N-30D 1 a2069596zn-30d.txt N-30D [GRAPHIC] GLOBAL BALANCED FUND GLOBAL EQUITY FUND GLOBAL TECHNOLOGY FUND GLOBAL BIOTECH FUND GLOBAL BOND FUND U.S. BALANCED FUND U.S. EQUITY FUND U.S. LARGE CAP EQUITY FUND U.S. LARGE CAP GROWTH FUND U.S. SMALL CAP GROWTH FUND U.S. BOND FUND HIGH YIELD FUND INTERNATIONAL EQUITY FUND U.S. VALUE EQUITY FUND SEMIANNUAL REPORT DECEMBER 31, 2001 THE BRINSON FUNDS ----------------- THE FUND'S ADVISOR -- BRINSON PARTNERS, INC. -------------------------------------------------------------------------------- THE YEAR 2001 WAS YET ANOTHER DIFFICULT YEAR FOR MANY INVESTORS. THE CONTINUED UNDOING OF THE LARGEST INVESTMENT BUBBLE SINCE THE ROARING '20S, COMBINED WITH A SYNCHRONIZED GLOBAL RECESSION AND THE BRUTAL TERRORIST ACTIVITY OF SEPTEMBER 11, PUT STRESS ON INVESTMENT MARKETS AND EQUITY MARKETS IN PARTICULAR. AS A RESULT, MANY OF THE CLIENTS WE WORK WITH EXPERIENCED REAL WEALTH DIMINUTION IN THEIR AGGREGATE PORTFOLIOS FOR THE SECOND YEAR IN A ROW. AGAINST THIS BACKGROUND, WE WERE ABLE TO ADD RELATIVE VALUE IN MOST CLIENT PORTFOLIOS FOR TWO CONSECUTIVE YEARS--AND IN MORE THAN A FEW CASES WE GENERATED BACK-TO-BACK POSITIVE REAL ABSOLUTE RETURNS DESPITE THE FALLING MARKETS. THIS IS DUE IN NO SMALL PART TO THE WAY IN WHICH OUR INVESTMENT TEAM ADHERED TO INVESTMENT PRINCIPLES IN A TURBULENT ENVIRONMENT. CREDIT AND THANKS ARE OWED THOSE OF YOU WHO STAYED THE COURSE. I REITERATE MY BELIEF THAT YOU AND I ARE BOTH ALIGNED WITH THE FINEST GLOBAL INVESTMENT TEAM WE COULD HOPE TO ASSEMBLE. DESPITE OUR RECENT INVESTMENT SUCCESS, MARKETS HAVE HUMBLED US IN THE PAST. WE MUST CONTINUE TO WORK ON ASSESSING OUR VULNERABILITIES AND BE RIGOROUS IN OUR EVALUATION OF RISKS AS WE STRIVE TO PROVIDE THE HIGHEST QUALITY SERVICE AND VALUE ADDED INVESTMENT RESULTS. I AM MORE CONFIDENT THAN EVER THAT OUR FUNDAMENTALLY SOUND INVESTMENT PHILOSOPHY, GLOBAL APPROACH, TECHNOLOGICAL RESOURCES, DIVERSE PERSPECTIVE AND COMMITMENT TO TOP QUALITY UNCOMMON RESEARCH WILL BE THE KEY DRIVERS OF OUR INVESTMENT SUCCESS IN 2002 AND IN THE YEARS AHEAD. -------------------------------------------------------------------------------- 1 TABLE OF CONTENTS -------------------------------------------------------------------------------- Economic and Market Highlights ........................................... 3 Portfolio Managers' Commentary and Schedule of Investments Global Balanced Fund ............................................... 5 Global Equity Fund ................................................. 16 Global Technology Fund ............................................. 23 Global Biotech Fund ................................................ 26 Global Bond Fund ................................................... 29 U.S. Balanced Fund ................................................. 35 U.S. Equity Fund ................................................... 41 U.S. Large Cap Equity Fund ......................................... 45 U.S. Large Cap Growth Fund ......................................... 49 U.S. Small Cap Growth Fund ......................................... 53 U.S. Bond Fund ..................................................... 57 High Yield Fund .................................................... 62 International Equity Fund .......................................... 69 U.S. Value Equity Fund ............................................. 75 Statements of Assets and Liabilities ..................................... 80 Statements of Operations ................................................. 84 Statement of Cash Flows .................................................. 86 Statements of Changes in Net Assets ...................................... 88 Financial Highlights ..................................................... 93 Notes to Financial Statements ............................................ 120 Trustee and Officer Information .......................................... 129 -------------------------------------------------------------------------------- 2 ECONOMIC REVIEW AND OUTLOOK -------------------------------------------------------------------------------- The period ended December 31, 2001 saw the end of a record economic expansion in the U.S. and a pronounced slowing of economic growth on a global basis. There was generally a continued slide in U.S. economic activity, with the effects on the global economy being underestimated by officials and investors abroad as well. The shock of the events of September 11 forced a sobering reassessment not only of economic developments up to that point in time, but also of the medium-term outlook. The result is a view of sub-par global growth in 2002 and of a drawn-out recovery in the U.S. for 2002 rather than a solid upturn. The International Monetary Fund, as of December 2001, put global growth for 2002 at a very modest 2.4%, with U.S. growth at a paltry 0.7%. Even with a strong fourth quarter rally, economic deterioration continued through year-end. Moreover, the war on terrorism, worsening Israeli-Arab tensions and a percolating conflict between India and Pakistan raise obvious concerns. Any serious conflagration would, at a particularly inopportune time, provide a disruption to the process of increasing willingness to take risk that normally occurs as economic stabilization is confirmed and recovery anticipated. On a global basis, the provision of liquidity through official interest rate reductions and a precipitous decline in energy prices will provide support for the rebound. The global economy will no doubt recover, but the question is how strong the rebound will be in the large economies both in absolute and relative terms. This will have significant bearing on capital flows and hence currency movements. Japan is experiencing its third recession in a decade and appears to have the least going for it in terms of any rebound, over either the short or medium term, given the deep structural problems that still exist. Policy makers continue to avoid confronting the real issues and a formula for sustained recovery has not been forthcoming. Though clear of the kinds of structural problems facing Japan, the U.S. faces private sector debt imbalances of historic proportions that, while perhaps exaggerated, will still provide a significant headwind as the economy moves toward recovery. Unusually swift fiscal action, aggressive interest rate reductions, and a large swing in inventory drawdown to inventory building could provide a powerful short-term boost to economic activity. However, the aforementioned debt imbalances continue to cast a pall over the medium-term outlook. Continental Europe appears the best positioned overall, with a short-term bounce likely as the global economy picks up, and a medium-term situation free of any restraining factors peculiar to the present economic cycle. Of course, the ongoing work of addressing labor and product market rigidities as well as differing regulatory environments within the European Union will continue in the background. Transition to the euro should prove to be a non-event. Emerging markets will likely follow the lead of the major developed economic powers within their respective regions, except for Asia, where a disconnect from Japan has been in place for some time. Latin American economies therefore face a tougher road ahead than their Eastern European counterparts. -------------------------------------------------------------------------------- 3 ECONOMIC AND MARKET HIGHLIGHTS -------------------------------------------------------------------------------- GLOBAL ENVIRONMENT
6 MONTHS 1 YEAR 3 YEARS 5 YEARS MAJOR MARKETS ENDED ENDED ENDED ENDED TOTAL RETURN IN U.S. DOLLARS 12/31/01 12/31/01 12/31/01 12/31/01 ------------------------------------------------------------------------------------------------- U.S. Equity -5.50% -10.97% -0.67% 9.70% Global (Ex-U.S.) Equities (currency unhedged) -7.90 -21.36 -4.56 1.04 Global (Ex-U.S.) Equities (currency hedged) -9.75 -15.35 3.61 8.02 U.S. Bonds 4.73 8.52 6.29 7.43 Global (Ex-U.S.) Bonds (currency unhedged) 3.47 -3.54 -3.76 0.10 Global (Ex-U.S.) Bonds (currency hedged) 2.88 6.11 6.17 8.19 U.S. Cash Equivalents 1.25 3.29 4.72 5.48 -------------------------------------------------------------------------------------------------
6 MONTHS 1 YEAR 3 YEARS 5 YEARS MAJOR CURRENCIES ENDED ENDED ENDED ENDED PERCENT CHANGE RELATIVE TO U.S. DOLLARS 12/31/01 12/31/01 12/31/01 12/31/01 ----------------------------------------------------------------------------------------- Yen -5.32% -13.10% -13.72% -12.12% Pound 2.78 -2.57 -10.11 -15.13 Euro 4.77 -5.64 -23.76 N/A Canadian Dollar -4.94 -5.99 -3.44 -13.97 -----------------------------------------------------------------------------------------
ALL TOTAL RETURNS IN EXCESS OF 1 YEAR ARE AVERAGE ANNUALIZED RETURNS. U.S. ENVIRONMENT [CHART]
TOP TEN S&P 500 INDUSTRY RETURNS Air Freight & Couriers 29.05% Containers & Packaging 20.72% Textile & Apparel 19.01% Trading Companies & Distributors 18.10% Household Products 15.83% Health Care Equipment & Supplies 14.29% Multi-Line Retail 13.96% Personal Products 12.16% Household Durables 11.56% Food Products 11.02%
[CHART]
BOTTOM TEN S&P 500 INDUSTRY RETURNS Construction & Engineering -12.84% Software -15.53% Internet Software & Services -16.66% Electronic Equipment & Instruments -16.68% Wireless Telecommunication Services -17.14% Airlines -19.29% Leisure Equipment & Product -20.24% Automobiles -22.63% Media -24.50% Multi-Utilities -68.03%
-------------------------------------------------------------------------------- 4 GLOBAL BALANCED FUND -------------------------------------------------------------------------------- For the six months ended December 31, 2001, Class Y (formerly Class I) shares of Global Balanced Fund (formerly named Global Fund) advanced 2.8%. In comparison, the Fund's benchmark, the GSMI Mutual Fund Index* declined 2.5%. The MSCI World Equity (Free) Index fell 6.9% and the Salomon Smith Barney World Government Bond Index gained 3.7% for the same period. The six-month period was challenging for global investors. Returns were affected by a continued slowdown in economies around the globe. As corporate capital spending was cut in most industries, earnings were revised down repeatedly and investors lost confidence in projected long-term growth rates. This led to negative investment returns for the period. The U.S. Federal Reserve and the European Central Bank (ECB) continued to cut rates to stave off a recession that materialized nonetheless. Low interest rates helped buoy consumer spending on U.S. housing and aggressive incentives supported auto sales in North America, but the ECB was less successful in supporting the European consumer. Japan's recession continued, marked by rampant deflation and pressure on the banking system. The world economic picture was already poor at the time of the events of September 11. Following the attacks, U.S. consumer spending dipped but then recovered as sentiment improved to previous levels and investors began to look ahead to a possible recovery in 2002. Successful security selection was the key to managing the Fund during the six-month period. In the equity portion of the Fund, we diversified investments among U.S., European and emerging market securities. Initially, the Fund was underweighted in U.S. stocks, relative to its benchmark. U.S. equities started their downward trend in March 2000 and continued to decline through the third quarter of 2001 where they reached attractive valuations. Therefore, we added to the U.S. equity position in the Fund as the period progressed. In choosing stocks, we focused on the intrinsic value of each underlying company. For the second year in a row, global fixed-income markets were up strongly on a fully hedged basis; that is, exclusive of currency effects. In the United States, prices of inflation-linked bonds and investment-grade corporate bonds outpaced those of Treasury securities. However, the performance of U.S. high yield debt was relatively poor. The performance of emerging market bonds lagged that of developed market bonds. The market allocation of the Fund benefited performance. Early in the period, the Fund was overweighted, relative to its benchmark, in U.S. fixed-income securities. The Fund's position in U.S. Treasury inflation protected securities (TIPS) was the biggest contributor to performance. Smaller allocations to emerging market debt, euro-denominated bonds and high yield bonds also aided performance. As the period progressed, we reduced the Fund's exposure to the fixed-income markets in developed countries, including its allocation to U.S. TIPS, to fund the purchase of attractively priced equities. The Fund's currency strategy was a neutral factor in performance. Early in the period, the Fund was underweight to the Japanese yen, which aided the Fund's return. However, the Fund's underweight to the U.S. dollar and overweight to the euro offset the benefit of the yen position. ---------- * An unmanaged index compiled by the Advisor, constructed as follows: 40% Wilshire 5000 Index; 22% MSCI World Ex USA (Free) Index; 21% Salomon Smith Barney Broad Investment Grade (BIG) Bond Index; 9% Salomon Smith Barney Non-U.S. Gov't Bond Index; 2% JP Morgan EMBI Global; 3% MSCI Emerging Markets Free Index; and 3% Merrill Lynch High Yield Master Index. -------------------------------------------------------------------------------- 5 GLOBAL BALANCED FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR 3 YEARS 5 YEARS INCEPTION* ENDED ENDED ENDED ENDED TO 12/31/01 12/31/01 12/31/01 12/31/01 12/31/01 --------------------------------------------------------------------------------------------------------- GLOBAL BALANCED FUND CLASS A+ 2.57% 1.93% 3.07% N/A 4.20% --------------------------------------------------------------------------------------------------------- GLOBAL BALANCED FUND CLASS B+ N/A N/A N/A N/A 1.44 --------------------------------------------------------------------------------------------------------- GLOBAL BALANCED FUND CLASS C+ N/A N/A N/A N/A 2.55 --------------------------------------------------------------------------------------------------------- GLOBAL BALANCED FUND CLASS Y 2.75 2.20 3.38 5.85% 8.37 --------------------------------------------------------------------------------------------------------- GSMI Mutual Fund Index** -2.51 -7.50 0.49 6.20 9.24 --------------------------------------------------------------------------------------------------------- MSCI World Equity (Free) Index -6.92 -16.63 -3.21 5.55 9.45 --------------------------------------------------------------------------------------------------------- Salomon Smith Barney World Gov't Bond Index 3.74 -0.99 -1.25 2.16 4.79 ---------------------------------------------------------------------------------------------------------
* INCEPTION DATE OF GLOBAL BALANCED FUND CLASS A (FORMERLY CLASS N) IS 6/30/97. INCEPTION DATE OF CLASS B AND CLASS C ARE 12/13/01 AND 11/22/01, RESPECTIVELY. INCEPTION DATE OF CLASS Y (FORMERLY CLASS I) AND THE INDICES IS 8/31/92. ** AN UNMANAGED INDEX COMPILED BY THE ADVISOR, CONSTRUCTED AS FOLLOWS: 40% WILSHIRE 5000 INDEX; 22% MSCI WORLD EX USA (FREE) INDEX; 21% SALOMON SMITH BARNEY BIG BOND INDEX; 9% SALOMON SMITH BARNEY NON-U.S. GOV'T BOND INDEX; 2% JP MORGAN EMBI GLOBAL; 3% MSCI EMERGING MARKETS FREE INDEX; AND 3% MERRILL LYNCH HIGH YIELD MASTER INDEX. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR ARE AVERAGE ANNUALIZED RETURNS. ------------------------------------------------------------------------------- 6 GLOBAL BALANCED FUND -------------------------------------------------------------------------------- ASSET ALLOCATION AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS -------------------------------------------- U.S. Equities 43.3% Non-U.S. Equities 21.0 U.S. Bonds 15.0 Emerging Market Equities 6.8 Non-U.S. Bonds 5.3 High Yield Bonds 4.8 Emerging Market Debt 3.8 ------------------------------------------- Total 100.0%
TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS ---------------------------------------------- Johnson & Johnson 1.2% Citigroup, Inc. 1.2 Burlington Northern Santa Fe Corp. 1.1 Wells Fargo & Co. 1.1 Microsoft Corp. 0.9 Abbott Laboratories, Inc. 0.9 Allergan, Inc. 0.9 Freddie Mac 0.9 Baxter International, Inc. 0.9 American Home Products Corp. 0.9 ---------------------------------------------- Total 10.0%
TOP TEN FIXED INCOME HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS -------------------------------------------------------- U.S. Treasury Note 3.625%, due 08/31/03 1.5% U.S. Treasury Note 7.000%, due 07/15/06 1.1 U.S. Treasury Note 6.250%, due 05/15/30 1.0 Federal National Mortgage Association 7.500%, due 02/25/29 0.7 U.S. Treasury Note 6.500%, due 02/15/10 0.6 U.S. Treasury Bond 8.750%, due 05/15/17 0.6 Federal National Mortgage Association 6.000%, due 11/01/28 0.4 Federal Home Loan Mortgage Corp., Gold 6.500%, due 04/01/29 0.4 U.S. Treasury Bond 8.000%, due 11/15/21 0.4 Buoni Poliennali Del Tes 3.250%, due 04/15/04 0.4 -------------------------------------------------------- Total 7.1%
-------------------------------------------------------------------------------- 7 GLOBAL BALANCED FUND -------------------------------------------------------------------------------- INDUSTRY DIVERSIFICATION AS A PERCENT OF NET ASSETS AS OF DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- U.S. EQUITIES Energy ........................................................ 1.42% Capital Investment Aerospace/Military ......................................... 0.61 Capital Goods .............................................. 1.83 Electronic Components ...................................... 1.01 ------ 3.45 Basic Industries Broadcasting & Publishing .................................. 0.83 Chemicals .................................................. 1.43 Housing/Paper .............................................. 1.09 Metals ..................................................... 0.85 ------ 4.20 Computers Software ................................................... 1.64 Systems .................................................... 0.97 ------ 2.61 Consumer Autos/Durables ............................................. 1.25 Food/House Products ........................................ 0.76 Health: Drugs .............................................. 4.17 Health: Non-Drugs .......................................... 2.76 Leisure/Tourism ............................................ 0.32 Retail/Apparel ............................................. 2.07 ------ 11.33 Financial Banks ...................................................... 3.21 Non-Banks .................................................. 4.74 ------ 7.95 Telecommunications Equipment .................................................. 0.20 Services ................................................... 1.50 ------ 1.70 Services/Miscellaneous ........................................ 3.81 Transportation ................................................ 1.33 Investment Companies .......................................... 2.69 Utilities ..................................................... 1.46 ------ Total U.S. Equities .................................. 41.95 INTERNATIONAL EQUITIES Airlines ................................................... 0.05 Appliances & Household ..................................... 0.29 Autos/Durables ............................................. 0.37 Banking .................................................... 2.36 Beverages & Tobacco ........................................ 0.71 Broadcasting & Publishing .................................. 0.73 Building Materials ......................................... 0.26 Business & Public Service .................................. 0.37 Chemicals .................................................. 0.66 Computer Software .......................................... 0.08 Construction ............................................... 0.29 Data Processing ............................................ 0.17 Electric Components ........................................ 0.65 Electronics ................................................ 0.17 Energy ..................................................... 2.14 Financial Services ......................................... 1.73 Food & House Products ...................................... 0.90 Forest Products ............................................ 0.20 Health & Personal Care ..................................... 2.04 Housing/Paper .............................................. 0.14 Industrial Components ...................................... 0.08% Insurance .................................................. 1.34 Leisure & Tourism .......................................... 0.13 Machinery & Engineering .................................... 0.21 Metals-Non Ferrous ......................................... 0.15 Metals-Steel ............................................... 0.08 Multi-Industry ............................................. 0.30 Real Estate ................................................ 0.25 Recreation ................................................. 0.15 Retail/Apparel ............................................. 0.24 Services/Miscellaneous ..................................... 0.05 Telecommunications ......................................... 2.04 Transportation ............................................. 0.50 Utilities .................................................. 0.39 Wholesale & International Trade ............................ 0.16 ------ Total International Equities ......................... 20.38 EMERGING MARKETS EQUITY FUND .................................. 6.59 ------ TOTAL EQUITIES ................................................ 68.92 U.S. BONDS U.S. Corporate Bonds Airlines ................................................... 0.19 Banks ...................................................... 0.19 Chemicals .................................................. 0.03 Computer Systems ........................................... 0.03 Construction ............................................... 0.06 Consumer ................................................... 0.03 Energy ..................................................... 0.49 Financial .................................................. 0.79 Food & House Products ...................................... 0.06 Housing/Paper .............................................. 0.02 Metals ..................................................... 0.01 Publishing ................................................. 0.04 Real Estate ................................................ 0.01 Recreation ................................................. 0.03 Retail/Apparel ............................................. 0.04 Services/Miscellaneous ..................................... 0.10 Telecommunications ......................................... 0.35 Television Broadcasting .................................... 0.02 Transportation ............................................. 0.02 Utilities .................................................. 0.13 ------ Total U.S. Corporate Bonds ........................... 2.64 Asset-Backed .................................................. 0.54 Corporate Mortgage-Backed Securites ........................... 2.69 International Dollar Bonds .................................... 0.18 U.S. Government Mortgage-Backed Securities .................... 3.34 U.S. Government Obligations ................................... 5.12 ------ Total U.S. Bonds ..................................... 14.51 Foreign Government Bonds ...................................... 5.15 HIGH YIELD BOND FUND .......................................... 4.70 EMERGING MARKETS BONDS ........................................ 3.73 SHORT-TERM INVESTMENTS ........................................ 3.07 ------ TOTAL INVESTMENTS .......................................... 100.08 SECURITIES LENDING CASH COLLATERAL RECEIVED ................................... 13.55 LIABILITIES, LESS CASH AND OTHER ASSETS ............................................... (13.63) ------ NET ASSETS .................................................... 100.00% ======
-------------------------------------------------------------------------------- * THE FUND HELD A LONG POSITION IN U.S. TREASURY FUTURES ON DECEMBER 31, 2001 WHICH INCREASED U.S. BOND EXPOSURE FROM 14.51% TO 23.12%. THE FUND HELD A SHORT POSITION IN STOCK INDEX FUTURES ON DECEMBER 31, 2001 WHICH REDUCED TOTAL U.S. EQUITY EXPOSURE FROM 41.95% TO 34.33%.THESE ADJUSTMENTS RESULT IN A NET DECREASE IN THE FUND'S EXPOSURE TO SHORT-TERM INVESTMENTS FROM 3.07% TO 2.07%. -------------------------------------------------------------------------------- 8 GLOBAL BALANCED FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------ ---------- EQUITIES -- 68.92% U.S. EQUITIES -- 41.95% Abbott Laboratories ............................ 26,800 $ 1,494,100 Advanced Micro Devices, Inc. (b) ............... 45,800 726,388 Allergan, Inc. (c) ............................. 19,700 1,478,485 American Home Products Corp. ................... 23,400 1,435,824 American International Group, Inc. ............. 15,121 1,200,607 American Standard Companies, Inc. (b) .......... 13,600 927,928 Analog Devices, Inc. (b) ....................... 9,300 412,827 Ascential Software Corp. (b) ................... 2,609 10,566 Baxter International, Inc. (c) ................. 27,300 1,464,099 Brinson U.S. Small Capitalization Equity Fund (b) .............................. 174,628 4,359,413 Burlington Northern Santa Fe Corp. (c) ......... 63,100 1,800,243 Cephalon, Inc. (b) (c) ......................... 11,900 899,462 CIGNA Corp. .................................... 8,800 815,320 Cisco Systems, Inc. (b) ........................ 22,500 407,475 Citigroup, Inc. ................................ 37,607 1,898,401 CMS Energy Corp. ............................... 25,200 605,556 CommScope, Inc. (b) ............................ 15,200 323,304 Compaq Computer Corp. .......................... 41,600 406,016 Computer Sciences Corp. (b) (c) ................ 28,000 1,371,440 Compuware Corp. (b) ............................ 49,600 584,784 Consolidated Edison, Inc. ...................... 1,700 68,612 Dow Chemical Co. ............................... 19,800 668,844 Eastman Chemical Co. ........................... 7,900 308,258 Electronic Data Systems Corp. (c) .............. 8,000 548,400 Eli Lilly & Co. ................................ 11,200 879,648 EMC Corp. (b) .................................. 40,600 545,664 Ensco International, Inc. ...................... 22,900 569,065 Entergy Corp. .................................. 12,700 496,697 Exelon Corp. (c) ............................... 16,900 809,172 Exxon Mobil Corp. .............................. 30,800 1,210,440 Federated Department Stores, Inc. (b) .......... 9,800 400,820 FedEx Corp. (b) (c) ............................ 7,000 363,160 First Data Corp. ............................... 14,130 1,108,499 FirstEnergy Corp. .............................. 29,363 1,027,118 FleetBoston Financial Corp. (c) ................ 24,815 905,748 Freddie Mac .................................... 22,400 1,464,960 GreenPoint Financial Corp. ..................... 32,200 1,151,150 Household International, Inc. (c) .............. 18,500 1,071,890 Illinois Tool Works, Inc. ...................... 20,500 1,388,260 IMC Global, Inc. ............................... 33,300 432,900 Ingersoll-Rand Co. (b) ......................... 8,000 334,480 Johnson & Johnson (c) .......................... 32,138 1,899,356 Johnson Controls, Inc. ......................... 5,700 460,275 JP Morgan Chase & Co. .......................... 22,700 825,145 Kimberly-Clark Corp. ........................... 5,900 352,820 KPMG Consulting, Inc. (b) ...................... 13,100 217,067 Kroger Co. (b) (c) ............................. 56,800 1,185,416 Lear Corp. (b) ................................. 17,200 656,008 Lincoln National Corp. ......................... 6,800 330,276 Lyondell Chemical Co. (c) ...................... 21,000 300,930 Martin Marietta Materials, Inc. ................ 13,884 646,994 Masco Corp. (c) ................................ 56,300 1,379,350 McGraw-Hill Cos., Inc. ......................... 7,300 445,154 Mead Corp. (c) ................................. 15,800 488,062 Micron Technology, Inc. (b) .................... 10,100 313,100 Microsoft Corp. (b) ............................ 23,000 1,523,750 SHARES VALUE ------ ---------- Morgan Stanley Dean Witter & Co. ............... 12,700 $ 710,438 Motorola, Inc. (c) ............................. 31,430 472,079 Newell Rubbermaid, Inc. (c) .................... 31,700 873,969 Nextel Communications, Inc. (b) (c) ............ 86,400 946,944 Omnicom Group (c) .............................. 12,500 1,116,875 Pentair, Inc. .................................. 16,596 605,920 PNC Financial Services Group ................... 12,700 713,740 Praxair, Inc. (c) .............................. 11,100 613,275 Progress Energy, Inc. .......................... 10,100 454,803 RadioShack Corp. ............................... 14,400 433,440 Royal Caribbean Cruises Ltd. (c) ............... 32,500 526,500 Sanmina Corp. (b) .............................. 9,528 189,607 Sapient Corp. (b) (c) .......................... 29,000 223,880 Sara Lee Corp. (c) ............................. 55,354 1,230,519 SBC Communications, Inc. ....................... 25,800 1,010,586 SICOR, Inc. (b) ................................ 36,700 575,456 Target Corp. (c) ............................... 11,500 472,075 U.S. Bancorp (c) ............................... 33,000 690,690 United Health Group, Inc. ...................... 15,800 1,118,166 United Technologies Corp. ...................... 15,300 988,839 Viacom, Inc. (b) ............................... 20,400 900,660 Viad Corp. ..................................... 16,500 390,720 W.W. Grainger, Inc. ............................ 19,100 916,800 Wells Fargo & Co. .............................. 40,100 1,742,345 XL Capital Ltd. ................................ 4,800 438,528 York International Corp. ....................... 8,100 308,853 ---------- Total U.S. Equities ............................ 68,065,433 ---------- INTERNATIONAL EQUITIES -- 20.38% AUSTRALIA -- 0.68% Lion Nathan Ltd. ............................... 70,320 165,837 Mayne Nickless Ltd. ............................ 23,376 82,327 National Australia Bank Ltd., Preferred ........ 4,600 137,540 News Corp., Ltd., Preferred .................... 17,936 119,818 QBE Insurance Group Ltd. ....................... 32,371 127,263 Rio Tinto Ltd. ................................. 5,145 97,990 Westpac Banking Corp., Ltd. .................... 45,995 370,948 ---------- 1,101,723 ---------- BELGIUM -- 0.23% Electrabel S.A ................................. 500 104,177 Fortis ......................................... 10,467 271,673 ---------- 375,850 ---------- CANADA -- 0.53% Alcan Aluminum Ltd. ............................ 4,220 151,082 BCE, Inc. ...................................... 10,300 232,352 Nortel Networks Corp. .......................... 17,300 128,967 NOVA Chemicals Corp. ........................... 6,000 115,580 Royal Bank of Canada ........................... 7,100 230,529 ---------- 858,510 ---------- DENMARK -- 0.26% Danske Bank A/S ................................ 9,900 158,866 Novo-Nordisk A/S ............................... 6,431 263,004 ---------- 421,870 ----------
-------------------------------------------------------------------------------- 9 GLOBAL BALANCED FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ---------- FINLAND -- 0.75% Nokia Oyj .................................... 22,490 $ 579,927 Sampo Leonia Insurance, Class A .............. 11,300 88,541 Stora Enso Oyj ............................... 17,450 223,429 UPM-Kymmene Corp. ............................ 10,020 332,338 ---------- 1,224,235 ---------- FRANCE -- 2.28% Air Liquide .................................. 1,660 232,647 Aventis S.A., Class A ........................ 8,730 619,913 AXA .......................................... 11,764 245,841 Banque Nationale de Paris .................... 3,599 322,058 Cap Gemini SA ................................ 1,160 83,765 Cie de Saint Gobain .......................... 1,737 262,153 France Telecom S.A. (c) ...................... 2,980 119,137 Groupe Danone ................................ 3,140 383,033 Societe Generale ............................. 5,500 307,789 Suez S.A ..................................... 3,220 97,481 Total Fina S.A., Class B ..................... 6,402 914,335 Union du Credit-Bail Immobilier .............. 2,160 109,722 ---------- 3,697,874 ---------- GERMANY -- 0.68% Allianz AG ................................... 1,130 267,134 Bayer AG ..................................... 9,430 299,754 Deutsche Telekom ............................. 6,100 105,370 E.on AG ...................................... 3,089 160,626 Muenchener Rueckver AG ....................... 991 269,128 ---------- 1,102,012 ---------- HONG KONG -- 0.25% Esprit Holdings Ltd. ......................... 88,000 99,309 Hong Kong Electric Holdings .................. 44,500 165,493 Sun Hung Kai Properties Ltd. ................. 17,000 137,345 ---------- 402,147 ---------- IRELAND -- 0.25% Bank of Ireland .............................. 13,200 124,938 CRH PLC ...................................... 15,555 273,541 ---------- 398,479 ---------- ITALY -- 0.58% Assicurazioni Generali Spa ................... 11,000 305,586 ENI Spa ...................................... 32,500 407,447 San Paolo-imi Spa ............................ 22,000 236,045 ---------- 949,078 ---------- JAPAN -- 3.99% Aiful Corporation ............................ 2,250 145,582 Benesse Corp. ................................ 7,300 189,379 Canon, Inc. .................................. 8,000 275,294 Dai Nippon Printing Co., Ltd. (c) ............ 11,000 109,950 Daikin Industries Ltd. ....................... 8,000 125,439 East Japan Railway Co. ....................... 36 173,874 Fast Retailing Co., Ltd ...................... 900 80,070 Fuji Photo Film Co., Ltd. .................... 6,000 214,253 Hirose Electric Co., Ltd. .................... 1,000 68,137 Honda Motor Co. .............................. 2,200 87,792 Hoya Corp. ................................... 1,900 113,513 Kamigumi Co., Ltd. ........................... 19,000 77,995 SHARES VALUE ------- ---------- Kao Corp. .................................... 7,000 $ 145,544 Matsushita Electric Industrial Co. ........... 5,000 64,207 Minebea Co., Ltd. ............................ 34,000 183,153 Mitsubishi Corp. ............................. 41,000 266,221 Mitsubishi Estate Co., Ltd. .................. 22,000 160,980 Mitsui Mining & Smelting Co Ltd .............. 40,000 131,238 Mizuho Holding, Inc. ......................... 85 173,165 Nintendo Corp., Ltd. ......................... 700 122,577 Nippon Telegraph & Telephone Corp. ........... 88 286,708 Nomura Securities Co., Ltd. .................. 12,000 153,823 Omron Corp. .................................. 3,000 40,058 Ono Pharmaceutical Co., Ltd. ................. 8,000 240,500 Orix Corp. (c) ............................... 2,300 206,028 Rohm Co. ..................................... 2,000 259,576 Sekisui House Ltd. ........................... 9,000 65,237 Sony Corp. ................................... 8,900 406,768 Sumitomo Bakelite Co., Ltd. (c) .............. 10,000 61,117 Sumitomo Bank ................................ 17,000 71,990 Sumitomo Chemical Co. ........................ 34,000 115,443 Takeda Chemical Industries ................... 8,000 361,972 Takefuji Corp. ............................... 3,200 231,466 Toyota Motor Corp. ........................... 20,300 514,238 West Japan Railway Co. ....................... 14 62,597 Yasuda Fire & Marine Ins. (c) ................ 44,000 251,793 Murata Manufacturing Co., Inc. ............... 4,000 239,890 ---------- 6,477,567 ---------- NETHERLANDS -- 1.55% ABN AMRO Holdings NV ......................... 15,736 253,465 Aegon NV ..................................... 7,033 190,371 Akzo Nobel NV ................................ 5,500 245,595 Elsevier NV .................................. 45,998 543,904 ING Groep NV ................................. 5,600 142,806 Philips Electronics NV ....................... 7,322 217,621 Royal Dutch Petroleum Co. .................... 3,600 182,390 TNT Post Group NV ............................ 15,800 341,860 VNU NV ....................................... 2,900 89,110 Wolters Kluwer NV ............................ 13,767 313,809 ---------- 2,520,931 ---------- NORWAY -- 0.07% Telenor ASA .................................. 26,400 113,614 PORTUGAL -- 0.32% ---------- Brisa-Auto Estradas de Portugal S.A .......... 36,000 152,579 Electricidade de Portugal S.A ................ 134,600 292,429 Portugal Telecom S.A ......................... 9,448 73,609 ---------- 518,617 ---------- SINGAPORE -- 0.28% DBS Group Holdings Ltd. ...................... 42,000 313,891 Neptune Orient Lines (b) ..................... 146,000 76,696 Singapore Telecommunications, Ltd. ........... 62,640 59,706 ---------- 450,293 ---------- SPAIN -- 0.52% Banco Popular Espanol S.A .................... 4,458 146,392 Banco Santander Central Hispano S.A .......... 53,746 450,320 Telefonica S.A. (b) .......................... 18,683 250,029 ---------- 846,741 ----------
-------------------------------------------------------------------------------- 10 GLOBAL BALANCED FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ SWEDEN -- 0.62% Sandvik AB ............................................. 6,200 $ 132,692 Svenska Cellulosa AB ................................... 10,130 277,159 Svenska Handelsbanken AB ............................... 18,280 268,370 Swedish Match AB ....................................... 62,720 331,845 ------------ 1,010,066 ------------ SWITZERLAND -- 1.08% Givaudan S.A. (Reg.) (b) ............................... 606 184,687 Nestle S.A. (Reg.) ..................................... 2,508 534,742 Novartis AG (Reg.) ..................................... 7,317 264,422 Roche Holding AG (Gen.) ................................ 7,516 536,437 Swiss Re ............................................... 2,214 222,693 ------------ 1,742,981 ------------ UNITED KINGDOM -- 5.46% Abbey National PLC ..................................... 17,000 242,468 Allied Domecq PLC ...................................... 39,155 232,075 BAA PLC ................................................ 11,000 88,131 Barclays PLC ........................................... 10,000 331,102 BP Amoco PLC ........................................... 87,000 676,146 BT Group PLC ........................................... 75,000 276,161 Carlton Communications PLC ............................. 13,000 45,976 Charter PLC ............................................ 33,676 60,285 Compass Group PLC ...................................... 18,000 134,915 Dimension Data Holdings PLC ............................ 35,000 42,279 Electrocomponents PLC .................................. 5,200 40,565 Emap PLC ............................................... 7,000 74,371 Gallaher Group PLC ..................................... 61,000 417,261 GlaxoSmithKline PLC (b) ................................ 35,901 900,268 Hilton Group PLC ....................................... 28,000 85,985 HSBC Holdings PLC ...................................... 31,000 363,644 Invensys PLC ........................................... 89,000 154,464 Kingfisher PLC ......................................... 27,000 157,575 Lloyds TSB Group PLC ................................... 33,969 368,809 mmO2 ................................................... 79,000 99,454 National Grid Group PLC ................................ 45,000 280,309 P&O Princess Cruises PLC ............................... 6,000 34,929 Prudential PLC ......................................... 26,040 301,671 Reckitt Benckiser PLC .................................. 18,000 261,971 Rentokil Initial PLC ................................... 54,000 216,912 Rolls-Royce PLC ........................................ 85,000 205,974 Royal Bank of Scotland Group PLC ....................... 21,000 511,017 Safeway PLC ............................................ 45,000 209,576 Scottish & Southern Energy PLC ......................... 23,380 207,565 Scottish Power PLC ..................................... 50,000 276,525 Shell Transport & Trading PLC .......................... 103,000 707,554 Smurfit (Jefferson) Group PLC .......................... 63,000 135,242 Vodafone Group PLC ..................................... 272,356 712,502 ------------ 8,853,681 ------------ Total International Equities ........................... 33,066,269 ------------ EMERGING MARKETS EQUITY FUND -- 6.59% Brinson Emerging Markets Equity Fund (b) ............... 1,294,644 10,700,103 ------------ Total Equities (Cost $108,325,783) ..................... 111,831,805 ------------ FACE AMOUNT VALUE ---------- ------------ BONDS -- 28.09% U.S BONDS -- 14.51% U.S. CORPORATE BONDS -- 2.64% Abitibi - Consolidated Finance LP 7.875%, due 08/01/09 ................................. $ 35,000 $ 34,801 Alcoa Inc. 6.000%, due 01/15/12 ................................. 15,000 14,891 Amerada Hess Corp 6.650%, due 08/15/11 ................................. 20,000 19,915 Anadarko Finance Co. 7.500%, due 05/01/31 ................................. 15,000 15,632 AOL Time Warner, Inc. 6.750%, due 04/15/11 ................................. 35,000 35,866 AT&T Wireless Services, Inc. 7.875%, due 03/01/11 ................................. 55,000 58,795 Avon Products, Inc. 7.150%, due 11/15/09 ................................. 50,000 53,169 Bank of America Corp. 7.400%, due 01/15/11 ................................. 125,000 134,027 Bank One Corp. 7.875%, due 08/01/10 ................................. 50,000 55,056 Bombardier Capital, Inc., 144A 6.125%, due 06/29/06 ................................. 30,000 29,218 Burlington Northern Santa Fe Corp. 6.875%, due 12/01/27 ................................. 15,000 14,744 7.082%, due 05/13/29 ................................. 20,000 20,155 Caterpillar, Inc. 6.550%, due 05/01/11 ................................. 25,000 25,944 Cendant Corp., 144A 6.875%, due 08/15/06 ................................. 140,000 135,231 Centex Corp. 9.750%, due 06/15/05 ................................. 85,000 94,034 Citigroup, Inc. 7.250%, due 10/01/10 ................................. 150,000 160,752 Citizens Communications Co. 9.250%, due 05/15/11 ................................. 100,000 111,286 Comcast Cable Communications 6.750%, due 01/30/11 ................................. 30,000 30,130 Continental Airlines, Inc., E.E.T.C. 6.320%, due 11/01/08 ................................. 200,000 174,297 Delhaize America, Inc. 8.125%, due 04/15/11 ................................. 60,000 65,856 Delta Airlines, Inc. 00-1, E.E.T.C. 7.570%, due 11/18/10 ................................. 75,000 74,201 Dominion Resources, Inc., Class B 7.625%, due 07/15/05 ................................. 100,000 106,616 Duke Energy Field Services 6.875%, due 02/01/11 ................................. 15,000 14,909 Duke Energy Field Services LLC 7.875%, due 08/16/10 ................................. 70,000 73,942 El Paso Energy Corp. 7.800%, due 08/01/31 ................................. 50,000 50,458 Energizer Holdings, Inc. 7.375%, due 12/01/09 ................................. 30,000 31,990 EOP Operating Ltd. 7.875%, due 07/15/31 ................................. 20,000 19,937 Equistar Chemicals LP 8.750%, due 02/15/09 ................................. 45,000 43,402 10.125%, due 09/01/08 ................................ 25,000 25,125
