEY U.S.
LONG-SHORT MARKET NEUTRAL FUND(1,2) ONE-MONTH TREASURY INDEX(3)
COMMON SHARES
9/98 $10,000 $10,000
9/98 $10,059 $10,038
10/98 $10,006 $10,064
11/98 $9,802 $10,093
12/98 $9,887 $10,131
1/99 $10,014 $10,167
2/99 $9,927 $10,201
3/99 $10,034 $10,235
4/99 $9,840 $10,275
5/99 $9,674 $10,313
6/99 $9,940 $10,350
7/99 $9,773 $10,387
8/99 $9,467 $10,425
9/99 $9,534 $10,463
10/99 $9,767 $10,502
11/99 $10,288 $10,539
12/99 $10,468 $10,579
1/00 $10,958 $10,623
2/00 $11,135 $10,667
3/00 $10,772 $10,715
4/00 $10,587 $10,767
5/00 $10,637 $10,815
6/00 $10,701 $10,857
7/00 $10,630 $10,907
8/00 $10,601 $10,961
9/00 $10,502 $11,015
10/00 $10,302 $11,068
11/00 $10,665 $11,123
12/00 $10,556 $11,177
1/01 $10,770 $11,232
2/01 $10,460 $11,273
3/01 $10,667 $11,318
4/01 $10,475 $11,360
5/01 $10,778 $11,396
6/01 $11,117 $11,427
7/01 $11,369 $11,461
8/01 $11,582 $11,496
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED 8/31/01 (COMMON SHARES)
1 YEAR 3 YEAR FROM INCEPTION (9/8/98)
9.25% 4.84% 5.05%
Note: Past performance is not predictive of future performance. Investment
return and principle value of an investment will fluctuate so that an investor's
shares upon redemption may be worth more or less than their original cost.
(1) Name changed from Warburg Pincus Long-Short Market Neutral Fund effective
March 26, 2001.
(2) Fee waivers and/or expense reimbursements reduced expenses for the Fund,
without which performance would be lower. Waivers and/or reimbursements
may be discontinued at any time.
(3) Monthly return equivalents of yield averages which are not marked to market.
The Salomon Smith Barney U.S. One-Month Treasury Index consists of the last
one-month Treasury bill issues.
3
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE CREDITSUISSE
WARBURG PINCUS LONG-SHORT MARKET NEUTRAL FUND(1,2) INSTITUTIONAL SHARES AND
THE SALOMON SMITH BARNEY U.S. ONE-MONTH TREASURY INDEX(3) FROM
INCEPTION (7/31/98) AND AT EACH QUARTER END. (UNAUDITED)
[CHART]
AVERAGE ANNUAL
TOTAL RETURNS
FOR THE PERIODS
ENDED 8/31/01
(INSTITUTIONAL
SHARES)
CREDIT SUISSE WARBURG PINCUS
SALOMON SMITH BARNEY LONG-SHORT MARKET NEUTRAL FUND
U.S. ONE-MONTH TREASURY INDEX(3) INSTITUTIONAL SHARES(1,2)
7/98 $10,000 $10,000
8/98 $10,040 $10,180
9/98 $10,079 $10,187
10/98 $10,104 $10,133
11/98 $10,133 $9,927
12/98 $10,172 $10,020
1/99 $10,208 $10,148
2/99 $10,242 $10,061
3/99 $10,277 $10,169
4/99 $10,316 $9,973
5/99 $10,355 $9,804
6/99 $10,392 $10,075
7/99 $10,428 $9,905
8/99 $10,467 $9,601
9/99 $10,506 $9,668
10/99 $10,544 $9,905
11/99 $10,582 $10,439
12/99 $10,622 $10,628
1/00 $10,666 $11,124
2/00 $10,710 $11,307
3/00 $10,759 $10,942
4/00 $10,810 $10,752
5/00 $10,859 $10,810
6/00 $10,901 $10,876
7/00 $10,951 $10,811
8/00 $11,005 $10,782
9/00 $11,059 $10,687
10/00 $11,113 $10,483
11/00 $11,168 $10,855
12/00 $11,222 $10,744
1/01 $11,277 $10,965
2/01 $11,319 $10,653
3/01 $11,364 $10,866
4/01 $11,406 $10,669
5/01 $11,442 $10,988
6/01 $11,473 $11,328
7/01 $11,507 $11,586
8/01 $11,543 $11,800
1 YEAR 3 YEAR FROM INCEPTION (9/8/98)
9.46% 5.05% 5.51%
Note: Past performance is not predictive of future performance. Investment
return and principle value of an investment will fluctuate so that an investor's
shares upon redemption may be worth more or less than their original cost.
(1) Name changed from Warburg Pincus Long-Short Market Neutral Fund effective
March 26, 2001.
(2) Fee waivers and/or expense reimbursements reduced expenses for the Fund,
without which performance would be lower. Waivers and/or reimbursements may
be discontinued at any time.
(3) Monthly return equivalents of yield averages which are not marked to
market. The Salomon Smith Barney U.S. One-Month Treasury Index consists of
the last one-month Treasury bill issues.