-------------------------------------------------------------------------------- 11 GLOBAL BALANCED FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE -------- ---------- Erac U.S.A. Finance Co., 144A 8.000%, due 01/15/11 ........................ $135,000 $ 135,828 First Data Corp. 5.625%, due 11/01/11 ...................... 55,000 52,565 First Energy Corp. 6.450%, due 11/15/11 ...................... 50,000 48,783 First Union National Bank 7.800%, due 08/18/10 ...................... 70,000 76,853 Ford Motor Credit Co. 7.375%, due 02/01/11 ...................... 60,000 58,971 Ford Motor Credit Co. 6.875%, due 02/01/06 ...................... 165,000 165,238 General Motors Acceptance Corp. 6.125%, due 09/15/06 ...................... 115,000 113,821 6.875%, due 09/15/11 ...................... 70,000 68,569 Goldman Sachs Group, Inc. 6.875%, due 01/15/11 ...................... 25,000 25,605 Harrah's Operating Co., Inc. 7.125%, due 06/01/07 ...................... 50,000 50,596 Household Finance Corp. 6.750%, due 05/15/11 ...................... 135,000 134,238 International Paper Co. 6.750%, due 09/01/11 ...................... 35,000 35,392 Keycorp Capital II 6.875%, due 03/17/29 ...................... 10,000 8,887 Kohls Corp. 7.250%, due 06/01/29 ...................... 10,000 10,536 Kraft Foods, Inc. 4.625%, due 11/01/06 ...................... 15,000 14,675 6.500%, due 11/01/31 ...................... 30,000 29,364 Kroger Co. 6.800%, due 04/01/11 ...................... 25,000 25,642 7.500%, due 04/01/31 ...................... 20,000 20,993 Mirant Americas Generation, Inc. 7.625%, due 05/01/06 ...................... 75,000 68,380 9.125%, due 05/01/31 ...................... 10,000 8,610 Morgan Stanley Dean Witter 6.750%, due 04/15/11 ...................... 70,000 71,615 News America Holdings, Inc. 7.125%, due 04/08/28 ...................... 75,000 68,415 Nisource Finance Corp. 7.875%, due 11/15/10 ...................... 55,000 56,921 Occidental Petroleum Corp. 8.450%, due 02/15/29 ...................... 35,000 39,632 PDVSA Finance Ltd. 8.500%, due 11/16/12 ...................... 15,000 13,650 Progress Energy, Inc. 7.000%, due 10/30/31 ...................... 25,000 24,636 Pure Resources, Inc. 7.125%, due 06/15/11 ...................... 25,000 23,992 Qwest Capital Funding, Inc. 7.900%, due 08/15/10 ...................... 155,000 157,687 Rohm & Haas Co. 7.850%, due 07/15/29 ...................... 15,000 16,706 Sempra Energy 7.950%, due 03/01/10 ...................... 75,000 77,507 Sprint Capital Corp. 7.625%, due 01/30/11 ...................... 110,000 115,538 FACE AMOUNT VALUE -------- ---------- Target Corp. 7.000%, due 07/15/31 ...................... $ 45,000 $ 47,303 Telus Corp. 8.000%, due 06/01/11 ...................... 100,000 106,117 Transocean Sedco Forex, Inc. 6.625%, due 04/15/11 ...................... 70,000 68,684 United Airlines, Inc., E.E.T.C. 7.811%, due 10/01/09 ...................... 70,000 58,416 Valero Energy Corp. 8.750%, due 06/15/30 ...................... 15,000 17,065 Verizon Global Funding Corp. 7.750%, due 12/01/30 ...................... 50,000 55,650 Viacom, Inc. 8.625%, due 08/01/12 ...................... 40,000 46,244 Wells Fargo Bank N.A. 6.450%, due 02/01/11 ...................... 115,000 117,421 Williams Cos, Inc. 7.125%, due 09/01/11 ...................... 110,000 108,024 WorldCom Inc. 7.500%, due 05/15/11 ...................... 110,000 113,154 ---------- 4,282,302 ---------- ASSET-BACKED SECURITIES -- 0.54% Capital One Master Trust 7.200%, due 08/15/08 ...................... 460,000 496,222 Peco Energy Transition Trust, 99-A3, Class A7, 7.625%, due 03/01/10 ............ 125,000 137,870 Vanderbilt Mortgage Finance 8.255%, due 05/07/17 ...................... 215,000 234,827 ---------- 868,919 ---------- CORPORATE MORTGAGE-BACKED SECURITIES -- 2.69% Bear Stearns Commercial Mortgage Securities, 00-WF1, Class A2 7.780%, due 02/15/10 ...................... 350,000 384,382 Bear Stearns Commercial Mortgage Securities, 00-WF2, Class A2 7.320%, due 10/15/32 ...................... 440,000 471,535 CS First Boston Mortgage Securities Corp. 6.238%, due 02/15/34 ...................... 340,000 347,878 DLJ Commercial Mortgage Corp., 00-CKP1, Class A1B, 7.180%, due 08/10/10 ........... 125,000 132,573 DLJ Commercial Mortgage Corp., 99-CG2, Class A1B, 7.300%, due 06/10/09 ........... 145,000 155,056 LB Commercial Conduit Mortgage Trust, 99-C1, Class A1, 6.410%, due 08/15/07 ..... 226,794 235,946 LB Commercial Conduit Mortgage Trust, 99-C2, Class A2, 7.325%, due 10/15/32 ..... 70,000 75,063 Morgan Stanley Dean Witter Capital I 6.660%, due 02/15/33 ...................... 75,000 77,449 7.570%, due 12/15/09 ...................... 350,000 379,870 Norwest Asset Securities Corp., 96-2 7.000%, due 09/25/11 ...................... 435,000 448,733 Norwest Asset Securities Corp., 99-3, 6.000%, due 01/25/29 ...................... 536,964 538,457 Residential Asset Securitization Trust, 96-A3, Class A11, 7.500%, due 07/25/11 .... 389,800 400,968 Residential Asset Securitization Trust, 98-A6, Class IA2, 6.750%, due 07/25/28 .... 475,000 485,284
-------------------------------------------------------------------------------- 12 GLOBAL BALANCED FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------- ----------- Residential Asset Securitization Trust, 98-A9, Class 2 A5, 6.800%, due 09/25/28 ....... $ 150,000 $ 153,988 Salomon Brothers Mortgage Securities VII 6.592%, due 12/18/33 ................... 80,000 82,134 ----------- 4,369,316 ----------- INTERNATIONAL DOLLAR BONDS -- 0.18% France Telecom S.A., 144A 8.500%, due 03/01/31 (c) ............... 15,000 17,111 Petroleum Geo-Services 6.625%, due 03/30/08 ................... 30,000 26,890 7.500%, due 03/31/07 ................... 55,000 52,312 Tyco International Group S.A ............. 6.750%, due 02/15/11 ................... 115,000 115,462 7.000%, due 06/15/28 ................... 30,000 29,024 Vodafone Group PLC 7.750%, due 02/15/10 ................... 50,000 54,915 ----------- 295,714 ----------- U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES -- 3.34% Fannie Mae Grantor Trust 7.125%, due 01/15/30 ................... 235,000 261,357 Fannie Mae Grantor Trust, 01-T10, Class A2, 7.500%, due 06/19/30 ......... 385,640 405,948 Fannie Mae Whole Loan 7.000%, due 09/25/41 ................... 270,130 275,955 Fannie Mae Whole Loan, 95-W3, Class A 9.000%, due 04/25/25 ................... 10,945 11,830 Federal Home Loan Mortgage Corp., Gold 6.500%, due 04/01/29 ................... 686,963 688,520 Federal National Mortgage Association 6.000%, due 11/01/28 ................... 721,040 705,772 6.500%, due 03/01/19 ................... 212,614 215,606 7.500%, due 05/01/31 ................... 137,395 141,817 Federal National Mortgage Association (REMIC), 7.500%, due 02/25/29 .......... 1,129,174 1,182,482 Government National Mortgage Association 6.000%, due 11/20/28 ................... 268,400 262,032 6.000%, due 02/20/29 ................... 231,980 226,476 6.000%, due 05/20/29 ................... 577,839 564,130 7.500%, due 02/15/27 ................... 328,024 339,300 8.000%, due 12/15/22 ................... 131,291 139,626 9.000%, due 11/15/04 ................... 4,777 5,155 ----------- 5,426,006 ----------- U.S. GOVERNMENT OBLIGATIONS -- 5.12% U.S. Treasury Bond 8.000%, due 11/15/21 ................... 530,000 670,678 8.750%, due 05/15/17 ................... 680,000 893,217 U.S. Treasury Note 3.625%, due 08/31/03 ................... 2,355,000 2,388,116 6.250%, due 05/15/30 ................... 1,500,000 1,624,863 6.500%, due 02/15/10 ................... 860,000 944,791 7.000%, due 07/15/06 ................... 1,610,000 1,783,830 ----------- 8,305,495 ----------- Total U.S. Bonds ......................... 23,547,752 ----------- HIGH YIELD BOND FUND -- 4.70% Brinson High Yield Fund (b) .............. 557,402 7,625,984 ----------- FACE AMOUNT VALUE ----------- ----------- INTERNATIONAL BONDS -- 5.15% AUSTRIA -- 0.18% Government of Austria 3.900%, due 10/20/05 ................... $ 330,000 $ 289,379 ----------- CANADA -- 1.15% Government of Canada 4.250%, due 12/01/21 ................... 280,000 220,678 4.250%, due 12/01/26 ................... 415,000 312,283 5.750%, due 06/01/02 ................... 315,000 200,345 5.750%, due 06/01/29 ................... 200,000 126,918 6.000%, due 09/01/05 ................... 720,000 477,682 6.000%, due 06/01/08 ................... 130,000 85,625 6.000%, due 06/01/11 ................... 320,000 209,885 8.000%, due 06/01/23 ................... 245,000 194,659 Government of Canada, Real Return Bond 4.250%, due 12/01/21 ................... 50,000 39,407 ----------- 1,867,482 ----------- FRANCE -- 0.81% Government of France 3.500%, due 07/12/04 ................... 280,000 247,496 5.500%, due 04/25/07 (c) ............... 290,000 269,442 5.500%, due 04/25/10 ................... 270,000 248,837 5.500%, due 04/25/29 (c) ............... 100,000 89,099 Government of France (OAT) 4.000%, due 10/25/09 ................... 455,000 380,825 8.500%, due 10/25/19 (c) ............... 65,000 77,774 ----------- 1,313,473 ----------- GERMANY -- 0.92% Bundesrepublik Deutschland 4.500%, due 07/04/09 (c) ............... 160,000 138,515 6.500%, due 07/04/27 ................... 190,000 192,513 Government of Germany 4.000%, due 07/04/09 ................... 80,000 66,957 5.000%, due 07/04/11 (c) ............... 420,000 373,577 6.000%, due 01/05/06 ................... 315,000 296,920 Treuhandanstalt 6.750%, due 05/13/04 (c) ............... 450,000 426,520 ----------- 1,495,002 ----------- ITALY --1.20% Buoni Poliennali Del Tes 3.250%, due 04/15/04 ................... 760,000 667,846 4.250%, due 11/01/09 ................... 470,000 397,028 5.250%, due 11/01/29 (c) ............... 330,000 278,783 8.750%, due 07/01/06 (c) ............... 395,000 409,596 Government of Italy (BTP) 12.000%, due 09/01/02 .................. 210,000 197,487 ----------- 1,950,740 ----------- MEXICO --0.06% United Mexican States 8.375%, due 01/14/11 ................... 85,000 88,188 ----------- SPAIN -- 0.48% Government of Spain 3.000%, due 01/31/03 ................... 120,000 106,593 3.250%, due 01/31/05 (c) ............... 450,000 391,227 4.750%, due 07/30/14 ................... 150,000 125,705
-------------------------------------------------------------------------------- 13 GLOBAL BALANCED FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE ---------- ------------ 6.000%, due 01/31/29 ................................. $ 50,000 $ 47,263 8.200%, due 02/28/09 (c) ............................. 100,000 106,565 ------------ 777,353 ------------ SWEDEN -- 0.21% Government of Sweden 5.000%, due 01/15/04 (c) ............................. 1,700,000 163,724 6.750%, due 05/05/14 (c) ............................. 250,000 26,360 8.000%, due 08/15/07 (c) ............................. 1,400,000 152,631 ------------ 342,715 ------------ UNITED KINGDOM -- 0.14% U.K Treasury 8.000%, due 12/07/15 ................................. 80,000 150,379 U.K. Treasury 8.500%, due 12/07/05 ................................. 45,000 73,367 ------------ 223,746 ------------ Total International Bonds .............................. 8,348,078 ------------ EMERGING MARKETS BOND FUND -- 3.73% Brinson Emerging Markets Debt Fund (b) ................. 202,113 6,052,092 ------------ Total Bonds (Cost $42,623,986) ......................... 45,573,906 ------------ SHORT-TERM INVESTMENTS -- 3.07% OTHER -- 1.84% Brinson Supplementary Trust U.S. Cash Management Prime Fund ........................ 2,989,817 2,989,817 ------------ U.S.GOVERNMENT OBLIGATIONS -- 1.23% U.S. Treasury Bill, due 02/07/02 ....................... 2,000,000 1,996,651 ------------ Total Short-Term Investments (Cost $4,983,074) .................................... 4,986,468 ------------ Total Investments (Cost $155,932,843) -- 100.08% (a) ................... 162,392,179 Total Cash Collateral Received for Securities Loaned (Cost $22,118,595) -- 13.55% (a) ..................... 21,982,479 Liabilities, less cash and other assets -- (13.63%)............................. (22,112,780) ------------ Net Assets -- 100%...................................... $162,261,878 ============ CASH COLLATERAL RECEIVED FOR SECURITIES LOANED -- 13.55% COMMERCIAL PAPER -- 9.04% Abbot Laboratories 1.781%, due 01/11/02 ................................. $ 500,000$ $ 499,775 BMW U.S. Capital Corp. 1.750%, due 01/02/02 ................................. 424,000 423,954 Cargill Inc. 1.729%, due 01/02/02 ................................. 500,000 500,000 Centex Corp. 2.539%, due 01/10/02 ................................. 300,000 299,844 Coca-Cola Enterprises 1.850%, due 01/10/02 ................................. 250,000 249,872 Corning, Inc. 3.005%, due 01/23/02 ................................. 400,000 399,520 Cox Communications, Inc. 2.641%, due 01/11/02 ................................. 380,000 379,802 Delaware Funding Corp. 1.791%, due 01/11/02 ................................. 500,000 499,775 FACE AMOUNT VALUE ---------- ------------ Disney Walt Co. 2.615%, due 01/30/02 ................................. $1,000,000 $ 998,510 Eastman Kodak Co. 3.154%, due 01/16/02 ................................. 1,000,000 999,290 Exxon Imperial U.S., Inc. 1.771%, due 01/03/02 ................................. 500,000 499,975 FPL Group Capital 2.031%, due 01/07/02 ................................. 400,000 399,900 Federal Home Loan Mortgage Corp. 1.721%, due 01/09/02 ................................. 1,000,000 999,670 General Mills, Inc 2.539%, due 01/08/02 ................................. 285,000 284,906 Giro Multi-Funding Corp. 2.021%, due 01/22/02 ................................. 400,000 399,592 Goldman Sachs Group 1.750%, due 01/02/02 ................................. 424,000 424,000 National Rural Utilities Corp. 1.927%, due 01/07/02 ................................. 400,000 399,847 Philip Morris Cos. 1.753%, due 02/01/02 ................................. 570,000 569,139 Pitney Bowes, Inc. 1.670%, due 01/02/02 ................................. 500,000 499,945 Preferred Receivables Funding 1.801%, due 01/17/02 ................................. 424,000 423,682 Qunicy Cap Corp. 1.999%, due 01/14/02 ................................. 321,000 320,789 Safeway, Inc. 2.542%, due 01/15/02 ................................. 365,000 364,726 Sprint Cap Corp. 2.903%, due 01/15/02 ................................. 400,000 399,700 Sunoco Inc. 2.590%, due 01/14/02 ................................. 300,000 299,799 Time Warner Entertainment Co. 2.244%, due 01/10/02 ................................. 400,000 399,792 Triple A One Plus Fund 1.769%, due 01/02/02 ................................. 424,000 424,000 Tyco Intl., S.A. 2.233%, due 01/08/02 ................................. 380,000 379,878 U.S.A. Education Inc. 1.800%, due 01/02/02 ................................. 424,000 424,000 Variable Funding Capital Corp. 1.851%, due 01/10/02 ................................. 500,000 499,744 Williams Holdings of Delaware, Inc. 3.162%, due 02/15/02 ................................. 1,000,000 997,480 ------------ 14,660,906 ------------ CORPORATE DEBT OBLIGATIONS -- 4.51% Columbia Gas System, Inc. 6.610%, due 11/28/02 ................................. 1,000,000 1,025,852 Ford Motor Credit Co. 6.500%, due 02/28/02 ................................. 1,200,000 1,207,064 Pacific Gas & Electric, FRN 0.000%, due 12/01/49 (d) ............................. 2,000,000 1,850,000 Petro Geo-Services, FRN 4.437%, due 03/20/02 ................................. 2,000,000 1,994,750 Ultramar Credit Corp. 8.625%, due 07/01/02 ................................. 1,210,000 1,243,907 ------------ 7,321,573 ------------ $ 21,982,479 ============
-------------------------------------------------------------------------------- 14 GLOBAL BALANCED FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $178,051,438; and net unrealized appreciation consisted of: Gross unrealized appreciation ................ $12,033,208 Gross unrealized depreciation ................ (5,709,988) ----------- Net unrealized appreciation.......... $ 6,323,220 ===========
(b) Non-income producing security. (c) Security, or portion thereof, was on loan at December 31, 2001. (d) Security is in default. % Represents a percentage of net assets E.E.TC: Enhanced Equipment Trust Certificate FRN: Floating rate note -- The rate disclosed is that in effect at December 31, 2001. 144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers. At December 31, 2001, the value of these securities amounted to $317,388 or 0.20% of net assets. FORWARD FOREIGN CURRENCY CONTRACTS Global Balanced Fund had the following open forward foreign currency contracts as of December 31, 2001:
SETTLEMENT LOCAL CURRENT UNREALIZED DATE CURRENCY VALUE GAIN/(LOSS) ---------- -------- ------- ----------- FORWARD FOREIGN CURRENCY BUY CONTRACTS Australian Dollar (AUD) ..................................................... 01/25/02 20,100,000 $10,273,253 $ (68,094) British Pound (GBP) ......................................................... 01/25/02 850,000 1,235,383 17,534 Canadian Dollar (CAD) ....................................................... 01/25/02 9,400,000 5,887,644 (203,764) Euro (EUR) .................................................................. 01/25/02 28,250,000 25,177,004 236,519 Swedish Krone (SEK) ......................................................... 01/25/02 27,200,000 2,589,600 21,576 Swiss Franc (CHF) ........................................................... 01/25/02 1,400,000 843,281 24,591 FORWARD FOREIGN CURRENCY SALE CONTRACTS British Pound (GBP) ......................................................... 01/25/02 6,738,000 9,793,033 (181,317) Euro (EUR) .................................................................. 01/25/02 4,430,000 3,948,086 80,207 Japanese Yen (JPY) .......................................................... 01/25/02 450,000,000 3,437,467 279,899 --------- Total net unrealized gain on Forward Foreign Currency Contracts......... $ 207,151 =========
FUTURES CONTRACTS Global Balanced Fund had the following open futures contracts as of December 31, 2001:
EXPIRATION COST/ CURRENT UNREALIZED DATE PROCEEDS VALUE LOSS ----------- -------- ------- ----------- U.S. INTEREST RATE FUTURES BUY CONTRACTS 5 year U.S. Treasury Notes, 103 contracts ................ March 2002 $10,959,760 $10,900,297 $ (59,463) 10 year U.S. Treasury Notes, 7 contracts ................. March 2002 742,596 735,984 (6,612) 30 year U.S. Treasury Bonds, 23 contracts ................ March 2002 2,370,794 2,335,219 (35,575) INDEX FUTURES SALE CONTRACTS Standard & Poor's 500, 43 contracts ...................... March 2002 12,215,999 12,353,900 (137,901) ---------- Total net unrealized loss on Future Contracts........ $(239,551) ==========
The market value of investments pledged to cover margin requirements for the open futures positions at December 31, 2001 was $1,996,651. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 15 GLOBAL EQUITY FUND -------------------------------------------------------------------------------- For the six months ended December 31, 2001, Class Y (formerly Class I) shares of Global Equity Fund declined 2.7%, outperforming the 6.9% decline of its benchmark, the MSCI World Equity (Free) Index. The six-month period was challenging for global equity investors, and most regions and economic sectors produced negative returns. Returns were affected by a continued slowdown in economies around the globe. As corporate capital spending was cut in most industries, earnings were revised down repeatedly and investors lost confidence in projected long-term growth rates. This led to negative investment returns for the period. The U.S. Federal Reserve and the European Central Bank (ECB) continued to cut rates to stave off a recession that materialized nonetheless. Low interest rates helped buoy consumer spending on U.S. housing and aggressive incentives supported auto sales in North America, but the ECB was less successful in supporting the European consumer. Japan's recession continued, marked by rampant deflation and pressure on the banking system. The world economic picture was already poor at the time of the events of September 11. Following the attacks, U.S. consumer spending dipped down but then recovered as sentiment improved to previous levels and investors began to look ahead to a possible recovery in 2002. In this difficult investment environment, the Fund benefited from successful stock selection in a variety of industries and regions. Stock selection was the key to helping the Fund outperform its benchmark. Early in the period, we had overweighted the Fund, relative to its benchmark, in defensive sectors, which tend to be less affected by economic downturns. Our defensive strategy included focusing on select companies in the utility, food and beverage and financial sectors. This defensive stance aided performance overall during the period but was less helpful in the fourth quarter of 2001, when cyclical stocks -- those that tend to do well during periods of economic recovery -- were in favor with investors. While we had repositioned the Fund to take advantage of cyclical sectors, we maintained an underweight; therefore, the Fund did not benefit as much as it could have from investments in cyclical companies. Among the cyclical sectors in the Fund, an early overweighing in materials, especially paper companies, was well rewarded. Going into the six-month period, the Fund was significantly underweighted, relative to its benchmark, in the poor performing technology hardware, software, telecommunication services and consumer durable sectors. As time went on, we raised the Fund's commitment to the technology sector because stocks had reached attractive valuations. We favored software companies and telecommunications services companies, which we believe should benefit from restructuring programs. The Fund's geographic diversification reflected our views on stock valuations and potential for return in various regions. We overweighted the Fund in the United Kingdom (UK) and Australia/New Zealand, which we found attractive and which aided performance. We were underweighted to the U.S. as we believe that the market contains some of the most aggressively valued stocks. We underweighted investment in Japan, as there appeared to be no solution to the financial problems of its troubled economy. The Fund's currency strategy benefited performance, as we maintained an underweighting to the Japanese yen and an overweighting to the Australian dollar. We also overweighted the euro and underweighted the British pound. These positions were moderated at the end of the year. We continue to reposition the Fund as opportunities arise in sectors that will benefit from an eventual recovery. At this time, however, evidence of a recovery is scant and many stocks appear to discount a boom scenario that we do not believe will come about. -------------------------------------------------------------------------------- 16 GLOBAL EQUITY FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR 3 YEARS 5 YEARS INCEPTION* ENDED ENDED ENDED ENDED TO 12/31/01 12/31/01 12/31/01 12/31/01 12/31/01 ----------------------------------------------------------------------------------------------- GLOBAL EQUITY FUND CLASS A+ -3.04% -9.55% 0.51% N/A 2.79% ----------------------------------------------------------------------------------------------- GLOBAL EQUITY FUND CLASS B+ N/A N/A N/A N/A 1.25 ----------------------------------------------------------------------------------------------- GLOBAL EQUITY FUND CLASS C+ N/A N/A N/A N/A 1.06 ----------------------------------------------------------------------------------------------- GLOBAL EQUITY FUND CLASS Y -2.74 -9.03 0.86 5.31% 7.48 ----------------------------------------------------------------------------------------------- MSCI World Equity (Free) Index -6.92 -16.63 -3.21 5.55 7.64 -----------------------------------------------------------------------------------------------
* INCEPTION DATE OF GLOBAL EQUITY FUND CLASS A (FORMERLY CLASS N) IS 6/30/97. INCEPTION DATE OF CLASSES B AND C ARE 12/11/01 AND 11/27/01, RESPECTIVELY. INCEPTION DATE OF CLASS Y (FORMERLY CLASS I) IS 1/28/94. INCEPTION RETURN FOR THE INDEX IS AS OF THE NEAREST MONTH-END OF INCEPTION OF THE OLDEST SHARE CLASS: 1/31/94. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR ARE AVERAGE ANNUALIZED RETURNS. -------------------------------------------------------------------------------- 17 GLOBAL EQUITY FUND -------------------------------------------------------------------------------- GEOGRAPHIC ALLOCATION
AS OF DECEMBER 31, 2001 (UNAUDITED) ----------------------------------- United States 53.0% United Kingdom 11.6 Japan 8.7 France 4.3 Netherlands 3.6 Australia 2.7 Switzerland 2.6 Sweden 2.2 Italy 1.8 Finland 1.7 Germany 1.4 Singapore 1.0 Hong Kong 1.0 Canada 0.9 Spain 0.9 Belgium 0.6 Portugal 0.6 Denmark 0.6 Ireland 0.5 Norway 0.3 ----------------------------------- Total 100.0%
TOP TEN U.S. EQUITY HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS --------------------------------------------------- Johnson & Johnson 2.1% American Home Products Corp. 2.0 Citigroup, Inc. 1.9 Microsoft Corp. 1.8 Abbott Laboratories, Inc. 1.6 SBC Communications, Inc. 1.5 Wells Fargo & Co. 1.4 American International Group, Inc. 1.3 Baxter International, Inc. 1.2 AOL Time Warner, Inc. 1.2 --------------------------------------------------- Total 16.0%
TOP TEN INTERNATIONAL EQUITY HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS --------------------------------------------------- Total Fina S.A., Class B 1.5% Shell Transport & Trading PLC 1.4 Westpac Banking Corp., Ltd. 1.0 UPM-Kymmene Oyj 0.9 Elsevier NV 0.9 Nestle S.A. (Reg.) 0.9 Rohm Co. 0.9 Gallaher Group PLC 0.8 GlaxoSmithKline PLC 0.8 Aventis S.A., Class A 0.8 --------------------------------------------------- Total 9.9%
-------------------------------------------------------------------------------- 18 GLOBAL EQUITY FUND -------------------------------------------------------------------------------- INDUSTRY DIVERSIFICATION AS A PERCENT OF NET ASSETS AS OF DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- U.S. EQUITIES Energy .............................. 3.56% Capital Investment Electronic Components ............ 0.30 Technology ....................... 1.50 ------ 1.80 Basic Industries Chemicals ........................ 1.50 Metals ........................... 1.85 ------ 3.35 Computers Software ......................... 3.43 Systems .......................... 0.91 ------ 4.34 Consumer Food & House Products ............ 3.41 Health: Drugs .................... 6.71 Health: Non-Drugs ................ 3.30 Recreation ....................... 0.23 Retail/Apparel ................... 1.01 ------ 14.66 Financial Banks ............................ 4.28 Non-Banks ........................ 4.59 ------ 8.87 Telecommunications .................. 3.51 Transportation ...................... 1.54 Services/Misc ....................... 6.15 Utilities ........................... 0.78 ------ Total U.S. Equities ........ 48.56 INTERNATIONAL EQUITIES Appliances & Household Durables ..... 0.44% Banking ............................. 5.72 Beverages and Tobacco ............... 1.43 Broadcasting & Publishing ........... 1.81 Building Materials .................. 0.38 Business & Public Service ........... 0.39 Chemicals ........................... 1.69 Construction ........................ 0.64 Data Processing ..................... 0.20 Electric Components ................. 2.65 Electronics ......................... 0.15 Energy .............................. 3.91 Financial Services .................. 4.36 Food & House Products ............... 2.26 Forest Products ..................... 0.88 Health: Drugs ....................... 3.09 Health: Non-Drugs ................... 1.08 Housing/Paper ....................... 0.75 Industrial Components ............... 0.42 Insurance ........................... 1.61 Machinery & Engineering ............. 0.21 Merchandising ....................... 0.18 Multi-Industry ...................... 0.44 Real Estate ......................... 0.45 Recreation .......................... 0.64 Retail/Apparel ...................... 0.83 Services/Miscellaneous .............. 0.69 Telecommunications .................. 2.26 Textiles & Apparel .................. 0.37 Transportation ...................... 2.06 Utilities ........................... 1.11 ------ Total International Equities 43.10 SHORT-TERM INVESTMENTS .............. 0.98 ------ TOTAL INVESTMENTS ................ 92.64 CASH AND OTHER ASSETS, LESS LIABILITIES ................. 7.36 ------ NET ASSETS .......................... 100.00% ======
-------------------------------------------------------------------------------- 19 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS -------------------------------------------------------------------------------- DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE -------- ---------- EQUITIES -- 91.66% U.S. EQUITIES -- 48.56% Abbott Laboratories, Inc. ................ 16,400 $ 914,300 Advanced Micro Devices, Inc. (b) ......... 8,500 134,810 Allergan, Inc. ........................... 4,800 360,240 American Electric Power Co., Inc. ........ 4,180 181,955 American Home Products Corp. ............. 18,100 1,110,616 American International Group, Inc. ....... 9,447 750,092 AOL Time Warner, Inc. .................... 20,900 670,890 Ascential Software Corp. ................. 759 3,074 AT&T Corp. ............................... 18,500 335,590 Bank of New York Co., Inc. ............... 5,800 236,640 Baxter International, Inc. ............... 12,600 675,738 BEA Systems, Inc. (b) .................... 15,000 231,000 Burlington Northern Santa Fe Corp. ....... 20,800 593,424 Cephalon, Inc. (b) ....................... 4,500 340,133 CIGNA Corp. .............................. 1,900 176,035 Cisco Systems, Inc. (b) .................. 11,000 199,210 Citigroup, Inc. .......................... 20,900 1,055,032 CMS Energy Corp. ......................... 6,600 158,598 Compaq Computer Corp. .................... 12,100 118,096 Computer Sciences Corp. (b) .............. 8,700 426,126 Compuware Corp. (b) ...................... 16,300 192,177 Conoco, Inc. ............................. 6,200 175,460 Dominion Resources, Inc. ................. 3,000 180,300 E.I. du Pont de Nemours & Co. ............ 9,100 386,841 Eli Lilly & Co. .......................... 3,200 251,328 EMC Corp. (b) ............................ 16,800 225,792 Exelon Corp. ............................. 4,450 213,066 Exxon Mobil Corp. ........................ 14,500 569,850 Federated Department Stores, Inc. (b) .... 5,700 233,130 FedEx Corp. (b) .......................... 5,400 280,152 First Data Corp. ......................... 4,404 345,494 FirstEnergy Corp. ........................ 4,807 168,149 FleetBoston Financial Corp. .............. 7,200 262,800 FPL Group, Inc. .......................... 4,600 259,440 Freddie Mac .............................. 3,700 241,980 General Electric Co. ..................... 13,700 549,096 GreenPoint Financial Corp. ............... 12,400 443,300 Household International, Inc. ............ 4,100 237,554 Illinois Tool Works, Inc. ................ 7,100 480,812 Ingersoll-Rand Co. ....................... 5,800 242,498 International Business Machines Corp. .... 2,600 314,496 Johnson & Johnson ........................ 20,202 1,193,938 JP Morgan Chase & Co. .................... 13,300 483,455 Kroger Co. (b) ........................... 27,700 578,099 Masco Corp. .............................. 23,200 568,400 McGraw-Hill Companies, Inc. .............. 7,300 445,154 Merck & Co., Inc. ........................ 6,100 358,680 Microsoft Corp. (b) ...................... 15,100 1,000,375 Morgan Stanley Dean Witter & Co. ......... 2,300 128,662 Motorola, Inc. ........................... 9,400 141,188 Nextel Communications, Inc. (b) .......... 18,400 201,664 Omnicom Group ............................ 3,500 312,725 Oracle Corp. (b) ......................... 11,900 164,339 Pfizer, Inc. ............................. 7,001 278,990 Philip Morris Companies, Inc. ............ 13,000 596,050 Praxair, Inc. ............................ 6,000 331,500 Principal Financial Group, Inc. .......... 10,500 252,000 SHARES VALUE -------- ---------- Proctor & Gamble Co. ..................... 3,100 $ 245,303 RadioShack Corp. ......................... 11,200 337,120 Rational Software Corp. .................. 6,100 118,950 Royal Caribbean Cruises Ltd. ............. 7,900 127,980 Sanmina Corp. (b) ........................ 8,676 172,652 Sapient Corp. (b) ........................ 33,900 261,708 Sara Lee Corp. ........................... 12,181 270,784 SBC Communications, Inc. ................. 21,700 849,989 Schlumberger Ltd. ........................ 4,100 225,295 SICOR, Inc. .............................. 12,800 200,704 Siebel Systems, Inc. ..................... 7,300 204,254 Tyco International Ltd. .................. 4,400 259,160 United Technologies Corp. ................ 4,300 277,909 U.S. Bancorp ............................. 11,000 230,230 Verizon Communications, Inc. ............. 9,700 460,362 Viacom, Inc., Class A .................... 4,960 219,480 Viacom, Inc., Class B (b) ................ 7,800 344,370 Wells Fargo & Co. ........................ 17,800 773,410 ---------- Total U.S. Equities ...................... 27,540,193 ---------- INTERNATIONAL EQUITIES -- 43.10% AUSTRALIA -- 2.45% Mayne Nickless Ltd. ...................... 39,250 138,233 National Australia Bank Ltd., Preferred .. 11,300 337,870 News Corp., Ltd., Preferred .............. 31,400 209,761 QBE Insurance Group Ltd. ................. 31,119 122,341 Westpac Banking Corp., Ltd. .............. 72,254 582,726 ---------- 1,390,931 ---------- BELGIUM -- 0.58% Electrabel S.A. .......................... 520 108,344 Fortis ................................... 8,572 222,488 ---------- 330,832 ---------- CANADA -- 0.79% Nortel Networks Corp. .................... 15,500 115,549 NOVA Chemicals Corp. ..................... 17,300 333,255 ---------- 448,804 ---------- DENMARK -- 0.53% Novo Nordisk A/S ......................... 7,379 301,773 ---------- FINLAND -- 1.58% Nokia Oyj ................................ 8,900 229,495 Stora Enso Oyj ........................... 13,000 166,452 UPM-Kymmene Oyj .......................... 15,100 500,828 ---------- 896,775 ---------- FRANCE -- 3.99% Aventis S.A., Class A .................... 6,679 474,272 Banque Nationale de Paris ................ 5,162 461,923 Cie de Saint Gobain ...................... 1,426 215,216 Groupe Danone ............................ 1,100 134,183 Total Fina S.A., Class B ................. 5,939 848,210 Unibail S.A. ............................. 2,510 127,501 ---------- 2,261,305 ---------- GERMANY -- 1.25% Bayer AG ................................. 13,390 425,632 Muenchener Rueckver AG ................... 1,038 281,892 ---------- 707,524 ----------
-------------------------------------------------------------------------------- 20 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE -------- ---------- HONG KONG -- 0.88% Esprit Holdings Ltd. ..................... 89,000 $ 100,437 Hong Kong Electric Holdings Ltd. ......... 71,943 267,552 Sun Hung Kai Properties Ltd. ............. 16,000 129,266 ---------- 497,255 ---------- IRELAND -- 0.47% CRH PLC .................................. 15,247 268,125 ---------- ITALY -- 1.67% Assicurazioni Generali Spa ............... 7,000 194,463 ENI Spa .................................. 34,500 432,521 San Paolo-imi Spa ........................ 30,000 321,880 ---------- 948,864 ---------- JAPAN -- 8.05% AIFUL Corp. .............................. 2,050 132,642 Benesse Corp. ............................ 3,700 95,987 Fast Retailing Co., Ltd .................. 1,000 88,967 Fuji Photo Film Co., Ltd. ................ 7,000 249,962 Hirose Electric Co., Ltd. ................ 1,400 95,391 Hoya Corp. ............................... 1,600 95,590 Kao Corp. ................................ 5,000 103,960 Minebea Co., Ltd. ........................ 37,000 199,313 Mitsubishi Corp. ......................... 39,000 253,235 Mitsui Mining & Smelting Co., Ltd. ....... 43,000 141,080 Mizuho Holdings, Inc. .................... 63 128,346 Murata Manufacturing Co., Inc. ........... 4,500 269,876 Nippon Telegraph & Telephone Corp. ....... 65 211,773 Nomura Holdings, Inc. .................... 11,000 141,004 Ono Pharmaceutical Co., Ltd. ............. 7,000 210,438 Orix Corp. ............................... 2,700 241,859 Rohm Co. ................................. 3,800 493,194 Sekisui House Ltd. ....................... 13,000 94,232 Sony Corp. ............................... 5,500 251,373 Takeda Chemical Industries Ltd. .......... 5,000 226,232 Takefuji Corp. ........................... 3,400 245,933 Toyota Motor Corp. ....................... 13,500 341,981 West Japan Railway Co. ................... 10 44,712 Yasuda Fire & Marine Insurance Co., Ltd. . 36,000 206,013 ---------- 4,563,093 ---------- NETHERLANDS -- 3.33% ABN AMRO Holdings NV ..................... 15,454 248,923 Aegon NV ................................. 2,574 69,674 Akzo Nobel NV ............................ 3,900 174,149 Elsevier NV .............................. 42,039 497,091 Philips Electronics NV ................... 11,967 355,678 Royal Dutch Petroleum Co. ................ 2,400 121,593 TNT Post Group NV ........................ 10,242 221,603 Wolters Kluwer NV ........................ 8,752 199,495 ---------- 1,888,206 ---------- NORWAY -- 0.29% Telenor ASA .............................. 38,000 163,536 ---------- PORTUGAL -- 0.54% Electricidade de Portugal S.A. ........... 139,900 303,944 ---------- SINGAPORE -- 0.89% DBS Group Holdings Ltd. .................. 40,000 298,944 Singapore Press Holdings Ltd. ............ 10,046 118,604 Singapore Telecommunications Ltd. ........ 92,280 87,957 ---------- 505,505 ---------- SHARES VALUE -------- ---------- SPAIN -- 0.78% Banco Santander Central Hispano S.A. ..... 52,910 $ 443,316 ---------- SWEDEN-- 1.99% Sandvik AB ............................... 11,000 235,421 Svenska Cellulosa AB ..................... 9,470 259,101 Svenska Handelsbanken AB ................. 20,700 303,898 Swedish Match AB ......................... 62,830 332,428 ---------- 1,130,848 ---------- SWITZERLAND -- 2.38% Givaudan S.A. (Reg.) (b) ................. 502 152,992 Nestle S.A. (Reg.) ....................... 2,314 493,378 Roche Holding AG (Gen.) .................. 5,058 361,003 Swiss Re (Reg.) .......................... 3,373 339,270 ---------- 1,346,643 ---------- UNITED KINGDOM -- 10.66% Abbey National PLC ....................... 21,000 299,520 Barclays PLC ............................. 13,000 430,432 BP PLC ................................... 26,000 202,067 BT Group PLC ............................. 57,800 212,828 Compass Group PLC ........................ 20,000 149,905 Dimension Data Holdings PLC .............. 33,000 39,863 Dixons Group PLC ......................... 24,052 82,262 Gallaher Group PLC ....................... 70,000 478,824 GlaxoSmithKline PLC ...................... 19,000 476,452 Hilton Group PLC ......................... 37,000 113,622 HSBC Holdings PLC ........................ 25,000 293,262 Invensys PLC ............................. 69,000 119,753 Kingfisher PLC ........................... 39,000 227,609 Lloyds TSB Group PLC ..................... 8,220 89,246 mm02 ..................................... 57,760 72,715 Prudential PLC ........................... 16,000 185,359 Reckitt Benckiser PLC .................... 10,000 145,539 Rentokil Initial PLC ..................... 52,800 212,091 Rolls-Royce PLC .......................... 102,000 247,169 Safeway PLC .............................. 55,000 256,149 Scottish & Southern Energy PLC ........... 28,650 254,352 Scottish Power PLC ....................... 67,000 370,543 Shell Transport & Trading PLC ............ 114,000 783,117 Vodafone Group PLC ....................... 116,188 303,956 ----------- 6,046,635 ----------- Total International Equities ............. 24,443,914 ----------- Total Equities (Cost $46,901,231) ........ 51,984,107 ----------- SHORT-TERM INVESTMENTS -- 0.98% OTHER -- 0.98% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $557,333) ........................ 557,333 557,333 ----------- Total Investments (Cost $47,458,564) -- 92.64% (a) ....... 52,541,440 Cash and other assets, less liabilities -- 7.36% .............. 4,170,408 ----------- Net Assets -- 100% ....................... $56,711,848 ===========