4
CREDIT SUISSE WARBURG PINCUS LONG-SHORT MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS
August 31, 2001
NUMBER OF
SHARES VALUE
----------- -------
COMMON STOCKS (87.9%)
AIRLINES (0.1%)
UAL Corp. 100 $ 3,268
---------
BANKS (6.9%)
Bank of America Corp. 1,900 116,850
Comerica, Inc. 1,900 113,525
UnionBanCal Corp. 5,100 189,210
---------
419,585
---------
COMPUTER HARDWARE & BUSINESS MACHINES (0.9%)
RSA Security, Inc.(1) 2,800 53,872
---------
COMPUTER SOFTWARE (2.5%)
Microsoft Corp.(1) 1,800 102,690
Symantec Corp.(1) 1,100 47,289
---------
149,979
---------
CONSTRUCTION, REAL PROPERTY (0.5%)
Equity Residential Properties Trust 500 29,455
---------
CONSUMER DURABLES (1.4%)
KB Home 500 16,185
Quanta Services, Inc.(1) 3,700 66,563
---------
82,748
---------
DEPARTMENT STORES (3.7%)
J. C. Penney Co., Inc. 9,400 225,600
---------
DRUGS (8.4%)
Enzon, Inc.(1) 500 31,920
Genzyme Corp.(1) 200 11,328
IDEC Pharmaceuticals Corp.(1) 2,800 165,956
Lilly (Eli) & Co. 1,100 85,393
Medarex, Inc.(1) 11,500 218,730
---------
513,327
---------
ELECTRICAL UTILITY (2.0%)
Energy East Corp. 900 18,954
NISource, Inc. 3,600 90,756
Puget Energy, Inc. 100 2,478
Scana Corp. 300 8,121
---------
120,309
---------
ELECTRONIC EQUIPMENT (5.2%)
Advanced Fibre Communications, Inc.(1) 8,200 198,850
TeleCorp PCS, Inc. Class A(1) 1,800 24,300
Teradyne, Inc.(1) 300 9,834
Vishay Intertechnology, Inc.(1) 3,500 81,655
---------
314,639
---------
See Accompanying Notes to Financial Statements.
5
NUMBER OF
SHARES VALUE
---------- --------
COMMON STOCKS (CONT'D)
ENERGY RESERVES & PRODUCTION (5.1%)
Apache Corp. 900 $ 42,237
EOG Resources, Inc. 2,500 79,050
Occidental Petroleum Corp. 4,600 126,592
Pioneer Natural Resources Co.(1) 3,700 64,750
---------
312,629
---------
ENTERTAINMENT (4.4%)
Blockbuster, Inc. Class A 11,600 248,936
Carnival Corp. 300 9,384
Six Flags, Inc.(1) 400 6,652
---------
264,972
---------
ENVIRONMENTAL SERVICES (0.9%)
Allied Waste Industries, Inc.(1) 1,500 27,195
Waste Management, Inc. 800 24,744
---------
51,939
---------
FINANCIAL SERVICES (1.1%)
Carramerica Realty Corp. 2,100 67,578
---------
FOREST PRODUCTS, PAPER (3.9%)
Georgia-Pacific Group 1,700 62,118
Temple-Inland, Inc. 2,500 145,900
Weyerhaeuser Co. 500 28,375
---------
236,393
---------
GAS & WATER UTILITIES (1.6%)
ONEOK, Inc. 6,200 100,440
---------
HOTELS (2.8%)
Hospitality Properties Trust 3,000 85,560
Mandalay Resort Group1 3,300 82,104
---------
167,664
---------
INDUSTRIAL SERVICES (1.9%)
Autonation, Inc.(1) 4,400 47,344
Ryder System 2,000 45,180
United Rentals, Inc.(1) 1,100 25,575
---------
118,099
---------
INFORMATION SERVICE (3.8%)
Earthlink, Inc.(1) 900 12,159
Quintiles Transnational Corp.(1) 9,200 161,092
Yahoo!, Inc.(1) 5,000 59,300
---------
232,551
---------
LIFE & HEALTH INSURANCE (2.8%)
Conseco, Inc.(1) 1,200 11,016
MetLife, Inc. 3,900 118,950
Mony Group, Inc. 1,100 38,500
---------
168,466
---------
See Accompanying Notes to Financial Statements.
6
NUMBER OF
SHARES VALUE
------------ --------
COMMON STOCKS (CONT'D)
MEDIA (6.3%)
Adelphia Communications Corp. Class A(1) 300 $ 9,465
Belo (A.H.) Corp. Class A 3,100 56,544
Charter Communications, Inc. Class A(1) 200 4,040
Cox Communications, Inc. Class A(1) 2,700 107,352
Cox Radio, Inc. Class A(1) 1,900 47,519
Liberty Media Corp. Class A(1) 10,400 158,080
---------
383,000
---------
MEDICAL PROVIDERS & SERVICES (2.1%)
HEALTHSOUTH Corp.(1) 1,300 23,504
Manor Care, Inc.(1) 3,600 101,268
Service Corporation International(1) 600 4,158
---------
128,930
---------
MINING & METALS (1.4%)
Arch Coal, Inc. 4,700 85,540
---------
OIL SERVICES (1.6%)
McDermott International, Inc.(1) 5,100 54,315
Transocean Sedco Forex, Inc. 1,500 43,350
---------
97,665
---------
PROPERTY & CASUALTY INSURANCE (7.2%)
Alleghany Corp.(1) 700 151,410
Ambac Financial Group, Inc. 600 35,520
MBIA, Inc. 200 10,802
Radian Group, Inc. 200 8,022
Wesco Financial Corp. 700 232,400
---------
438,154
---------
RAILROADS (0.6%)
Kansas City Southern Industries, Inc.(1) 2,800 36,400
---------
SECURITIES & ASSET MANAGEMENT (2.9%)
Lehman Brothers Holdings, Inc. 2,700 177,255
---------
SEMICONDUCTOR (4.2%)
Intel Corp. 1,300 36,348
Linear Technology Corp. 2,700 110,916
National Semiconductor Corp.(1) 3,300 109,065
---------
256,329
---------
SPECIALTY RETAIL (1.0%)
W.W. Grainger, Inc. 1,500 63,465
---------
TELEPHONE (0.0%)
NTL, Inc.(1) 500 2,480
---------
WIRELESS TELECOMMUNICATIONS (0.7%)
Telephone and Data Systems, Inc. 400 41,300
---------
TOTAL COMMON STOCKS (Cost $5,159,235) 5,344,031
---------
See Accompanying Notes to Financial Statements.
7
NUMBER OF
SHARES VALUE
----------- ----------
SECURITIES SOLD SHORT (-88.4%)
APPAREL, TEXTILES (-1.2%)
Timberland Co. (The) Class A(1) (2,100) $ (70,686)
---------
BANKS (-7.2%)
Bank One Corp. (800) (27,752)
Fifth Third Bancorp (900) (52,470)
Firstmerit Corp. (9,400) (227,292)
Northern Trust Corp. (1,900) (107,730)
State Street Corp. (500) (24,280)
---------
(439,524)
---------
CHEMICALS (-5.6%)
Du Pont (E.I.) de Nemours & Co. (2,100) (86,037)
FMC Corp.(1) (3,800 (237,462)
Hercules, Inc. (1,30) (14,690)
---------
(338,189)
---------
COMPUTER HARDWARE & BUSINESS MACHINES (-1.0%)
Cisco Systems, Inc.(1) (1,000) (16,330)
Extreme Networks, Inc.(1) (200) (3,194)
Pitney Bowes, Inc. (500) (21,745)
Redback Networks, Inc.(1) (1,100) (4,488)
SanDisk Corp.(1) (700) (14,357)
---------
(60,114)
---------
COMPUTER SOFTWARE (-2.2%)
BEA Systems, Inc.(1) (1,800) (29,106)
E.piphany, Inc.(1) (3,100) (19,964)
Gemstar-TV Guide International, Inc.(1) (1,500) (44,490)
Micromuse, Inc.(1) (1,800) (21,312)
Siebel Systems, Inc.(1) (900) (19,440)
---------
(134,312)
---------
CONSTRUCTION, REAL PROPERTY (-0.3%)
Steelcase, Inc. Class A (1,500) (20,550)
---------
DEPARTMENT STORES (-2.9%)
Kohl's Corp.(1) (3,200) (177,600)
---------
DRUGS (-11.0%)
Abgenix, Inc.(1) (700) (20,979)
American Home Products Corp. (600) (33,600)
Applera Corp-Celera Genomics Group(1) (6,100) (161,955)
Millennium Pharmaceuticals, Inc.(1) (9,200) (253,000)
OSI Pharmaceuticals, Inc.(1) (3,000) (127,200)
Pharmacia Corp. (1,800) (71,280)
---------
(668,014)
---------
ELECTRICAL UTILITY (-1.9%)
AES Corp.(1) (2,500) (82,800)
DQE, Inc. (1,600) (33,920)
---------
(116,720)
---------
See Accompanying Notes to Financial Statements.
8
NUMBER OF
SHARES VALUE
----------- ----------
SECURITIES SOLD SHORT (CONT'D)
ELECTRONIC EQUIPMENT (-2.1%)
Lucent Technologies, Inc. (600) $ (4,092)
PerkinElmer, Inc. (2,900) (93,032)
Sycamore Networks, Inc.(1) (5,200) (29,172)
---------
(126,296)
---------
ENERGY RESERVES & PRODUCTION (-4.1%)
Exxon Mobil Corp. (1,200) (48,180)
Williams Cos., Inc. (6,200) (201,810)
---------
(249,990)
---------
FINANCIAL SERVICES (-4.5%)
ChoicePoint, Inc.(1) (1,300) (51,935)
General Electric Co. (500) (20,490)
H & R Block, Inc. (4,200) (163,422)
Marsh & McLennan Companies, Inc. (400) (37,160)
---------
(273,007)
---------
FOOD & BEVERAGE (-0.1%)
McCormick & Co., Inc. (200) (9,040)
---------
FOREST PRODUCTS, PAPER (-0.3%)
Bowater, Inc. (400) (18,976)
---------
GROCERY STORES (-0.6%)
Safeway, Inc.(1) (800) (36,088)
---------
INDUSTRIAL PARTS (-9.3%)
American Standard Companies, Inc.(1) (2,200) (153,670)
Mettler-Toledo International, Inc.(1) (5,500) (251,735)
United Technologies Corp. (2,300) (157,320)
---------
(562,725)
---------
INFORMATION SERVICE (-4.2%)
Liberate Technologies, Inc.(1) (2,100) (30,072)
Omnicom Group, Inc. (2,400) (186,696)
Openwave Systems, Inc.(1) (2,300) (36,892)
---------
(253,660)
---------
LEISURE (-1.4%)
Eastman Kodak Co. (1,900) (84,873)
---------
LIFE & HEALTH INSURANCE (-3.9%)
Nationwide Financial Services, Inc. (5,200) (234,520)
---------
MEDIA (-4.0%)
Fox Entertainment Group, Inc. Class A(1) (9,600) (235,392)
Westwood One, Inc.(1) (200) (5,700)
---------
(241,092)
---------
MEDICAL PRODUCTS & SUPPLIES (-1.3%)
Beckman Coulter, Inc. (1,700) (77,724)
---------
See Accompanying Notes to Financial Statements.