-------------------------------------------------------------------------------- 21 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $47,458,564; and net unrealized appreciation consisted of: Gross unrealized appreciation ............. $ 7,110,215 Gross unrealized depreciation ............. (2,027,339) ----------- Net unrealized appreciation ...... $ 5,082,876 ===========
(b) Non-income producing security. % Represents a percentage of net assets. FORWARD FOREIGN CURRENCY CONTRACTS Global Equity Fund had the following open forward foreign currency contracts as of December 31, 2001:
SETTLEMENT LOCAL CURRENT UNREALIZED DATE CURRENCY VALUE GAIN/(LOSS) ---------- ----------- ---------- ----------- FORWARD FOREIGN CURRENCY BUY CONTRACTS Australian Dollar (AUD) ............................................ 01/25/02 7,375,000 $3,769,435 $ (34,315) Canadian Dollar (CAD) .............................................. 01/25/02 4,500,000 2,818,553 5,103 Euro (EUR) ......................................................... 01/25/02 7,850,000 6,996,088 107,353 Hong Kong Dollar (HKD) ............................................. 01/25/02 1,100,000 141,052 (7) Swedish Krona (SEK) ................................................ 01/25/02 4,500,000 428,426 7,374 Swiss Franc (CHF) .................................................. 01/25/02 700,000 421,640 461 FORWARD FOREIGN CURRENCY SALE CONTRACTS British Pound (GBP) ................................................ 01/25/02 2,500,000 3,633,481 (108,480) Euro (EUR) ......................................................... 01/25/02 300,000 267,366 3,336 Hong Kong Dollar (HKD) ............................................. 01/25/02 4,200,000 538,561 18 Japanese Yen (JPY) ................................................. 01/25/02 378,000,000 2,887,472 164,787 Singapore Dollar (SGD) ............................................. 01/25/02 550,000 297,920 1,644 --------- Total net unrealized gain on Forward Foreign Currency Contracts .. $ 147,274 =========
-------------------------------------------------------------------------------- 22 See accompanying notes to financial statements. GLOBAL TECHNOLOGY FUND -------------------------------------------------------------------------------- For the six months ended December 31, 2001, Global Technology Fund Class Y (formerly Class I) shares declined 15.9%. The Fund's benchmark, the Morgan Stanley High Tech Index, declined 12.5% for the same period. Technology companies around the world struggled during the six months ended December 31, 2001, as a global economic downturn held back demand for computers, software and communications equipment. During the period, the Fund continued to be focused on the long-term global demand trends for technology infrastructure, information services, wireless communications and productivity enhancing technologies. Technology stocks generated wide swings in performance during the six-month period. In July, August and September 2001, technology stocks declined sharply. In October, November and December, however, technology stocks rallied strongly. As with all stocks, the events of September 11 had a negative impact on technology shares, but the September 11 attacks were not the only reason for the volatility in the technology sector. A worldwide pullback in corporate capital spending for technology products was also a factor in technology's difficulties. For example, in August semiconductor sales had their biggest decline in history. They were down 48% over the previous August. Deteriorating global economic growth also contributed to the sell-off in the technology sector. During the period, the U.S. Federal Reserve and central banks overseas aggressively trimmed interest rates in order to stimulate economic growth, but most economies remained on a downward course. The prospect of a delayed economic recovery coupled with an interruption in business activity after September 11 sent technology stock prices -- particularly those of internet and semiconductor stocks -- to significantly lower levels. All areas of the broad technology sector declined. However, the stock of wireless communication companies fell less dramatically because sales of mobile telephones rose in the post-attack environment. Computer data storage, communications equipment and computer hardware companies also had less severe losses, because investors believed that a focus on corporate and government security would increase spending on redundant systems. In the third quarter of 2001 major technology indices fell between 30% and 50%. In the fourth quarter of 2001, technology stocks rebounded strongly. A 30% quarterly rise in the Nasdaq Composite Index was fueled by many of the technology and telecommunications stocks that had performed poorly during the year. One reason for the upturn in technology shares was that strong holiday sales of technology products helped earnings and stock prices. However, technology's rebound in the fourth quarter of 2001 was not strong enough to overtake previous months' decline. As a result, most technology indices finished the six month period with negative returns. Technology companies around the world have weathered a difficult period, and there are reasons to believe that the worst may be behind them. Recent economic data suggest that the United States may be emerging from recession, and an upturn in the U.S. economy may lead to a rebound in overseas economies over the next several quarters. Interest rates in the United States and in other countries are relatively low, energy prices are at moderate levels and inflation remains under control. All of these factors bode well for the economic and investment environment. Over the next several months, many investors expect an upturn in the two-year slump in technology. The long-term trend for relatively strong demand for wireless communications, broadband communications and business productivity tools, such as computers, remains intact. Corporate spending on information technology is likely to recover, and pent-up demand for the upgrading of corporate personal computers, servers, storage, networks and software has not abated despite crisis-driven spending delays. It is also likely that there will be some spending acceleration, particularly in areas related to business continuity, disaster recovery planning, security and surveillance. As demand for technology products accelerates, the Fund is well positioned to take advantage of growth trends in personal computers, software, semiconductors, telecommunications services, storage, wireless and mobile devices over the next few years. There are reasons for optimism about the resiliency about the global economy and about the long-term prospects for technology investments. -------------------------------------------------------------------------------- 23 GLOBAL TECHNOLOGY FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR INCEPTION* ENDED ENDED TO 12/31/01 12/31/01 12/31/01 ------------------------------------------------------------------------------------------------------ GLOBAL TECHNOLOGY FUND CLASS A+ -15.03% -26.24% -35.73% ------------------------------------------------------------------------------------------------------ GLOBAL TECHNOLOGY FUND CLASS Y -15.86 -26.95 -36.01 ------------------------------------------------------------------------------------------------------ Morgan Stanley High Tech Index -12.49 -24.12 -30.75 ------------------------------------------------------------------------------------------------------
* INCEPTION DATE OF GLOBAL TECHNOLOGY FUND CLASS A (FORMERLY CLASS N) AND CLASS Y (FORMERLY CLASS I) IS 5/26/00. INCEPTION RETURN FOR THE INDEX IS AS OF THE NEAREST MONTH-END OF INCEPTION OF THE OLDEST SHARE CLASS: 5/31/02. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR ARE AVERAGE ANNUALIZED RETURNS. TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS -------------------------------------------------- Microsoft Corp. 4.7% Dell Computer Corp. 4.5 PeopleSoft, Inc. 3.8 Micron Technology, Inc. 3.8 Computer Associates International, Inc. 3.6 QUALCOMM, Inc. 3.5 Yahoo, Inc. 3.3 Intel Corp. 3.2 Cisco Systems, Inc. 3.0 Motorola, Inc. 3.0 -------------------------------------------------- Total 36.4%
INDUSTRY DIVERSIFICATION AS A PERCENT OF NET ASSETS AS OF DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
U.S. EQUITIES Computers Software ............................ 23.24% Systems ............................. 19.77 ------- 43.01 Electronic Components .................. 22.13 Internet Services ...................... 4.51 Services/Miscellaneous ................. 7.15 Telecommunications ..................... 14.19 Nasdaq 100-Index Trading Stock ......... 2.32 ------- Total U.S. Equities ........... 93.31
INTERNATIONAL EQUITIES Computer Systems ....................... 1.76% Electronic Components .................. 1.13 Telecommunications ..................... 1.77 ------- Total International Equities .. 4.66 SHORT-TERM INVESTMENTS ................. 4.68 ------- TOTAL INVESTMENTS ............. 102.65 LIABILITIES, LESS CASH AND OTHER ASSETS ........................ (2.65) ------- NET ASSETS ............................. 100.00% =======
-------------------------------------------------------------------------------- 24 GLOBAL TECHNOLOGY FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------- ------------ EQUITIES -- 97.97% U.S. EQUITIES -- 93.31% ADC Telecom, Inc. (b) .................... 550 $ 2,530 Advent Software, Inc. (b) ................ 250 12,488 Agilent Technologies, Inc. (b) ........... 369 10,520 Amkor Technologies, Inc. (b) ............. 950 15,228 AOL Time Warner, Inc. (b) ................ 1,450 46,545 Applied Materials, Inc. (b) .............. 950 38,095 Atmel Corp. (b) .......................... 800 5,896 Automatic Data Processing, Inc. .......... 100 5,890 BEA Systems, Inc. (b) .................... 250 3,850 Borland Software Corp. (b) ............... 2,350 36,801 Broadcom Corp. (b) ....................... 1,050 42,913 CIENA Corp. (b) .......................... 250 3,578 Cisco Systems, Inc. (b) .................. 2,800 50,708 Compaq Computer Corp. .................... 4,500 43,920 Computer Associates International, Inc. .. 1,750 60,357 Dell Computer Corp. (b) .................. 2,800 76,104 eBay, Inc. (b) ........................... 500 33,450 EchoStar Communications Corp., Class A (b) 450 12,362 Electronic Arts, Inc. (b) ................ 350 20,982 Electronic Data Systems Corp. ............ 150 10,283 EMC Corp. (b) ............................ 3,450 46,368 Emcore Corp. (b) ......................... 1,300 17,485 eMerge Interactive, Inc., Class A (b) .... 2,750 3,661 First Data Corp. ......................... 350 27,457 Hewlett-Packard Co. ...................... 1,300 26,702 Intel Corp. .............................. 1,700 53,465 International Business Machines Corp. .... 400 48,384 Intuit, Inc. (b) ......................... 1,100 47,058 Jabil Circuit, Inc. (b) .................. 500 11,360 Juniper Networks, Inc. (b) ............... 550 10,423 KLA-Tencor Corp. (b) ..................... 650 32,214 Leap Wireless International, Inc. (b) .... 500 10,485 Lucent Technologies, Inc. ................ 5,600 35,224 Micron Technology, Inc. (b) .............. 2,050 63,550 Microsoft Corp. (b) ...................... 1,200 79,500 Motorola, Inc. ........................... 3,300 49,566 Nasdaq-100 Index Tracking Stock (b) ...... 1,000 38,910 Network Plus Corp. (b) ................... 4,350 5,046 New Focus, Inc. (b) ...................... 500 1,905 Oracle Corp. (b) ......................... 2,400 33,144 Parametric Technology Corp. (b) .......... 4,000 31,240 PeopleSoft, Inc. (b) ..................... 1,600 64,320 SHARES VALUE ------- ------------ Photronics, Inc. (b) ..................... 200 $ 6,270 QUALCOMM, Inc. (b) ....................... 1,150 58,075 Safeguard Scientifics, Inc. (b) .......... 1,200 4,200 Solectron Corp. (b) ...................... 1,050 11,844 Sunbeam Corp. (b) ........................ 650 6,806 Tellabs, Inc. (b) ........................ 700 10,472 Texas Instruments, Inc. .................. 900 25,200 Titan Corp. (b) .......................... 1,050 26,197 Transmeta Corp. (b) ...................... 1,150 2,634 Uniroyal Technology Corp. (b) ............ 900 2,880 VeriSign, Inc. (b) ....................... 200 7,608 Veritas Software Corp. (b) ............... 650 29,139 Xilinx, Inc. (b) ......................... 1,250 48,812 Yahoo!, Inc. (b) ......................... 3,100 54,994 ------------ Total U.S. Equities ...................... 1,565,098 ------------ INTERNATIONAL EQUITIES -- 4.66% CANADA -- 0.96% Nortel Networks Corp. .................... 2,150 16,125 ------------ FINLAND -- 0.81% Nokia Oyj ................................ 550 13,492 ------------ FRANCE -- 1.13% STMicroelectronics N.V. .................. 600 19,002 ------------ SINGAPORE -- 0.57% Flextronics International Ltd. (b) ....... 400 9,596 ------------ SWITZERLAND -- 1.19% Logitech International S.A. (b) .......... 550 19,855 ------------ Total International Equities ............. 78,070 ------------ Total Equities (Cost $1,435,391) ......... 1,643,168 ------------ SHORT-TERM INVESTMENTS -- 4.68% INVESTMENT COMPANIES -- 4.68% JPMorgan U.S. Government Money Market Fund (Cost $78,579) ............. 78,579 78,579 ------------ Total Investments (Cost $1,513,970) -- 102.65% (a) ....... 1,721,747 Liabilities, less cash and other assets -- (2.65%) ................ (44,459) ------------ Net Assets -- 100% ....................... $1,677,288 ============
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $1,513,970; and net unrealized appreciation consisted of: Gross unrealized appreciation ............ $ 218,150 Gross unrealized depreciation ............ (10,373) --------- Net unrealized appreciation .............. $ 207,777 =========
(b) Non-income producing security. % Represents a percentage of net assets. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 25 GLOBAL BIOTECH FUND -------------------------------------------------------------------------------- For the six months ended December 31, 2001, Global Biotech Fund Class Y (formerly Class I) shares declined 6.6%. This performance was significantly better than that of its benchmark, the Nasdaq Biotech Index, which declined 10.4% for the same period. During the period, biotechnology stocks were affected by a general pullback in global economic growth, a broad-based sell-off in equities and a slowdown in the U.S. Food and Drug Administration's (FDA) drug approval process. In the second half of 2001, it became clear that the U.S. economy was in recession and that the economic downturn in the United States was having a negative impact on overseas economies. The weakness in worldwide economies resulted in a continuing downward trend in stock valuations. As has been the case since 2000, technology stocks led the market lower; and the sell-off in the broad technology sector had a dampening effect on investor enthusiasm for biotechnology companies despite their fundamental strength. On another matter, the biotechnology sector has been waiting for months to learn who the new head of the FDA will be. The lack of leadership at the FDA has resulted in a slowdown in the number of drug approvals being obtained by pharmaceutical and biotechnology companies. In the latter part of the period, however, investor concerns about drug approvals were eased somewhat when the FDA approved an anti-HIV drug by Gilead and a rheumatoid arthritis drug by Amgen. At 9.8% of Fund assets, Amgen was the Fund's largest holding on December 31, 2001. In managing the Fund during the period, we made major investments in established, profitable biotechnology companies with solid product pipelines, revenue growth and the potential to produce blockbuster therapeutics. We made smaller investments in early stage, more speculative stocks and added to these positions when companies succeeded. Although speculative stocks may outperform established companies for short periods, a 10-year historical analysis of the biotechnology sector indicates that established biotechnology companies with relatively high revenue bases tend to outperform speculative stocks over the long term. Despite economic, political and regulatory uncertainties, we believe 2002 should be a better year than 2001 for biotechnology stocks. We expect more medical and technology breakthroughs to emerge from hundreds of biotechnology products in clinical trials. From these successes, biotechnology sales should continue to sustain revenue growth and this should result in more biotechnology companies becoming profitable. The industry is only 25 years old, and the average biotechnology companies takes 16.5 years to become profitable. The combination of accelerating fundamentals in a young industry makes the biotechnology sector a good investment opportunity in a diversified portfolio. -------------------------------------------------------------------------------- 26 GLOBAL BIOTECH FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR INCEPTION* ENDED ENDED TO 12/31/01 12/31/01 12/31/01 ------------------------------------------------------------------------------------------------------- GLOBAL BIOTECH FUND CLASS A+ -6.83% -23.72% -9.03% ------------------------------------------------------------------------------------------------------- GLOBAL BIOTECH FUND CLASS B+ N/A N/A 2.79 ------------------------------------------------------------------------------------------------------- GLOBAL BIOTECH FUND CLASS C+ N/A N/A 0.36 ------------------------------------------------------------------------------------------------------- GLOBAL BIOTECH FUND CLASS Y -6.59 -23.40 -8.68 ------------------------------------------------------------------------------------------------------- Nasdaq Biotech Index -10.35 -16.20 -17.68 -------------------------------------------------------------------------------------------------------
* INCEPTION DATE OF GLOBAL BIOTECH FUND CLASS A (FORMERLY CLASSN) IS 6/02/00. INCEPTION DATES FOR CLASSES B AND C ARE 11/15/01 AND 12/10/01, RESPECTIVELY. INCEPTION DATE OF CLASS Y (FORMERLY CLASS I) IS 6/02/00. INCEPTION RETURN FOR THE INDEX IS AS OF THE NEXT MONTH-END OF INCEPTION OF THE OLDEST SHARE CLASS: 6/30/00. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR ARE AVERAGE ANNUALIZED RETURNS. TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS --------------------------------------------------- Amgen, Inc. 9.7% Medimmune, Inc. 5.4 IDEC Pharmaceuticals Corp. 4.0 Immunex Corp. 3.9 Genzyme Corp. 3.8 Gilead Sciences, Inc. 3.6 Biogen, Inc. 3.2 Chiron Corp. 3.1 Inhale Therapeutic Systems, Inc. 3.0 Vertex Pharmaceuticals, Inc. 2.4 --------------------------------------------------- Total 42.1%
INDUSTRY DIVERSIFICATION AS A PERCENT OF NET ASSETS AS OF DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- U.S. EQUITIES Biomedical ............................... 17.22% Gene ..................................... 13.32 Health: Drugs ............................ 17.32 Health: Non-Drugs ........................ 2.10 Medical Products ......................... 5.35 Merrill Lynch - Biotech HOLDRs Trust ..... 1.33 Technology ............................... 0.91 Therapeutics ............................. 20.14 Research and Development ................. 11.67 ------ Total U.S. Equities ............. 89.36 INTERNATIONAL EQUITIES Gene ..................................... 2.13% Health: Drugs ............................ 4.61 Technology ............................... 0.57 Therapeutics ............................. 1.48 ------ Total International Equities .... 8.79 SHORT-TERM INVESTMENTS 1.49 ------ TOTAL INVESTMENTS ..................... 99.64 CASH AND OTHER ASSETS, LESS LIABILITIES ...................... 0.36 ------ NET ASSETS ............................... 100.00% ======
-------------------------------------------------------------------------------- 27 GLOBAL BIOTECH FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE --------- ---------- EQUITIES -- 98.15% U.S. EQUITIES -- 89.36% Abgenix, Inc. (b) ........................ 1,450 $ 48,778 Albany Molecular Research, Inc. (b) ...... 400 10,596 Alkermes, Inc. (b) ....................... 1,800 47,448 Amgen, Inc. (b) .......................... 5,150 290,666 Amylin Pharmaceuticals, Inc. (b) ......... 800 7,312 Apogent Technologies, Inc. (b) ........... 300 7,740 Applera Corp.-Applied Biosystems Group ... 400 15,708 Applera Corp.-Celera Genomics Group (b) .. 2,250 60,053 Avigen, Inc. (b) ......................... 300 3,453 Beckman Coulter, Inc. .................... 100 4,430 Bio-Technology General Corp. (b) ......... 2,900 23,867 Biogen, Inc. (b) ......................... 1,650 94,627 Celgene Corp. (b) ........................ 1,000 31,920 Cell Genesys, Inc. (b) ................... 700 16,268 Cell Therapeutics, Inc. (b) .............. 2,400 57,936 Cephalon, Inc. (b) ....................... 800 60,468 Charles River Laboratories International, Inc. (b) ................ 600 20,088 Chiron Corp. (b) ......................... 2,100 92,064 COR Therapeutics, Inc. (b) ............... 1,150 27,520 Cubist Pharmaceuticals, Inc. (b) ......... 1,100 39,556 CV Therapeutics, Inc. (b) ................ 300 15,606 Emisphere Technologies, Inc. (b) ......... 500 15,955 Genentech, Inc. (b) ...................... 250 13,563 GenVec, Inc. (b) ......................... 400 1,980 Genzyme Corp. (b) ........................ 1,900 113,734 Gilead Sciences, Inc. (b) ................ 1,650 108,438 Guilford Pharmaceuticals, Inc. (b) ....... 1,350 16,200 Human Genome Sciences, Inc. (b) .......... 1,150 38,778 ICOS Corp. (b) ........................... 700 40,208 IDEC Pharmaceuticals Corp. (b) ........... 1,750 120,627 ILEX Oncology, Inc. (b) .................. 1,350 36,504 ImClone Systems, Inc. (b) ................ 1,204 55,938 Immunex Corp. (b) ........................ 4,250 117,767 ImmunoGen, Inc. (b) ...................... 1,450 24,041 Immunomedics, Inc. (b) ................... 1,400 28,364 Incyte Genomics, Inc. (b) ................ 2,000 38,880 Inhale Therapeutic Systems, Inc. (b) ..... 4,900 90,895 InterMune, Inc. (b) ...................... 1,300 64,038 Invitrogen Corp. (b) ..................... 950 58,834 Isis Pharmaceuticals, Inc. (b) ........... 2,000 44,380 Laboratory Corp. of America Holdings (b) . 200 16,170 Lexicon Genetics, Inc. (b) ............... 200 2,308 Medarex, Inc. (b) ........................ 2,050 36,818 Medimmune, Inc. (b) ...................... 3,450 159,907 Biotech HOLDRS Trust ..................... 300 39,630 SHARES VALUE --------- ---------- Millennium Pharmaceuticals, Inc. (b) ..... 2,700 $ 66,177 Myriad Genetics, Inc. (b) ................ 300 15,792 Neurocrine Biosciences, Inc. (b) ......... 1,200 61,572 Pharmacopeia, Inc. (b) ................... 1,250 17,363 PRAECIS Pharmaceuticals, Inc. (b) ........ 2,150 12,513 Protein Design Labs, Inc. (b) ............ 2,050 67,240 Regeneron Pharmaceuticals, Inc. (b) ...... 1,150 32,384 Transkaryotic Therapies, Inc. (b) ........ 900 38,520 Vertex Pharmaceuticals, Inc. (b) ......... 2,950 72,540 Waters Corp. (b) ......................... 700 27,125 ---------- Total U.S. Equities ...................... 2,671,287 ---------- INTERNATIONAL EQUITIES -- 8.79% CANADA -- 1.23% QLT, Inc. (b) ............................ 1,450 36,844 ---------- DENMARK -- 1.57% Novo Nordisk A/S ......................... 1,150 47,031 ---------- ISRAEL -- 2.06% Teva Pharmaceutical Industries Ltd. ...... 1,000 61,630 ---------- SPAIN -- 0.58% Zeltia S.A. (b) .......................... 2,200 17,121 ---------- SWITZERLAND -- 1.73% Actelion Ltd. (b) ........................ 200 9,396 Serono S.A. (b) .......................... 1,900 42,161 ---------- 51,557 ---------- UNITED KINGDOM -- 1.62% Cambridge Antibody Technology Group PLC (b) ................................ 500 14,030 Celltech Group PLC (b) ................... 300 7,503 Elan Corp PLC (b) ........................ 350 15,771 Oxford GlycoSciences PLC (b) ............. 800 7,568 Shire Pharmaceuticals Group PLC (b) ...... 100 3,660 ---------- 48,532 ---------- Total International Equities ............. 262,715 ---------- Total Equities (Cost $2,875,411) ......... 2,934,002 ---------- SHORT-TERM INVESTMENTS -- 1.49% INVESTMENT COMPANIES -- 1.49% JPMorgan U.S. Government Money Market Fund (Cost $44,582) ......................... 44,582 44,582 ---------- Total Investments (Cost $2,919,993) -- 99.64% (a) ........ 2,978,584 Cash and other assets, less liabilities -- 0.36% .............. 10,775 ---------- Net Assets -- 100% ....................... $2,989,359 ==========
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $2,919,993; and net unrealized appreciation consisted of: Gross unrealized appreciation .................. $278,333 Gross unrealized depreciation .................. (219,742) -------- Net unrealized appreciation ........... $ 58,591 ========
(b) Non-income producing security. % Represents a percentage of net assets. -------------------------------------------------------------------------------- 28 See accompanying notes to financial statements. GLOBAL BOND FUND -------------------------------------------------------------------------------- For the six months ended December 31, 2001, Global Bond Fund Class Y (formerly Class I) shares advanced 4.7%. The Fund's benchmark, the Salomon Smith Barney World Government Bond Index, advanced 3.7% for the period. During the six-month period, growth and inflation expectations fell and Central Banks continued to cut interest rates. Nowhere was this more extreme than in the U.S., where the Federal Reserve continued to cut interest rates (five during the period, totaling 11 for the calendar year) in the face of recession and falling inflation pressures. But while short-dated bond yields fell along with interest rates, 10-year U.S. yields ended the period unchanged at 5%. Early in the period, 10-year yields increased modestly on concerns about fiscal deterioration and tentative evidence that interest rate cuts may be working to stimulate the economy. But subsequent soft data and the events of September 11 led to a short-lived rally. Other markets, with the exception of Japan, took their lead from the U.S. The growth slowdown, interest rate cuts and volatility were less pronounced in Europe, but the broad themes were the same--short-dated bonds recorded strong gains, while medium and long-dated bond yields were broadly unchanged. Japan, however, ignored international developments. The outlook for Japanese public debt worsened amid concern over whether emergency measures will be used to revive the economy. The Fund benefited from the positive stance towards markets outside of Japan. Currency strategy was a neutral contributor to Fund performance--while the underweight to the Japanese yen was beneficial, it was offset by negative contributions from the underweight to the U.S. dollar and overweight to the euro. -------------------------------------------------------------------------------- 29 GLOBAL BOND FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR 3 YEARS 5 YEARS INCEPTION* ENDED ENDED ENDED ENDED TO 12/31/01 12/31/01 12/31/01 12/31/01 12/31/01 --------------------------------------------------------------------------------------------------------- GLOBAL BOND FUND CLASS A+ N/A N/A N/A N/A -3.66% --------------------------------------------------------------------------------------------------------- GLOBAL BOND FUND CLASS B+ N/A N/A N/A N/A -1.17 --------------------------------------------------------------------------------------------------------- GLOBAL BOND FUND CLASS Y 4.65% -1.33% -2.13% 1.30% 4.13 --------------------------------------------------------------------------------------------------------- Salomon Smith Barney World Gov't Bond Index 3.74 -0.99 -1.25 2.16 4.63 ---------------------------------------------------------------------------------------------------------
* INCEPTION DATE OF GLOBAL BOND FUND CLASS A IS 11/5/01. INCEPTION DATE OF CLASS B IS 11/26/01. INCEPTION DATE OF CLASS Y (FORMERLY CLASS I) AND THE SALOMON SMITH BARNEY WORLD GOV'T BOND INDEX IS 7/31/93. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR ARE AVERAGE ANNUALIZED RETURNS. COUNTRY EXPOSURE, TOP FIVE AS OF DECEMBER 31, 2001 (UNAUDITED) ------------------------------------------------- European Monetary Union 43.2% U.S. 28.0 Japan 16.3 Canada 7.5 Sweden 2.6 ------------------------------------------------- Total 97.6%
INDUSTRY DIVERSIFICATION AS A PERCENT OF NET ASSETS AS OF DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- BONDS Corporate Bonds Airlines ................................ 0.14% Autos/Durables .......................... 0.10 Banks ................................... 0.44 Building Materials ...................... 0.05 Business & Public Service ............... 0.10 Chemicals ............................... 0.08 Construction ............................ 0.16 Consumer ................................ 0.06 Electronics ............................. 0.05 Energy .................................. 0.37 Financial Services ...................... 1.10 Food & House Products ................... 0.16 Forest Products ......................... 0.03 Housing/Paper ........................... 0.04 Industrial Components ................... 0.05 Leisure & Tourism ....................... 0.05 Metals .................................. 0.01 Retail/Apparel .......................... 0.07% Services/Miscellaneous .................. 0.40 Telecommunications ...................... 0.54 Television Broadcasting ................. 0.05 Transportation .......................... 0.04 Utilities ............................... 0.29 ------ Total U.S. Corporate Bonds ........ 4.38 Asset-Backed Securities .................... 0.87 Corporate Mortgage-Backed Securites ........ 5.37 International Dollar Bonds ................. 0.39 U.S. Government Mortgage-Backed Securities . 6.26 U.S. Government Obligations ................ 10.01 ------ Total U.S. Bonds .................. 27.28 Foreign Government Bonds ................... 70.06 SHORT-TERM INVESTMENTS ..................... 2.78 LIABILITIES, LESS CASH AND OTHER ASSETS ............................... (0.12) ------ NET ASSETS ................................. 100.00% ======
-------------------------------------------------------------------------------- 30 GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE -------- --------- BONDS -- 97.34% U.S. BONDS -- 27.28% U.S. CORPORATE BONDS -- 4.38% Abitibi - Consolidated Finance LP 7.875%, due 08/01/09 ................ $ 15,000 $ 14,915 Aloca, Inc. 6.000%, due 01/15/12 ................ 5,000 4,964 Amerada Hess Corp. 6.650%, due 08/15/11 ................ 5,000 4,979 Anadarko Finance Co. 7.500%, due 05/01/31 ................ 5,000 5,211 AOL Time Warner, Inc. 6.750%, due 04/15/11 ................ 25,000 25,619 AT&T Wireless Services, Inc. 7.875%, due 03/01/11 ................ 20,000 21,380 Avon Products, Inc. 7.150%, due 11/15/09 ................ 20,000 21,268 Bank of America Corp. 7.400%, due 01/15/11 ................ 50,000 53,611 Bank One Corp. 7.875%, due 08/01/10 ................ 20,000 22,022 Bombardier Capital, Inc., 144A 6.125%, due 06/29/06 ................ 10,000 9,739 Burlington Northern Santa Fe Corp. 6.875%, due 12/01/27 ................ 5,000 4,915 7.082%, due 05/13/29 ................ 10,000 10,078 Caterpillar, Inc. 6.550%, due 05/01/11 ................ 10,000 10,377 Cendant Corp., 144A 6.875%, due 08/15/06 ................ 40,000 38,637 Centex Corp. 9.750%, due 06/15/05 ................ 45,000 49,783 Citigroup, Inc. 7.250%, due 10/01/10 ................ 60,000 64,301 Citizens Communications Co. 9.250%, due 05/15/11 ................ 45,000 50,078 Comcast Cable Communications, Inc. 6.750%, due 01/30/11 ................ 20,000 20,087 Consolidated Edison, Inc. 7.500%, due 09/01/10 ................ 30,000 31,941 Delhaize America, Inc. 8.125%, due 04/15/11 ................ 30,000 32,928 Delta Airlines, Inc. 00-1, E.E.T.C. 7.570%, due 11/18/10 ................ 25,000 24,734 Dominion Resources, Inc., Class B 7.625%, due 07/15/05 ................ 40,000 42,647 Duke Energy Field Services LLC 6.875%, due 02/01/11 ................ 10,000 9,939 7.875%, due 08/16/10 ................ 20,000 21,126 El Paso Energy Corp. 7.800%, due 08/01/31 ................ 20,000 20,183 Energizer Holdings, Inc. 7.375%, due 12/01/09 ................ 10,000 10,663 EOP Operating Ltd. 7.875%, due 07/15/31 ................ 5,000 4,984 Equistar Chemicals LP 8.750%, due 02/15/09 ................ 20,000 19,290 10.125%, due 09/01/08 ............... 10,000 10,050 FACE AMOUNT VALUE -------- --------- Erac U.S.A. Finance Co., 144A 8.000%, due 01/15/11 ................ $ 40,000 $ 40,245 First Data Corp. 5.625%, due 11/01/11 ................ 20,000 19,115 First Energy Corp. 6.450%, due 11/15/11 ................ 20,000 19,513 First Union National Bank 7.800%, due 08/18/10 ................ 30,000 32,937 Ford Motor Credit Co. 6.875%, due 02/01/06 ................ 60,000 60,086 7.375%, due 02/01/11 ................ 35,000 34,400 General Motors Acceptance Corp. 6.125%, due 09/15/06 ................ 40,000 39,590 6.875%, due 09/15/11 ................ 40,000 39,182 Goldman Sachs Group, Inc. 6.875%, due 01/15/11 ................ 10,000 10,242 Harrah's Operating Co., Inc. 7.125%, due 06/01/07 ................ 20,000 20,238 Household Finance Corp. 6.750%, due 05/15/11 ................ 55,000 54,689 International Paper Co. 6.750%, due 09/01/11 ................ 10,000 10,112 Keycorp Capital II 6.875%, due 03/17/29 ................ 5,000 4,443 Kohls Corp. 7.250%, due 06/01/29 ................ 5,000 5,268 Kraft Foods, Inc. 6.500%, due 11/01/31 ................ 10,000 9,788 Kroger Co. 6.800%, due 04/01/11 ................ 10,000 10,257 7.500%, due 04/01/31 ................ 10,000 10,497 Mirant Americas Generation, Inc. 7.625%, due 05/01/06 ................ 20,000 18,235 9.125%, due 05/01/31 ................ 10,000 8,610 Morgan Stanley Dean Witter & Co. 6.750%, due 04/15/11 ................ 30,000 30,692 News America Holdings, Inc. 7.125%, due 04/08/28 ................ 20,000 18,244 Nisource Finance Corp. 7.875%, due 11/15/10 ................ 20,000 20,698 Occidental Petroleum Corp. 8.450%, due 02/15/29 ................ 10,000 11,324 PDVSA Finance Ltd. 8.500%, due 11/16/12 ................ 5,000 4,550 Progress Energy, Inc. 7.000%, due 10/30/31 ................ 10,000 9,854 Pure Resources, Inc. 7.125%, due 06/15/11 ................ 10,000 9,597 Qwest Capital Funding, Inc. 7.900%, due 08/15/10 ................ 60,000 61,040 Rohm & Haas Co. 7.850%, due 07/15/29 ................ 5,000 5,569 Sempra Energy 7.950%, due 03/01/10 ................ 25,000 25,836 Sonat, Inc. 7.625%, due 07/15/11 ................ 10,000 10,150 Sprint Capital Corp. 7.625%, due 01/30/11 ................ 45,000 47,266
-------------------------------------------------------------------------------- 31 GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE -------- -------- Target Corp. 7.000%, due 07/15/31 ................... $ 20,000 $ 21,024 Telus Corp. 8.000%, due 06/01/11 ................. 40,000 42,447 Transocean Sedco Forex, Inc. 6.625%, due 04/15/11 ................. 25,000 24,530 United Airlines, Inc., 00-2, E.E.T.C. 7.811%, due 10/01/09 ................. 35,000 29,208 Valero Energy Corp. 8.750%, due 06/15/30 ................. 5,000 5,688 Verizon Global Funding Corp. 7.750%, due 12/01/30 ................. 40,000 44,520 Viacom, Inc. 8.625%, due 08/01/12 ................. 20,000 23,122 Waste Management, Inc. 6.875%, due 05/15/09 ................. 10,000 10,074 Wells Fargo Bank N.A. 6.450%, due 02/01/11 ................. 45,000 45,947 Williams Cos, Inc. 7.125%, due 09/01/11 ................. 35,000 34,371 WorldCom, Inc. 7.500%, due 05/15/11 ................. 45,000 46,290 --------- 1,689,937 --------- ASSET-BACKED SECURITIES -- 0.87% Comed Transitional Funding Trust, 98-1, Class A7 5.740%, due 12/25/10 ................. 195,000 197,741 DVI Receivables Corp., 00-2, Class A3 6.808%, due 07/12/04 ................. 35,000 36,003 Vanderbilt Mortgage Finance, 98-B, Class 1A2 6.120%, due 05/07/09 ................. 103,242 103,785 --------- 337,529 --------- CORPORATE MORTGAGE-BACKED SECURITIES -- 5.37% Bear Stearns Commercial Mortgage Securities, 00-WF2, Class A2 7.320%, due 10/15/32 .................. 75,000 80,375 CS First Boston Mortgage Securities Corp., 00-C1, Class A2 7.545%, due 04/15/62 .................. 90,000 97,479 CS First Boston Mortgage Securities Corp., 01-CF2, Class A3 6.238%, due 02/15/34 .................. 25,000 25,579 Chase Commercial Mortgage Securities Corp., 98-1 A2 6.560%, due 05/18/30 .................. 35,000 36,328 DLJ Commercial Mortgage Corp., 99-CG1, Class A1B 6.460%, due 01/10/09 .................. 20,000 20,592 DLJ Commercial Mortgage Corp., 99-CG3, Class A1B 7.340%, due 09/10/09 .................. 25,000 26,751 DLJ Commercial Mortgage Corp., 00-CKP1, Class A1B 7.180%, due 08/10/10 .................. 140,000 148,482 FACE AMOUNT VALUE -------- -------- Heller Financial Commercial Mortgage Assets, 99-PH1, Class A1 6.500%, due 05/15/31 .................. $342,519 $356,755 LB Commercial Conduit Mortgage Trust, 98-C4, Class A1B 6.210%, due 10/15/35 .................. 30,000 30,500 LB Commercial Conduit Mortgage Trust, 99-C2, Class A2 7.325%, due 10/15/32 .................. 50,000 53,617 Morgan Stanley Dean Witter Capital I, 00-LIF2, Class A1 6.960%, due 10/15/33 .................. 37,528 39,617 Morgan Stanley Dean Witter Capital I, 00-LIFE, Class A2 7.570%, due 12/15/09 .................. 50,000 54,267 Morgan Stanley Dean Witter Capital I, 01-TOP1, Class A4 6.660%, due 02/15/33 .................. 40,000 41,306 Norwest Asset Securities Corp., 99-3, Class A3 6.000%, due 01/25/29 .................. 44,997 45,122 PNC Mortgage Securities Corp., 94-3, Class A8 7.500%, due 07/25/24 .................. 190,000 197,780 PNC Mortgage Acceptance Corp., 99-CM1, Class A1B 7.330%, due 12/10/32 .................. 30,000 32,046 Prudential Home Mortgage Securities, 93-43, Class A9 6.750%, due 10/25/23 .................. 152,904 156,046 Prudential Home Mortgage Securities, 96-7, Class A4 6.750%, due 06/25/11 .................. 142,445 146,391 Prudential Mortgage Capital Funding, LLC, 01-ROCK, Class A2 6.605%, due 05/10/34 .................. 15,000 15,357 Residential Accredit Loans, Inc., 98-QS4, Class AI5 7.000%, due 03/25/28 .................. 400,000 402,586 Salomon Brothers Mortgage Securities VII, 00-C3, Class A2 6.592%, due 12/18/33 .................. 60,000 61,601 --------- 2,068,577 --------- INTERNATIONAL DOLLAR BONDS -- 0.39% France Telecom S.A., 144A 8.500%, due 03/01/31 .................. 5,000 5,708 Petroleum Geo-Services 7.500%, due 03/31/07 .................. 30,000 28,534 Tyco International Group S.A. 6.750%, due 02/15/11 .................. 35,000 35,140 7.000%, due 06/15/28 .................. 10,000 9,675 United Mexican States 9.875%, due 02/01/10 .................. 45,000 50,288 Vodafone Group PLC 7.750%, due 02/15/10 .................. 20,000 21,966 --------- 151,311 ---------