9
NUMBER OF
SHARES VALUE
----------- ---------
SECURITIES SOLD SHORT (CONT'D)
MEDICAL PROVIDERS & SERVICES (-0.2%)
Trigon Healthcare, Inc.(1) (200) $ (12,950)
---------
OIL SERVICES (-2.3%)
Baker Hughes, Inc. (2,800) (92,232)
Cooper Cameron Corp.(1) (500) (21,625)
Smith International, Inc.(1) (600) (27,840)
---------
(141,697)
---------
PROPERTY & CASUALTY INSURANCE (-3.6%)
American International Group, Inc. (800) (62,560)
Progressive Corp. (1,200) (155,124)
---------
(217,684)
---------
PUBLISHING (-1.9%)
Dow Jones & Co., Inc. (1,700) (93,296)
McGraw-Hill Cos., Inc. (400) (23,700)
---------
(116,996)
---------
RESTAURANTS (-0.8%)
Tricon Global Restaurants, Inc.(1) (1,200) (51,144)
---------
SECURITIES & ASSET MANAGEMENT (-3.0%)
BlackRock, Inc.(1) (2,300) (87,515)
Investment Technology Group(1) (1,100) (63,789)
Schwab, Charles Corp. (2,500) (31,150)
---------
(182,454)
---------
SEMICONDUCTOR (-1.7%)
Arrow Electronics, Inc.(1) (400) (10,716)
Atmel Corp.(1) (1,500) (14,385)
JDS Uniphase Corp.(1) (1,800) (12,690)
PMC-Sierra, Inc.(1) (800) (24,600)
Xilinx, Inc.(1) (1,100) (42,944)
---------
(105,335)
---------
SPECIALTY RETAIL (-3.5%)
Home Depot, Inc. (1,100) (50,545)
Radioshack (6,100) (142,740)
Ticketmaster Class B(1) (1,300) (21,255)
---------
(214,540)
---------
TELEPHONE (-0.2%)
Allegiance Telecom, Inc.(1) (500) (6,215)
SBC Communications, Inc. (100) (4,091)
---------
(10,306)
---------
WIRELESS TELECOMMUNICATIONS (-2.1%)
Nextel Communications, Inc. Class A(1) (1,800) (21,744)
Nextel Partners, Inc. Class A(1) (10,300) (105,575)
---------
(127,319)
---------
TOTAL SECURITIES SOLD SHORT (Cost -$6,095,758) (5,374,125)
---------
See Accompanying Notes to Financial Statements.
10
PAR
(000) VALUE
----- ----------
REPURCHASE AGREEMENT (8.2%)
Bear Stearns 3.65% 9/4/01 (Agreement dated 8/31/01 to be repurchased at
$501,210, collaterized by $510,000 U.S. Treasury Note 5.5% due 8/15/28.
Market Value of collateral is $511,912.) (Cost $501,007) $501 $ 501,007
----------
TOTAL INVESTMENTS (7.7%) (Cost -$435,516(2)) 470,913
OTHER ASSETS IN EXCESS OF LIABILITIES (92.3%) 5,606,284
----------
NET ASSETS (100.0%) $6,077,197
==========
(1) Non-income producing security.
(2) Cost for federal income tax purposes is $(292,512).
See Accompanying Notes to Financial Statements.
11
CREDIT SUISSE WARBURG PINCUS LONG-SHORT MARKET NEUTRAL FUND
STATEMENT OF ASSETS AND LIABILITIES
August 31, 2001
ASSETS
Investments at value (Cost $5,159,235) $ 5,344,031
Repurchase agreements at value (Cost $501,007) 501,007
Deposits with brokers and custodian bank for securities sold short 5,609,714
Dividends and interest receivable 9,839
Receivable from investment adviser 6,999
Prepaid expenses & other assets 13,513
-----------
Total Assets 11,485,103
-----------
LIABILITIES
Securities sold short (Proceeds $6,095,758) 5,374,125
Administrative services fee payable 41
Other accrued expenses payable 33,740
-----------
Total Liabilities 5,407,906
-----------
NET ASSETS
Capital stock, $0.001 par value 389
Paid-in capital 7,062,805
Undistributed net investment income 86,907
Accumulated net realized loss from investments and securities sold short (1,979,333)
Net unrealized appreciation from investments 906,429
-----------
Net Assets $ 6,077,197
===========
COMMON SHARES
Net assets $ 2,503,114
-----------
Shares outstanding 159,472
-----------
Net asset value, offering price and redemption price per share $15.70
======
INSTITUTIONAL SHARES
Net assets $ 3,574,083
-----------
Shares outstanding 230,236
-----------
Net asset value, offering price and redemption price per share $15.52
======
See Accompanying Notes to Financial Statements.
12
CREDIT SUISSE WARBURG PINCUS LONG-SHORT MARKET NEUTRAL FUND
STATEMENT OF OPERATIONS
For the Year Ended August 31, 2001
INVESTMENT INCOME
Dividends $ 73,788
Interest 311,731
Foreign taxes withheld (235)
---------
Total investment income 385,284
---------
EXPENSES
Investment advisory fees 69,552
Administrative services fees 10,463
Distribution fees 4,789
Dividend expense 75,994
Printing fees 63,666
Registration fees 36,672
Legal fees 23,680
Custodian fees 20,022
Audit fees 15,300
Directors fees 11,062
Transfer agent fees 4,741
Insurance expense 3,265
Interest expense 170
Miscellaneous expense 4,934
---------
344,310
Less: fees waived, expenses reimbursed and transfer agent offsets (141,949)
---------
Total expenses 202,361
---------
Net investment income 182,923
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS
Net realized loss from investments (229,641)
Net realized loss from securities sold short (343,698)
Net change in unrealized appreciation (depreciation) from investments 909,180
---------
Net realized and unrealized appreciation from investments and securities sold short 335,841
---------
Net increase in net assets resulting from operations $ 518,764
=========
See Accompanying Notes to Financial Statements.
13
CREDIT SUISSE WARBURG PINCUS LONG-SHORT MARKET NEUTRAL FUND
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR FOR THE YEAR
ENDED ENDED
AUGUST 31, 2001 AUGUST 31, 2000
--------------- ---------------
FROM OPERATIONS
Net investment income $ 182,923 $ 251,591
Net gain (loss) on investments and securities sold short (573,339) 40,377
Net change in unrealized appreciation from investments
and securities sold short 909,180 474,681
------------ ------------
Net increase in net assets resulting from operations 518,764 766,649
------------ ------------
FROM DIVIDENDS
Dividends from net investment income
Common Class shares (75,842) (127,325)
Institutional Class shares (184,484) (345,792)
------------ ------------
Net decrease in net assets from dividends (260,326) (473,117)
------------ ------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares 2,174,675 4,991,679
Reinvestment of distributions 211,149 432,479
Net asset value of shares redeemed (3,256,327) (6,814,009)
------------ ------------
Net decrease in net assets from
capital share transactions: (870,503) (1,389,851)
------------ ------------
Net decrease in net assets (612,065) (1,096,319)
NET ASSETS
Beginning of year 6,689,262 7,785,581
------------ ------------
End of year $ 6,077,197 $ 6,689,262
============ ============
UNDISTRIBUTED NET INVESTMENT INCOME $ 86,907 $ 164,310
============ ============
See Accompanying Notes to Financial Statements.
14
CREDIT SUISSE WARBURG PINCUS LONG-SHORT MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
(For a Common Class Share of the Fund Outstanding Throughout Each Period)
FOR THE YEAR ENDED AUGUST 31,
-------------------------------------------
2001 2000 1999(1)
---------- ---------- ---------
PER SHARE DATA
Net asset value, beginning of period $14.92 $14.19 $15.19
------- ------- -------
INVESTMENT OPERATIONS
Net investment income 0.34 0.61 0.322
Net gain (loss) on investments
and securities sold short
(both realized and unrealized) 0.99 1.05 (1.12)
------- ------- -------
Total from investment operations 1.33 1.66 (0.80)
------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.55) (0.93) (0.07)
Distributions from net realized gains -- -- (0.13)
------- ------- -------
Total dividends and distributions (0.55) (0.93) (0.20)
------- ------- -------
NET ASSET VALUE, END OF PERIOD $15.70 $14.92 $14.19
======= ======= =======
Total return 9.25% 12.00% (5.33)%(3)
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $2,503 $2,101 $1,885
Ratio of expenses to average net assets
(including dividend expense) 3.47%(4) 3.80%(4) 3.40%(5)
Ratio of expenses to average net assets
(excluding dividend expense) 2.23% 2.26% 2.24%(5)
Ratio of net investment income to average net assets 2.79% 3.49% 2.46%(5)
Decrease reflected in above operating expense
ratios due to waivers/reimbursements 2.40% 2.39% 0.60%(5)
Portfolio turnover rate 306% 313% 705%
(1) For the period September 8, 1998 (inception date) through August 31, 1999.
(2) Per share information is calculated using the average share outstanding
method.
(3) Non-annualized.
(4) Interest earned on uninvested cash balances is used to offset portions of
the transfer agent expense. These arrangements had no effect on the fund's
expense ratio.
(5) Annualized.
See Accompanying Notes to Financial Statements.
15
CREDIT SUISSE WARBURG PINCUS LONG-SHORT MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS (CONT'D)
(For an Institutional Class Share of the Fund Outstanding Throughout Each
Period)
FOR THE YEAR ENDED AUGUST 31,
-----------------------------------------------------------
2001 2000 1999 1998(1)
-------- -------- -------- --------
PER SHARE DATA
Net asset value, beginning of period $14.78 $14.21 $15.27 $15.00
------ ------ ------ ------
INVESTMENT OPERATIONS
Net investment income 0.37 0.70 0.392 0.05
Net gain (loss) on investments
and securities sold short
(both realized and unrealized) 0.97 0.99 (1.25) 0.22
------ ------ ------ ------
Total from investment operations 1.34 1.69 (0.86) 0.27
------ ------ ------ ------
LESS DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income (0.60) (1.12) (0.07) --
Distributions from net realized gains -- -- (0.13) --
------ ------ ------ ------
Total dividends and distributions (0.60) (1.12) (0.20) --
------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD $15.52 $14.78 $14.21 $15.27
====== ====== ====== ======
Total return 9.46% 12.29% (5.68)% 1.80%(3)
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000s omitted) $3,574 $4,588 $5,901 $6,302
Ratio of expenses to average net assets
(including dividend expense) 3.26%(4) 3.44%(4) 3.33% 4.32%(5)
Ratio of expenses to average net assets
(excluding dividend expense) 2.00% 2.00% 2.00% 2.00%(5)
Ratio of net investment income to average net assets 3.14% 3.69% 2.65% 1.96%(5)
Decrease reflected in above operating expense
ratios due to waivers/reimbursements 2.31% 2.15% 0.56% 3.12%(5)
Portfolio turnover rate 306% 313% 705% 130%
(1) For the period July 31, 1998 (inception date) through August 31, 1998.