-------------------------------------------------------------------------------- 32 GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE ---------- ---------- U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES -- 6.26% Fannie Mae Grantor Trust 7.125%, due 01/15/30 ................ $ 90,000 $ 100,094 7.500%, due 12/25/31 ................ 173,984 183,892 Fannie Mae Whole Loan, 95-W3, Class A 9.000%, due 04/25/25 ................ 5,184 5,603 Federal Home Loan Mortgage Corp. 6.500%, due 11/01/28 ................ 9,915 9,937 7.000%, due 10/15/13 ................ 68,215 71,865 Federal Home Loan Mortgage Corp. Gold 8.000%, due 01/01/30 ................ 431,725 452,043 Federal National Mortgage Association 6.500%, due 08/01/16 ................ 471,447 480,613 6.500%, due 03/01/19 ................ 91,644 92,934 6.500%, due 06/01/29 ................ 100,711 100,857 Government National Mortgage Association 6.000%, due 11/20/28 ................ 75,606 73,812 6.000%, due 12/20/28 ................ 120,012 117,361 6.000%, due 05/20/29 ................ 142,425 139,046 6.500%, due 08/15/27 ................ 5,790 5,816 7.000%, due 07/15/25 ................ 34,035 35,069 7.000%, due 07/15/31 ................ 323,327 330,683 7.500%, due 08/15/23 ................ 39,625 41,437 7.500%, due 12/15/23 ................ 60,882 63,664 7.500%, due 01/15/24 ................ 43,303 45,244 7.500%, due 07/15/25 ................ 61,823 63,948 ---------- 2,413,918 ---------- U.S. GOVERNMENT OBLIGATIONS -- 10.01% U.S. Treasury Inflation Indexed Note 3.875%, due 01/15/09 ................ 1,310,000 1,451,965 U.S. Treasury Note 3.625%, due 08/31/03 ................ 740,000 750,406 6.250%, due 05/15/30 ................ 375,000 406,216 6.500%, due 02/15/10 ................ 290,000 318,592 U.S. Treasury Bond 7.000%, due 07/15/06 ................ 220,000 243,753 8.000%, due 11/15/21 ................ 235,000 297,376 8.750%, due 05/15/17 ................ 300,000 394,066 ---------- 3,862,374 ---------- Total U.S. Bonds ...................... 10,523,646 ---------- INTERNATIONAL BONDS -- 70.06% AUSTRIA 2.13% Republic of Austria 4.300%, due 07/15/03 .............EUR 795,000 715,188 5.500%, due 01/15/10 ................ 115,000 105,054 ---------- 820,242 ---------- FACE AMOUNT VALUE ---------- ---------- CANADA -- 7.33% Government of Canada 5.750%, due 06/01/02 .............CAD 870,000 $ 553,333 5.750%, due 06/01/29 ................ 600,000 380,755 6.000%, due 06/01/08 ................ 620,000 408,366 6.000%, due 06/01/11 ................ 780,000 511,596 7.250%, due 06/01/07 ................ 440,000 306,922 8.000%, due 06/01/23 ................ 360,000 286,029 Province of Ontario 7.500%, due 01/19/06 ................ 550,000 381,482 ---------- 2,828,483 ---------- FRANCE -- 9.35% Government of France (BTAN) 5.500%, due 04/25/07 .............EUR 720,000 668,959 Government of France (OAT) 4.000%, due 10/25/09 ................ 820,000 686,322 5.500%, due 10/25/10 ................ 740,000 678,651 5.500%, due 04/25/29 ................ 490,000 436,583 7.500%, due 04/25/05 ................ 1,060,000 1,040,255 8.500%, due 10/25/19 ................ 80,000 95,722 ---------- 3,606,492 ---------- GERMANY -- 10.54% Bundesobligation 4.500%, due 02/22/02 ................ 315,000 280,864 Bundesrepublik Deutschland 4.500%, due 07/04/09 ................ 895,000 774,819 5.000%, due 07/04/11 ................ 1,200,000 1,067,362 6.000%, due 07/04/07 ................ 760,000 722,695 6.500%, due 07/04/27 ................ 500,000 506,612 Treuhandanstalt 6.750%, due 05/13/04 ................ 750,000 710,867 ---------- 4,063,219 ---------- ITALY -- 14.16% Buoni Poliennali Del Tes 3.000%, due 04/15/02 ................ 580,000 516,366 3.250%, due 04/15/04 ................ 2,150,000 1,889,300 4.250%, due 11/01/09 ................ 1,305,000 1,102,387 5.250%, due 11/01/29 ................ 480,000 405,502 6.500%, due 11/01/27 ................ 465,000 459,646 8.750%, due 07/01/06 ................ 1,050,000 1,088,801 ---------- 5,462,002 ---------- JAPAN -- 16.35% Government of Japan 0.100%, due 06/20/03 ...........JPY 460,000,000 3,511,664 0.500%, due 06/20/06 .............. 242,600,000 1,854,644 1.300%, due 06/20/11 .............. 122,900,000 938,325 ---------- 6,304,633 ----------
-------------------------------------------------------------------------------- 33 GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------- ------------ SPAIN -- 5.86% Government of Spain 3.000%, due 01/31/03 .............EUR 760,000 $ 656,403 4.750%, due 07/30/14 ................ 150,000 125,705 5.150%, due 07/30/09 ................ 150,000 134,804 6.000%, due 01/31/08 ................ 1,260,000 1,188,985 6.000%, due 01/31/29 ................ 165,000 155,967 ----------- 2,261,864 ----------- SWEDEN -- 2.47% Government of Sweden 6.750%, due 05/05/14 ............SEK 1,970,000 207,721 8.000%, due 08/15/07 ............... 2,050,000 223,495 10.250%, due 05/05/03 ............... 5,055,000 519,378 ----------- 950,594 ----------- UNITED KINGDOM -- 1.87% European Investment Bank 6.250%, due 04/15/14 .............GBP 120,000 $ 186,361 U.K. Treasury 5.750%, due 12/07/09 ................ 92,000 139,118 6.000%, due 12/07/28 ................ 74,800 127,939 8.500%, due 12/07/05 ................ 165,000 269,011 ----------- 722,429 ----------- Total International Bonds ............. 27,019,958 ----------- Total Bonds (Cost $38,698,984) ........ 37,543,604 ----------- SHARES --------- SHORT-TERM INVESTMENTS -- 2.78% OTHER -- 2.78% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $1,071,684) ................... 1,071,684 1,071,684 ----------- Total Investments (Cost $39,770,668)--100.12% (a) ..... 38,615,288 ----------- Liabilities, less cash and other assets -- (0.12%) ............. (45,640) ----------- Net Assets -- 100% .................... $38,569,648 ===========
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $39,770,668; and net unrealized depreciation consisted of: Gross unrealized appreciation ............... $ 162,595 Gross unrealized depreciation ............... (1,317,975) ----------- Net unrealized depreciation .............. $(1,155,380) ===========
% Represents a percentage of net assets. E.E.T.C.: Enhanced equipment trust certificate 144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2001, the value of these securities amounted to $94,329 or 0.24% of net assets. FORWARD FOREIGN CURRENCY CONTRACTS Global Bond Fund had the following open forward foreign currency contracts as of December 31, 2001:
SETTLEMENT LOCAL CURRENT UNREALIZED DATE CURRENCY VALUE GAIN/(LOSS) ------------- -------------- ----------- ------------ FORWARD FOREIGN CURRENCY BUY CONTRACTS Australian Dollar (AUD) ......................................... 01/25/02 6,700,000 $3,424,418 $ (68,756) Danish Krone (DKK) .............................................. 01/25/02 3,600,000 430,626 (8,115) Euro (EUR) ...................................................... 01/25/02 2,560,000 2,281,272 (29,127) Japanese Yen (JPY) .............................................. 01/25/02 288,700,000 2,205,214 (234,904) Swedish Krona (SEK) ............................................. 01/25/02 7,500,000 714,044 16,863 Swiss Franc (CHK) ............................................... 01/25/02 350,000 210,820 190 FORWARD FOREIGN CURRENCY SALE CONTRACTS British Pounds (GBP) ............................................ 01/25/02 500,000 726,696 (4,251) Canadian Dollar (CAD) ........................................... 01/25/02 1,800,000 1,127,421 38,223 Euro (EUR) ...................................................... 01/25/02 260,000 231,718 (3,034) Swedish Krona (SEK) ............................................. 01/25/02 7,500,000 714,044 8,433 --------- Total net unrealized loss on Forward Foreign Currency Contracts $(284,478) =========
-------------------------------------------------------------------------------- 34 See accompanying notes to financial statements. U.S. BALANCED FUND -------------------------------------------------------------------------------- For the six months ended December 31, 2001, U.S. Balanced Fund Class Y (formerly Class I) shares returned 3.0% outperforming the Fund's benchmark, the U.S. Balanced Mutual Fund Index,* which declined 1.7% for the same period. Equity markets fell throughout the third quarter of the calendar year, with a strong comeback in the last quarter insufficient to avoid an overall decline for the period. Poor corporate earnings, rising unemployment and a negative economic outlook were primarily responsible for the decline, with the events of September 11 contributing to the negative momentum. However, the fourth quarter brought encouraging investment results; the markets and consumer confidence demonstrated strength and resilience in the wake of a recession punctuated by war. Equity indices rebounded sharply. The Wilshire 5000 Index jumped 12.4% while the S&P 500 Index advanced 10.7% During the period, fixed income led the way in performance gains. The Fund benefited from opportunities created by successive rate cuts by the Federal Reserve Board in its attempts to stimulate the sagging economy and, in the aftermath of the events of September 11, provide liquidity for the capital markets. The Federal funds rate is now at its lowest point in over 30 years but the yield curve has steepened in anticipation of an economic recovery. High-yield bonds began the year strongly but finished behind investment grade debt, as spreads widened and defaults reached recessionary levels. Continued low inflation and attractive real yields contributed to positive gains by the Fund's fixed income portion. Market allocation contributed positively during the reporting period, powered by a fixed income overweight and equity underweight. Within fixed income, an overweight in Treasury inflation protected securities (TIPS) contributed the most gains for the year. On the equity side, an underweight in technology stocks and an overweight to the health care sector was helpful. The strategy continued to overweight fixed income and underweight equities as the reporting period ended, but the Fund has begun to shift to equities as they are more attractively priced. ------------------ * An unmanaged index compiled by the Advisor, constructed as follows: 65% Wilshire 5000 Index and 35% Salomon Smith Barney Broad Investment Grade (BIG) Bond Index. -------------------------------------------------------------------------------- 35 U.S. BALANCED FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR 3 YEARS 5 YEARS INCEPTION* ENDED ENDED ENDED ENDED TO 12/31/01 12/31/01 12/31/01 12/31/01 12/31/01 -------------------------------------------------------------------------------------------------------- U.S. BALANCED FUND CLASS A+ 2.92% 7.38% 3.69% N/A 5.92% -------------------------------------------------------------------------------------------------------- U.S. BALANCED FUND CLASS B+ N/A N/A N/A N/A 2.66 -------------------------------------------------------------------------------------------------------- U.S. BALANCED FUND CLASS C+ N/A N/A N/A N/A 2.77 -------------------------------------------------------------------------------------------------------- U.S. BALANCED FUND CLASS Y 3.03 7.72 4.08 7.01% 10.07 -------------------------------------------------------------------------------------------------------- U.S. Balanced Mutual Fund Index** -1.74 -4.02 2.11 9.34 12.81 -------------------------------------------------------------------------------------------------------- Salomon Smith Barney Broad Investment Grade (BIG) Bond Index 4.73 8.52 6.29 7.43 8.40 -------------------------------------------------------------------------------------------------------- Wilshire 5000 Index -5.50 -10.97 -0.67 9.70 14.80 --------------------------------------------------------------------------------------------------------
* INCEPTION DATE OF U.S. BALANCED FUND CLASS A (FORMERLY CLASS N) IS 6/30/97. INCEPTION DATE FOR CLASSES B AND C ARE 11/7/01 AND 11/6/01, RESPECTIVELY. INCEPTION DATE OF CLASS Y (FORMERLY CLASS I) AND EACH OF THE INDICES IS 12/30/94. ** AN UNMANAGED INDEX COMPILED BY THE ADVISOR, CONSTRUCTED AS FOLLOWS: 65% WILSHIRE 5000 INDEX AND 35% SALOMON SMITH BARNEY BIG BOND INDEX. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR ARE AVERAGE ANNUALIZED RETURNS. TOP TEN FIXED INCOME HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS ----------------------------------------------------- U.S. Treasury Note 3.625%, due 08/31/03 4.8% Government National Mortgage Association 7.500%, due 02/15/27 2.4 U.S. Treasury Note 6.250%, due 05/15/30 2.3 U.S. Treasury Note 7.000%, due 07/15/06 1.8 Federal National Mortgage Association 7.000%, due 09/01/23 1.5 U.S. Treasury Bond 8.750%, due 05/15/17 1.3 Federal Home Loan Mortgage Corp., Gold 6.500%, due 04/01/29 1.1 U.S. Treasury Bond 8.000%, due 11/15/21 1.0 U.S. Treasury Note 7.500%, due 02/15/05 0.9 Federal National Mortgage Association 7.500%, due 06/19/41 0.8 ----------------------------------------------------- Total 17.9%
TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS ----------------------------------------------------- Citigroup, Inc. 1.7% Johnson & Johnson 1.7 Burlington Northern Santa Fe Corp. 1.6 Wells Fargo & Co. 1.5 Microsoft Corp. 1.3 Abbot Laboratories, Inc. 1.3 Allergan, Inc. 1.3 Baxter International, Inc. 1.3 American Home Products Corp. 1.3 Freddie Mac 1.3 ----------------------------------------------------- Total 14.3%
-------------------------------------------------------------------------------- 36 U.S. BALANCED FUND-- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE --------- ------------ U.S. EQUITIES -- 56.32% AUTOS/DURABLES -- 1.80% Johnson Controls, Inc. ................. 1,100 $ 88,825 Lear Corp. (b) ......................... 3,300 125,862 W.W. Grainger, Inc. .................... 3,700 177,600 ----------- 392,287 ----------- BANKS -- 4.61% FleetBoston Financial Corp. ............ 4,805 175,383 GreenPoint Financial Corp. ............. 6,200 221,650 PNC Financial Services Group ........... 2,500 140,500 U.S. Bancorp ........................... 6,400 133,952 Wells Fargo & Co. ...................... 7,700 334,565 ----------- 1,006,050 ----------- BROADCASTING & PUBLISHING -- 0.79% Viacom, Inc. (b) ....................... 3,900 172,185 ----------- CAPITAL GOODS -- 2.87% Illinois Tool Works, Inc. .............. 3,900 264,108 Ingersoll-Rand Co. (b) ................. 1,500 62,715 Martin Marietta Materials, Inc. ........ 2,636 122,838 Pentair, Inc. .......................... 3,200 116,832 York International Corp. ............... 1,600 61,008 ----------- 627,501 ----------- CHEMICALS -- 2.03% Dow Chemical Co. ....................... 3,800 128,364 Eastman Chemical Co. ................... 1,500 58,530 IMC Global, Inc. ....................... 6,400 83,200 Lyondell Chemical Co. .................. 4,000 57,320 Praxair, Inc. .......................... 2,100 116,025 ----------- 443,439 ----------- COMPUTER SOFTWARE -- 1.82% EMC Corp. (b) .......................... 7,800 104,832 Microsoft Corp. (b) .................... 4,400 291,500 ----------- 396,332 ----------- COMPUTER SYSTEMS -- 0.91% Cisco Systems, Inc. (b) ................ 4,300 77,873 Compaq Computer Corp. .................. 8,000 78,080 Sapient Corp. (b) ...................... 5,600 43,232 ----------- 199,185 ----------- ELECTRIC COMPONENTS -- 1.46% Advanced Micro Devices, Inc. (b) ....... 8,900 141,154 Analog Devices, Inc. (b) ............... 1,800 79,902 Micron Technology, Inc. (b) ............ 1,900 58,900 Sanmina Corp. (b) ...................... 1,904 37,890 ----------- 317,846 ----------- ENERGY -- 1.99% Exxon Mobil Corp. ...................... 6,000 235,800 FirstEnergy Corp. ...................... 5,691 199,071 ----------- 434,871 ----------- FINANCIAL SERVICES -- 6.98% American International Group, Inc. ..... 2,900 230,260 CIGNA Corp. ............................ 1,700 157,505 Citigroup, Inc. ........................ 7,286 367,797 SHARES VALUE --------- ------------ Freddie Mac ............................ 4,300 $ 281,220 JP Morgan Chase & Co. .................. 4,400 159,940 KPMG Consulting, Inc.(b) ............... 2,500 41,425 Lincoln National Corp. ................. 1,300 63,141 Morgan Stanley Dean Witter & Co. ....... 2,500 139,850 XL Capital Ltd. ........................ 900 82,224 ----------- 1,523,362 ----------- FOOD & HOUSE PRODUCTS -- 1.09% Sara Lee Corp. ......................... 10,724 238,395 ----------- HEALTH: DRUGS 6.02% Abbott Laboratories .................... 5,200 289,900 Allergan, Inc. ......................... 3,800 285,190 American Home Products Corp. ........... 4,600 282,256 Cephalon, Inc. (b) ..................... 2,300 173,845 Eli Lilly and Co. ...................... 2,200 172,788 SICOR, Inc. (b) ........................ 7,100 111,328 ----------- 1,315,307 ----------- HEALTH: NON-DRUGS -- 3.98% Baxter International, Inc. ............. 5,300 284,239 Johnson & Johnson ...................... 6,164 364,292 United Health Group, Inc. .............. 3,100 219,387 ----------- 867,918 ----------- HOUSING/PAPER -- 1.54% American Standard Companies, Inc. (b) .. 2,600 177,398 Kimberly-Clark Corp. ................... 1,100 65,780 Mead Corp. ............................. 3,000 92,670 ----------- 335,848 ----------- LEISURE & TOURISM -- 0.47% Royal Caribbean Cruises Ltd. ........... 6,300 102,060 ----------- METALS-NON-FERROUS -- 1.22% Masco Corp. ............................ 10,900 267,050 ----------- RETAIL/APPAREL -- 2.98% Federated Department Stores, Inc. (b) .. 1,900 77,710 Kroger Co. (b) ......................... 11,000 229,570 Newell Rubbermaid, Inc. ................ 6,100 168,177 RadioShack Corp. ....................... 2,800 84,280 Target Corp. ........................... 2,200 90,310 ----------- 650,047 ----------- SERVICES/MISCELLANEOUS -- 5.88% Computer Sciences Corp. (b) ............ 5,400 264,492 Electronic Data Systems Corp. .......... 1,600 109,680 Ensco International, Inc. .............. 4,400 109,340 First Data Corp. ....................... 2,758 216,365 Household International, Inc. .......... 3,600 208,584 McGraw-Hill Companies, Inc. ............ 1,400 85,372 Omnicom Group .......................... 2,400 214,440 Viad Corp. ............................. 3,200 75,776 ----------- 1,284,049 ----------- TECHNOLOGY -- 1.82% Compuware Corp. (b) .................... 9,600 113,184 Motorola, Inc. ......................... 6,015 90,345 United Technologies Corp. .............. 3,000 193,890 ----------- 397,419 -----------
-------------------------------------------------------------------------------- 37 U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE -------- ------------ TELECOMMUNICATIONS EQUIPMENT -- 0.28% CommScope, Inc. (b) ...................... 2,900 $ 61,683 ----------- TELECOMMUNICATIONS- SERVICES -- 1.74% Nextel Communications, Inc. (b) .......... 16,700 183,032 SBC Communications, Inc. ................. 5,000 195,850 ----------- 378,882 ----------- TRANSPORTATION -- 1.90% Burlington Northern Santa Fe Corp. ....... 12,200 348,066 FedEx Corp. (b) .......................... 1,300 67,444 ----------- 415,510 ----------- UTILITIES -- 2.14% CMS Energy Corp. ......................... 4,900 117,747 Consolidated Edison, Inc. ................ 300 12,108 Entergy Corp. ............................ 2,400 93,864 Exelon Corp. ............................. 3,300 158,004 Progress Energy, Inc. .................... 1,900 85,557 ----------- 467,280 ----------- Total U.S. Equities (Cost $11,579,763).... 12,294,506 ----------- FACE AMOUNT --------- BONDS -- 35.00% ASSET-BACKED SECURITIES -- 0.83% Peco Energy Transition Trust, 99-A3, Class A7 7.625%, due 03/01/10 ................. $ 95,000 104,781 Vanderbilt Mortgage Finance 8.255%, due 05/07/17 ................. 70,000 76,455 ----------- 181,236 ----------- CORPORATE MORTGAGE-BACKED SECURITIES -- 5.90% Bear Stearns Commercial Mortgage Securities, 00-WF1, Class A2 7.780%, due 02/15/10 ................. 140,000 153,753 Bear Stearns Commercial Mortgage Securities, 00-WF2, Class A2 7.320%, due 10/15/32 ................. 150,000 160,751 Cendent Mortgage Corp., 01-A1, Class 3A1 6.750%, due 04/25/31 ................. 69,843 70,422 CS First Boston Mortgage Securities Corp. 6.238%, due 02/15/34 ................. 30,000 30,695 7.545%, due 04/15/62 ................. 90,000 97,479 DLJ Commercial Mortgage Corp. 7.340%, due 09/10/09 ................. 45,000 48,152 DLJ Commercial Mortgage Corp., 99-CG2, Class A1B 7.300%, due 06/10/09 ....... 24,999 26,733 GE Capital Mortgage Services, Inc., 00-2, Class A1 7.750%, due 02/25/30 ........ 41,887 42,862 GS Mortgage Securities Corp., 144A 7.500%, due 06/19/32 ................. 139,259 146,950 LB Commercial Conduit Mortgage Trust, 99-C1, Class A1 6.410%, due 08/15/07 . 93,907 97,696 LB Commercial Conduit Mortgage Trust, 99-C2, Class A2 7.325%, due 10/15/32 . 40,000 42,893 Morgan Stanley Dean Witter Capital I 6.660%, due 02/15/33 ................. 15,000 15,490 6.960%, due 10/15/33 ................. 28,146 29,713 7.570%, due 12/15/09 ................. 135,000 146,521 FACE AMOUNT VALUE -------- ------------ Norwest Asset Securities Corp., 99-3, 6.000%, due 01/25/29 ................... $ 44,997 $ 45,122 PNC Mortgage Acceptance Corp., 99-CM1, Class A1B 7.330%, due 12/10/32 ....... 15,000 16,023 Prudential Mortgage Capital Funding, LLC, 00-ROCK, Class A2 6.605%, due 05/10/34 ................. 15,000 15,357 Salomon Brothers Mortgage Securities VII 6.592%, due 12/18/33 .. 45,000 46,201 Structured Asset Securities Corp., 98-ALS1, Class 1A 6.900%, due 01/25/29 ........ 54,148 55,412 ----------- 1,288,225 ----------- INTERNATIONAL DOLLAR BONDS -- 0.62% France Telecom S.A., 144A 8.500%, due 03/01/31 ................. 5,000 5,708 Petroleum Geo-Services 6.625%, due 03/30/08 ................. 10,000 8,963 7.500%, due 03/31/07 ................. 25,000 23,778 Tyco International Group S.A. 6.750%, due 02/15/11 ................. 30,000 30,121 7.000%, due 06/15/28 ................. 5,000 4,837 United Mexican States 9.875%, due 02/01/10 ................. 35,000 39,113 Vodafone Group PLC 7.750%, due 02/15/10 ................. 20,000 21,966 ----------- 134,486 ----------- U.S. CORPORATE BONDS -- 6.38% Abitibi - Consolidated Finance LP 7.875%, due 08/01/09 ................. 20,000 19,886 Alcoa Inc. 6.000%, due 01/15/12 ................. 5,000 4,964 Amerada Hess Corp 6.650%, due 08/15/11 ................. 10,000 9,958 Anadarko Finance Co 7.500%, due 05/01/31 ................. 5,000 5,211 AOL Time Warner, Inc. 6.750%, due 04/15/11 ................. 20,000 20,495 AT&T Wireless Services Inc. 7.875%, due 03/01/11 ................. 15,000 16,035 Avon Products, Inc. 7.150%, due 11/15/09 ................. 20,000 21,268 Bank of America Corp. 7.400%, due 01/15/11 ................. 40,000 42,889 Bank One Corp. 7.875%, due 08/01/10 ................. 20,000 22,022 Bombardier Capital, Inc., 144A 6.125%, due 06/29/06 ................. 15,000 14,609 Burlington Northern Santa Fe Corp. 7.082%, due 05/13/29 ................. 10,000 10,078 Caterpillar, Inc. 6.550%, due 05/01/11 ................. 10,000 10,377 Cendant Corp., 144A 6.875%, due 08/15/06 ................. 55,000 53,126 Citigroup, Inc. 7.250%, due 10/01/10 ................. 50,000 53,584 Citizens Communications Co. 9.250%, due 05/15/11 ................. 30,000 33,386
-------------------------------------------------------------------------------- 38 U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE --------- ----------- Comcast Cable Communications 6.750%, due 01/30/11 ................... $10,000 $ 10,043 Consolidated Edison, Inc. 7.500%, due 09/01/10 ................. 20,000 21,294 Delhaize America, Inc. 8.125%, due 04/15/11 ................. 20,000 21,952 Delta Airlines, Inc. 00-1, E.E.T.C. 7.570%, due 11/18/10 ................. 30,000 29,680 Dominion Resources, Inc., Class B 7.625%, due 07/15/05 ................. 30,000 31,985 Duke Energy Field Services 6.875%, due 02/01/11 ................. 5,000 4,970 Duke Energy Field Services LLC 7.875%, due 08/16/10 ................. 25,000 26,408 El Paso Energy Corp. 7.800%, due 08/01/31 ................. 15,000 15,137 Energizer Holdings, Inc. 7.375%, due 12/01/09 ................. 10,000 10,663 EOP Operating Ltd. 7.875%, due 07/15/31 ................. 10,000 9,969 Equistar Chemicals LP 8.750%, due 02/15/09 ................. 15,000 14,467 10.125%, due 09/01/08 ................ 10,000 10,050 Erac U.S.A. Finance Co.,144A 8.000%, due 01/15/11 ................. 55,000 55,337 First Data Corp. 5.625%, due 11/01/11 ................. 15,000 14,336 First Energy Corp. 6.450%, due 11/15/11 ................. 15,000 14,635 First Union National Bank 7.800%, due 08/18/10 ................. 20,000 21,958 Ford Motor Credit Co. 6.875%, due 02/01/06 ................. 45,000 45,065 7.375%, due 02/01/11 ................. 25,000 24,571 General Motors Acceptance Corp. 6.125%, due 09/15/06 ................. 35,000 34,641 6.875%, due 09/15/11 ................. 25,000 24,489 Goldman Sachs Group, Inc. 6.875%, due 01/15/11 ................. 10,000 10,242 Harrah's Operating Co., Inc. 7.125%, due 06/01/07 ................. 15,000 15,179 Household Finance Corp. 6.750%, due 05/15/11 ................. 45,000 44,746 International Paper Co. 6.750%, due 09/01/11 ................. 15,000 15,168 Keycorp Capital II 6.875%, due 03/17/29 ................. 5,000 4,443 Kraft Foods, Inc. 6.500%, due 11/01/31 ................. 10,000 9,788 Kroger Co. 6.800%, due 04/01/11 ................. 10,000 10,257 7.500%, due 04/01/31 ................. 5,000 5,248 Mirant Americas Generation Inc. 7.625%, due 05/01/06 ................. 30,000 27,352 9.125%, due 05/01/31 ................. 5,000 4,305 Morgan Stanley Dean Witter 6.750%, due 04/15/11 ................. 30,000 30,692 News America Holdings, Inc. 7.125%, due 04/08/28 ................. 20,000 18,244 FACE AMOUNT VALUE --------- ----------- Nisource Finance Corp. 7.875%, due 11/15/10 ................... $ 15,000 $ 15,524 Occidental Petroleum Corp 8.450%, due 02/15/29 ................. 15,000 16,985 PDVSA Finance Ltd. 8.500%, due 11/16/12 ................. 5,000 4,550 Progress Energy Inc. 7.000%, due 10/30/31 ................. 5,000 4,927 Pure Resources Inc. 7.125%, due 06/15/11 ................. 10,000 9,597 Qwest Capital Funding, Inc. 7.900%, due 08/15/10 ................. 50,000 50,867 Rohm & Haas Co 7.850%, due 07/15/29 ................. 5,000 5,569 Sempra Energy 7.950%, due 03/01/10 ................. 20,000 20,668 Sprint Capital Corp. 7.625%, due 01/30/11 ................. 30,000 31,510 Target Corp 7.000%, due 07/15/31 ................. 15,000 15,768 Telus Corp. 8.000%, due 06/01/11 ................. 30,000 31,835 Transocean Sedco Forex Inc. 6.625%, due 04/15/11 ................. 30,000 29,436 United Airlines, Inc., E.E.T.C. 7.811%, due 10/01/09 ................. 30,000 25,036 Valero Energy Corp 8.750%, due 06/15/30 ................. 5,000 5,688 Verizon Global Funding Corp. 7.750%, due 12/01/30 ................. 20,000 22,260 Viacom, Inc. 8.625%, due 08/01/12 ................. 15,000 17,341 Waste Management Inc. 6.875%, due 05/15/09 ................. 10,000 10,074 Wells Fargo Bank N.A. 6.450%, due 02/01/11 ................. 35,000 35,737 Williams Cos, Inc. 7.125%, due 09/01/11 ................. 30,000 29,461 WorldCom Inc. 7.500%, due 05/15/11 ................. 35,000 36,004 ---------- 1,394,039 ---------- U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES -- 8.87% Fannie Mae Grantor Trust 7.125%, due 01/15/30 ................. 80,000 88,973 Fannie Mae Grantor Trust, 01-T10, Class A2 7.500%, due 06/19/41 ........ 158,793 167,155 Federal Home Loan Mortgage Corp., Gold 6.500%, due 04/01/29 ................. 244,003 244,556 Federal National Mortgage Association 7.000%, due 09/01/23 ................. 326,488 332,984 7.500%, due 05/01/31 ................. 76,851 79,325 Federal National Mortgage Association, 97-72, Class EG (b) 0.000%, due 09/25/22, P.O. ........... 10,246 10,244 Fannie Mae Whole Loan 7.000%, due 09/25/41 ................. 93,318 95,330
-------------------------------------------------------------------------------- 39 U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------- ----------- Government National Mortgage Association 6.000%, due 11/20/28 ................ $ 49,144 $ 47,978 6.000%, due 02/20/29 ................ 104,391 101,914 6.500%, due 10/15/28 ................ 122,036 122,593 7.000%, due 04/15/26 ................ 106,266 108,683 7.500%, due 07/15/25 ................ 13,248 13,703 7.500%, due 02/15/27 ................ 506,346 523,752 ---------- 1,937,190 ---------- U.S. GOVERNMENT OBLIGATIONS -- 12.40% U.S. Treasury Bond 8.000%, due 11/15/21 .............. 175,000 221,450 8.750%, due 05/15/17 .............. 225,000 295,550 U.S. Treasury Note 3.625%, due 08/31/03 .............. 1,030,000 1,044,484 6.250%, due 05/15/30 .............. 475,000 514,540 6.500%, due 02/15/10 .............. 45,000 49,437 7.000%, due 07/15/06 .............. 355,000 393,329 7.500%, due 02/15/05 .............. 170,000 188,335 ---------- 2,707,125 ---------- Total U.S. Bonds (Cost $7,577,711) .. 7,642,301 ---------- SHARES VALUE ----------- ------------ SHORT-TERM INVESTMENTS -- 9.22% OTHER 8.76% Brinson Supplementary Trust U.S. Cash Management Prime Fund ... 1,913,776 $ 1,913,776 FACE AMOUNT ----------- U.S. GOVERNMENT OBLIGATIONS -- 0.46% U.S. Treasury Bill , due 02/07/02 ... $ 100,000 99,832 ----------- Total Short-Term Investments (Cost $2,013,439) ................. 2,013,608 ----------- Total Investments (Cost $21,170,913) 100.54% (a) ... 21,950,415 Liabilities, less cash and other assets -- (0.54%) ........... (117,595) ----------- Net Assets -- 100% .................. $21,832,820 ===========
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $21,170,913; and net unrealized appreciation consisted of: Gross unrealized appreciation ............ $ 1,135,047 Gross unrealized depreciation ............ (355,545) ----------- Net unrealized appreciation .......... $ 779,502 ===========
(b) Non-income producing security. % Represents a percentage of net assets. 144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers. At December 31, 2001, the value of these securities amounted to $275,730; or 1.26% of net assets. P.O.: Principal Only Security. This security entitles the holder to receive principal payments from an underlying pool of mortgages. High prepayments return principal faster than expected and cause the yield to increase. Low prepayments return principal more slowly than expected and cause the yield to decrease. FUTURES CONTRACTS U.S. Balanced Fund had the following open futures contracts as of December 31, 2001:
EXPIRATION COST/ CURRENT UNREALIZED DATE PROCEEDS VALUE GAIN/(LOSS) ------------ ---------- -------- ----------- U.S. INTEREST RATE FUTURES BUY CONTRACTS 5 Year U.S. Treasury Notes, 4 contracts ............. March 2002 $425,622 $423,313 $(2,309) 30 Year U.S. Treasury Bonds, 1 contracts ............ March 2002 101,194 101,531 337 INDEX FUTURES SALE CONTRACTS Standard & Poor's 500, 1 contract ................... March 2002 286,432 287,300 (868) -------- Total net unrealized loss on Future Contracts .. $(2,840) ========
The aggregate market value of investments pledged to cover margin requirements for the open futures positions at December 31, 2001 was $99,832. -------------------------------------------------------------------------------- 40 U.S. EQUITY FUND -------------------------------------------------------------------------------- For the six months ended December 31, 2001, U.S. Equity Fund's Class Y (formerly Class I) shares outperformed its benchmark. The Fund's Class Y shares declined 0.7% compared to the Wilshire 5000 Index's 5.5% decline. A below-index beta, careful stock selection and an exposure to value-style investing measures -- as well as strategies designed to add value in any market -- helped the Fund achieve strong relative performance in a weak equity market. The Fund's performance occurred against the backdrop of loss and volatility for U.S. equities as a group. The recession that ended the longest economic expansion in U.S. history was punctuated by the events of September 11, and the markets dropped precipitously. Despite a fourth quarter rally, the market's major indices ended six-month period with losses. The S&P 500 Index, a broad indicator of U.S. equity market performance, ended the six-month period down 5.6% and 2001 down 11.9%. During the period, the Federal Reserve continued to ease interest rates, which totaled 11 rate reductions for the year. As the year ended, the Fed funds rate -- the rate charged on overnight loans between banks -- stood at 1.75%, the lowest rate in four decades. Low interest rates, and the resulting mortgage refinancing boom and aggressive new car financing helped buoy consumer spending. It is important to note that encouraging market performance in the fourth quarter offset much of the losses of the third quarter. There were sharp spikes for all the major indices during the last quarter of 2001; the S&P 500 jumped 10.7% and the Nasdaq Composite was up an impressive 30.1%. During the fourth quarter, equity markets began to look ahead for a recovery while most of the news from companies continued to be negative. Signs of financial strain came to the forefront as Enron filed for Chapter 11 bankruptcy protection, marking the largest corporate failure in U.S. history. The Fund benefited from an overweight to health care and pharmaceuticals, which proved to be safe havens for investors leaving the technology sector, and an underweight to energy stocks. Key holdings in the health care/pharmaceutical area include Cephalon, Abbott Laboratories, Baxter International and Johnson & Johnson, where all major projects in the pipeline have been approved. The Fund also looks to increase earnings from Remicade, a Johnson & Johnson drug for rheumatoid arthritis. The Fund also profited from an overweight to the financial services sector, which is growing faster than the U.S. gross domestic product. Key financial services holdings include Citigroup, Morgan Stanley, Wells Fargo and JPMorgan Chase. The Fund begins the new year cautiously positioned, with an underweight to consumer discretionary and technology sectors. Our concern is that the market is anticipating a stronger recovery in these areas than is likely to happen. We continue our overweight to health care and pharmaceuticals, but with ongoing care to select companies with strong developmental pipelines. -------------------------------------------------------------------------------- 41 U.S. EQUITY FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR 3 YEARS 5 YEARS INCEPTION* ENDED ENDED ENDED ENDED TO 12/31/01 12/31/01 12/31/01 12/31/01 12/31/01 --------------------------------------------------------------------------------------------------------- U.S. EQUITY FUND CLASS A+ -0.85% 1.58% 0.05% N/A 5.29% --------------------------------------------------------------------------------------------------------- U.S. EQUITY FUND CLASS B+ N/A N/A N/A N/A 7.14 --------------------------------------------------------------------------------------------------------- U.S. EQUITY FUND CLASS C+ N/A N/A N/A N/A 4.10 --------------------------------------------------------------------------------------------------------- U.S. EQUITY FUND CLASS Y -0.72 1.87 0.30 8.34% 12.87 --------------------------------------------------------------------------------------------------------- Wilshire 5000 Index -5.50 -10.97 -0.67 9.70 12.99 ---------------------------------------------------------------------------------------------------------
* INCEPTION DATE OF U.S. EQUITY FUND CLASS A (FORMERLY CLASS N) IS 6/30/97. INCEPTION DATE OF CLASSES B AND C ARE 11/05/01 AND 11/13/01, RESPECTIVELY. INCEPTION DATE OF CLASS Y (FORMERLY CLASS I) IS 2/22/94. INCEPTION RETURN FOR THE INDEX IS AS OF THE NEAREST MONTH-END OF INCEPTION OF THE OLDEST SHARE CLASS: 2/28/94. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR REPRESENT AVERAGE ANNUALIZED RETURNS. TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS ---------------------------------------------------- Johnson & Johnson 2.9% Citigroup, Inc. 2.9 Burlington Northern Santa Fe Corp. 2.7 Wells Fargo & Co. 2.6 Microsoft Corp. 2.3 Abbott Laboratories, Inc. 2.3 Allergan, Inc. 2.2 Freddie Mac 2.2 Baxter International, Inc. 2.2 American Home Products Corp. 2.2 ---------------------------------------------------- Total 24.5%
-------------------------------------------------------------------------------- 42 U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- U.S. EQUITIES -- 95.85% AUTOS/DURABLES -- 3.05% Johnson Controls, Inc. ................. 10,300 $ 831,725 Lear Corp. (b) ......................... 31,150 1,188,061 W.W. Grainger, Inc. .................... 34,600 1,660,800 ----------- 3,680,586 ----------- BANKS -- 6.80% FleetBoston Financial Corp. ............ 45,055 1,644,508 GreenPoint Financial Corp. ............. 58,500 2,091,375 PNC Financial Services Group ........... 23,100 1,298,220 Wells Fargo & Co. ...................... 72,800 3,163,160 ----------- 8,197,263 ----------- BROADCASTING & PUBLISHING -- 1.35% Viacom, Inc. (b) ....................... 37,000 1,633,550 ----------- CAPITAL GOODS 3.96% Illinois Tool Works, Inc. .............. 37,100 2,512,412 Ingersoll-Rand Co. (b) ................. 14,500 606,245 Pentair, Inc. .......................... 30,100 1,098,951 York International Corp. ............... 14,700 560,511 ----------- 4,778,119 ----------- CHEMICALS -- 3.50% Dow Chemical Co. ....................... 35,900 1,212,702 Eastman Chemical Co. ................... 14,350 559,937 IMC Global, Inc. ....................... 60,300 783,900 Lyondell Chemical Co. .................. 38,050 545,257 Praxair, Inc. .......................... 20,200 1,116,050 ----------- 4,217,846 ----------- COMPUTER SOFTWARE -- 3.11% EMC Corp. (b) .......................... 73,600 989,184 Microsoft Corp. (b) .................... 41,700 2,762,625 ----------- 3,751,809 ----------- COMPUTER SYSTEMS -- 1.56% Cisco Systems, Inc. (b) ................ 40,900 740,699 Compaq Computer Corp. .................. 75,600 737,856 Sapient Corp. (b) ...................... 52,600 406,072 ----------- 1,884,627 ----------- ELECTRIC COMPONENTS -- 2.19% Advanced Micro Devices, Inc. (b) ....... 83,100 1,317,966 Analog Devices, Inc. (b) ............... 16,900 750,191 Micron Technology, Inc. (b) ............ 18,300 567,300 ----------- 2,635,457 ----------- ELECTRONICS -- 0.29% Sanmina Corp. (b) ...................... 17,288 344,031 ----------- ENERGY -- 3.47% Consolidated Edison, Inc. .............. 3,100 125,116 Exxon Mobil Corp. ...................... 55,900 2,196,870 FirstEnergy Corp. ...................... 53,345 1,866,001 ----------- 4,187,987 ----------- SHARES VALUE ---------- ------------- FINANCIAL SERVICES -- 12.92% American International Group, Inc. ..... 27,459 $ 2,180,245 CIGNA Corp. ............................ 15,950 1,477,767 Citigroup, Inc. ........................ 68,161 3,440,767 Freddie Mac ............................ 40,700 2,661,780 JP Morgan Chase & Co. .................. 41,100 1,493,985 KPMG Consulting, Inc. (b) .............. 23,900 396,023 Lincoln National Corp. ................. 12,400 602,268 Morgan Stanley Dean Witter & Co. ....... 23,000 1,286,620 U.S. Bancorp ........................... 59,800 1,251,614 XL Capital Ltd. ........................ 8,600 785,696 ----------- 15,576,765 ----------- FOOD & HOUSE PRODUCTS -- 1.85% Sara Lee Corp. ......................... 100,448 2,232,959 ----------- HEALTH: DRUGS -- 10.17% Abbott Laboratories, Inc. .............. 48,600 2,709,450 Allergan, Inc. ......................... 35,800 2,686,790 American Home Products Corp. ........... 42,500 2,607,800 Cephalon, Inc. (b) ..................... 21,500 1,625,077 Eli Lilly & Co. ........................ 20,300 1,594,362 SICOR, Inc. (b) ........................ 66,600 1,044,288 ----------- 12,267,767 ----------- HEALTH: NON-DRUGS -- 6.74% Baxter International, Inc. ............. 49,500 2,654,685 Johnson & Johnson ...................... 58,244 3,442,220 United Health Group, Inc. .............. 28,700 2,031,099 ----------- 8,128,004 ----------- HOUSING/PAPER -- 2.66% American Standard Companies, Inc. (b) .. 24,600 1,678,458 Kimberly-Clark Corp. ................... 10,750 642,850 Mead Corp. ............................. 28,600 883,454 ----------- 3,204,762 ----------- LEISURE & TOURISM -- 0.79% Royal Caribbean Cruises Ltd. ........... 58,900 954,180 ----------- METALS-NON-FERROUS -- 2.07% Masco Corp. ............................ 102,100 2,501,450 ----------- RETAIL/APPAREL -- 5.07% Federated Department Stores, Inc. (b) .. 17,800 728,020 Kroger Co. (b) ......................... 103,000 2,149,610 Newell Rubbermaid, Inc. ................ 57,600 1,588,032 RadioShack Corp. ....................... 26,200 788,620 Target Corp. ........................... 20,900 857,945 ----------- 6,112,227 ----------- SERVICES/MISCELLANEOUS -- 10.94% Computer Sciences Corp. (b) ............ 50,800 2,488,184 Electronic Data Systems Corp. .......... 14,600 1,000,830 ENSCO International, Inc. .............. 41,600 1,033,760 First Data Corp. ....................... 25,630 2,010,674 Household International, Inc. .......... 33,500 1,940,990 Martin Marietta Materials, Inc. ........ 25,307 1,179,306 McGraw-Hill Cos, Inc. .................. 13,200 804,936 Omnicom Group .......................... 22,700 2,028,245 Viad Corp. ............................. 29,850 706,848 ----------- 13,193,773 -----------
-------------------------------------------------------------------------------- 43 U.S. EQUITY FUND-- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE --------- ------------- TECHNOLOGY -- 1.59% Compuware Corp. (b) ................. 89,900 $ 1,059,921 Motorola, Inc. ...................... 56,923 854,983 ------------ 1,914,904 ------------ TELECOMMUNICATIONS EQUIPMENT -- 1.98% CommScope, Inc. (b) ................. 27,700 589,179 United Technologies Corp. ........... 27,800 1,796,714 ------------ 2,385,893 ------------ TELECOMMUNICATIONS-SERVICES -- 2.95% Nextel Communications, Inc. (b) ..... 156,800 1,718,528 SBC Communications, Inc. ............ 46,800 1,833,156 ------------ 3,551,684 ------------ TRANSPORTATION -- 3.29% Burlington Northern Santa Fe Corp. .. 114,500 3,266,685 FedEx Corp. (b) ..................... 13,600 705,568 ------------ 3,972,253 ------------ UTILITIES -- 3.55% CMS Energy Corp. .................... 45,850 1,101,776 Entergy Corp. ....................... 23,000 899,530 Exelon Corp. ........................ 30,600 1,465,128 Progress Energy, Inc. ............... 18,200 819,546 ------------ 4,285,980 ------------ Total U.S. Equities (Cost $92,111,764) 115,593,876 ------------ FACE AMOUNT VALUE ---------- ------------ SHORT-TERM INVESTMENTS -- 0.41% U.S. GOVERNMENT OBLIGATIONS -- 0.41% U.S. Treasury Bill, due 02/07/02 (Cost $498,314) ................... $ 500,000 $ 499,163 ------------ Total Investments (Cost $92,610,078) 96.26% (a) .... 116,093,039 Cash and other assets, less liabilities -- 3.74% ......... 4,507,514 ------------ NET ASSETS -- 100% .................. $120,600,553 ============