(2) Per share information is calculated using the average share outstanding
method.
(3) Non-annualized.
(4) Interest earned on uninvested cash balances is used to offset portions of
the transfer agent expense. These arrangements had no effect on the fund's
expense ratio.
(5) Annualized.
See Accompanying Notes to Financial Statements.
16
CREDIT SUISSE WARBURG PINCUS LONG-SHORT MARKET NEUTRAL FUND
NOTES TO FINANCIAL STATEMENTS
August 31, 2001
NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Credit Suisse Warburg Pincus Long-Short Market Neutral Fund, Inc. (the
"Fund") is registered under the Investment Company Act of 1940, as amended (the
"1940 Act"), as a non-diversified, open-end management investment company. The
Fund is authorized to offer three classes of shares: Common, Advisor and
Institutional, although only Common and Institutional shares of the Fund are
currently offered. Common shares for the fund bear expenses paid pursuant to a
shareholder servicing and distribution agreement at an annual rate equal to .25%
of the average daily net asset value of the Fund's outstanding Common shares. In
addition, the Common shares bear a co-administration fee. No compensation is
payable for distribution services for the Fund's Institutional shares.
Please refer to the Fund's prospectus and statement of additional
information for a description of the Fund's investment strategies.
A) SECURITY VALUATION -- The net asset value of the Fund is determined
daily as of the close of regular trading on The New York Stock Exchange,
Inc. The Fund's investments are valued at market value, which is generally
determined using the last reported sales price. If no sales are reported,
investments are generally valued at the last reported bid price. Debt
securities are valued on the basis of broker quotations or valuations
provided by a pricing service which may use a matrix, formula or other
objective method that takes into consideration market indices, matrices,
yield curves and other specific adjustments. If market quotations are not
readily available, securities and other assets are valued by another method
that the Board of Directors believes accurately reflects fair value. Debt
obligations that will mature in 60 days or less are valued on the basis of
amortized cost, which approximates market value, unless the Board
determines that using this method would not reflect an investment's value.
B) SECURITIY TRANSACTIONS AND INVESTMENT INCOME -- Security
transactions are accounted for on a trade date basis. The cost of
investments sold is determined by use of the specific identification method
for both financial reporting and income tax purposes. Interest income is
recorded on the accrual basis. Dividends are recorded on the ex-dividend
date. Certain expenses are class specific expenses and vary by class.
Expenses not directly attributable to a specific Fund or class are
allocated based on relative net assets of the Fund and class, respectively.
C) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The Fund calculates
its dividends from net investment income. Net investment income includes
interest accrued and dividends earned on the
17
Fund's portfolio securities for the applicable period less applicable
expenses. The Fund will distribute substantially all of is net realized
capital gains and all net investment income, if any, to its shareholders at
least annually.
The character of distributions made during the year for net investment
income or net realized gains may differ from their ultimate
characterization for Federal income tax purposes due to accounting
principles generally accepted in the United States of America (GAAP) and
tax differences in the character of income and expense recognition. These
differences are primarily due to differing treatments for net operating
losses. To the extent these differences are permanent in nature, such
amounts are reclassified within capital accounts based on U.S. tax-basis
treatment. Temporary differences do not require reclassification.
D) FEDERAL INCOME TAXES -- No provision is made for federal taxes as
it is the Fund's intention to qualify for and elect the tax treatment
applicable to regulated investment companies under the Internal Revenue
Code of 1986, as amended, and make the requisite distributions to its
shareholders which will be sufficient to relieve it from federal income and
excise taxes.
E) USE OF ESTIMATES -- The preparation of financial statements in
conformity with GAAP 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.
G) REPURCHASE AGREEMENTS -- Money market instruments may be purchased
from banks and non-bank dealers subject to the seller's agreement to
repurchase them at an agreed-upon date and price. Collateral for repurchase
agreements may have longer maturities than the maximum permissible
remaining maturity of portfolio investments. The seller will be required on
a daily basis to maintain the value of the securities subject to the
agreement at not less than the repurchase price. The agreements are
conditional upon the collateral being deposited under the Federal reserve
book-entry system or held in a separate account by the Fund's custodian or
an authorized securities depository. The Fund had an open repurchase
agreement at August 31, 2001.
H) SHORT SALES -- When the Fund's investment adviser believes that a
security is overvalued, it may sell the security short by borrowing the
same security from a broker or other institution and selling the security.
18
The Fund will incur a loss as a result of the short sale if the price of
the borrowed security increases between the date of the short sale and the
date on which the Fund replaces such security. The Fund will realize a gain
if there is a decline in the price of the security between those dates, if
the decline exceeds the cost of borrowing the security and other
transaction costs. There can be no assurance that the Fund will be able to
close out a short position at any particular time or at an acceptable
price. Although the Fund's gain is limited to the amount at which it has
sold a security short, its potential loss is limited only by the maximum
attainable price of the security less the price at which the security was
sold. Until the Fund replaces a borrowed security, it will maintain at all
times cash or other liquid securities in an amount which, when added to any
amount deposited with a broker as collateral will at least equal the
current market value of the security sold short. Depending on arrangements
made with the broker, the Fund may not receive any payments (including
interest) on collateral deposited with them. The Fund will not make a short
sale if, after giving effect to such sale, the market value of all
securities sold short exceeds 100% of the value of its net assets.
NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
Pursuant to investment advisory agreements, Credit Suisse Asset Management,
LLC ("CSAM"), an indirect, wholly-owned subsidiary of Credit Suisse Group,
serves as investment adviser for the Fund described herein.
For its advisory services, CSAM is entitled to receive from the Fund a
monthly fee equal to an annual rate of 1.50% of the Fund's average daily net
assets. In addition, CSAM is entitled to a monthly performance adjustment fee,
which may increase or decrease the total advisory fee by up to .50% per year.
The performance adjustment fee decreased the total advisory fee by $21,471 or
.35% of average net assets due to lower performance in comparison to the Salomon
Smith Barney U.S. 1-Month Treasury Bill Index plus 5 percentage points for the
year ended August 31, 2001.
CSAM may, at its discretion, voluntarily waive all or any portion of its
advisory fee for the Fund. For the year ended August 31, 2001, CSAM waived its
entire advisory fee.
In addition, CSAM reimbursed expenses of the Fund in the amount of $66,213
for the year ended August 31, 2001.
19
Boston Financial Data Services, Inc. ("BFDS") serves as the Fund's transfer
and dividend disbursement agent.
The Fund has an arrangement with its transfer agent whereby interest earned
on uninvested cash balances was used to offset a portion of their transfer agent
expenses. For the year ended August 31, 2001, the Fund received credits or
reimbursements under this agreement in the amount of $146.
Certain brokers, dealers and financial representatives provide transfer
agent related services to the Fund, and receive compensation from CSAM. CSAM is
then reimbursed by the Fund. For the year ended August 31, 2001, the Fund
reimbursed CSAM $1,184, which is included in the Fund's transfer expense.
Credit Suisse Asset Management Securities, Inc. ("CSAMSI") , an affiliate
of CSAM, serves as co-administrator to the Fund. PFPC, Inc. ("PFPC"), an
indirect, wholly-owned subsidiary of PNC Financial Services Group, also serves
as the Fund's co-administrator. For administration services, the Fund pays
CSAMSI a fee calculated at an annual rate of .05% of the Fund's first $125
million in average daily net assets of the Common shares and .10% of average
daily net assets of the Common shares over $125 million. No compensation is
payable by the Fund to CSAMSI for co-administration services for the
Institutional shares.
CSAMSI may, at its discretion, voluntarily waive all or any portion of its
administration fee for the Fund. For the year ended August 31, 2001, the
co-administration fee earned and waived by CSAMSI on the Common shares was as
follows:
GROSS NET
CO-ADMINISTRATION CO-ADMINISTRATION
FEE WAIVER FEE
----------------- ------ -----------------
$1,066 $(784) $282
For administration services, PFPC received a fee, for the period September
1, 2000 to February 4, 2001, calculated at an annual rate of .10% of the Fund's
first $500 million in average daily net assets, .08% of the next $1 billion in
average daily net assets, and .06% of average daily net assets over $1.5
billion, subject to a minimum annual fee and exclusive of out-of-pocket
expenses. As of February 5, 2001, PFPC receives a fee for administration
services calculated at an annual rate of .075% of the Fund's first $500 million
20
in average daily net assets, .065% of the next $1 billion in average daily net
assets and .055% of average daily net assets over $1.5 billion, subject to a
minimum annual fee and exclusive of out-of-pocket expenses. PFPC may, at its
discretion, voluntarily waive all or any portion of its administration fee for
the Fund. For the year ended August 31, 2001, the co-administration fee earned
and waived by PFPC (including out-of-pocket expenses) was as follows:
GROSS NET
CO-ADMINISTRATION FEE WAIVER CO-ADMINISTRATION FEE
--------------------- ------ ---------------------
$9,397 $(5,254) $4,143
In addition to serving as the Fund's co-administrator, CSAMSI serves as
distributor of the Fund's shares. CSAMSI receives compensation from the Fund's
Common shares under the co-administration agreement for shareholder servicing
and distribution. Under the Shareholder Servicing and Distribution Plan on the
Common shares, CSAMSI receives a fee calculated at an annual rate of .25% of the
average daily net assets of the Common shares of the Fund. For the year ended
August 31, 2001, the shareholder services fee earned by CSAMSI was $4,789.
Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by
the Fund to provide certain financial printing services. For the year ended
August 31, 2001, Merrill was paid $48,357 by the Fund.
NOTE 3. LINE OF CREDIT
Through June 19, 2001, the Fund, together with other funds advised by CSAM
(collectively, the "Participating Funds"), participated in a $350 million
committed, unsecured, line of credit facility (the "Prior Credit Facility") with
Deutsche Bank, A.G. as administrative agent, State Street Bank and Trust Company
as operations agent, Bank of Nova Scotia as syndication agent and certain other
lenders, for temporary or emergency purposes primarily relating to unanticipated
Participating Funds' share redemptions. Under the terms of the Prior Credit
Facility, the Participating Funds paid an aggregate commitment fee at a rate of
.075% per annum on the entire amount of the Prior Credit Facility, which was
allocated among the Participating Funds in such manner as was determined by the
governing Boards of the Participating Funds. In addition, the Participating
Funds paid interest on borrowings at the Federal funds rate plus .50%.