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $92,610,078; and net unrealized appreciation consisted of: Gross unrealized appreciation ............. $26,256,808 Gross unrealized depreciation ............. (2,773,847) ----------- Net unrealized appreciation ........... $23,482,961 ===========
(b) Non-income producing security. % Represents a percentage of net assets. FUTURES CONTRACTS U.S. Equity Fund had the following open futures contracts as of December 31, 2001:
EXPIRATION CURRENT UNREALIZED DATE COST VALUE LOSS ------------ ----------- ----------- ------------ INDEX FUTURES BUY CONTRACTS Standard & Poor's 500, 12 contracts ........ March 2002 $3,496,134 $3,447,600 $(48,534) ========
The aggregate market value of investments pledged to cover margin requirements for the open futures positions at December 31, 2001 was $499,163. -------------------------------------------------------------------------------- 44 See accompanying notes to financial statements. U.S. LARGE CAP EQUITY FUND -------------------------------------------------------------------------------- U.S. Large Cap Equity Fund outperformed its benchmark for the six months ended December 31, 2001. For the period, the Fund's Class Y (formerly Class I ) shares declined 1.8%, comparing favorably to the S&P 500 Index's 5.6% decline. The investment environment continued to be challenging through the last six months of 2001. The September 11 attacks added momentum to the downward slide of the equity markets. The S&P 500 Index's decline during the period made 2001 the second of two straight years in which the index fell more than 10%. Other key market indices produced weak returns during the six months ended December 31, 2001; the Nasdaq Composite Index fell 9.7% and the Wilshire 5000 Index fell 5.5%. These woes were coupled with rising unemployment, deteriorating corporate profits and shaky consumer confidence. It is important to note that encouraging market performance in the fourth quarter offset much of the losses of the third quarter. There were sharp spikes for all the major indices during the last quarter of 2001; the S&P 500 Index jumped 10.7% and the Nasdaq Composite Index was up an impressive 30.1%. During the fourth quarter, equity markets began to look ahead for a recovery while most of the news from companies continued to be negative. Signs of financial strain came to the forefront as Enron filed for Chapter 11 bankruptcy protection, marking the largest corporate failure in U.S. history. During the period, the Federal Reserve, continued to ease interest rates, which totaled 11 rate reductions for the year. As the year ended, the Fed funds rate -- the rate charged on overnight loans between banks -- stood at 1.75%, the lowest rate in four decades. Low interest rates, the resulting mortgage refinancing boom and aggressive new car financing helped buoy consumer spending. The Fund was cautiously positioned in technology, our largest underweight being in computer hardware. Our key industry overweights were financials and health care/drugs. Financial services have grown and should continue to grow at a faster rate than GDP, driven by both the wealth transfer currently taking place and benefits accruing to capital markets from the globalization of the world economy. The leaders within this sector will benefit from the trend toward consolidation as they gain more pricing power and market share. Key holdings in this area include Citigroup, Morgan Stanley and Wells Fargo. The drug sector is supported by a strong secular backdrop, not least because of improving demographics with an aging population. Furthermore, increased research and development spending has driven demand, as pharmaceuticals are being recognized as a cost-effective medical solution. We have targeted companies with strong developmental pipelines within this sector, which over the long term has added, and will continue to add, shareholder value. Key holdings include Johnson & Johnson, Cephalon, Abbott Laboratories and Baxter International. Underweights in our portfolio include retailing, computer hardware and food, beverage and tobacco. We added to our energy holdings on price weakness this quarter, but remain underweighted there as well. -------------------------------------------------------------------------------- 45 U.S. LARGE CAP EQUITY FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR 3 YEARS INCEPTION* ENDED ENDED ENDED TO 12/31/01 12/31/01 12/31/01 12/31/01 -------------------------------------------------------------------------------------------------------- U.S. LARGE CAP EQUITY FUND CLASS A+ -1.87% -0.59% -3.52% -1.86% -------------------------------------------------------------------------------------------------------- U.S. LARGE CAP EQUITY FUND CLASS B+ N/A N/A N/A 3.00 -------------------------------------------------------------------------------------------------------- U.S. LARGE CAP EQUITY FUND CLASS Y -1.76 -0.43 -3.27 -1.59 -------------------------------------------------------------------------------------------------------- S&P 500 Index -5.56 -11.88 -1.03 2.20 --------------------------------------------------------------------------------------------------------
* INCEPTION DATE OF U.S. LARGE CAP EQUITY FUND CLASS A (FORMERLY CLASS N) AND CLASS Y (FORMERLY CLASS I) IS 4/06/98. INCEPTION DATE FOR CLASS B IS 11/28/01. INCEPTION RETURN FOR THE INDEX IS AS OF THE NEXT MONTH-END OF INCEPTION OF THE OLDEST SHARE CLASS: 4/30/98. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR ARE AVERAGE ANNUALIZED RETURNS. TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS ------------------------------------------------------ Citigroup, Inc. 3.5% Baxter International, Inc. 3.5 Sara Lee Corp. 3.3 Freddie Mac 3.2 Computer Sciences Corp. 3.2 Exxon Mobil Corp. 3.2 Masco Corp. 3.2 Illinois Tool Works, Inc. 3.1 Johnson & Johnson 3.1 Kroger Co. 3.1 ------------------------------------------------------ Total 32.4%
-------------------------------------------------------------------------------- 46 U.S. LARGE CAP EQUITY FUND-- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ U.S. EQUITIES -- 94.00% BANKS -- 8.00% FleetBoston Financial Corp. .............. 1,785 $ 65,152 PNC Financial Services Group ............. 900 50,580 U.S. Bancorp ............................. 1,950 40,814 Wells Fargo and Co. ...................... 2,200 95,590 ---------- 252,136 ---------- BUSINESS & PUBLIC SERVICE -- 2.69% Omnicom Group ............................ 950 84,883 ---------- CHEMICALS -- 1.96% Advanced Micro Devices, Inc. (b) ......... 1,650 26,169 Dow Chemical Co. ......................... 1,050 35,469 ---------- 61,638 ---------- COMPUTER SOFTWARE -- 3.18% EMC Corp. (b) ............................ 1,800 24,192 Microsoft Corp. (b) ...................... 1,150 76,188 ---------- 100,380 ---------- COMPUTER SYSTEMS -- 0.86% Cisco Systems, Inc. (b) .................. 1,500 27,165 ---------- ELECTRIC COMPONENTS -- 0.64% Micron Technology, Inc. (b) .............. 650 20,150 ---------- ENERGY -- 6.43% American Electric Power Co., Inc. ........ 910 39,612 Exxon Mobil Corp. ........................ 2,550 100,215 Progress Energy, Inc. .................... 1,400 63,042 ---------- 202,869 ---------- FINANCIAL SERVICES -- 11.81% American International Group, Inc. ....... 742 58,915 CIGNA Corp. .............................. 550 50,957 Citigroup, Inc. .......................... 2,196 110,854 Freddie Mac .............................. 1,550 101,370 Morgan Stanley Dean Witter & Co. ......... 900 50,346 ---------- 372,442 ---------- FOOD & HOUSE PRODUCTS -- 6.35% Kroger Co. (b) ........................... 4,650 97,046 Sara Lee Corp. ........................... 4,645 103,258 ---------- 200,304 ---------- HEALTH: DRUGS -- 9.23% Abbott Laboratories ...................... 1,650 91,987 Allergan, Inc. ........................... 850 63,793 American Home Products Corp. ............. 1,500 92,040 Eli Lilly and Co. ........................ 550 43,197 ---------- 291,017 ---------- HEALTH: NON-DRUGS -- 8.94% Baxter International, Inc. ............... 2,050 109,941 Johnson & Johnson ........................ 1,650 97,515 United Health Group, Inc. ................ 1,050 74,309 ---------- 281,765 ---------- SHARES VALUE ---------- ------------ METALS-NON-FERROUS -- 6.26% Illinois Tool Works, Inc. ................ 1,450 $ 98,194 Masco Corp. .............................. 4,050 99,225 ---------- 197,419 ---------- RETAIL/APPAREL -- 2.99% Newell Rubbermaid, Inc. .................. 2,300 63,411 Target Corp. ............................. 750 30,788 ---------- 94,199 ---------- SERVICES/MISCELLANEOUS -- 8.16% Computer Sciences Corp. (b) .............. 2,050 100,409 First Data Corp. ......................... 750 58,837 Household International, Inc. ............ 850 49,249 McGraw-Hill Companies, Inc. .............. 800 48,784 ---------- 257,279 ---------- TECHNOLOGY -- 5.65% Analog Devices, Inc. (b) ................. 850 37,732 Compaq Computer Corp. .................... 2,700 26,352 Compuware Corp. (b) ...................... 3,650 43,033 United Technologies Corp. ................ 1,100 71,093 ---------- 178,210 ---------- TELECOMMUNICATIONS-SERVICES -- 4.73% Motorola, Inc. ........................... 1,050 15,771 Nextel Communications, Inc. (b) .......... 6,100 66,856 SBC Communications, Inc. ................. 1,700 66,589 ---------- 149,216 ---------- TRANSPORTATION -- 3.13% Burlington Northern Santa Fe Corp. ....... 3,000 85,590 FedEx Corp. (b) .......................... 250 12,970 ---------- 98,560 ---------- UTILITIES -- 2.99% Entergy Corp. ............................ 900 35,199 FPL Group, Inc ........................... 1,050 59,220 ---------- 94,419 ---------- Total U.S. Equities (Cost $2,891,779)..... 2,964,051 ---------- SHORT-TERM INVESTMENTS -- 5.70% INVESTMENT COMPANIES -- 3.64% JPMorgan U.S. Government Money Market Fund ...................... 114,810 114,810 ---------- FACE AMOUNT ----------- U.S. GOVERNMENT OBLIGATIONS -- 2.06% U.S. Treasury Bill, due 02/07/02 ......... $65,000 64,891 ---------- Total Short-Term Investments (Cost $179,591) ........................ 179,701 ---------- Total Investments (Cost $3,071,370) -- 99.70% (a) ........ 3,143,752 Cash and other assets, less liabilities -- 0.30% .............. 9,425 ---------- Net Assets -- 100% ....................... $3,153,177 ==========
-------------------------------------------------------------------------------- 47 U.S. LARGE CAP EQUITY FUND-- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $3,071,370; and net unrealized appreciation consisted of: Gross unrealized appreciation ....................... $142,316 Gross unrealized depreciation ....................... (69,934) -------- Net unrealized appreciation .................... $ 72,382 ========
(b) Non-income producing security. % Represents a percentage of net assets. -------------------------------------------------------------------------------- 48 See accompanying notes to financial statements. U.S. LARGE CAP GROWTH FUND -------------------------------------------------------------------------------- U.S. Large Cap Growth Fund Class Y (formerly Class I) shares underperformed its benchmark for the six months ended December 31, 2001, declining 9.3% compared to the Russell 1000 Growth Index's 7.2% decline. The six months ended December 31, 2001 was again a challenging period for large capitalization growth stocks in U.S. markets. The semiannual period began with a continuation of the downward slide in technology and telecommunication stocks, which culminated in the third quarter after the events of September 11. The period ended with a strong fourth quarter based on hope and signs that the economy was turning. In the fourth quarter, growth strategies pulled ahead of the general market; the Russell 1000 Growth Index returned 15.1% compared to the S&P 500 Index's 10.7% return. The technology and energy sectors also rallied, gaining 38% and 21%, respectively, although they still finished down for the year. Along with the consumer discretionary sector, these areas had a common factor: price weakness in the face of the recession and post-September 11 economic decline. As people's worst fears were not realized in the short term, the fourth quarter was marked by a reversal of fortunes and the market's laggards became leaders. We attribute the Fund's underperformance during the period to mediocre stock selection and a premature reduction in our overweight to technology in the summer before September 11. Security selection in health care and consumer staples helped offset some of these losses. There are several major concerns as we enter 2002. First, the market has already rallied sharply and appears to be discounting much better times. This is particularly true in technology. Even without the valuation issue, there is major uncertainty with respect to intermediate and long-term earnings prospects for companies which, until recently, were considered growth companies. As recently as one year ago, the one-year consensus earnings growth for the Russell 1000 Growth Index was 32%. Today that number is 5%. Longer-term growth rates have been stickier but are also coming down. We believe that sustainable earnings in the 12% to 15% per year range will define good growth companies in the future as it has in the years prior to the technology bubble. Our investment process continues to focus on finding such companies and buying their stock at reasonable prices on a timely basis. We continue to look for fairly assured earnings growth at reasonable valuations. We believe these can be found in many health care sector companies, including biotech, where Immunex is strong, and medical devices, where we favor Guidant and Medtronic. We expect to position the Fund with an emphasis on software over hardware in the technology sector and should focus on areas where recent performance has not yet largely discounted a recovery, such as media and cable industries in the consumer discretionary sector. In the financial sector we are focused on transaction-oriented companies, such as Morgan Stanley and Citigroup, rather than companies that make their money from interest rate spreads. -------------------------------------------------------------------------------- 49 U.S. LARGE CAP GROWTH FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR 3 YEARS INCEPTION* ENDED ENDED ENDED TO 12/31/01 12/31/01 12/31/01 12/31/01 --------------------------------------------------------------------------------------------------------- U.S. LARGE CAP GROWTH FUND CLASS A+ -9.47% -23.12% -5.24% -5.24% --------------------------------------------------------------------------------------------------------- U.S. LARGE CAP GROWTH FUND CLASS B+ N/A N/A N/A 2.51 --------------------------------------------------------------------------------------------------------- U.S. LARGE CAP GROWTH FUND CLASS C+ N/A N/A N/A -1.50 --------------------------------------------------------------------------------------------------------- U.S. LARGE CAP GROWTH FUND CLASS Y -9.26 -22.75 -4.89 1.58 --------------------------------------------------------------------------------------------------------- Russell 1000 Growth Index -7.21 -20.42 -6.32 4.51 ---------------------------------------------------------------------------------------------------------
* INCEPTION DATE OF U.S. LARGE CAP GROWTH FUND CLASS A (FORMERLY CLASS N) IS 12/31/98. INCEPTION DATES FOR CLASSES B AND C ARE 11/07/01 AND 11/19/01, RESPECTIVELY. INCEPTION DATE OF CLASS Y (FORMERLY CLASS I) IS 10/14/97. INCEPTION RETURNS FOR THE INDEX IS AS OF THE NEXT MONTH-END OF INCEPTION OF THE OLDEST SHARE CLASS: 10/31/97. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR ARE AVERAGE ANNUALIZED RETURNS. TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS ----------------------------------------------------- Microsoft Corp. 5.0% General Electric Co. 4.7 Wal-Mart Stores, Inc. 3.7 Pfizer, Inc. 3.4 Cisco Systems, Inc. 3.2 AOL Time Warner, Inc. 3.0 Intel Corp. 2.7 Johnson & Johnson 2.6 American International Group, Inc. 2.6 Citigroup, Inc. 2.5 ----------------------------------------------------- Total 33.4%
-------------------------------------------------------------------------------- 50 U.S. LARGE CAP GROWTH FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ U.S. EQUITIES -- 97.80% AUTOS/DURABLES -- 0.96% Harley-Davidson, Inc. ................... 1,000 $ 54,310 BROADCASTING -- 2.12% Echostar Communications Corp. (b) ....... 2,050 56,314 Liberty Media Corp. (b) ................. 4,512 63,168 --------- 119,482 --------- COMPUTER SOFTWARE -- 11.22% BEA Systems, Inc. (b) ................... 1,650 25,410 Computer Associates International, Inc. . 2,450 84,501 EMC Corp. (b) ........................... 3,850 51,744 Microsoft Corp. (b) ..................... 4,250 281,562 Oracle Corp. (b) ........................ 4,900 67,669 PeopleSoft, Inc. (b) .................... 1,050 42,210 Peregrine Systems, Inc. (b) ............. 2,400 35,592 VeriSign, Inc. (b) ...................... 350 13,314 Veritas Software Corp. (b) .............. 700 31,381 --------- 633,383 --------- COMPUTER SYSTEMS -- 6.20% Cisco Systems, Inc. (b) ................. 9,900 179,289 Dell Computer Corp. (b) ................. 2,950 80,181 International Business Machines Corp. ... 750 90,720 --------- 350,190 --------- ELECTRIC COMPONENTS -- 6.41% Agilent Technologies, Inc. (b) .......... 1,200 34,212 Applied Materials, Inc. (b) ............. 1,150 46,115 Intel Corp. ............................. 4,750 149,387 Micron Technology, Inc. (b) ............. 1,100 34,100 Solectron Corp. (b) ..................... 3,950 44,556 Texas Instruments, Inc. ................. 1,900 53,200 --------- 361,570 --------- ENERGY -- 7.25% Anadarko Petroleum Corp. ................ 1,450 82,432 General Electric Co. .................... 6,650 266,532 Phillips Petroleum Co. .................. 1,000 60,260 --------- 409,224 --------- FINANCIAL SERVICES -- 7.60% American Express Co. .................... 1,650 58,888 American International Group, Inc. ...... 1,837 145,858 Citigroup, Inc. ......................... 2,783 140,486 Morgan Stanley Dean Witter & Co. ........ 1,500 83,910 --------- 429,142 --------- FOOD & HOUSE PRODUCTS -- 1.99% Coca-Cola Co. ........................... 1,800 84,870 Proctor & Gamble Co. .................... 350 27,696 --------- 112,566 --------- SHARES VALUE ---------- ------------ HEALTH: DRUGS -- 13.85% Abbott Laboratories ..................... 1,200 $ 66,900 Allergan, Inc. .......................... 1,150 86,308 American Home Products Corp. ............ 1,700 104,312 Eli Lilly and Co. ....................... 1,200 94,248 Forest Laboratories, Inc. (b) ........... 550 45,073 Immunex Corp. (b) ....................... 3,350 92,828 Merck & Co., Inc. ....................... 1,500 88,200 Pfizer, Inc. ............................ 4,750 189,287 SICOR, Inc.(b) .......................... 950 14,896 --------- 782,052 --------- HEALTH: NON-DRUGS -- 10.53% Amgen, Inc. (b) ......................... 1,950 110,058 Baxter International, Inc. .............. 1,950 104,579 Guidant Corp. (b) ....................... 1,250 62,250 Johnson & Johnson ....................... 2,472 146,095 Medtronic, Inc. ......................... 1,300 66,573 Stryker Corp. ........................... 600 35,022 Wellpoint Health Networks (b) ........... 600 70,110 --------- 594,687 --------- INVESTMENT COMPANIES -- 1.44% iShares Russell 1000 Growth Index Fund .. 1,600 81,504 --------- NON-DURABLES -- 1.08% Pepsi Bottling Group, Inc. .............. 2,600 61,100 --------- RETAIL/APPAREL -- 8.42% Avon Products, Inc. ..................... 550 25,575 CVS Corp. ............................... 900 26,640 Newell Rubbermaid, Inc. ................. 1,500 41,355 RadioShack Corp. ........................ 2,950 88,795 TJX Companies, Inc. ..................... 2,150 85,699 Wal-Mart Stores, Inc. ................... 3,600 207,180 --------- 475,244 --------- SERVICES/MISCELLANEOUS -- 12.97% AOL Time Warner, Inc. (b) ............... 5,300 170,130 Cendant Corp. (b) ....................... 3,000 58,830 First Data Corp. ........................ 800 62,760 Gemstar-TV Guide International, Inc.(b) . 1,800 49,860 McGraw-Hill Companies, Inc. ............. 1,000 60,980 Pitney Bowes, Inc. ...................... 700 26,327 Schlumberger Ltd. ....................... 1,500 82,425 Tyco International Group S.A. ........... 1,500 88,350 Viacom, Inc. (b) ........................ 1,946 85,916 Waters Corp. (b) ........................ 1,200 46,500 --------- 732,078 --------- TECHNOLOGY -- 2.25% Analog Devices, Inc. (b) ................ 800 35,512 Compaq Computer Corp. ................... 4,050 39,528 United Technologies Corp. ............... 800 51,704 --------- 126,744 ---------
-------------------------------------------------------------------------------- 51 U.S. LARGE CAP GROWTH FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE --------- ------------- TELECOMMUNICATIONS-SERVICES -- 3.51% COX Communications, Inc. (b) ............ 1,800 $ 75,438 QUALCOMM, Inc. (b) ...................... 1,850 93,425 Sprint Corp. (b) ........................ 1,200 29,292 ----------- 198,155 ----------- Total U.S. Equities (Cost $6,657,398).... 5,521,431 ----------- SHORT-TERM INVESTMENTS -- 4.16% INVESTMENT COMPANIES -- 3.01% JPMorgan U.S. Government Money Market Fund ..................... 169,640 169,640 ----------- FACE AMOUNT ---------- U.S. GOVERNMENT OBLIGATIONS -- 1.15% U.S. Treasury Bill, due 02/07/02 ....... $ 65,000 64,891 ----------- Total Short-Term Investments (Cost $234,422) ...................... 234,531 ----------- Total Investments (Cost $6,891,820) 101.96% (a) ....... 5,755,962 Liabilities, less cash and other assets --1.96%) ................ (110,484) ----------- Net Assets -- 100% ..................... $ 5,645,478 ===========
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $6,891,820; and net unrealized depreciation consisted of: Gross unrealized appreciation ............................. $ 248,246 Gross unrealized depreciation ............................. (1,384,104) ----------- Net unrealized depreciation....................... $(1,135,858) ===========
(b) Non-income producing security % Represents a percentage of net assets. -------------------------------------------------------------------------------- 52 See accompanying notes to financial statements. U.S. SMALL CAP GROWTH FUND -------------------------------------------------------------------------------- For the six months ended December 31, 2001, U.S. Small Cap Growth Fund Class Y (formerly Class I) shares declined 5.6%. The Fund's benchmark, the Russell 2000 Growth Index, declined 9.3% during the same period. The Fund's performance occurred against the backdrop of loss and volatility for U.S. equities as a group. The recession that ended the longest economic expansion in U.S. history was punctuated by the events of September 11, and the markets dropped precipitously. Despite a fourth quarter rally, the market's major indices ended six-month period with losses. The S&P 500 Index, a broad indicator of U.S. equity market performance, ended the six-month period down 5.6% and the calendar year down 11.9%. The events of September 11 had a briefly negative effect on the small cap universe, but the Russell 2000 Index rebounded sharply in the fourth quarter. Value led growth for the reporting period within the small cap universe, but small cap growth experienced a tremendous spike in the final quarter of the year, returning 26.2%, compared to value's 7.4% (based on performance of Russell 2000 Growth Index and Russell 2000 Value Index, respectively). Performance in the small cap universe was driven by technology. Economically sensitive industries such as transportation and producer durables also performed well. The Fund was well positioned for the market's emphasis on a more fundamental approach to stock valuation. We managed the Fund in a conservative manner, investing in companies with low relative price-earnings multiples, good growth prospects and strong balance sheets. We avoided the momentum stocks associated with the technology, media and telecommunications bubble as well as companies likely to report negative earnings surprises. During the period, our sector selection remained constant with consumer discretionary, consumer staples, energy, financials and health care rounding out the top five. We maintained substantial overweights to the financial and health care sectors throughout the period. Financial services have grown and should continue to grow at a faster rate than GDP, driven both by the wealth transfer taking place and benefits accruing to capital markets from the globalization of the world economy. The health care sector is supported by a strong secular backdrop, not least because of improving demographics with an aging population. Furthermore, increased research and development spending has driven demand, as pharmaceuticals are recognized as a cost-effective medical solution. Although we will continue to over- and underweight sectors, we remain committed to a diversified investment strategy that identifies attractive growth opportunities in every economic sector. Over a market cycle, we believe this strategy will generate strong investment results with reasonable risk. We are cautiously optimistic regarding small cap stock prospects in 2002, as performance depends heavily on U.S. economic recovery. While historically small caps have not been the place to hide during periods of economic uncertainty, they have been the place to invest coming out of an economic downturn. The average return of the small cap growth segment of the market outperformed small cap value by an average of 3% during the second half of a recession and an average of over 6% in the six months following a recession. In addition, more Fed easing and compelling relative valuations should continue to fuel the current two and a half-year-old small cap outperformance cycle. -------------------------------------------------------------------------------- 53 U.S. SMALL CAP GROWTH FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR 3 YEARS INCEPTION* ENDED ENDED ENDED TO 12/31/01 12/31/01 12/31/01 12/31/01 ------------------------------------------------------------------------------------------------------ U.S. SMALL CAP GROWTH FUND CLASS A+ -5.91% -10.63% 15.52% 15.50% ------------------------------------------------------------------------------------------------------ U.S. SMALL CAP GROWTH FUND CLASS B+ N/A N/A N/A 8.69 ------------------------------------------------------------------------------------------------------ U.S. SMALL CAP GROWTH FUND CLASS C+ N/A N/A N/A 6.70 ------------------------------------------------------------------------------------------------------ U.S. SMALL CAP GROWTH FUND CLASS Y -5.61 -10.23 15.92 7.70 ------------------------------------------------------------------------------------------------------ Russell 2000 Growth Index -9.26 -9.23 0.25 -1.54 ------------------------------------------------------------------------------------------------------
* INCEPTION DATE OF U.S. SMALL CAP GROWTH FUND CLASS A (FORMERLY CLASS N) IS 12/31/98. INCEPTION DATES FOR CLASSES B AND C ARE 11/07/01 AND 11/19/01, RESPECTIVELY. INCEPTION DATE OF CLASS Y (FORMERLY CLASS I) AND THE RUSSELL 2000 GROWTH INDEX IS 9/30/97. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR REPRESENT AVERAGE ANNUALIZED RETURNS. THE FUND INVESTS IN IPOS WHICH MAY HAVE A MAGNIFIED IMPACT ON PERFORMANCE. TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS --------------------------------------------------------------------- Career Education Corp. 3.2% Patterson Dental Co. 3.0 Copart, Inc. 2.8 CACI International, Inc. 2.5 Investors Financial Services Corp. 2.2 New York Community Bancorp, Inc. 2.1 North Fork Bancorporation, Inc. 2.0 Province Healthcare Co. 1.8 Borland Software Corp. 1.8 Fair, Isaac & Company, Inc. 1.7 --------------------------------------------------------------------- Total 23.1%
-------------------------------------------------------------------------------- 54 U.S. SMALL CAP GROWTH FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ U.S. EQUITIES -- 95.65% AEROSPACE & MILITARY -- 0.42% Engineered Support Systems .......................... 4,900 $ 167,629 ------------ AUTOS/DURABLES -- 5.12% Action Performance Companies, Inc. (b) .............. 21,500 658,115 Copart, Inc. (b) .................................... 30,100 1,094,737 Shaw Group, Inc. (b) ................................ 11,300 265,550 ------------ 2,018,402 ------------ BANKS -- 6.63% Annuity and Life Re (Holdings), Ltd. ................ 5,800 145,638 Greater Bay Bancorp ................................. 16,000 457,280 New York Community Bancorp, Inc. .................... 36,571 836,379 North Fork Bancorporation, Inc. ..................... 24,400 780,556 Sterling Bancshares, Inc. ........................... 31,500 394,380 ------------ 2,614,233 ------------ BUSINESS & PUBLIC SERVICE -- 3.16% Career Education Corp. (b) .......................... 36,300 1,244,364 ------------ COMPUTER SERVICES -- 2.67% Cognizant Technology Solutions Corp. (b) ............ 13,400 549,132 I-Many, Inc. (b) .................................... 52,000 501,800 ------------ 1,050,932 ------------ COMPUTER SOFTWARE -- 4.23% Borland Software Corp. (b) .......................... 44,200 692,172 Descartes Systems Group, Inc. (b) ................... 13,600 101,320 Mercury Interactive Corp. (b) ....................... 10,200 346,596 THQ, Inc. (b) ....................................... 10,900 528,323 ------------ 1,668,411 ------------ COMPUTER SYSTEMS -- 6.60% CACI International, Inc. (b) ........................ 25,400 1,002,919 Fair, Isaac & Company, Inc. ......................... 10,700 674,314 Intercept Group, Inc. (b) ........................... 15,500 633,950 Mercury Computer Systems, Inc. (b) .................. 7,400 289,414 ------------ 2,600,597 ------------ CONSTRUCTION -- 0.93% NVR, Inc. (b) ....................................... 1,800 367,200 ------------ ELECTRIC COMPONENTS -- 6.71% Elantec Semiconductor, Inc. (b) ..................... 13,200 506,880 EMCOR Group, Inc. (b) ............................... 13,300 603,820 Exar Corp. (b) ...................................... 23,700 494,145 Pericom Semiconductor Corp. (b) ..................... 36,600 530,700 Rudolph Technologies, Inc. (b) ...................... 14,900 511,368 ------------ 2,646,913 ------------ ELECTRONICS -- 1.45% Ultratech Stepper, Inc. (b) ......................... 34,500 569,940 ------------ ENERGY -- 7.57% Arch Coal, Inc. ..................................... 12,800 290,560 AstroPower, Inc. (b) ................................ 11,300 456,859 Flowserve Corp. (b) ................................. 16,400 436,404 Patterson-UTI Energy, Inc. (b) ...................... 24,200 564,102 Stone Energy Corp. (b) .............................. 10,200 402,900 SHARES VALUE ---------- ------------ Tetra Technologies, Inc. (b) ........................ 21,700 $ 454,615 Vintage Petroleum, Inc. ............................. 26,300 380,035 ------------ 2,985,475 ------------ FINANCIAL SERVICES -- 4.87% Factset Research Systems, Inc. ...................... 14,100 492,795 Investors Financial Services Corp. .................. 12,800 847,488 UCBH Holdings, Inc. ................................. 20,400 580,176 ------------ 1,920,459 ------------ FOOD & HOUSE PRODUCTS -- 4.24% Beazer Homes U.S.A., Inc. (b) ....................... 4,400 321,948 Fleming Companies, Inc. ............................. 18,100 334,850 Performance Food Group Co. (b) ...................... 13,600 478,312 Ruby Tuesday, Inc. .................................. 26,000 536,380 ------------ 1,671,490 ------------ GENE -- 0.59% Myriad Genetics, Inc. (b) ........................... 4,400 231,616 ------------ HEALTH: DRUGS -- 12.57% Aviron (b) .......................................... 4,600 228,758 Cell Therapeutics, Inc. (b) ......................... 11,300 272,782 Cubist Pharmaceuticals, Inc. (b) .................... 8,100 291,276 Ilex Oncology, Inc. (b) ............................. 10,700 289,328 Interneuron Pharmaceuticals (b) ..................... 25,300 280,577 Isis Pharmaceuticals, Inc. (b) ...................... 13,300 295,127 Medarex, Inc. (b) ................................... 16,200 290,952 Neurocrine Biosciences, Inc. (b) .................... 5,600 287,336 Penwest Pharmaceuticals Co. (b) ..................... 23,900 479,195 Pharmaceutical Product Development, Inc. (b) ............................ 17,900 578,349 Praecis Pharmaceuticals, Inc. (b) ................... 8,300 48,306 Regeneron Pharmaceuticals, Inc. (b) ................. 10,400 292,864 Scios, Inc. (b) ..................................... 10,600 251,962 SICOR, Inc. (b) ..................................... 39,400 617,792 Syncor International Corp. (b) ...................... 15,800 452,512 ------------ 4,957,116 ------------ HEALTH: NON-DRUGS -- 10.90% CV Therapeutics, Inc. (b) ........................... 5,300 275,706 Cytyc Corp. (b) ..................................... 13,200 344,520 Orthodontic Centers of America, Inc. (b) ............ 19,300 588,650 Patterson Dental Co. (b) ............................ 28,700 1,174,691 Pediatrix Medical Group, Inc. (b) ................... 19,700 668,224 Province Healthcare Co. (b) ......................... 22,700 700,522 ResMed, Inc. (b) .................................... 10,100 544,592 ------------ 4,296,905 ------------ INDUSTRIAL COMPONENTS -- 1.51% Cognex Corp. (b) .................................... 23,300 596,713 ------------ NON-DURABLES -- 1.55% Constellation Brands, Inc. (b) ...................... 14,300 612,755 ------------ RETAIL/APPAREL -- 5.06% Chico's FAS, Inc. (b) ............................... 13,100 520,070 Direct Focus, Inc. (b) .............................. 10,700 333,840 HOT Topic, Inc. (b) ................................. 18,000 565,020 Peregrine Systems, Inc. (b) ......................... 20,000 296,600 Skechers U.S.A., Inc. (b) ........................... 19,000 277,780 ------------ 1,993,310 ------------
-------------------------------------------------------------------------------- 55 U.S. SMALL CAP GROWTH FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------ SERVICES/MISCELLANEOUS -- 2.44% ESCO Technologies, Inc. (b) ......................... 12,200 $ 420,778 Jack in the Box, Inc. (b) ........................... 19,700 542,538 ------------ 963,316 ------------ TECHNOLOGY -- 3.26% Global Power Equipment Group, Inc. (b) .............. 5,200 78,260 Planar Systems, Inc. (b) ............................ 27,700 584,470 Stellent, Inc. (b) .................................. 21,100 623,716 ------------ 1,286,446 ------------ TELECOMMUNICATIONS- SERVICES -- 0.49% Triton PCS Holdings, Inc. (b) ....................... 6,600 193,710 ------------ TRANSPORTATION -- 2.68% Atlantic Coast Airlines Holdings, Inc. (b) .......... 23,900 556,631 Forward Air Corp. (b) ............................... 14,700 498,624 ------------ 1,055,255 ------------ Total U.S. Equities (Cost $34,479,143) .............. 37,713,187 ------------ SHORT-TERM INVESTMENTS -- 4.64% OTHER -- 4.64% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $1,829,073) ................................ 1,829,073 $ 1,829,073 ------------ Total Investments (Cost $36,308,216) -- 100.29% (a) ................ 39,542,260 Liabilities, less cash and other assets -- ( 0.29%) ......................... (113,779) ------------ Net Assets -- 100% .................................. $ 39,428,481 ============
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $36,308,216; and net unrealized appreciation consisted of: Gross unrealized appreciation $ 5,757,389 Gross unrealized depreciation (2,523,345) ----------- Net unrealized appreciation $ 3,234,044 ===========
(b) Non-income producing. % Represents a percentage of net assets. -------------------------------------------------------------------------------- 56 See accompanying notes to financial statements. U.S. BOND FUND -------------------------------------------------------------------------------- For the six months ended December 31, 2001, U.S. Bond Fund Class Y (formerly Class I) shares advanced 4.9%. The Fund's benchmark, the Salomon Smith Barney Broad Investment Grade (BIG) Bond Index, gained 4.7% for the period. Overall, the six months which ended December 31, 2001 were relatively strong for the U.S. bond market as the weak economic environment and resulting poor equity performance shifted attention to the fixed income markets. Persistent evidence of weakness in the U.S. economy led the Federal Reserve to continue to reduce overnight interest rates during the period. By the end of the calendar year, after 11 interest rate cuts by the Federal Reserve totaling 4.75%, the yield curve had drastically steepened. Clearly the most significant event of the reporting period was the terrorist attack on September 11. Initial damage to the U.S. economy was extensive, although investors showed remarkable resilience in returning to the markets in short order. Liquidity dried up in most fixed income markets immediately after the terrorist attacks, and slowly returned to normal beginning with the most liquid, higher quality sectors. Post-September 11, mortgage backed-securities had extremely poor relative performance as a result of high volatility in the sector. Our strategy of investing in securities that have better prepayment and convexity characteristics versus the index contributed positively to the performance throughout the quarter. The credit-sensitive sectors did extremely well, despite the effects of the Enron bankruptcy, as investors grew hopeful that an economic recovery would soon be at hand. Investment grade credit and high yield securities had exceptional performance over Treasury securities following poor performance in the third quarter. Our investment grade sector allocation was neutral as we focused on selecting the companies we felt had the most value. All three elements of our active strategy added positively to performance for the period: issue selection, sector allocation and duration/yield curve management. Issue selection within the mortgage sector was a strong source of performance. Sector selection benefited from an overweight to corporate bonds and also from owning shorter duration mortgages than the benchmark. Our longer-than-benchmark duration strategy during select times also positively added to performance. -------------------------------------------------------------------------------- 57 U.S. BOND FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR 3 YEARS 5 YEARS INCEPTION* ENDED ENDED ENDED ENDED TO 12/31/01 12/31/01 12/31/01 12/31/01 12/31/01 ------------------------------------------------------------------------------------------------------------------------- U.S. BOND FUND CLASS A+ 4.89% 8.23% 5.64% N/A 7.05% ------------------------------------------------------------------------------------------------------------------------- U.S. BOND FUND CLASS B+ N/A N/A N/A N/A -2.73 ------------------------------------------------------------------------------------------------------------------------- U.S. BOND FUND CLASS C+ N/A N/A N/A N/A -2.30 ------------------------------------------------------------------------------------------------------------------------- U.S. BOND FUND CLASS Y 4.85 8.42 5.94 7.15% 7.08 ------------------------------------------------------------------------------------------------------------------------- Salomon Smith Barney Broad Investment Grade (BIG) Bond Index 4.73 8.52 6.29 7.43 7.29 -------------------------------------------------------------------------------------------------------------------------
* INCEPTION DATE OF U.S. BOND FUND CLASS A (FORMERLY CLASS N) IS 6/30/97. INCEPTION DATES OF CLASSES B AND C ARE 11/06/01 AND 11/08/01, RESPECTIVELY. INCEPTION DATE OF CLASS Y (FORMERLY CLASS I) AND THE SALOMON SMITH BARNEY BIG BOND INDEX IS 8/31/95. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR ARE AVERAGE ANNUALIZED RETURNS. -------------------------------------------------------------------------------- 58 U.S. BOND FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------- ----------- BONDS -- 97.06% U.S. CORPORATE BONDS -- 21.42% Abitibi - Consolidated Finance LP 7.875%, due 08/01/09 .......................... $ 115,000 $ 114,347 Amerada Hess Corp. 6.650%, due 08/15/11 .......................... 55,000 54,767 Anadarko Finance Co. 7.500%, due 05/01/31 .......................... 55,000 57,319 AOL Time Warner, Inc. 6.750%, due 04/15/11 .......................... 155,000 158,836 AT&T Wireless Services, Inc. 7.875%, due 03/01/11 .......................... 195,000 208,457 Avon Products, Inc. 7.150%, due 11/15/09 .......................... 150,000 159,508 Bank of America Corp. 7.400%, due 01/15/11 .......................... 465,000 498,581 Bank One Corp. 7.875%, due 08/01/10 .......................... 155,000 170,672 Bombardier Capital, Inc., 144A 6.125%, due 06/29/06 .......................... 100,000 97,392 Burlington Northern Santa Fe Corp. 6.875%, due 12/01/27 .......................... 50,000 49,145 7.082%, due 05/13/29 .......................... 105,000 105,815 Caterpillar, Inc. 6.550%, due 05/01/11 .......................... 75,000 77,831 Cendant Corp., 144A 6.875%, due 08/15/06 .......................... 390,000 376,715 Centex Corp. 9.750%, due 06/15/05 .......................... 155,000 171,474 Chase Commercial Mortgage Securities Corp., 98-1 A2 6.560%, due 05/18/30 ........... 380,000 394,422 Citigroup, Inc. 7.250%, due 10/01/10 .......................... 560,000 600,142 Citizens Communications Co. 9.250%, due 05/15/11 .......................... 310,000 344,985 Comcast Cable Communications 6.750%, due 01/30/11 .......................... 140,000 140,609 Consolidated Edison, Inc. 7.500%, due 09/01/10 .......................... 300,000 319,407 Delhaize America, Inc. 8.125%, due 04/15/11 .......................... 225,000 246,961 Delta Airlines, Inc. 00-1, E.E.T.C. 7.570%, due 11/18/10 .......................... 215,000 212,710 Dominion Resources, Inc., Class B 7.625%, due 07/15/05 .......................... 370,000 394,481 Duke Energy Field Services 6.875%, due 02/01/11 .......................... 85,000 84,484 Duke Energy Field Services LLC 7.875%, due 08/16/10 .......................... 150,000 158,447 8.125%, due 08/16/30 .......................... 55,000 58,534 El Paso Energy Corp. 7.800%, due 08/01/31 .......................... 195,000 196,787 Energizer Holdings, Inc. 7.375%, due 12/01/09 .......................... 135,000 143,953 EOP Operating Ltd. 7.875%, due 07/15/31 .......................... 55,000 54,827 Equistar Chemicals LP 8.750%, due 02/15/09 .......................... 135,000 130,206 10.125%, due 09/01/08 ........................... 65,000 65,325 FACE AMOUNT VALUE ----------- ----------- Erac U.S.A. Finance Co., 144A 8.000%, due 01/15/11 .......................... $ 380,000 $ 382,331 First Data Corp. 5.625%, due 11/01/11 .......................... 200,000 191,147 First Energy Corp. 6.450%, due 11/15/11 .......................... 240,000 234,159 First Union National Bank 7.800%, due 08/18/10 .......................... 265,000 290,942 Ford Motor Credit Co. 7.375%, due 02/01/11 .......................... 360,000 353,828 Ford Motor Credit Co. 6.875%, due 02/01/06 .......................... 630,000 630,908 General Motors Acceptance Corp. 6.125%, due 09/15/06 .......................... 370,000 366,207 6.875%, due 09/15/11 .......................... 440,000 431,006 Goldman Sachs Group, Inc. 6.875%, due 01/15/11 .......................... 105,000 107,539 Harrah's Operating Co., Inc. 7.125%, due 06/01/07 .......................... 220,000 222,623 Household Finance Corp. 6.750%, due 05/15/11 .......................... 495,000 492,204 International Paper Co. 6.750%, due 09/01/11 .......................... 95,000 96,063 Keycorp Capital II 6.875%, due 03/17/29 .......................... 45,000 39,991 Kraft Foods, Inc. 4.625%, due 11/01/06 .......................... 50,000 48,917 6.500%, due 11/01/31 .......................... 110,000 107,667 Kroger Co. 6.800%, due 04/01/11 .......................... 125,000 128,208 7.500%, due 04/01/31 .......................... 90,000 94,469 MBNA Global Capital Securities, FRN 0.000%, due 02/01/27 .......................... 340,000 244,060 Mirant Americas Generation, Inc. 7.625%, due 05/01/06 .......................... 210,000 191,463 9.125%, due 05/01/31 .......................... 95,000 81,792 Morgan Stanley Dean Witter 6.750%, due 04/15/11 .......................... 300,000 306,921 News America Holdings, Inc. 7.125%, due 04/08/28 .......................... 175,000 159,635 Nisource Finance Corp. 7.875%, due 11/15/10 .......................... 190,000 196,635 Occidental Petroleum Corp. 8.450%, due 02/15/29 .......................... 95,000 107,574 ONE 2000-2 8A 0.000%, due 03/15/30 .......................... 1,034,909 1,050,668 PDVSA Finance Ltd. 8.500%, due 11/16/12 .......................... 65,000 59,150 Progress Energy, Inc. 7.000%, due 10/30/31 .......................... 110,000 108,399 Pure Resources, Inc. 7.125%, due 06/15/11 .......................... 115,000 110,362 Qwest Capital Funding, Inc. 7.900%, due 08/15/10 .......................... 565,000 574,795 Rohm & Haas Co. 7.850%, due 07/15/29 .......................... 55,000 61,256 Sempra Energy 7.950%, due 03/01/10 .......................... 210,000 217,019
-------------------------------------------------------------------------------- 59 U.S. BOND FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------- ----------- Sonat, Inc. 7.625%, due 07/15/11 ............................. $ 95,000 $ 96,426 Sprint Capital Corp. 7.625%, due 01/30/11 .......................... 385,000 404,384 Target Corp 7.000%, due 07/15/31 .......................... 215,000 226,006 Telus Corp. 8.000%, due 06/01/11 .......................... 370,000 392,634 Transocean Sedco Forex, Inc. 6.625%, due 04/15/11 .......................... 195,000 191,333 United Airlines, Inc., E.E.T.C. 7.811%, due 10/01/09 .......................... 225,000 187,767 Valero Energy Corp. 8.750%, due 06/15/30 .......................... 55,000 62,571 Verizon Global Funding Corp. 7.750%, due 12/01/30 .......................... 270,000 300,508 Viacom, Inc. 8.625%, due 08/01/12 .......................... 180,000 208,098 Waste Management, Inc. 6.875%, due 05/15/09 .......................... 105,000 105,777 Wells Fargo Bank N.A. 6.450%, due 02/01/11 .......................... 390,000 398,211 Williams Cos, Inc. 7.125%, due 09/01/11 .......................... 340,000 333,891 WorldCom, Inc. 7.500%, due 05/15/11 .......................... 355,000 365,180 ----------- 16,807,863 ----------- ASSET-BACKED SECURITIES -- 2.93% Comed Transitional Funding Trust, Series 1998-1 Class A6 5.630%, due 06/25/09 .......................... 260,000 265,453 Green Tree Financial Corp. 6.160%, due 02/01/31 .......................... 1,000,000 1,031,163 Green Tree Financial Corp., 94-5, Class A5 8.300%, due 11/15/19 .......................... 320,000 341,288 Peco Energy Transition Trust, 99-A3, Class A7 7.625%, due 03/01/10 .......................... 600,000 661,775 ----------- 2,299,679 ----------- CORPORATE MORTGAGE-BACKED SECURITIES -- 30.29% ABN AMRO Mortgage Corp., 99-2, Class A2 6.300%, due 04/25/29 .......................... 2,100,000 2,151,597 ABN AMRO Mortgage Corp., 99-3, Class A2 6.300%, due 05/25/29 .......................... 1,000,000 1,024,110 Bank One Mortgage, 2000-2, Class A6 6.727%, due 03/15/30 .......................... 66,368 68,031 Bear Stearns Commercial Mortgage Securities, 00-WF1, Class A2 7.780%, due 02/15/10 ......... 1,215,000 1,334,355 Bear Stearns Commercial Mortgage Securities, 00-WF2, Class A2 7.320%, due 10/15/32 ......... 425,000 455,460 Cendent Mortgage Corp., 01-A1, Class 3A1 6.750%, due 04/25/31 .......................... 558,744 563,376 Citicorp Mortgage Securities, Inc., 94-9, Class A8 5.750%, due 06/25/09 ................. 759,815 772,937 CS First Boston Mortgage Securities Corp. 6.238%, due 02/15/34 .......................... 250,000 255,792 7.000%, due 11/19/14 .......................... 1,179,374 1,225,358 7.545%, due 04/15/62 .......................... 785,000 850,231 FACE AMOUNT VALUE ----------- ----------- DLJ Commercial Mortgage Corp. 7.340%, due 09/10/09 .......................... $ 150,000 $ 160,507 DLJ Commercial Mortgage Corp., 00-CKP1, Class A1B 7.180%, due 08/10/10 ................ 850,000 901,497 DLJ Commercial Mortgage Corp., 99-CG1, Class A1B 6.460%, due 01/10/09 ................ 220,000 226,514 GS Mortgage Securities Corp., 144A 7.500%, due 06/19/32 .......................... 649,877 685,770 Heller Financial Commercial Mortgage Assets, 99-PH1, Class A1 6.500%, due 05/15/31 ......... 1,031,684 1,074,563 LB Commercial Conduit Mortgage Trust, 98-C4, Class A1B 6.210%, due 10/15/35 ......... 355,000 360,913 LB Commercial Conduit Mortgage Trust, 99-C1, Class A1 6.410%, due 08/15/07 .......... 627,019 652,322 LB Commercial Conduit Mortgage Trust, 99-C2, Class A2 7.325%, due 10/15/32 .......... 325,000 348,508 Morgan Stanley Dean Witter Capital I 6.660%, due 02/15/33 .......................... 240,000 247,836 6.960%, due 10/15/33 .......................... 351,827 371,411 7.570%, due 12/15/09 .......................... 1,210,000 1,313,266 PNC Mortgage Acceptance Corp., 99-CM1, Class A1B 7.330%, due 12/10/32 ................ 245,000 261,706 PNC Mortgage Securities Corp., 94-3, Class A8 7.500%, due 07/25/24 ................. 375,000 390,356 Prudential Home Mortgage Securities, 93-43, Class A9 6.750%, due 10/25/23 ................. 203,872 208,062 Prudential Mortgage Capital Funding, LLC, 00-ROCK, Class A2 6.605%, due 05/10/34 ........ 135,000 138,210 Residential Accredit Loans, Inc., 98-QS4, Class AI5 7.000%, due 03/25/28 ................ 2,850,000 2,868,423 Residential Asset Securitization Trust, 98-A6, Class IA2 6.750%, due 07/25/28 ................ 500,000 510,825 Residential Funding Mortgage, 95-S6, Class A7 7.500%, due 11/25/25 ................. 804,524 794,539 Salomon Brothers Mortgage Securities 7.520%, due 12/18/09 .......................... 1,250,000 1,349,272 Salomon Brothers Mortgage Securities VII 6.592%, due 12/18/33 .......................... 395,000 405,539 Structured Asset Securities Corp., 98-ALS1, Class 1A 6.900%, due 01/25/29 ................. 1,082,954 1,108,241 Vendee Mortgage Trust, 92-1, Class 2Z 7.750%, due 05/15/22 .......................... 645,777 689,920 ----------- 23,769,447 ----------- INTERNATIONAL DOLLAR BONDS -- 1.83% France Telecom S.A., 144A 8.500%, due 03/01/31 .......................... 80,000 91,329 Petroleum Geo-Services 6.625%, due 03/30/08 .......................... 50,000 44,817 7.500%, due 03/31/07 .......................... 235,000 223,513 Tyco International Group S.A. 6.750%, due 02/15/11 .......................... 285,000 286,145 7.000%, due 06/15/28 .......................... 120,000 116,096 United Mexican States 8.375%, due 01/14/11 .......................... 160,000 166,000 9.875%, due 02/01/10 .......................... 310,000 346,425
-------------------------------------------------------------------------------- 60 U.S. BOND FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------- ----------- Vodafone Group PLC 7.750%, due 02/15/10 ............................. $ 150,000 $ 164,744 ----------- 1,439,069 ----------- U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES -- 23.99% Fannie Mae 5.500%, due 02/15/06 .......................... 2,540,000 2,616,236 5.500%, due 03/15/11 .......................... 830,000 815,673 Fannie Mae Grantor Trust 7.125%, due 01/15/30 .......................... 1,340,000 1,490,292 7.500%, due 12/25/31 .......................... 102,343 108,171 Fannie Mae Grantor Trust, 01-T10, Class A2 7.500%, due 06/19/41 .......................... 317,586 334,310 Fannie Mae Whole Loan, 95-W3, Class A 9.000%, due 04/25/25 .......................... 67,396 72,842 Federal Home Loan Mortgage Corp. 6.500%, due 11/01/28 .......................... 16,525 16,562 7.000%, due 10/15/13 .......................... 492,125 518,457 Federal Home Loan Mortgage Corp., Gold 8.000%, due 11/01/22 .......................... 54,831 57,411 Federal National Mortgage Association 6.000%, due 10/01/14 .......................... 185,957 186,298 6.000%, due 03/01/28 .......................... 482,922 472,696 6.500%, due 03/01/19 .......................... 362,911 368,018 6.500%, due 04/01/28 .......................... 383,028 383,585 7.000%, due 03/01/31 .......................... 159,149 163,169 7.500%, due 12/01/23 .......................... 323,609 334,025 7.500%, due 01/01/28 .......................... 166,415 171,771 Federal National Mortgage Association, 97-72, Class EG, due 09/25/22 P.O. ............ 13,380 13,377 Government National Mortgage Association 6.000%, due 12/20/28 .......................... 600,060 585,824 6.000%, due 05/20/29 .......................... 2,763,049 2,697,496 6.000%, due 08/20/29 .......................... 2,029,349 1,981,203 6.500%, due 10/15/24 .......................... 2,023,078 2,032,309 6.500%, due 08/15/27 .......................... 11,581 11,634 7.000%, due 07/15/25 .......................... 58,060 59,381 7.000%, due 07/15/31 .......................... 533,980 546,128 7.500%, due 12/15/22 .......................... 135,047 139,689 FACE AMOUNT VALUE ----------- ----------- 7.500%, due 01/15/24 .......................... $ 37,716 $ 39,012 7.500%, due 06/15/25 .......................... 45,884 47,461 7.500%, due 07/15/25 .......................... 872,876 902,881 7.500%, due 04/15/27 .......................... 591,482 611,814 8.000%, due 08/15/22 .......................... 20,831 21,783 8.500%, due 12/15/17 .......................... 939,955 1,018,473 9.000%, due 11/15/04 .......................... 3,084 3,328 9.000%, due 11/15/04 .......................... 1,128 1,217 ----------- 18,822,526 ----------- U.S. GOVERNMENT OBLIGATIONS -- 16.60% U.S. Treasury Bond 8.000%, due 11/15/21 .......................... 1,330,000 1,683,022 8.750%, due 05/15/17 .......................... 1,705,000 2,239,611 U.S. Treasury Note 3.625%, due 08/31/03 .......................... 770,000 780,828 4.625%, due 02/28/03 .......................... 1,505,000 1,546,388 6.250%, due 05/15/30 .......................... 2,225,000 2,410,213 6.500%, due 02/15/10 .......................... 1,890,000 2,076,343 7.000%, due 07/15/06 .......................... 1,125,000 1,246,465 7.500%, due 02/15/05 .......................... 945,000 1,046,920 ----------- 13,029,790 ----------- Total Bonds (Cost $75,736,293) ................... 76,168,374 ----------- SHARES ----------- SHORT-TERM INVESTMENTS -- 1.93% OTHER -- 1.93% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $1,509,194) 1,509,194 1,509,194 ----------- Total Investments (Cost $77,245,487) -- 98.99% (a) 77,677,568 Cash and other assets, less liabilities -- 1.01% 795,968 ----------- Net Assets -- 100% $78,473,536 ===========
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $77,245,487; and net unrealized appreciation consisted of: Gross unrealized appreciation ............... $1,132,196 Gross unrealized depreciation ............... (700,115) ---------- Net unrealized appreciation ..... $ 432,081 ==========
% Represents a percentage of net assets. FRN: Floating rate note The rate disclosed is that in effect at December 31, 2001. 144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers. At December 31, 2001, the value of these securities amounted to $1,633,537 or 2.08% of net assets. P.O.: Principal Only Security. This security entitles the holder to receive principal payments from an underlying pool of mortgages. High prepayments return principal faster than expected and cause the yield to increase. Low prepayments return principal more slowly than expected and cause the yield to decrease. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 61 HIGH YIELD FUND -------------------------------------------------------------------------------- High Yield Fund Class Y (formerly Class I) shares advanced 2.5% for the six-month period ended December 31, 2001. The Fund outperformed its benchmark, the Merrill Lynch High Yield Master Index, which returned 1.3% for the same period. The high yield market experienced large swings in performance during the six-month period, driven by investors' expectations for recession, defaults, terrorism, war and, more recently, recovery. June saw the meltdown of the telecommunications sector, followed by the events of September 11. September was the worst one-month return for the market as it recorded a loss of 6.4%. The market, however, recovered in November, with over $2.5 billion flowing into high yields in the fourth quarter of 2001. During the period, new issues worth approximately $14 billion were priced. Consequently, the spread, the difference in yield between two securities, closed by more than 1.75% between high yield securities and U.S. Treasuries at the end of the year. By the close of the reporting period, the high yield market had recovered the losses it incurred in September. Even in the wake of a few well-publicized corporate bankruptcies, B-rated securities outperformed higher-grade BB-rated issues during the fourth quarter, reversing a trend that was strong through the first nine months of 2001. B-rated securities returned 6.5% in the fourth quarter compared to BB-rated returns of 4.4% over the same time span. CCC-rated securities also rose 7.0% during the period. We maintained overweights in broadcasting, media and cable television issues during the period, as we expect to benefit from merger and acquisition activity. Power producers, financial companies and cyclicals lagged in performance during the fourth quarter for different reasons. The Enron bankruptcy negatively affected the power industry, including the bonds issued on their behalf, while the financial sector had to deal with a number of issues, from Argentina's economic collapse to domestic corporate bankruptcies. We reduced the Fund's overweight in the wireless sector, as many companies in this area have not demonstrated their ability to deliver despite strong growth in the wireless business. Conversely, heightened risks from deregulation and slow economic growth have led us to underweight electric utilities. Our largest underweight was the retailing sector, because of its cyclical nature. We believe that the high yield market will build on its momentum and that the market should be less volatile during the coming months. The benefits of the Federal Reserve's 11 interest rate cuts in 2001 should find their way into the economy in 2002 and ease the country into an economic recovery. We expect an influx of new issues and refinancing early in 2002, while investors seem more willing to invest in the market. If defaults slow and the Enron woes do not spread, we believe an economic recovery will translate into healthy gains for the high yield sector. -------------------------------------------------------------------------------- 62 HIGH YIELD FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR 3 YEARS INCEPTION* ENDED ENDED ENDED TO 12/31/01 12/31/01 12/31/01 12/31/01 ------------------------------------------------------------------------------------------------------------------ HIGH YIELD FUND CLASS A+ 2.44% 3.85% 0.88% 0.88% ------------------------------------------------------------------------------------------------------------------ HIGH YIELD FUND CLASS B+ N/A N/A N/A 3.34 ------------------------------------------------------------------------------------------------------------------ HIGH YIELD FUND CLASS C+ N/A N/A N/A 3.37 ------------------------------------------------------------------------------------------------------------------ HIGH YIELD FUND CLASS Y 2.49 4.15 1.17 3.17 ------------------------------------------------------------------------------------------------------------------ Merrill Lynch High Yield Master Index 1.28 6.20 1.25 2.35 ------------------------------------------------------------------------------------------------------------------
* INCEPTION DATE OF HIGH YIELD FUND CLASS A (FORMERLY CLASS N) IS 12/31/98. INCEPTION DATE FOR CLASSES B AND C IS 11/07/01. INCEPTION DATE FOR CLASS Y (FORMERLY CLASS I) AND MERRILL LYNCH HIGH YIELD MASTER INDEX IS 9/30/97. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR ARE AVERAGE ANNUALIZED RETURNS. TOP TEN FIXED INCOME HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS ------------------------------------------------------------------ NUC02, Inc. 12.000%, due 10/31/04 3.2% Tenet Health Care Corp., Series B 8.125%, due 12/01/08 2.6 Allied Waste North America, Inc. 10.000%, due 08/01/09 2.2 Station Casinos, Inc. 9.875%, due 07/01/10 2.2 Host Marriott LP 8.375%, due 02/15/06 2.2 Charter Communications Holdings 8.250%, due 04/01/07 1.7 Echostar DBS Corp. 9.375%, due 02/01/09 1.7 Iron Mountain, Inc. 8.750%, due 09/30/09 1.6 Huntsman ICI Chemicals LLC 10.125%, due 07/01/09 1.5 Cablevision Systems Corp. 8.125%, due 08/15/09 1.5 ------------------------------------------------------------------ Total 20.4%
-------------------------------------------------------------------------------- 63 HIGH YIELD FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------- ----------- U.S. BONDS -- 97.77% U.S. CORPORATE BONDS 95.68% Acetex Corp., 144A 10.875%, due 08/01/09 .......................... $ 125,000 $ 125,000 Adelphia Communications Corp. 0.000%, due 01/15/08, Series B ................ 300,000 144,375 8.375%, due 02/01/08, Series B ................ 1,650,000 1,528,312 10.875%, due 10/01/10 .......................... 660,000 674,025 Advances PCS 8.500%, due 04/01/08 .......................... 100,000 104,000 AES Corp. 8.750%, due 12/15/02 .......................... 450,000 443,250 9.375%, due 09/15/10 .......................... 350,000 315,000 Ainsworth Lumber Co. Ltd. 12.500%, due 07/15/07 .......................... 650,000 643,500 13.875%, due 07/15/07, 144A .................... 250,000 258,750 AirGate PCS, Inc. (c) 0.000%, due 10/01/09 .......................... 1,000,000 760,000 Airplanes Pass Through Trust, Series D 10.875%, due 03/15/19 .......................... 4,938,500 1,234,625 Alamosa Delaware, Inc. 0.000%, due 02/01/11 .......................... 600,000 612,000 Alamosa PCS Holdings, Inc. (c) 0.000%, due 02/15/10 .......................... 150,000 93,000 Allbritton Communications Co. 9.750%, due 11/30/07 .......................... 975,000 1,018,875 Allbritton Communications Co., Series B 8.875%, due 02/01/08 .......................... 250,000 256,250 Allegiance Telecom, Inc. 12.875%, due 05/15/08 .......................... 1,190,000 880,600 Alliance Gaming Corp. 10.000%, due 08/01/07 .......................... 100,000 104,000 Allied Waste North America, Inc. 7.875%, due 01/01/09 .......................... 175,000 171,500 8.500%, due 12/01/08, 144A .................... 250,000 252,500 10.000%, due 08/01/09 .......................... 3,000,000 3,090,000 American Eco Corp., Series B 9.625%, due 05/15/08 .......................... 5,500,000 550 American Mobile Satellite Corp. 12.250%, due 04/01/08 .......................... 182,000 56,420 American Restaurant Group, Inc., Series D, 144A 11.500%, due 11/01/06 .......................... 319,000 287,100 American Standard, Inc. 7.375%, due 02/01/08 .......................... 1,000,000 1,010,000 American Tower Corp. 9.375%, due 02/01/09 .......................... 450,000 362,250 Amerisource Bergen Corp. 8.125%, due 09/01/08 .......................... 150,000 153,750 Ameristar Casino, Inc. 10.750%, due 02/15/09 .......................... 150,000 162,000 Amkor Technology, Inc. 9.250%, due 02/15/08 .......................... 550,000 519,750 Argo-Tech Corp. 8.625%, due 10/01/07 .......................... 1,500,000 960,000 Argosy Gaming Co. 10.750%, due 06/01/09 .......................... 100,000 109,875 Atlantic Express Transportation Corp., 144A 10.750%, due 02/01/04 .......................... 1,000,000 500,000 FACE AMOUNT VALUE ----------- ----------- Aztar Corp. 8.875%, due 05/15/07 $ 1,305,000 $ 1,347,412 B&G Foods, Inc. 9.625%, due 08/01/07 .......................... 850,000 816,000 Ball Corp. 8.250%, due 08/01/08 .......................... 1,000,000 1,055,000 Bally Total Fitness Corp., Series D 9.875%, due 10/15/07 .......................... 850,000 867,000 Bear Island Paper Co. LLC, Series B 10.000%, due 12/01/07 .......................... 125,000 118,750 Belden & Blake Corp., Series B 9.875%, due 06/15/07 .......................... 650,000 536,250 Blount, Inc. 13.000%, due 08/01/09 .......................... 2,250,000 1,035,000 Boyd Gaming Corp. 9.500%, due 07/15/07 .......................... 15,000 14,813 Buckeye Technologies, Inc. 8.000%, due 10/15/10 .......................... 1,860,000 1,711,200 8.500%, due 12/15/05 .......................... 1,000,000 975,000 Cablevision Systems Corp. 8.125%, due 08/15/09 .......................... 2,050,000 2,105,586 Calpine Canada Energy Finance 8.500%, due 05/01/08 .......................... 1,000,000 914,624 Calpine Corp. 8.500%, due 02/15/11 .......................... 350,000 318,489 Chancellor Broadcasting Co. 8.000%, due 11/01/08 .......................... 1,500,000 1,560,000 8.750%, due 06/15/07 .......................... 500,000 520,000 Charter Communications Holdings 0.000%, due 04/01/11 (c) ...................... 150,000 108,938 8.250%, due 04/01/07 .......................... 2,500,000 2,403,125 10.000%, due 05/15/11 .......................... 300,000 305,250 Chesapeake Energy Corp. 8.125%, due 04/01/11 .......................... 250,000 242,500 CMS Energy Corp. 8.500%, due 04/15/11 .......................... 50,000 49,951 Coast Hotels & Casinos, Inc. 9.500%, due 04/01/09 .......................... 220,000 225,500 Coaxial Communications of Central Ohio, Inc. 10.000%, due 08/15/06 .......................... 850,000 852,125 Collins & Alkman Corp. 10.750%, due 12/31/11, 144A .................... 850,000 852,125 11.500%, due 04/15/06 .......................... 250,000 243,750 Constellation Brands, Inc. 8.000%, due 02/15/08 .......................... 275,000 277,750 Cott Beverages USA, Inc. 144A 8.000%, due 12/15/11 .......................... 750,000 731,250 Cott Corp. 8.500%, due 05/01/07 .......................... 150,000 154,500 Crown Castle International Corp. 0.000%, due 05/15/11 (c) ...................... 130,000 80,600 9.000%, due 05/15/11 .......................... 150,000 134,250 9.375%, due 08/01/11 .......................... 150,000 137,625 10.750%, due 08/01/11 .......................... 850,000 830,875 Cumulus Media, Inc. 10.375%, due 07/01/08 .......................... 105,000 109,988 D.R. Horton, Inc. 8.000%, due 02/01/09 .......................... 2,000,000 1,980,000
-------------------------------------------------------------------------------- 64 HIGH YIELD FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------- -------------- Dayton Superior Corp. 13.000%, due 06/15/09 .......................... $ 675,000 $ 686,812 Del Monte Corp. 9.250%, due 05/15/11 .......................... 175,000 182,875 Delco Remy International, Inc. 8.625%, due 12/15/07 .......................... 950,000 940,500 Desa International, Inc. 9.875%, due 12/15/07 .......................... 3,000,000 990,000 Dimon Inc., 144A 9.625%, due 10/15/11 .......................... 75,000 77,625 Dobson Communications Corp. 10.875%, due 07/01/10 .......................... 450,000 464,625 Dobson Sygnet Communications, Inc. 12.250%, due 12/15/08 .......................... 250,000 267,500 Dura Operating Corp. 9.000%, due 05/01/09 .......................... 1,000,000 940,000 Earle M. Jorgensen Co. 9.500%, due 04/01/05 .......................... 885,000 849,600 Echostar DBS Corp. 9.375%, due 02/01/09 .......................... 2,250,000 2,317,500 eKabel Hessen 14.500%, due 09/01/10 .......................... 125,000 58,750 Equistar Chemicals LP 8.500%, due 02/15/04 .......................... 50,000 49,881 Fairchild Semiconductor Corp. 10.125%, due 03/15/07 .......................... 150,000 153,750 Fedders North America, Inc. 9.375%, due 08/15/07 .......................... 120,000 87,900 Felcor Lodging LP 8.500%, due 06/01/11 .......................... 175,000 168,000 Fleming Co., Inc. 10.625%, due 07/31/07 .......................... 75,000 71,625 Four M Corp., Series B 12.000%, due 06/01/06, Series B ................ 200,000 197,000 Fox Sports Network LLC (c) 0.000%, due 08/15/07 .......................... 1,000,000 995,000 Fresenius Medical Care Capital Trust II 7.875%, due 02/01/08 .......................... 2,000,000 2,000,000 Fresenius Medical Care Capital Trust IV 7.875%, due 06/15/11 .......................... 50,000 49,750 FrontierVision Holdings LP (c) 0.000%, due 09/15/07 .......................... 275,000 288,406 FrontierVision Operating Partners LP 11.000%, due 10/15/06 .......................... 2,000,000 2,062,500 GAP, Inc., 144A 8.150%, due 12/15/05 .......................... 120,000 103,457 Gaylord Container Corp. 9.750%, due 06/15/07 .......................... 500,000 422,500 GEO Specialty Chemicals 10.125%, due 08/01/08 .......................... 250,000 216,250 Granite Broadcasting Corp. 10.375%, due 05/15/05 .......................... 200,000 176,000 Gray Communicaitons Systems, Inc., 144A 9.250%, due 12/15/11 .......................... 750,000 742,500 Grey Wolf, Inc. 8.875%, due 07/01/07 .......................... 1,100,000 1,072,500 Hayes Lemmerz International, Inc. 8.250%, due 12/15/08 .......................... 495,000 22,275 FACE AMOUNT VALUE ----------- -------------- HCA - The Healthcare Co. 7.125%, due 06/01/06 .......................... $ 150,000 $ 150,563 7.875%, due 02/01/11 .......................... 1,325,000 1,351,500 8.750%, due 09/01/10 .......................... 150,000 162,000 Hilton Hotels Corp. 8.250%, due 02/15/11 .......................... 150,000 145,642 HMH Properties, Inc. 7.875%, due 08/01/08, Series B ................ 175,000 161,438 8.450%, due 12/01/08 .......................... 1,495,000 1,420,250 Hollinger International Publishing Corp. 9.250%, due 02/01/06 .......................... 250,000 247,813 9.250%, due 03/15/07 .......................... 600,000 594,750 Hollywood Casino Corp. 11.250%, due 05/01/07 .......................... 290,000 313,562 Horseshoe Gaming LLC, Series B 9.375%, due 06/15/07 .......................... 250,000 265,312 Host Marriott LP 8.375%, due 02/15/06 .......................... 3,150,000 3,031,875 Huntsman ICI Chemicals LLC 10.125%, due 07/01/09 .......................... 2,200,000 2,112,000 Hyperion Telecommunications 12.000%, due 11/01/07 .......................... 2,000,000 20,000 Ingles Markets, Inc., 144A 8.875%, due 12/01/11 .......................... 550,000 540,375 Insight Communications, Inc. (c) 0.000%, due 02/15/11 .......................... 160,000 94,400 Insight Health Services Corp., 144A 9.875%, due 11/01/11 .......................... 100,000 103,500 Insight Midwest LP 10.500%, due 11/01/10 .......................... 120,000 129,600 Integrated Electrical Services, Inc., Series B 9.375%, due 02/01/09 .......................... 125,000 110,625 InterAct Operating Co., Inc. 14.000%, due 08/01/03 .......................... 12,658,982 126,590 Interep National Radio Sales, Series B 10.000%, due 07/01/08 .......................... 300,000 195,000 Intermedia Communications, Inc. 8.500%, due 01/15/08 .......................... 35,000 35,831 International Game Technology 7.875%, due 05/15/04 .......................... 215,000 221,719 IPC Acquisition Corp., 144A 11.500%, due 12/15/09 .......................... 750,000 750,000 Iron Mountain, Inc. 8.625%, due 04/01/13 .......................... 200,000 208,000 8.750%, due 09/30/09 .......................... 2,150,000 2,214,500 J.L. French Automotive Castings, Inc. 11.500%, due 06/01/09 .......................... 1,500,000 562,500 Jackson Products, Inc., Series B 9.500%, due 04/15/05 .......................... 350,000 206,500 KinderCare Learning Centers, Inc. 9.500%, due 02/15/09 .......................... 1,000,000 955,000 KMC Telecom Holdings, Inc. 13.500%, due 05/15/09 .......................... 1,500,000 105,000 Lamar Media Co. 8.625%, due 09/15/07 .......................... 200,000 208,500 Leap Wireless International, Inc. 12.500%, due 04/15/10 .......................... 100,000 76,000 Level 3 Communications, Inc. (c) 0.000%, due 12/01/08 .......................... 600,000 168,000
-------------------------------------------------------------------------------- 65 HIGH YIELD FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE ------------- --------------- Levi Straus & Co. 6.800%, due 11/01/03 .......................... $ 150,000 $ 133,500 LIN Holdings Corp. (c) 0.000%, due 03/01/08 .......................... 2,800,000 1,764,000 LIN Television Corp. 8.000%, due 01/15/08 .......................... 100,000 100,750 Loral Space & Communications Ltd. 9.500%, due 01/15/06 .......................... 200,000 110,000 Luigino's, Inc. 10.000%, due 02/01/06 .......................... 900,000 882,000 Lyondell Chemical Co., Series B 9.875%, due 05/01/07 .......................... 1,000,000 1,005,000 Mail Well Corp., Series B 8.750%, due 12/15/08 .......................... 900,000 702,000 Majestic Investment Holdings LLC, 144A 11.653%, due 11/30/07 .......................... 800,000 761,000 Majestic Star Casino LLC, Series B 10.875%, due 07/01/06 .......................... 150,000 145,500 Mandalay Resort Group 9.500%, due 08/01/08 .......................... 2,000,000 2,095,000 Mediacom LLC 7.875%, due 02/15/11 .......................... 50,000 48,188 MGM Grand, Inc. 9.750%, due 06/01/07 .......................... 1,700,000 1,780,750 MGM Mirage, Inc. 8.500%, due 09/15/10 .......................... 150,000 153,294 Motors & Gears, Inc., Series D 10.750%, due 11/15/06 .......................... 275,000 239,250 National Wine & Spirits, Inc. 10.125%, due 01/15/09 .......................... 1,150,000 1,178,750 NEON Communications, Inc. 12.750%, due 08/15/08 .......................... 3,000,000 600,000 Nexstar Finance, Inc., LLC 12.000%, due 04/01/08 .......................... 300,000 300,000 Nextel Communications, Inc. (c) 0.000%, due 09/15/07 .......................... 120,000 91,800 0.000%, due 02/15/08 .......................... 3,000,000 2,062,500 9.375%, due 11/15/09 .......................... 200,000 158,000 9.500%, due 02/01/11 .......................... 25,000 19,500 Nextel International, Inc. 12.125%, due 04/15/08 .......................... 2,550,000 127,500 12.750%, due 08/01/10 .......................... 350,000 24,500 13.000%, due 04/15/07 .......................... 500,000 25,000 Nextel Partners, Inc. 11.000%, due 03/15/10 .......................... 150,000 121,500 12.500%, due 11/15/09, 144A .................... 500,000 437,500 Nextmedia Operating Inc.,144A 10.750%, due 07/01/11 .......................... 150,000 154,875 Nortek, Inc. 9.250%, due 03/15/07 .......................... 1,000,000 1,020,000 9.875%, due 06/15/11, Series B ................ 200,000 198,000 NTL Communication Corp. 11.500%, due 10/01/08 .......................... 2,000,000 700,000 NUC02 12.000%, due 10/31/04 .......................... 5,000,000 4,500,000 Official Information Co., Series B 10.375%, due 11/01/07 .......................... 150,000 135,000 OM Group, Inc., 144A 9.250%, due 12/15/11 .......................... 325,000 331,500 FACE AMOUNT VALUE ------------- --------------- Ono Finance plc 13.000%, due 05/01/09 .......................... $ 325,000 $ 246,594 Orion Refining 10.000%, due 11/15/04 .......................... 3,473,178 694,636 Owens-Illinois Inc. 7.150%, due 05/15/05 .......................... 180,000 169,200 Pacifica Papers, Inc. 10.000%, due 03/15/09 .......................... 105,000 112,875 Pantry, Inc. 10.250%, due 10/15/07 .......................... 575,000 564,937 Park Place Entertainment Corp. 8.875%, due 09/15/08 .......................... 2,000,000 2,037,500 Peabody Energy Corp. 9.625%, due 05/15/08 .......................... 1,612,000 1,728,870 Pegasus Communications Corp., Series B 9.750%, due 12/01/06 .......................... 800,000 720,000 12.500%, due 08/01/07 .......................... 100,000 101,000 Pegasus Satellite Communications, Inc. (c) 0.000%, due 03/01/07 .......................... 375,000 228,750 Penn National Gaming Inc., Series B 11.125%, due 03/01/08 .......................... 220,000 232,100 PETCO Animal Supplies, Inc., 144A 10.750%, due 11/01/11 .......................... 500,000 510,000 Phillips-Van Heusen, Corp. 9.500%, due 05/01/08 .......................... 400,000 408,000 Pioneer Natural Resources Co. 9.625%, due 04/01/10 .......................... 110,000 120,475 Plains Resources, Inc. 10.250%, due 03/15/06 .......................... 300,000 303,000 10.250%, due 03/15/06, Series D ................ 150,000 151,500 Playtex Products, Inc. 9.375%, due 06/01/11 .......................... 100,000 105,500 Pogo Producing Co. 8.250%, due 04/15/11 .......................... 100,000 101,500 Premier Graphics, Inc. 11.500%, due 12/01/05 .......................... 4,250,000 132,813 Premier Parks, Inc. (c) 0.000%, due 04/01/08 .......................... 175,000 149,188 PRIMEDIA, Inc. 8.875%, due 05/15/11 .......................... 700,000 630,000 R.H. Donnelly, Inc. 9.125%, due 06/01/08 .......................... 675,000 696,094 Radio One, Inc. 8.875%, due 07/01/11 .......................... 160,000 165,200 Radio Unica Communications Corp. (c) 0.000%, due 08/01/06 .......................... 400,000 190,000 Radiologix, Inc., 144A 10.500%, due 12/15/08 .......................... 775,000 771,125 Riverwood International Corp. 10.250%, due 04/01/06 .......................... 200,000 206,000 Salem Communications Corp. 9.500%, due 10/01/07 .......................... 300,000 310,875 Samsonite Corp. 10.750%, due 06/15/08 .......................... 850,000 592,875 SBA Communications Corp. 10.250%, due 02/01/09 .......................... 200,000 171,000 Sbarro, Inc. 11.000%, due 09/15/09 .......................... 150,000 144,000
-------------------------------------------------------------------------------- 66 HIGH YIELD FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
FACE AMOUNT VALUE ------------- --------------- Sequa Corp. 8.875%, due 04/01/08 .......................... $ 125,000 $ 116,875 Sinclair Broadcast Group 8.750%, due 12/15/11 144A ..................... 900,000 900,000 10.000%, due 09/30/05 .......................... 250,000 258,332 Six Flags, Inc. 9.500%, due 02/01/09 .......................... 100,000 100,625 Song Networks NV 13.000%, due 05/15/09 .......................... 2,000,000 720,000 Spectrasite Holdings, Inc. 10.750%, due 03/15/10 .......................... 2,000,000 980,000 Speedway Motorsports, Inc. 8.500%, due 08/15/07 .......................... 350,000 360,500 Station Casinos, Inc. 9.875%, due 07/01/10 .......................... 3,000,000 3,048,750 Stena AB 8.750%, due 06/15/07 .......................... 1,500,000 1,365,000 Superior National Capital Trust I (d) 10.750%, due 12/01/17 .......................... 9,000,000 -- Team Health, Inc. 12.000%, due 03/15/09 .......................... 185,000 202,575 TeleWest Communications PLC 0.000%, due 10/01/07 (c) ...................... 250,000 180,000 9.625%, due 10/01/06 .......................... 3,000,000 2,055,000 Tembec Industries, Inc. 8.500%, due 02/01/11 .......................... 250,000 258,750 Tenet Healthcare Corp., Series B 8.125%, due 12/01/08 .......................... 3,470,000 3,660,850 Time Warner Telecom, Inc. 10.125%, due 02/01/11 .......................... 100,000 80,250 Tommy Hilfiger U.S.A. 6.500%, due 06/01/03 .......................... 825,000 840,163 TransWestern Publishing Co. 9.625%, due 11/15/07 .......................... 350,000 358,750 Triad Hospitals, Inc. 8.750%, due 05/01/09 .......................... 150,000 156,375 Triton PCS, Inc. 0.000%, due 05/01/08 (c) ...................... 125,000 113,125 9.375%, due 02/01/11 .......................... 100,000 103,500 Unisys Corp. 7.875%, due 04/01/08 .......................... 2,000,000 1,945,000 US Unwired, Inc. (c) 0.000%, due 11/01/09 .......................... 1,100,000 775,500 Vicar Operating, Inc., 144A 9.875%, due 12/01/09 .......................... 125,000 127,500 Weirton Steel Corp. (d) 11.375%, due 07/01/04 .......................... 200,000 20,250 Westpoint Stevens, Inc. 7.875%, due 06/15/05 .......................... 325,000 105,625 15.000%, due 02/28/05 .......................... 2,000,000 1,880,000 Wheeling Island Gaming, Inc., 144A 10.125%, due 12/15/09 .......................... 400,000 406,000 William Carter, 144A 10.875%, due 08/15/11 .......................... 225,000 240,750 Williams Scotsman, Inc. 9.875%, due 06/01/07 .......................... 2,000,000 1,970,000 Willis Corroon Corp. 9.000%, due 02/01/09 .......................... 1,000,000 1,040,000 FACE AMOUNT VALUE ------------- --------------- Winsloew Furniture, Inc., Series B 12.750%, due 08/15/07 .......................... $ 250,000 $ 175,000 Wiser Oil Co. 9.500%, due 05/15/07 .......................... 200,000 166,000 XO Communications, Inc. (c) (d) 0.000%, due 12/01/09 .......................... 362,000 27,150 Yell Finance BV 10.750%, due 08/01/11 .......................... 190,000 203,300 Young Broadcasting, Inc. 8.500%, due 12/15/08, 144A .................... 750,000 753,750 10.000%, due 03/01/11 .......................... 100,000 93,000 --------------- Total U.S. Corporate Bonds .................... 134,679,918 --------------- INTERNATIONAL DOLLAR BONDS -- 2.09% Callahan Nordrhein-Westfallen 0.000%, due 07/15/10 (c) ...................... 300,000 69,000 14.000%, due 07/15/10 .......................... 800,000 528,000 COLT Telecom Group (c) 0.000%, due 12/15/06 .......................... 1,150,000 1,012,000 Energis PLC 9.750%, due 06/15/09 .......................... 250,000 197,500 Global Crossing Holding Ltd. 9.500%, due 11/15/09 .......................... 2,300,000 253,000 Methanex Corp. 7.400%, due 08/15/02 .......................... 300,000 300,000 Microcell Telecommunications, Inc., Series B (c) 0.000%, due 06/01/06 .......................... 685,000 583,963 --------------- 2,943,463 --------------- Total Bonds (Cost $194,676,052) .................. 137,623,381 --------------- EQUITIES -- 1.31% U.S. EQUITIES -- 0.39% SHARES ------------- Communications & Power Industries Holding Corp. (b) ............................. 1,400 210,000 Metal Management, Inc. (b) ....................... 234,913 117,456 Packaged Ice, Inc. (b) ........................... 74,223 79,419 PNV, Inc. (b) .................................... 79,417 635 RCN Corp.(b) ..................................... 466 1,365 Sabreliner Corp. (b) ............................. 8,400 -- Samuels Jewelers, Inc. (b) ....................... 640,011 92,162 Song Networks Holding AB ADR (b) ................. 61,644 50,548 Waste Systems International, Inc. (b) ............ 664,249 -- --------------- 551,585 --------------- CONVERTIBLE PREFERRED -- 0.79% American Restaurant Group, Inc., Series B, PIK 12.000% ......................... 63 -- Communications & Power Industries Holding Corp. Series B, PIK 14.000% ........... 39,639 990,975 EarthWatch, Inc., Series C, PIK 8.500%, 144A .............................. 353,851 88,463 ICG Holdings, Inc., PIK 14.000% .................. 2,218 6,654 InterAct Electronic Marketing, Inc. 14.000%, ....................................... 19,500 19,500 Waste Systems International, Inc., Series E, PIK 8.000% .......................... 5,428 1,357 --------------- 1,106,949 ---------------