21
Effective June 20, 2001, the Participating Fund, together with additional
funds advised by CSAM (collectively with the Participating Funds, the "New
Participating Funds"), established a new $200 million committed, unsecured, line
of credit facility (the "New Credit Facility") with Deutsche Bank, A.G. as
administrative agent, State Street Bank and Trust Company as operations agent,
BNP Paribas as syndication agent and certain other lenders, for the same
purposes as the Prior Credit Facility. Under the terms of the New Credit
Facility, the New Participating Funds pay an aggregate commitment fee at a rate
of .10% per annum on the average unused amount of the New Prior Credit Facility,
which is allocated among the New Participating Funds in such manner as was
determined by the governing Boards of the New Participating Funds. The interest
rate paid under the New Credit Facility is unchanged from the rate paid under
the Prior Credit Facility.
For the year ended August 31, 2001, the Fund has no borrowings under the
Prior Credit Facility or the New Credit Facility.
NOTE 4. PURCHASES AND SALES OF SECURITIES
For the year ended August 31, 2001, purchases and sales of investment
securities (excluding short-term investments) were as follows:
INVESTMENT SECURITIES
---------------------
PURCHASES SALES
----------- -------
$16,462,424 $16,874,130
At August 31, 2001, the net unrealized appreciation from investments for
those securities having an excess of value over cost and net unrealized
depreciation from investments for those securities having an excess of cost over
value (based on cost for federal income tax purposes) were as follows:
Gross Appreciation -- Investments $460,458
Gross Depreciation -- Investments (352,047)
Gross Appreciation -- Short Sales 983,373
Gross Depreciation -- Short Sales (328,359)
--------
Net Appreciation $763,425
========
22
NOTE 5. CAPITAL SHARE TRANSACTIONS
Each class of shares of the Fund is authorized to issue one billion full
and fractional shares of capital stock, $.001 par value per share.
Transactions in capital shares for each year were as follows:
COMMON CLASS INSTITUTIONAL CLASS
------------------------------------------------ ------------------------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
AUGUST 31, 2001 AUGUST 31, 2000 AUGUST 31, 2001 AUGUST 31, 2000
--------------------- ---------------------- ---------------------- ----------------------
SHARES VALUE SHARES VALUE SHARES VALUE SHARES VALUE
-------- ----------- --------- ----------- --------- ----------- --------- -----------
Shares sold 103,572 $1,532,709 190,472 $2,886,336 44,799 $641,966 141,588 $2,105,343
Shares issued in
reinvestment of
distributions 5,215 74,627 8,769 124,965 9,662 136,521 21,825 307,514
Shares redeemed (90,177) (1,320,984) (191,177) (2,885,304) (134,680) (1,935,343) (268,139) (3,928,705)
-------- ----------- --------- ----------- --------- ----------- --------- -----------
Net increase (decrease) 18,610 $286,352 8,064 $125,997 (80,219) $(1,156,856) (104,726) $(1,515,848)
======== =========== ========= =========== ========= =========== ========= ===========
On August 31, 2001, the number of shareholders that held 5% or more of the
outstanding shares of each Class of the Fund are as follows:
NUMBER OF APPROXIMATE PERCENTAGE
SHAREHOLDERS OF OUTSTANDING SHARES
------------ ----------------------
Common Class 1 5.67%
Institutional Class 6 92.70%
NOTE 6. CAPITAL LOSS CARRYOVER
At August 31, 2001, capital loss carryovers were available to offset future
realized gains in the amount of $1,302,805 of which $483,438 expires in 2008 and
$819,367 expires in 2009. In addition, the Fund had deferred post October losses
of $533,523.
NOTE 7. SUBSEQUENT EVENT
On July 30, 2001, the Board of Directors approved the dissolution,
liquidation and termination of the Fund. The dissolution of the Fund will be
submitted to shareholders of the Fund for approval. The Special Meeting of
Shareholders will be held on December 19, 2001 at 466 Lexington Avenue, New
York, New York, 10017.
23
CREDIT SUISSE WARBURG PINCUS LONG-SHORT MARKET NEUTRAL FUND
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors and Shareholders of
Credit Suisse Warburg Pincus Long-Short Market Neutral Fund, Inc.
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Credit Suisse Warburg Pincus
Long-Short Market Neutral Fund, Inc. (formerly known as Warburg, Pincus
Long-Short Market Neutral Fund, Inc.) (the "Fund") at August 31, 2001, the
results of its operations for the year then ended, the changes in its net assets
for each of the two years in the period then ended and the financial highlights
for each of the years (or periods) presented, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with auditing
standards generally accepted in the United States of America, which require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at August 31, 2001 by correspondence with the custodian and
brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 15, 2001
24
CREDIT SUISSE WARBURG PINCUS LONG-SHORT MARKET NEUTRAL FUND
TAX INFORMATION LETTER
August 31, 2001
IMPORTANT TAX INFORMATION FOR CORPORATE SHAREHOLDERS (UNAUDITED)
Corporate shareholders should note for the year ended August 31, 2001, the
percentage of the Fund's investment income (I.E., net investment income plus
short-term capital gains) that qualifies for the intercorporate dividends
received deduction is 38.29%.
25
CREDIT SUISSE WARBURG PINCUS FUNDS
----------------------------------
CREDIT | ASSET
SUISSE | MANAGEMENT
P.O. BOX 9030, BOSTON, MA 02205-9030
800-WARBURG (800-927-2874) - www.warburg.com
CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. CSLSN-2-0801