-------------------------------------------------------------------------------- 67 HIGH YIELD FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
NUMBER OF WARRANTS VALUE ------------- --------------- WARRANTS -- 0.13% Arcadia Financial Ltd. (b) expires 03/15/07 .............................. 6,000 $ -- expires 04/15/08 .............................. 6,275 63 Dayton Superior Corp., 144A expires 06/15/09 (b) .......................... 225 3,375 Electronic Retailing Systems International, Inc. expires 02/01/04 (b) .......................... 13,700 137 InterAct Electronic Marketing, Inc. expires 08/01/03 144A (b) ..................... 19,500 19,500 expires 12/31/09 (b) .......................... 19,500 195 Knology, Inc., 144A expires 10/15/07 (b) .......................... 16,995 17 Leap Wireless International, Inc., 144A expires 04/15/10 (b) .......................... 200 8,000 Motient Corp., 144A expires 04/01/08 (b) .......................... 182 3 Nextel International, Inc. expires 04/15/07 (b) .......................... 15,750 158 NUC02 expires 10/31/04 (b) .......................... 109,290 147,541 Pliant Corp., 144A expires 06/01/10 (b) .......................... 160 $ 240 Samuels Jewelers, Inc. expires 09/29/03 (b) .......................... 13,146 131 UIH Australia Pacific, Inc. expires 05/15/06 (b) .......................... 10,000 -- Wam!Net, Inc. expires 03/01/05 (b) .......................... 26,250 262 Winsloew Furniture, Inc., 144A expires 08/15/07 (b) .......................... 250 63 --------------- 179,685 --------------- Total Equities (Cost $31,292,630) ................ 1,838,219 --------------- Total Investments (Cost $225,968,682) -- 99.08% (a) ............. 139,461,600 Cash and other assets, less liabilities -- 0.92% ..................... 1,294,657 --------------- Net Assets -- 100% ............................... $140,756,257 ===============
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $225,968,682; and net unrealized depreciation consisted of: Gross unrealized appreciation .................. $ 3,853,644 Gross unrealized depreciation .................. (90,360,726) ------------ Net unrealized depreciation .................... $(86,507,082) ============
(b) Non-income producing security. (c) Step bonds -- coupon rate increases in increments to maturity. Rate disclosed is as of December 31, 2001. Maturity date disclosed is the ultimate maturity date. (d) Security is in default. % Represents a percentage of net assets. 144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers. At December 31, 2001, the value of these securities amounted to $10,837,843 or 7.70% of net assets. ADR: American Depositary Receipt PIK: Payment-In-Kind -------------------------------------------------------------------------------- 68 See accompanying notes to financial statements. INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- For the six months ended December 31, 2001, International Equity Fund Class Y (formerly Class I) shares declined 6.4%. During this period, the Fund's benchmark, the MSCI World Ex USA (Free) Index, declined 7.9%. The six-month period was challenging for international equity investors, and most regions and economic sectors produced negative returns. Returns were affected by a continued slowdown in economies around the globe. As corporate capital spending was cut in most industries, earnings were revised down repeatedly and investors lost confidence in projected long-term growth rates. This led to negative investment returns for the period. The U.S. Federal Reserve and the European Central Bank (ECB) continued to cut rates to stave off a recession that materialized nonetheless. Low interest rates helped buoy consumer spending on U.S. housing and aggressive incentives supported auto sales in North America, but the ECB was less successful in supporting the European consumer. Japan's recession continued, marked by rampant deflation and pressure on the banking system. The world economic picture was already poor at the time of the events of September 11. Following the attacks, U.S. consumer spending dipped but then recovered as sentiment improved to previous levels and investors began to look ahead to a possible recovery in 2002. In this difficult investment environment, the Fund benefited from successful stock selection in a variety of industries and regions. Stock selection was the key to helping the Fund outperform its benchmark. Early in the period, we had overweighted the Fund, relative to its benchmark, in defensive sectors, which tend to be less affected by economic downturns. Our defensive strategy included focusing on select companies in the utility, food and beverage and financial sectors. This defensive stance aided performance overall during the period but was less helpful in the fourth quarter of 2001, when cyclical stocks --those that tend to do well during periods of economic recovery -- were in favor with investors. While we had repositioned the Fund to take advantage of cyclical sectors, we maintained an underweight; therefore, the Fund did not benefit as much as it could have from investments in cyclical companies. Among the cyclical sectors in the Fund, an early overweighing in materials, especially paper companies, was well rewarded. Going into the six-month period, the Fund was significantly underweighted, relative to its benchmark, in the poor-performing technology hardware, software, telecommunication services and consumer durable sectors. As time went on, we raised the Fund's commitment to the technology sector because stocks had reached attractive valuations. We favored software companies and telecommunications services companies, which we believe should benefit from restructuring programs. The Fund's geographic diversification reflected our views on stock valuations and potential for return in various regions. We overweighted the Fund in the United Kingdom (UK) and Australia/New Zealand, which we found attractive and which aided performance. We underweighted investment in Japan, as there appeared to be no solution to the financial problems of its troubled economy. The Fund's currency strategy benefited performance, as we maintained an underweight to the Japanese yen and an overweight to the Australian dollar. We also overweighted the euro and underweighted the British pound; these positions were moderated at the end of the year. We continue to reposition the Fund as opportunities arise in sectors that will benefit from an eventual recovery. At this time, however, evidence of a recovery is scant and many stocks appear to discount a boom scenario that we do not believe will occur. -------------------------------------------------------------------------------- 69 INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- TOTAL RETURN
6 MONTHS 1 YEAR 3 YEARS 5 YEARS INCEPTION* ENDED ENDED ENDED ENDED TO 12/31/01 12/31/01 12/31/01 12/31/01 12/31/01 ------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND CLASS A+ -6.38% -17.10% -3.67% N/A -1.30% ------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND CLASS C+ N/A N/A N/A N/A 3.96 ------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND CLASS Y -6.36 -16.99 -3.48 1.70% 3.95 ------------------------------------------------------------------------------------------------------------------- MSCI World Ex USA (Free) Index -7.90 -21.36 -4.56 1.04 3.57 -------------------------------------------------------------------------------------------------------------------
* INCEPTION DATE OF INTERNATIONAL EQUITY FUND CLASS A (FORMERLY CLASS N) IS 6/30/97. INCEPTION DATE OF CLASS C IS 12/26/01. INCEPTION DATE OF CLASS Y (FORMERLY CLASS I) AND THE MSCI WORLD EX USA (FREE)INDEX IS 8/31/93. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. ALL TOTAL RETURNS IN EXCESS OF 1 YEAR ARE AVERAGE ANNUALIZED RETURNS. -------------------------------------------------------------------------------- 70 INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- TOP TEN INTERNATIONAL EQUITY HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS ----------------------------------------------------------------------- Total Fina S.A., Class B 2.9% GlaxoSmithKline PLC 2.8 Shell Transport & Trading PLC 2.6 Vodafone Group PLC 2.3 BP PLC 2.2 Aventis S.A., Class A 2.0 Elsevier NV 1.9 Nokia Oyj 1.9 Roche Holding AG (Gen.) 1.7 Nestle S.A. (Reg.) 1.7 ----------------------------------------------------------------------- Total 22.0%
INDUSTRY DIVERSIFICATION AS A PERCENT OF NET ASSETS AS OF DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- INTERNATIONAL EQUITIES Airlines ................................................. 0.26% Appliances & Households .................................. 1.51 Autos/Durables ........................................... 1.97 Banking .................................................. 15.72 Beverages and Tobacco .................................... 2.96 Broadcasting & Publishing ................................ 4.56 Building Materials ....................................... 0.84 Business & Public Service ................................ 2.79 Chemicals ................................................ 3.38 Construction ............................................. 1.08 Consumer ................................................. 0.48 Data Processing .......................................... 0.85 Electric Components ...................................... 3.17 Electronics .............................................. 0.20 Energy ................................................... 10.48 Financial Services ....................................... 6.26 Food & House Products .................................... 5.41 Forest Products .......................................... 1.96 Health: Drugs ............................................ 8.27 Health: Non Drugs ........................................ 2.33 Housing/Paper ............................................ 1.12 Industrial Components .................................... 0.52% Insurance ................................................ 5.80 Leisure & Tourism ........................................ 1.12 Machinery & Engineering .................................. 0.68 Metals-Steel ............................................. 1.17 Multi-Industry ........................................... 2.41 Real Estate .............................................. 0.87 Recreational ............................................. 0.36 Retail/Apparel ........................................... 1.19 Services/Miscellaneous ................................... 0.63 Telecommunications ....................................... 9.70 Transportation ........................................... 1.48 Utilities ................................................ 3.79 Wholesale & International Trade .......................... 0.85 ------- Total International Equities .................. 106.17 SECURITIES LENDING CASH COLLATERAL RECEIVED .................................. 5.41 ------- LIABILITIES, LESS CASH AND OTHER ASSETS ..................................... (11.58) ------- NET ASSETS ............................................... 100.00% =======
-------------------------------------------------------------------------------- 71 INTERNATIONAL EQUITY FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------------- --------------- INTERNATIONAL EQUITIES -- 106.17% AUSTRALIA -- 3.44% Lion Nathan Ltd. .................................... 280,670 $ 661,909 Mayne Nickless Ltd. ................................. 86,800 305,698 National Australia Bank Ltd., Preferred ............. 17,900 535,210 News Corp., Ltd., Preferred ......................... 74,535 497,915 QBE Insurance Group Ltd. ............................ 134,771 529,837 Rio Tinto Ltd. ...................................... 20,660 393,485 Westpac Banking Corp., Ltd. ......................... 191,711 1,546,143 --------------- 4,470,197 --------------- BELGIUM -- 1.24% Electrabel S.A. ..................................... 2,550 531,302 Fortis .............................................. 41,547 1,078,360 --------------- 1,609,662 --------------- CANADA -- 2.67% Alcan Aluminum Ltd. ................................. 17,540 627,959 BCE, Inc. ........................................... 41,100 927,151 Nortel Networks Corp. ............................... 75,200 560,596 NOVA Chemicals Corp. ................................ 22,800 439,203 Royal Bank of Canada ................................ 28,300 918,868 --------------- 3,473,777 --------------- DENMARK -- 1.46% Danske Bank A/S ..................................... 39,300 630,652 Novo Nordisk A/S .................................... 30,900 1,263,694 --------------- 1,894,346 --------------- FINLAND -- 4.00% Nokia Oyj ........................................... 93,792 2,418,521 Sampo Oyj, Class A (c) .............................. 64,460 505,078 Stora Enso Oyj ...................................... 69,500 889,875 UPM-Kymmene Oyj ..................................... 41,789 1,386,033 --------------- 5,199,507 --------------- FRANCE -- 11.80% Air Liquide ......................................... 6,945 973,335 Aventis S.A., Class A (c) ........................... 36,380 2,583,324 AXA ................................................. 48,834 1,020,518 Banque Nationale de Paris ........................... 14,987 1,341,116 Cap Gemini S.A. ..................................... 4,400 317,731 Cie de Saint Gobain ................................. 7,228 1,090,871 France Telecom S.A. ................................. 11,030 440,968 Groupe Danone ....................................... 13,062 1,593,366 Societe Generale .................................... 22,910 1,282,082 Suez S.A ............................................ 12,160 368,127 Total Fina S.A., Class B ............................ 26,669 3,808,873 Unibail S.A. ........................................ 9,900 502,894 --------------- 15,323,205 --------------- GERMANY -- 3.66% Allianz AG .......................................... 4,728 1,117,706 Bayer AG ............................................ 39,355 1,250,989 Continental AG ...................................... 9,390 123,323 Deutsche Telekom .................................... 24,200 418,025 E.on AG ............................................. 12,278 638,449 SHARES VALUE ------------- --------------- Muenchener Rueckver AG .............................. 4,128 $ 1,121,050 Volkswagen AG ....................................... 1,800 83,822 --------------- 4,753,364 --------------- HONG KONG -- 1.27% Esprit Holdings Ltd. ................................ 353,000 398,363 Hong Kong Electric Holdings Ltd. .................... 176,500 656,395 Sun Hung Kai Properties Ltd. ........................ 73,000 589,774 --------------- 1,644,532 --------------- IRELAND -- 1.26% Bank of Ireland ..................................... 52,575 497,620 CRH PLC ............................................. 64,814 1,139,781 --------------- 1,637,401 --------------- ITALY -- 3.06% Assicurazioni Generali Spa .......................... 45,446 1,262,513 ENI Spa ............................................. 136,500 1,711,279 San Paolo-imi Spa ................................... 93,000 997,827 --------------- 3,971,619 --------------- JAPAN -- 20.23% AIFUL Corp. ......................................... 10,950 708,500 Benesse Corp. ....................................... 17,300 448,802 Canon, Inc. ......................................... 32,000 1,101,175 Dai Nippon Printing Co., Ltd. ....................... 46,000 459,789 Daikin Industries Ltd. .............................. 32,000 501,755 East Japan Railway Co. .............................. 143 690,668 Fast Retailing Co., Ltd. ............................ 3,400 302,487 Fuji Photo Film Co., Ltd. (c) ....................... 26,000 928,430 Hirose Electric Co., Ltd. ........................... 3,800 258,920 Honda Motor Co. ..................................... 8,600 343,186 Hoya Corp. .......................................... 7,400 442,103 Kamigumi Co., Ltd. .................................. 71,000 291,454 Kao Corp. ........................................... 29,000 602,968 Matsushita Electric Industrial Co. .................. 21,000 269,670 Minebea Co., Ltd. ................................... 137,000 737,998 Mitsubishi Corp. .................................... 171,000 1,110,339 Mitsubishi Estate Co., Ltd. ......................... 86,000 629,284 Mitsui Mining & Smelting Co., Ltd ................... 153,000 501,984 Mizuho Holdings, Inc. ............................... 339 690,623 Murata Manufacturing Co., Inc. ...................... 16,800 1,007,539 Nintendo Corp., Ltd. ................................ 2,700 472,799 Nippon Telegraph & Telephone Corp. .................. 351 1,143,576 Nomura Holdings, Inc. (c) ........................... 50,000 640,928 Omron Corp. ......................................... 11,000 146,879 Ono Pharmaceutical Co., Ltd. ........................ 33,000 992,065 Orix Corp. (c) ...................................... 9,000 806,196 Rohm Co. ............................................ 8,400 1,090,218 Sekisui House Ltd. .................................. 37,000 268,198 Sony Corp. .......................................... 36,900 1,686,487 Sumitomo Bakelite Co., Ltd. (c) ..................... 40,000 244,468 Sumitomo Bank ....................................... 64,000 271,021 Sumitomo Chemical Co. ............................... 135,000 458,378 Taiheiyo Cement Corp. ............................... 600 911 Takeda Chemical Industries Ltd. (c) ................. 34,000 1,538,379 Takefuji Corp. ...................................... 12,900 933,099 Toyota Motor Corp. .................................. 84,300 2,135,480
-------------------------------------------------------------------------------- 72 INTERNATIONAL EQUITY FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE ------------- --------------- West Japan Railway Co. ............................... 55 $ 245,918 Yasuda Fire & Marine Insurance Co., Ltd. (c) ......... 203,000 1,161,682 --------------- 26,264,356 --------------- NETHERLANDS -- 8.22% ABN AMRO Holdings NV ................................. 65,429 1,053,888 Aegon NV ............................................. 29,446 797,049 Akzo Nobel NV ........................................ 23,000 1,027,032 Elsevier NV .......................................... 210,950 2,494,382 ING Groep NV ......................................... 22,300 568,674 Philips Electronics NV ............................... 30,622 910,134 Royal Dutch Petroleum Co. ............................ 14,400 729,559 TNT Post Group NV .................................... 65,702 1,421,577 VNU NV ............................................... 11,900 365,660 Wolters Kluwer NV .................................... 57,480 1,310,214 --------------- 10,678,169 --------------- NORWAY -- 0.36% Telenor ASA (c) ...................................... 109,800 472,532 --------------- PORTUGAL -- 1.62% Brisa-Auto Estradas de Portugal S.A. ................. 143,214 606,985 Electricidade de Portugal S.A. ....................... 560,570 1,217,882 Portugal Telecom S.A. 35,894 279,650 --------------- 2,104,517 --------------- SINGAPORE -- 1.60% DBS Group Holdings Ltd. .............................. 178,000 1,330,301 Neptune Orient Lines Ltd. (b) ........................ 717,000 376,653 Singapore Telecommunications Ltd. .................... 394,800 376,305 --------------- 2,083,259 --------------- SPAIN -- 2.72% Banco Popular Espanol S.A. ........................... 17,774 583,662 Banco Santander Central Hispano S.A. ................. 227,460 1,905,812 Telefonica S.A. (c) .................................. 77,533 1,037,603 --------------- 3,527,077 --------------- SWEDEN -- 3.24% Sandvik AB (c) ....................................... 25,800 552,170 Svenska Cellulosa AB ................................. 42,200 1,154,600 Svenska Handelsbanken AB ............................. 76,160 1,118,110 Swedish Match AB ..................................... 261,330 1,382,672 --------------- 4,207,552 --------------- SWITZERLAND -- 5.54% Givaudan S.A. (Reg.) ................................. 2,418 736,920 Nestle S.A. (Reg.) ................................... 10,452 2,228,518 Novartis AG (Reg.) ................................... 30,522 1,103,005 Roche Holding AG (Gen.) .............................. 31,316 2,235,106 Swiss Re (Reg.) ...................................... 8,824 887,555 --------------- 7,191,104 --------------- UNITED KINGDOM -- 28.78% Abbey National PLC ................................... 81,000 1,155,290 Allied Domecq PLC .................................... 162,488 963,080 BAA PLC .............................................. 42,000 336,501 SHARES VALUE ------------- --------------- Barclays PLC ......................................... 42,000 $ 1,390,627 BP PLC ............................................... 361,884 2,812,488 BT Group PLC ......................................... 313,600 1,154,720 Carlton Communications PLC ........................... 64,000 226,343 Charter PLC .......................................... 211,907 379,342 Compass Group PLC .................................... 72,000 539,659 Dimension Data Holdings PLC .......................... 218,974 264,515 Electrocomponents PLC ................................ 28,100 219,205 EMAP PLC ............................................. 30,000 318,731 Gallaher Group PLC ................................... 255,000 1,744,288 GlaxoSmithKline PLC .................................. 143,840 3,606,991 Hilton Group PLC ..................................... 130,000 399,214 HSBC Holdings PLC .................................... 128,884 1,511,869 Invensys PLC ......................................... 355,000 616,122 Kingfisher PLC ....................................... 106,000 618,629 Lloyds TSB Group PLC ................................. 139,725 1,517,026 mm02 ................................................. 313,771 395,011 National Grid Group PLC .............................. 169,000 1,052,714 P&O Princess Cruises PLC ............................. 21,000 122,253 Prudential PLC ....................................... 109,964 1,273,924 Reckitt Benckiser PLC ................................ 75,497 1,098,777 Rentokil Initial PLC ................................. 217,000 871,664 Rolls-Royce PLC ...................................... 338,000 819,051 Royal Bank of Scotland Group PLC ..................... 88,168 2,145,494 Safeway PLC .......................................... 180,000 838,306 Scottish & Newcastle PLC ............................. 10,000 76,408 Scottish & Southern Energy PLC ....................... 94,875 842,290 Scottish Power PLC ................................... 208,000 1,150,342 Shell Transport & Trading PLC ........................ 493,404 3,389,415 Smurfit (Jefferson) Group PLC ........................ 261,000 560,290 Vodafone Group PLC ................................... 1,135,032 2,969,320 --------------- 37,379,899 --------------- Total Investments (Cost $126,765,624)--106.17% (a) .................. 137,886,075 Total Cash Collateral Received for Securities Loaned (Cost $7,021,742) -- 5.41% (a) .................... 7,021,742 Liabilities, less cash and other assets -- (11.58%) .......................... (15,032,235) --------------- Net Assets -- 100% ................................... $129,875,582 =============== CASH COLLATERAL RECEIVED FOR SECURITIES LOANED -- 5.41% OTHER -- 5.41% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $7,021,742) ................................. 7,021,742 $ 7,021,742 ===============
-------------------------------------------------------------------------------- 73 INTERNATIONAL EQUITY FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $133,787,366; and net unrealized appreciation consisted of: Gross unrealized appreciation ................... $ 24,877,493 Gross unrealized depreciation ................... (13,757,042) ------------ Net unrealized appreciation ......... $ 11,120,451 ============
(b) Non-income producing security. (c) Security, or portion thereof, was on loan at December 31, 2001. % Represents a percentage of net assets. FORWARD FOREIGN CURRENCY CONTRACTS International Equity Fund had the following open forward foreign currency contracts as of December 31, 2001:
SETTLEMENT LOCAL CURRENT UNREALIZED DATE CURRENCY VALUE GAIN/(LOSS) ---------- ----------- ----------- ----------- FORWARD FOREIGN CURRENCY BUY CONTRACTS: Australian Dollar (AUD) ............................................... 01/25/02 41,926,000 $21,428,698 $ (89,303) British Pound (GBP) ................................................... 01/25/02 6,100,000 8,865,692 23,431 Canadian Dollar (CAD) ................................................. 01/25/02 8,700,000 5,449,202 (124,676) Euro (EUR) ............................................................ 01/25/02 31,750,000 28,296,279 290,065 Hong Kong Dollar (HKD) ................................................ 01/25/02 10,000,000 1,282,288 (105) Japanese Yen (JPY) .................................................... 01/25/02 564,398,400 4,311,336 (167,256) Swedish Krona (SEK) ................................................... 01/25/02 16,700,000 3,417,891 28,477 Swiss Franc (CHF) ..................................................... 01/25/02 8,300,000 4,999,450 20,361 FORWARD FOREIGN CURRENCY SALE CONTRACTS: Australian Dollar (AUD) ............................................... 01/25/02 18,700,000 9,557,703 (2,650) British Pound (GBP) ................................................... 01/25/02 17,350,000 25,216,355 (563,871) Canadian Dollar (CAD) ................................................. 01/25/02 3,400,000 2,129,573 10,372 Euro (EUR) ............................................................ 01/25/02 19,350,000 17,245,134 193,879 Hong Kong Dollar (HKD) ................................................ 01/25/02 21,000,000 2,692,805 (84) Japanese Yen (JPY) .................................................... 01/25/02 1,738,000,000 13,276,262 927,450 Singapore Dollar (SGD) ................................................ 01/25/02 1,400,000 758,342 5,504 Swedish Krona (SEK) ................................................... 01/25/02 19,200,000 1,827,953 9,377 Swiss Franc (CHF) ..................................................... 01/25/02 4,100,000 2,469,608 402 ---------- Total net unrealized gain on Forward Foreign Currency Contracts .... $ 561,373 ==========
-------------------------------------------------------------------------------- 74 See accompanying notes to financial statements. U.S. VALUE EQUITY FUND -------------------------------------------------------------------------------- For the six months ended December 31, 2001, U.S. Value Equity Fund Class Y (formerly Class I) shares outperfomed its benchmark, the Russell 1000 Value Index. During the period, the Fund declined 0.3%, compared to the benchmark's 4.4% decline. The six-month period was marked by volatility for U.S. equities as a group. The recession that was punctuated by the events of September 11, drove the markets to new lows, only to spike up in the fourth quarter. Despite the fourth quarter rally, the market's major indices ended the period with losses. The S&P 500 Index, a broad indicator of U.S. equity market performance, ended the period down 5.6% despite a 10.7% rebound in the fourth quarter. In this market environment, value stocks were favored over growth stocks (as measured by the Russell 1000 Growth and Value Indices)--this has been the trend for two consecutive calendar years. Consumer confidence was shaky throughout the period, and reached a valley in September and October. However, December's rally brought an upturn in consumer confidence and a drop in unemployment. The Federal Reserve's (the "Fed") aggressive interest-rate trimming policy brought the Fed funds rate to a historical low which helped buoy consumer spending on housing and sales incentive supported auto sales. Stock selection contributed positively to performance, with holdings in financials and in the health care and drug sectors. Financial services has been a relatively robust sector, and we believe its growth will continue, driven by the globalization of the world economy and the wealth transfers taking place as a result of it. We think that this sector will benefit from the trend toward consolidation in the industry, a trend that will build up pricing power and market share. Key holdings include Citigroup, Morgan Stanley and Wells Fargo. The health care and drug sectors are supported by an aging population, as well as by increased research and development spending. We have targeted companies with strong developmental pipelines, including Johnson & Johnson, Cephalon, Abbot Laboratories and Baxter International. As we enter 2002 the Fund is cautiously positioned, with continued underweight toward the computer hardware and consumer discretionary sectors. We are concerned that the market anticipates a stronger rebound in demand in these areas than is likely to happen. In the wake of the Enron scandal, we expect that the market will reward companies with tangible earnings and robust fundamentals. Economic uncertainty compounded with a heightened sensitivity to the quality of earnings should bring an increased level of investor scrutiny going forward. -------------------------------------------------------------------------------- 75 U.S. VALUE EQUITY FUND TOTAL RETURN
6 MONTHS INCEPTION* ENDED TO 12/31/01 12/31/01 --------------------------------------------------------------------------------------------- U.S. VALUE EQUITY FUND CLASS A+ N/A 0.10% --------------------------------------------------------------------------------------------- U.S. VALUE EQUITY FUND CLASS B+ N/A 3.53 --------------------------------------------------------------------------------------------- U.S. VALUE EQUITY FUND CLASS C+ N/A 2.47 --------------------------------------------------------------------------------------------- U.S. VALUE EQUITY FUND CLASS Y -0.30% -0.30 --------------------------------------------------------------------------------------------- Russell 1000 Value Index -4.39 -4.39 ---------------------------------------------------------------------------------------------
* INCEPTION DATE OF U.S. VALUE EQUITY FUND CLASS A (FORMERLY CLASS N) IS 12/07/01. INCEPTION DATES OF CLASSES B AND C ARE 11/08/01 AND 12/12/01, RESPECTIVELY. INCEPTION DATE OF CLASS Y (FORMERLY CLASS I) IS 6/29/01. INCEPTION RETURN FOR THE INDEX IS AS OF THE NEAREST MONTH-END OF INCEPTION OF THE OLDEST SHARE CLASS: 6/30/01. + RETURNS DO NOT INCLUDE SALES CHARGES. TOTAL RETURN INCLUDES REINVESTMENT OF ALL CAPITAL GAIN AND INCOME DISTRIBUTIONS. TOP TEN EQUITY HOLDINGS AS OF DECEMBER 31, 2001 (UNAUDITED)
PERCENTAGE OF NET ASSETS ------------------------------------------------------------------------ Citigroup, Inc. 5.3% Exxon Mobil Corp. 4.6 American International Group, Inc. 3.6 Wells Fargo & Co. 3.3 Progress Energy, Inc. 2.9 American Home Products Corp. 2.9 Abbott Laboratories, Inc. 2.6 JP Morgan Chase & Co. 2.6 Household International, Inc. 2.5 Kroger Co. 2.4 ------------------------------------------------------------------------ Total 32.7%
-------------------------------------------------------------------------------- 76 U.S. VALUE EQUITY FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SHARES VALUE -------------- ----------- U.S. EQUITIES -- 96.31% AUTOS/DURABLES -- 4.13% Johnson Controls, Inc. ................................ 550 $ 44,412 Lear Corp. (b) ........................................ 950 36,233 W.W. Grainger, Inc. ................................... 1,550 74,400 ----------- 155,045 ----------- BANKS -- 6.17% FleetBoston Financial Corp. ........................... 2,050 74,825 GreenPoint Financial Corp. ............................ 2,350 84,012 PNC Financial Services Group .......................... 1,300 73,060 ----------- 231,897 ----------- BROADCASTING & PUBLISHING -- 1.47% Viacom, Inc. (b) ...................................... 1,250 55,188 ----------- CAPITAL GOODS -- 3.41% Illinois Tool Works, Inc. ............................. 1,300 88,036 Pentair, Inc. ......................................... 1,100 40,161 ----------- 128,197 ----------- CHEMICALS -- 2.25% Dow Chemical Co. ...................................... 2,500 84,450 ----------- COMPUTER SOFTWARE -- 2.28% Computer Sciences Corp. (b) ........................... 1,750 85,715 ----------- ENERGY -- 7.82% Conoco, Inc. .......................................... 2,000 56,600 DTE Energy Co. ........................................ 1,100 46,134 Exxon Mobil Corp. ..................................... 4,400 172,920 FirstEnergy Corp. ..................................... 514 17,980 ----------- 293,634 ----------- FINANCIAL SERVICES -- 21.87% American International Group, Inc. .................... 1,684 133,710 CIGNA Corp. ........................................... 500 46,325 Citigroup, Inc. ....................................... 3,950 199,396 Freddie Mac ........................................... 1,400 91,560 JP Morgan Chase & Co. ................................. 2,650 96,328 Morgan Stanley Dean Witter & Co. ...................... 1,550 86,707 U.S. Bancorp .......................................... 2,100 43,953 Wells Fargo & Co. ..................................... 2,850 123,832 ----------- 821,811 ----------- FOOD & HOUSE PRODUCTS -- 2.25% Sara Lee Corp. ........................................ 3,800 84,474 ----------- HEALTH: DRUGS -- 6.76% Abbott Laboratories, Inc. ............................. 1,750 97,563 American Home Products Corp. .......................... 1,750 107,380 Cephalon, Inc. (b) .................................... 650 49,130 ----------- 254,073 ----------- HEALTH: NON-DRUGS -- 5.72% Baxter International, Inc. ............................ 1,300 69,719 Johnson & Johnson ..................................... 1,200 70,920 United Health Group, Inc. ............................. 1,050 74,308 ----------- 214,947 ----------- LEISURE & TOURISM -- 0.88% Walt Disney Co. ....................................... 1,600 33,152 ----------- SHARES VALUE -------------- ----------- METALS-NON-FERROUS -- 1.83% Masco Corp. ........................................... 2,800 $ 68,600 ----------- RETAIL/APPAREL -- 4.13% Kroger Co. (b) ........................................ 4,400 91,828 Newell Rubbermaid, Inc. ............................... 2,300 63,411 ----------- 155,239 ----------- SERVICES/MISCELLANEOUS -- 5.59% Ensco International, Inc. ............................. 1,650 41,002 First Data Corp. ...................................... 500 39,225 Household International, Inc. ......................... 1,600 92,704 Martin Marietta Materials, Inc. ....................... 800 37,280 ----------- 210,211 ----------- TECHNOLOGY -- 2.48% Motorola, Inc. ........................................ 1,900 28,538 United Technologies Corp. ............................. 1,000 64,630 ----------- 93,168 ----------- TELECOMMUNICATIONS EQUIPMENT -- 0.71% CommScope, Inc. (b) ................................... 1,250 26,588 ----------- TELECOMMUNICATIONS-SERVICES -- 6.66% AT&T Corp. ............................................ 2,150 39,001 AT&T Wireless Group (b) ............................... 321 4,613 Nextel Communications, Inc. (b) ....................... 3,700 40,552 SBC Communications, Inc. .............................. 2,050 80,298 Sprint Corp. .......................................... 1,900 38,152 Verizon Communications, Inc. .......................... 1,000 47,460 ----------- 250,076 ----------- TRANSPORTATION -- 3.28% Burlington Northern Santa Fe Corp. .................... 2,100 59,913 Norfolk Southern Corp. ................................ 3,450 63,239 ----------- 123,152 ----------- UTILITIES -- 6.62% CMS Energy Corp. ...................................... 2,050 49,262 Exelon Corp. .......................................... 800 38,304 FPL Group, Inc. ....................................... 900 50,760 Progress Energy, Inc. ................................. 2,450 110,323 ----------- 248,649 ----------- Total U.S. Equities (Cost $3,628,130) ................. 3,618,266 ----------- SHORT-TERM INVESTMENTS -- 5.70% INVESTMENT COMPANIES -- 5.70% JPMorgan U.S. Government Money Market Fund (Cost $214,179) .................................... 214,179 214,179 ----------- Total Investments (Cost $3,842,309) -- 102.01% (a) ................... 3,832,445 Liabilities, less cash and other assets -- (2.01%) ............................ (75,342) ----------- Net Assets--100% ...................................... $3,757,103 ===========
-------------------------------------------------------------------------------- 77 U.S. VALUE EQUITY FUND -- SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $3,842,309; and net unrealized depreciation consisted of: Gross unrealized appreciation .................................... $ 147,222 Gross unrealized depreciation .................................... (157,086) --------- Net unrealized depreciation .......................... $ (9,864) =========
(b) Non-income producing. % Represents a percentage of net assets. -------------------------------------------------------------------------------- 78 See accompanying notes to financial statements. This page intentionally left blank. 79 THE BRINSON FUNDS -- FINANCIAL STATEMENTS -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2001 (UNAUDITED)
GLOBAL GLOBAL BALANCED GLOBAL EQUITY TECHNOLOGY FUND FUND FUND ---------------------------------------------------------------------------------------------- ASSETS: Investments, at cost: Unaffiliated issuers ............... $ 127,833,255 $ 46,901,231 $ 1,513,970 Affiliated issuers ................. 28,099,588 557,333 -- Foreign currency, at cost ............. 58,777 49,882 -- Investments of cash collateral received for securities loaned, at cost ............................ 22,118,595 -- -- -------------- -------------- -------------- $ 178,110,215 $ 47,508,446 $ 1,513,970 ============== ============== ============== Investments, at value: Unaffiliated issuers+ .............. $ 130,664,770 $ 51,984,107 $ 1,721,747 Affiliated issuers ................. 31,727,409 557,333 -- Foreign currency, at value ............ 59,694 50,177 -- Investments of cash collateral received for securities loaned, at value ........................... 21,982,479 -- -- Cash .................................. 57,170 5,372 -- Receivables: Investment securities sold ......... 960,866 121,809 18,887 Due from Advisor ................... -- -- 21,040 Dividends .......................... 149,558 85,499 434 Interest ........................... 467,624 44 88 Fund shares sold ................... 35,088 4,077,961 -- Variation margin ................... 188,950 -- -- Other assets .......................... -- -- 18,610 Net unrealized appreciation on forward foreign currency contracts .......................... 207,151 147,274 -- -------------- -------------- -------------- TOTAL ASSETS ....................... 186,500,759 57,029,576 1,780,806 -------------- -------------- -------------- LIABILITIES: Payables: Securities loaned .................. 22,118,595 -- -- Investment securities purchased ..................... 450,346 50,216 63,384 Investment advisory fees ........... 112,249 30,508 1,848 Fund shares redeemed ............... 1,404,845 189,254 15,123 Distribution (12b-1) fees .......... 4,012 9,450 324 Variation margin ................... -- -- -- Due to custodian bank .............. -- -- 14,848 Accrued expenses ................... 148,834 38,300 7,991 Net unrealized depreciation on forward foreign currency contracts ................. -- -- -- -------------- -------------- -------------- TOTAL LIABILITIES .................. 24,238,881 317,728 103,518 -------------- -------------- -------------- NET ASSETS ................................ $ 162,261,878 $ 56,711,848 $ 1,677,288 ============== ============== ============== NET ASSETS CONSIST OF: Paid in capital ....................... $ 164,681,255 $ 56,738,076 $ 2,992,856 Accumulated undistributed net investment income (loss) ....... 1,544,384 130,954 (11,515) Accumulated net realized gain (loss) .. (10,253,833) (5,386,887) (1,511,830) Net unrealized appreciation (depreciation) ..................... 6,290,072 5,229,705 207,777 -------------- -------------- -------------- NET ASSETS ......................... $ 162,261,878 $ 56,711,848 $ 1,677,288 ============== ============== ============== GLOBAL BIOTECH GLOBAL BOND U.S. BALANCED FUND FUND FUND --------------------------------------------------------------------------------------------- ASSETS: Investments, at cost: Unaffiliated issuers ............... $ 2,919,993 $ 38,698,984 $ 19,257,137 Affiliated issuers ................. -- 1,071,684 1,913,776 Foreign currency, at cost ............. 38 107,020 -- Investments of cash collateral received for securities loaned, at cost ............................ -- -- -- -------------- -------------- -------------- $ 2,920,031 $ 39,877,688 $ 21,170,913 ============== ============== ============== Investments, at value: Unaffiliated issuers+ .............. $ 2,978,584 $ 37,543,604 $ 20,036,639 Affiliated issuers ................. -- 1,071,684 1,913,776 Foreign currency, at value ............ 38 106,086 -- Investments of cash collateral received for securities loaned, at value ........................... -- -- -- Cash .................................. -- -- -- Receivables: Investment securities sold ......... 34,698 -- 231,247 Due from Advisor ................... 17,739 7,344 7,084 Dividends .......................... 64 104 15,857 Interest ........................... 224 622,230 96,787 Fund shares sold ................... 16,000 694 797 Variation margin ................... -- -- 3,063 Other assets .......................... 16,826 -- -- Net unrealized appreciation on forward foreign currency contracts .......................... -- -- -- -------------- -------------- -------------- TOTAL ASSETS ....................... 3,064,173 39,351,746 22,305,250 -------------- -------------- -------------- LIABILITIES: Payables: Securities loaned .................. -- -- -- Investment securities purchased ..................... 53,593 427,259 429,636 Investment advisory fees ........... 2,959 24,573 12,478 Fund shares redeemed ............... 12,234 9,432 -- Distribution (12b-1) fees .......... 492 1,334 794 Variation margin ................... -- -- 2,525 Due to custodian bank .............. 1,608 -- -- Accrued expenses ................... 3,928 35,022 26,997 Net unrealized depreciation on forward foreign currency contracts ................. -- 284,478 -- -------------- -------------- -------------- TOTAL LIABILITIES .................. 74,814 782,098 472,430 -------------- -------------- -------------- NET ASSETS ................................ $ 2,989,359 $ 38,569,648 $ 21,832,820 ============== ============== ============== NET ASSETS CONSIST OF: Paid in capital ....................... $ 3,596,585 $ 44,391,096 $ 22,623,754 Accumulated undistributed net investment income (loss) ....... (40,630) (1,092,581) (9,429) Accumulated net realized gain (loss) .. (625,187) (3,285,226) (1,559,903) Net unrealized appreciation (depreciation) ..................... 58,591 (1,443,641) 778,398 -------------- -------------- -------------- NET ASSETS ......................... $ 2,989,359 $ 38,569,648 $ 21,832,820 ============== ============== ==============
* The Fund commenced investment operations on June 29, 2001. + The market value for securities loaned for Global Balanced Fund and International Equity Fund as of December 31, 2001 were $21,962,243 and $6,702,213, respectively. -------------------------------------------------------------------------------- 80 See accompanying notes to financial statements. THE BRINSON FUNDS -- FINANCIAL STATEMENTS --------------------------------------------------------------------------------
U.S. LARGE CAP U.S. LARGE CAP U.S. SMALL CAP U.S. EQUITY EQUITY GROWTH GROWTH FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at cost: Unaffiliated issuers ............... $ 92,610,078 $ 3,071,370 $ 6,891,820 $ 34,479,143 Affiliated issuers ................. -- -- -- 1,829,073 Foreign currency, at cost ............. -- -- -- -- Investments of cash collateral received for securities loaned, at cost ............................ -- -- -- -- -------------- -------------- -------------- -------------- $ 92,610,078 $ 3,071,370 $ 6,891,820 $ 36,308,216 ============== ============== ============== ============== Investments, at value: Unaffiliated issuers+ .............. $ 116,093,039 $ 3,143,752 $ 5,755,962 $ 37,713,187 Affiliated issuers ................. -- -- -- 1,829,073 Foreign currency, at value ............ -- -- -- -- Investments of cash collateral received for securities loaned, at value ........................... -- -- -- -- Cash .................................. -- 1,739 4,575 -- Receivables: Investment securities sold ......... 9,204,142 15,956 -- -- Due from Advisor ................... 4,519 13,221 15,218 -- Dividends .......................... 176,876 8,896 3,710 3,735 Interest ........................... 1,781 429 168 2,722 Fund shares sold ................... -- -- -- -- Variation margin ................... -- -- -- -- Other assets .......................... -- -- -- -- Net unrealized appreciation on forward foreign currency contracts .......................... -- -- -- -- -------------- -------------- -------------- -------------- TOTAL ASSETS ....................... 125,480,357 3,183,993 5,779,633 39,548,717 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Securities loaned .................. -- -- -- -- Investment securities purchased ..................... 124,122 22,567 121,733 9,411 Investment advisory fees ........... 80,196 -- -- 25,961 Fund shares redeemed ............... 160,445 -- -- 82,347 Distribution (12b-1) fees .......... 6,193 1,594 1,909 935 Variation margin ................... 30,300 -- -- -- Due to custodian bank .............. 4,413,449 -- -- -- Accrued expenses ................... 65,099 6,655 10,513 1,582 Net unrealized depreciation on forward foreign currency contracts ................. -- -- -- -- -------------- -------------- -------------- -------------- TOTAL LIABILITIES .................. 4,879,804 30,816 134,155 120,236 -------------- -------------- -------------- -------------- NET ASSETS ................................ $ 120,600,553 $ 3,153,177 $ 5,645,478 $ 39,428,481 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid in capital ....................... $ 102,388,427 $ 9,311,525 $ 8,565,951 $ 34,654,090 Accumulated undistributed net investment income (loss) ....... 563,685 29,173 (10,263) (152,902) Accumulated net realized gain (loss) .. (5,785,986) (6,259,903) (1,774,352) 1,693,249 Net unrealized appreciation (depreciation) ..................... 23,434,427 72,382 (1,135,858) 3,234,044 -------------- -------------- -------------- -------------- NET ASSETS ......................... $ 120,600,553 $ 3,153,177 $ 5,645,478 $ 39,428,481 ============== ============== ============== ============== U.S. U.S. BOND HIGH YIELD INTERNATIONAL VALUE EQUITY FUND FUND EQUITY FUND FUND* --------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at cost: Unaffiliated issuers ............... $ 75,736,293 $ 225,968,682 $ 126,765,624 $ 3,842,309 Affiliated issuers ................. 1,509,194 -- -- -- Foreign currency, at cost ............. -- -- 1,067,978 -- Investments of cash collateral received for securities loaned, at cost ............................ -- -- 7,021,742 -- -------------- -------------- -------------- -------------- $ 77,245,487 $ 225,968,682 $ 134,855,344 $ 3,842,309 ============== ============== ============== ============== Investments, at value: Unaffiliated issuers+ .............. $ 76,168,374 $ 139,461,600 $ 137,886,075 $ 3,832,445 Affiliated issuers ................. 1,509,194 -- -- -- Foreign currency, at value ............ -- -- 1,073,872 -- Investments of cash collateral received for securities loaned, at value ........................... -- -- 7,021,742 -- Cash .................................. -- -- -- -- Receivables: Investment securities sold ......... 1,314,526 1,086,400 365,784 -- Due from Advisor ................... 7,092 -- 15,173 22,165 Dividends .......................... -- -- 329,868 4,695 Interest ........................... 895,492 4,348,745 5,201 136 Fund shares sold ................... 1,750 44,080 34,087 -- Variation margin ................... -- -- -- -- Other assets .......................... 19,824 -- 2,089 20,099 Net unrealized appreciation on forward foreign currency contracts .......................... -- -- 561,373 -- -------------- -------------- -------------- -------------- TOTAL ASSETS ....................... 79,916,252 144,940,825 147,295,264 3,879,540 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Securities loaned .................. -- -- 7,021,742 -- Investment securities purchased ..................... 1,327,055 1,671,918 37,979 82,902 Investment advisory fees ........... 32,696 110,374 97,081 1,917 Fund shares redeemed ............... 73,765 605,333 785,531 -- Distribution (12b-1) fees .......... 1,797 92,272 1,359 120 Variation margin ................... -- -- -- -- Due to custodian bank .............. 84 1,470,312 9,354,208 26,345 Accrued expenses ................... 7,319 234,359 121,782 11,153 Net unrealized depreciation on forward foreign currency contracts ................. -- -- -- -- -------------- -------------- -------------- -------------- TOTAL LIABILITIES .................. 1,442,716 4,184,568 17,419,682 122,437 -------------- -------------- -------------- -------------- NET ASSETS ................................ $ 78,473,536 $ 140,756,257 $ 129,875,582 $ 3,757,103 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid in capital ....................... $ 80,284,706 $ 249,848,065 $ 123,018,662 $ 3,759,320 Accumulated undistributed net investment income (loss) ....... 48,055 122,256 (802,167) 17,421 Accumulated net realized gain (loss) .. (2,291,303) (22,706,982) (4,017,086) (9,774) Net unrealized appreciation (depreciation) ..................... 432,078 (86,507,082) 11,676,173 (9,864) -------------- -------------- -------------- -------------- NET ASSETS ......................... $ 78,473,536 $ 140,756,257 $ 129,875,582 3,757,103 ============== ============== ============== ==============
-------------------------------------------------------------------------------- 81 THE BRINSON FUNDS -- FINANCIAL STATEMENTS -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) DECEMBER 31, 2001 (UNAUDITED)
GLOBAL GLOBAL BALANCED GLOBAL EQUITY TECHNOLOGY FUND FUND FUND ---------------------------------------------------------------------------------------------- CLASS A: Net assets ............................ $ 5,456,715 $ 16,674,887 $ 821,452 Shares outstanding .................... 526,302 1,687,238 166,958 Net asset value per share (NAV per share / shares outstanding) ....................... $ 10.37 $ 9.88 $ 4.92 Offering price per share (NAV per share / maximum sales charge) (a) .................. $ 10.97 $ 10.46 $ 5.21 Redemption proceeds per share .......................... $ 10.37 $ 9.88 $ 4.92 ---------------------------------------------------------------------------------------------- CLASS B: Net assets ............................ $ 102,970 $ 109,126 $ -- Shares outstanding .................... 9,935 11,036 -- Net asset value per share (NAV per share / shares outstanding) ....................... $ 10.36 $ 9.89 $ -- Offering price per share .............. $ 10.36 $ 9.89 $ -- Redemption proceeds per share (NAV per share * maximum redemption charge) (a) ..... $ 9.84 $ 9.40 $ -- ---------------------------------------------------------------------------------------------- CLASS C: Net assets ............................ $ 65,939 $ 194,739 $ -- Shares outstanding .................... 6,361 19,717 -- Net asset value per share (NAV per share / shares outstanding) ....................... $ 10.37 $ 9.88 $ -- Offering price per share (NAV per share / maximum sales charge) (a) .................. $ 10.47 $ 9.98 $ -- Redemption proceeds per share (NAV per share * maximum redemption charge) (a) ..... $ 10.27 $ 9.78 $ -- ---------------------------------------------------------------------------------------------- CLASS Y: Net assets ............................ $ 156,636,254 $ 39,733,096 $ 855,836 Shares outstanding .................... 14,966,134 3,981,832 175,466 Net asset value per share (NAV per share / shares outstanding) ....................... $ 10.47 $ 9.98 $ 4.88 Offering price per share .............. $ 10.47 $ 9.98 $ 4.88 Redemption proceeds per share .......................... $ 10.47 $ 9.98 $ 4.88 ---------------------------------------------------------------------------------------------- GLOBAL BIOTECH GLOBAL BOND U.S. BALANCED FUND FUND FUND ---------------------------------------------------------------------------------------------- CLASS A: Net assets ............................ $ 783,463 $ 857,602 $ 1,411,082 Shares outstanding .................... 92,601 104,392 150,732 Net asset value per share (NAV per share / shares outstanding) ....................... $ 8.46 $ 8.22 $ 9.36 Offering price per share (NAV per share / maximum sales charge) (a) .................. $ 8.95 $ 8.61 $ 9.90 Redemption proceeds per share .......................... $ 8.46 $ 8.22 $ 9.36 ---------------------------------------------------------------------------------------------- CLASS B: Net assets ............................ $ 21,589 $ 122,879 $ 198,988 Shares outstanding .................... 2,552 14,965 21,282 Net asset value per share (NAV per share / shares outstanding) ....................... $ 8.46 $ 8.21 $ 9.35 Offering price per share .............. $ 8.46 $ 8.21 $ 9.35 Redemption proceeds per share (NAV per share * maximum redemption charge) (a) ..... $ 8.04 $ 7.80 $ 8.88 ---------------------------------------------------------------------------------------------- CLASS C: Net assets ............................ $ 989 $ -- $ 259,359 Shares outstanding .................... 117 -- 27,712 Net asset value per share (NAV per share / shares outstanding) ....................... $ 8.45 $ -- $ 9.36 Offering price per share (NAV per share / maximum sales charge) (a) .................. $ 8.54 $ -- $ 9.45 Redemption proceeds per share (NAV per share * maximum redemption charge) (a) ..... $ 8.37 $ -- $ 9.27 ---------------------------------------------------------------------------------------------- CLASS Y: Net assets ............................ $ 2,183,318 $ 37,589,167 $ 19,963,391 Shares outstanding .................... 256,547 4,213,602 2,123,091 Net asset value per share (NAV per share / shares outstanding) ....................... $ 8.51 $ 8.92 $ 9.40 Offering price per share .............. $ 8.51 $ 8.92 $ 9.40 Redemption proceeds per share .......................... $ 8.51 $ 8.92 $ 9.40 ----------------------------------------------------------------------------------------------
(a) For Class A the maximum sales charge is 5.50%, except the Global Bond Fund, U.S. Bond Fund, and the High Yield Fund which is 4.50%, Class C maximum sales charge is 1.00%. Classes B and Y have no sales charges. For Class B the maximum redemption charge is 5.00%, Class C maximum redemption charge is 1.00%, except Global Bond Fund, U.S. Bond Fund, and the High Yield Fund which is 0.75%. Classes A and Y have no redemption charges. + The Fund commenced investment operations on June 29, 2001. -------------------------------------------------------------------------------- 82 See accompanying notes to financial statements. THE BRINSON FUNDS -- FINANCIAL STATEMENTS --------------------------------------------------------------------------------
U.S. LARGE CAP U.S. LARGE CAP U.S. SMALL CAP U.S. EQUITY EQUITY GROWTH GROWTH FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------- CLASS A: Net assets ............................ $ 12,646,692 $ 280,293 $ 2,267,294 $ 1,620,641 Shares outstanding .................... 838,314 34,817 282,907 152,548 Net asset value per share (NAV per share / shares outstanding) ....................... $ 15.09 $ 8.05 $ 8.01 $ 10.62 Offering price per share (NAV per share / maximum sales charge) ...................... $ 15.97 $ 8.52 $ 8.48 $ 11.24 Redemption proceeds per share .......................... $ 15.09 $ 8.05 $ 8.01 $ 10.62 --------------------------------------------------------------------------------------------------------------- CLASS B: Net assets ............................ $ 110,662 $ 143,218 $ 94,553 $ 150,733 Shares outstanding .................... 7,345 17,799 11,805 14,194 Net asset value per share (NAV per share / shares outstanding) ....................... $ 15.07 $ 8.05 $ 8.01 $ 10.62 Offering price per share .............. $ 15.07 $ 8.05 $ 8.01 $ 10.62 Redemption proceeds per share (NAV per share * maximum redemption charge) ......... $ 14.32 $ 7.65 $ 7.61 $ 10.09 --------------------------------------------------------------------------------------------------------------- CLASS C: Net assets ............................ $ 41,011 $ -- $ 651,557 $ 62,572 Shares outstanding .................... 2,720 -- 81,375 5,897 Net asset value per share (NAV per share / shares outstanding) ....................... $ 15.08 $ -- $ 8.01 $ 10.61 Offering price per share (NAV per share / maximum sales charge) ...................... $ 15.23 $ -- $ 8.09 $ 10.72 Redemption proceeds per share (NAV per share * maximum redemption charge) ......... $ 14.93 $ -- $ 7.93 $ 10.50 --------------------------------------------------------------------------------------------------------------- CLASS Y: Net assets ............................ $ 107,802,188 $ 2,729,666 $ 2,632,074 $ 37,594,535 Shares outstanding .................... 7,087,999 341,273 324,532 3,498,257 Net asset value per share (NAV per share / shares outstanding) ....................... $ 15.21 $ 8.00 $ 8.11 $ 10.75 Offering price per share .............. $ 15.21 $ 8.00 $ 8.11 $ 10.75 Redemption proceeds per share .......................... $ 15.21 $ 8.00 $ 8.11 $ 10.75 --------------------------------------------------------------------------------------------------------------- U.S. U.S. BOND HIGH YIELD INTERNATIONAL VALUE EQUITY FUND FUND EQUITY FUND FUND+ --------------------------------------------------------------------------------------------------------------- CLASS A: Net assets ............................ $ 4,358,412 $ 77,605,137 $ 2,216,996 $ 561,517 Shares outstanding .................... 417,941 10,964,943 275,780 56,300 Net asset value per share (NAV per share / shares outstanding) ....................... $ 10.43 $ 7.08 $ 8.04 $ 9.97 Offering price per share (NAV per share / maximum sales charge) ...................... $ 10.92 $ 7.41 $ 8.51 $ 10.55 Redemption proceeds per share .......................... $ 10.43 $ 7.08 $ 8.04 $ 9.97 --------------------------------------------------------------------------------------------------------------- CLASS B: Net assets ............................ $ 87,254 $ 18,196,057 $ -- $ 177,431 Shares outstanding .................... 8,375 2,571,696 -- 17,819 Net asset value per share (NAV per share / shares outstanding) ....................... $ 10.42 $ 7.08 $ -- $ 9.96 Offering price per share .............. $ 10.42 $ 7.08 $ -- $ 9.96 Redemption proceeds per share (NAV per share * maximum redemption charge) ......... $ 9.90 $ 6.73 $ -- $ 9.46 --------------------------------------------------------------------------------------------------------------- CLASS C: Net assets ............................ $ 933,164 $ 20,223,328 $ 97,672 $ 25,725 Shares outstanding .................... 89,595 2,857,986 12,010 2,580 Net asset value per share (NAV per share / shares outstanding) ....................... $ 10.42 $ 7.08 $ 8.13 $ 9.97 Offering price per share (NAV per share / maximum sales charge) ...................... $ 10.53 $ 7.15 $ 8.21 $ 10.07 Redemption proceeds per share (NAV per share * maximum redemption charge) ......... $ 10.34 $ 7.03 $ 8.05 $ 9.87 --------------------------------------------------------------------------------------------------------------- CLASS Y: Net assets ............................ $ 73,094,706 $ 24,731,735 $ 127,560,914 $ 2,992,430 Shares outstanding .................... 7,000,122 3,480,168 15,810,310 300,001 Net asset value per share (NAV per share / shares outstanding) ....................... $ 10.44 $ 7.11 $ 8.07 $ 9.97 Offering price per share .............. $ 10.44 $ 7.11 $ 8.07 $ 9.97 Redemption proceeds per share .......................... $ 10.44 $ 7.11 $ 8.07 $ 9.97 ---------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 83 THE BRINSON FUNDS -- FINANCIAL STATEMENTS -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED DECEMBER 31, 2001 (UNAUDITED)
GLOBAL GLOBAL BALANCED GLOBAL EQUITY TECHNOLOGY FUND FUND FUND ---------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends .......................... $ 721,620 $ 462,091 $ 1,308 Interest ........................... 1,121,034 37,380 1,389 Securities lending-net ............. 28,809 -- -- Foreign tax withheld ............... (11,360) (11,207) -- -------------- -------------- -------------- TOTAL INCOME .................. 1,860,103 488,264 2,697 -------------- -------------- -------------- EXPENSES: Advisory ........................... 648,713 241,898 11,014 Administration ..................... 53,939 -- -- Professional ....................... 61,044 29,830 9,210 Shareholder reports ................ 57,190 27,765 926 Distribution and service - Class A.. 2,109 5,236 220 Distribution and service - Class B.. 40 21 -- Distribution and service - Class C.. 21 139 -- Distribution and service Class UBS ..................... 15,036 50,047 1,958 Custodian .......................... 14,247 9,827 20 State registration ................. 19,990 18,432 15,700 Other .............................. 33,488 16,988 5,370 -------------- -------------- -------------- TOTAL OPERATING EXPENSES ................... 905,817 400,183 44,418 -------------- -------------- -------------- Expenses waived by Advisor .................... -- (42,723) (28,321) Earnings credits .............. -- -- -- -------------- -------------- -------------- NET OPERATING EXPENSES ................... 905,817 357,460 16,097 Interest Expense .............. -- -- -- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) .............. 954,286 130,804 (13,400) -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments ........................ (3,040,103) (4,652,593) (503,360) Futures contracts .................. 1,569,835 -- -- Foreign currency transactions ...... (2,436,848) 235,684 -- -------------- -------------- -------------- Net realized gain (loss) ...... (3,907,116) (4,416,909) (503,360) -------------- -------------- -------------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency ...................... 4,969,448 2,883,128 492,565 Futures contracts .................. (39,519) -- -- Forward contracts .................. 3,141,543 160,098 -- Translation of other assets and liabilities denominated in foreign currency ........... (496,777) 5,502 -- -------------- -------------- -------------- Change in net unrealized appreciation (depreciation) ............. 7,574,695 3,048,728 492,565 -------------- -------------- -------------- Net realized and unrealized gain (loss) ........................ 3,667,579 (1,368,181) (10,795) -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations .................... $ 4,621,865 $ (1,237,377) $ (24,195) ============== ============== ============== GLOBAL BIOTECH GLOBAL BOND U.S. BALANCED FUND FUND FUND ---------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends .......................... $ 1,301 $ 1,911 $ 118,832 Interest ........................... 942 884,736 322,520 Securities lending-net ............. -- -- -- Foreign tax withheld ............... -- (1,248) -- -------------- -------------- -------------- TOTAL INCOME .................. 2,243 885,399 441,352 -------------- -------------- -------------- EXPENSES: Advisory ........................... 15,161 151,034 83,283 Administration ..................... -- -- -- Professional ....................... 9,394 21,560 19,170 Shareholder reports ................ 742 12,929 3,824 Distribution and service - Class A.. 269 316 408 Distribution and service - Class B.. 27 110 141 Distribution and service - Class C.. 1 -- 55 Distribution and service Class UBS ..................... 2,348 1,713 2,109 Custodian .......................... 33 6,859 297 State registration ................. 15,710 17,734 18,620 Other .............................. 5,934 12,535 7,334 -------------- -------------- -------------- TOTAL OPERATING EXPENSES ................... 49,619 224,790 135,241 -------------- -------------- -------------- Expenses waived by Advisor .................... (29,940) (40,967) (37,442) Earnings credits .............. -- (314) -- -------------- -------------- -------------- NET OPERATING EXPENSES ................... 19,679 183,509 97,799 Interest Expense .............. -- -- 1,755 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) .............. (17,436) 701,890 341,798 -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments ........................ (276,707) 245,237 (205,021) Futures contracts .................. -- -- (4,389) Foreign currency transactions ...... (1,197) (693,306) -- -------------- -------------- -------------- Net realized gain (loss) ...... (277,904) (448,069) (209,410) -------------- -------------- -------------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency ...................... 88,844 1,478,501 102,939 Futures contracts .................. -- -- (14,583) Forward contracts .................. -- 89,452 -- Translation of other assets and liabilities denominated in foreign currency ........... 3 16,391 -- -------------- -------------- -------------- Change in net unrealized appreciation (depreciation) ............. 88,847 1,584,344 88,356 -------------- -------------- -------------- Net realized and unrealized gain (loss) ........................ (189,057) 1,136,275 (121,054) -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations .................... $ (206,493) $ 1,838,165 $ 220,744 ============== ============== ==============
* The Fund commenced operations on June 29, 2001. -------------------------------------------------------------------------------- 84 See accompanying notes to financial statements. THE BRINSON FUNDS-- FINANCIAL STATEMENTS --------------------------------------------------------------------------------
U.S. LARGE CAP U.S. LARGE CAP U.S. SMALL CAP U.S. EQUITY EQUITY GROWTH GROWTH FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends ......................... $ 1,034,892 $ 62,593 $ 18,999 $ 38,897 Interest .......................... 87,748 9,784 2,629 31,392 Securities lending-net ............ -- -- -- -- Foreign tax withheld .............. -- -- -- -- -------------- -------------- -------------- -------------- TOTAL INCOME ................. 1,122,640 72,377 21,628 70,289 -------------- -------------- -------------- -------------- EXPENSES: Advisory .......................... 471,191 28,617 19,705 189,256 Administration .................... -- -- -- -- Professional ...................... 45,968 17,568 9,128 16,200 Shareholder reports ............... 28,755 8,110 6,613 22,549 Distribution and service Class A .. 10,550 118 872 534 Distribution and service Class B .. 118 90 45 142 Distribution and service Class C .. 31 -- 709 25 Distribution and service Class UBS .................... 9,683 6,570 7,722 5,103 Custodian ......................... 1,683 102 70 473 State registration ................ 18,262 18,256 17,356 18,416 Other ............................. 29,217 5,945 5,861 12,342 -------------- -------------- -------------- -------------- TOTAL OPERATING EXPENSES .................. 615,458 85,376 68,081 265,040 -------------- -------------- -------------- -------------- Expenses waived by Advisor ................... (56,384) (41,838) (36,190) (41,849) Earnings credits ............. -- -- -- -- -------------- -------------- -------------- -------------- NET OPERATING EXPENSES .................. 559,074 43,538 31,891 223,191 Interest Expense ............. -- -- -- -- -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) ............. 563,566 28,839 (10,263) (152,902) -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments ....................... 1,241,403 (153,732) (1,201,088) 1,567,602 Futures contracts ................. 98,331 (26,250) -- -- Foreign currency transactions ..... -- -- -- -- -------------- -------------- -------------- -------------- Net realized gain (loss) ..... 1,339,734 (179,982) (1,201,088) 1,567,602 -------------- -------------- -------------- -------------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency ..................... (2,377,677) (87,515) 569,959 (3,758,439) Futures contracts ................. (77,850) -- -- -- Forward contracts ................. -- -- -- -- Translation of other assets and liabilities denominated in foreign currency .......... -- -- -- -- -------------- -------------- -------------- -------------- Change in net unrealized appreciation (depreciation) ............ (2,455,527) (87,515) 569,959 (3,758,439) -------------- -------------- -------------- -------------- Net realized and unrealized gain (loss) ....................... (1,115,793) (267,497) (631,129) (2,190,837) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations ................... $ (552,227) $ (238,658) $ (641,392) $ (2,343,739) ============== ============== ============== ============== U.S. U.S. BOND HIGH YIELD INTERNATIONAL VALUE EQUITY FUND FUND EQUITY FUND FUND* --------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends ......................... $ -- $ --- $ 1,090,589 $ 29,479 Interest .......................... 2,563,004 3,723,116 184,302 369 Securities lending-net ............ -- -- 15,628 -- Foreign tax withheld .............. -- -- (86,779) -- -------------- -------------- -------------- -------------- TOTAL INCOME ................. 2,563,004 3,723,116 1,203,740 29,848 -------------- -------------- -------------- -------------- EXPENSES: Advisory .......................... 217,185 192,840 668,113 10,352 Administration .................... -- -- -- -- Professional ...................... 24,954 23,962 57,316 9,735 Shareholder reports ............... 12,844 20,537 73,593 825 Distribution and service Class A .. 914 16,752 607 39 Distribution and service Class B .. 136 15,945 -- 77 Distribution and service Class C .. 419 13,374 27 4 Distribution and service Class UBS .................... 3,887 5,504 10,293 -- Custodian ......................... 819 804 72,385 37 State registration ................ 17,774 18,180 29,922 16,880 Other ............................. 15,518 13,677 36,436 5,047 -------------- -------------- -------------- -------------- TOTAL OPERATING EXPENSES .................. 294,450 321,575 948,692 42,996 -------------- -------------- -------------- -------------- Expenses waived by Advisor ................... (28,516) (53,204) (80,866) (30,569) Earnings credits ............. -- -- (22,278) -- -------------- -------------- -------------- -------------- NET OPERATING EXPENSES .................. 265,934 268,371 845,548 12,427 Interest Expense ............. 28,286 3,884 -- -- -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) ............. 2,268,784 3,450,861 358,192 17,421 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments ....................... 1,536,169 (13,257,208) (2,889,064) (9,774) Futures contracts ................. -- -- -- -- Foreign currency transactions ..... -- -- (838,530) -- -------------- -------------- -------------- -------------- Net realized gain (loss) ..... 1,536,169 (13,257,208) (3,727,594) (9,774) -------------- -------------- -------------- -------------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency ..................... 488,986 8,914,052 (6,815,522) (9,864) Futures contracts ................. -- -- -- -- Forward contracts ................. -- -- 2,408,524 -- Translation of other assets and liabilities denominated in foreign currency .......... -- -- 26,443 -- -------------- -------------- -------------- -------------- Change in net unrealized appreciation (depreciation) ............ 488,986 8,914,052 (4,380,555) (9,864) -------------- -------------- -------------- -------------- Net realized and unrealized gain (loss) ....................... 2,025,155 (4,343,156) (8,108,149) (19,638) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations ................... $ 4,293,939 $ (892,295) $ (7,749,957) $ (2,217) ============== ============== ============== ==============
-------------------------------------------------------------------------------- 85 THE BRINSON FUNDS -- FINANCIAL STATEMENTS -------------------------------------------------------------------------------- STATEMENT OF CASH FLOWS FOR THE SIX MONTHS ENDED DECEMBER 31, 2001 (UNAUDITED)
GLOBAL BALANCED FUND ------------- CASH FLOWS FROM OPERATING ACTIVITIES: Net increase in net assets resulting from operations ....................................... $ 4,621,865 Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: Net realized and unrealized gain on investments .......................................... (3,667,579) Decrease in receivable for investment securities sold .................................... 2,369,798 Decrease in dividends and interest receivable ............................................ 302,799 Decrease in other assets ................................................................. 360,046 Decrease in payable for securities purchased ............................................. (1,355,114) Increase in payable for investment advisory fee .......................................... 3,954 Decrease in accrued expenses ............................................................. (228,681) Increase in variation margin ............................................................. (251,307) Net amortization of premium .............................................................. 32,979 Purchases of investments ................................................................. (90,884,101) Proceeds from sales of investments ....................................................... 107,574,057 Net realized gain on futures contracts ................................................... 1,569,835 Net realized loss on foreign currency transactions ....................................... (2,436,848) Change in net unrealized appreciation or depreciation on futures contracts ............... (39,519) Change in net unrealized appreciation or depreciation on other assets and liabilities .... (496,777) Net decrease in foreign currency ......................................................... 419,670 ------------- Net cash provided by operating activities .............................................. 17,895,077 ------------- CASH FLOWS FROM FINANCING ACTIVITIES: Net capital shares transactions ............................................................ (140,047) Net decrease from securities lending ....................................................... (12,433,892) Dividends and capital gain distributions paid .............................................. (5,264,135) ------------- Net cash used for financing activities ................................................... (17,838,074) ------------- Net increase in cash .......................................................................... 57,003 CASH AT BEGINNING OF PERIOD ................................................................... 167 ------------- CASH AT END OF PERIOD ......................................................................... $ 57,170 =============
-------------------------------------------------------------------------------- 86 See accompanying notes to financial statements. This page intentionally left blank. 87 THE BRINSON FUNDS -- FINANCIAL STATEMENTS -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
GLOBAL BALANCED FUND GLOBAL EQUITY FUND --------------------------------- -------------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, 2001 (UNAUDITED) 2001 2001 (UNAUDITED) 2001 ---------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income (loss) . . ....................... $ 954,286 $ 3,566,708 $ 130,804 $ 481,767 Net realized gain (loss). .............................. (3,907,116) 8,733,570 (4,416,909) 3,073,081 Change in net unrealized appreciation (depreciation). .. 7,574,695 (4,502,261) 3,048,728 (6,530,459) --------------- --------------- -------------- -------------- Net increase (decrease) in net assets from operations .. 4,621,865 7,798,017 (1,237,377) (2,975,611) --------------- --------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Class A: (formerly Class N) Distributions from net investment income. ........... (92,144) -- (77,577) (11,410) Distributions from net realized gains. .............. (388,421) (11,340) (419,643) (2,498,356) --------------- --------------- -------------- -------------- Total Class A distributions . .......................... (480,565) (11,340) (497,220) (2,509,766) --------------- --------------- -------------- -------------- Class B: Distributions from net investment income. ........... (2,885) -- (123) -- Distributions from net realized gains. .............. (6,162) -- (668) -- --------------- --------------- -------------- -------------- Total Class B distributions . .......................... (9,047) -- (791) -- --------------- --------------- -------------- -------------- Class C: Distributions from net investment income. ........... (438) -- (1,134) -- Distributions from net realized gains. .............. (1,867) -- (6,132) -- --------------- --------------- -------------- -------------- Total Class C distributions . .......................... (2,305) -- (7,266) -- --------------- --------------- -------------- -------------- Class Y: (formerly Class I) Distributions from net investment income. ........... (2,763,739) -- (244,638) (79,603) Distributions from net realized gains. .............. (11,553,727) (9,702,495) (1,324,139) (4,104,552) --------------- --------------- -------------- -------------- Total Class Y distributions . .......................... (14,317,466) (9,702,495) (1,568,777) (4,184,155) --------------- --------------- -------------- -------------- UBS Investment Funds Class Distributions from net investment income. ........... -- -- -- (444) Distributions from net realized gains. .............. -- (459,422) -- (34,788) --------------- --------------- -------------- -------------- Total UBS Investment Funds Class distributions ......... -- (459,422) -- (35,232) --------------- --------------- -------------- -------------- Decrease in net assets from distributions .............. (14,809,383) (10,173,257) (2,074,054) (6,729,153) --------------- --------------- -------------- -------------- CAPITAL SHARE TRANSACTIONS BY CLASS: Class A: (formerly Class N) Shares sold ......................................... 5,636,830 40,708 22,087,468 100,000 Shares issued on reinvestment of distributions. ..... 442,708 3,867 396,391 24,164 Shares redeemed ..................................... (543,871) (7,231) (6,144,566) -- --------------- --------------- -------------- -------------- Total Class A transactions ............................. 5,535,667 37,344 16,339,293 124,164 --------------- --------------- -------------- -------------- Class B: Shares sold ......................................... 191,139 -- 108,692 -- Shares issued on reinvestment of distributions. ..... 9,047 -- 791 -- Shares redeemed ..................................... (89,435) -- -- -- --------------- --------------- -------------- -------------- Total Class B transactions ............................. 110,751 -- 109,483 -- --------------- --------------- -------------- -------------- Class C: Shares sold ......................................... 65,624 -- 194,257 -- Shares issued on reinvestment of distributions. ..... 2,241 -- 7,265 -- Shares redeemed ..................................... -- -- -- -- --------------- --------------- -------------- -------------- Total Class C transactions ............................. 67,865 -- 201,522 -- --------------- --------------- -------------- -------------- Class Y: (formerly Class I) Shares sold ......................................... 66,008,960 148,059,955 105,680,199 95,186,592 Shares issued on reinvestment of distributions. ..... 9,091,252 7,392,619 1,024,427 2,877,959 Shares redeemed ..................................... (64,792,691) (281,289,752) (114,204,214) (83,354,000) --------------- --------------- -------------- -------------- Total Class Y transactions ............................. 10,307,521 (125,837,178) (7,499,588) 14,710,551 --------------- --------------- -------------- -------------- UBS Investment Funds Class Shares sold ......................................... 143,261 432,323 142,132 429,378 Shares issued on reinvestment of distributions. ..... -- 422,475 -- 2,289,192 Shares redeemed ..................................... (7,052,896) (2,556,696) (18,825,671) (7,155,696) --------------- --------------- -------------- -------------- Total UBS Investment Funds Class transactions .......... (6,909,635) (1,701,898) (18,683,539) (4,437,126) --------------- --------------- -------------- -------------- Net increase (decrease) in net assets resulting from capital share transactions. . ....................... 9,112,169 (127,501,732) (9,532,829) 10,397,589 --------------- --------------- -------------- -------------- INCREASE (DECREASE) IN NET ASSETS ...................... (1,075,349) (129,876,972) (12,844,260) 692,825 NET ASSETS, BEGINNING OF PERIOD ........................ 163,337,227 293,214,199 69,556,108 68,863,283 --------------- --------------- -------------- -------------- NET ASSETS, END OF PERIOD .............................. $ 162,261,878 $ 163,337,227 $ 56,711,848 $ 69,556,108 =============== =============== ============== ============== Net assets include accumulated undistributed net investment income (loss) . ...................... $ 1,544,384 $ 3,449,304 $ 130,954 $ 323,622 =============== =============== ============== ==============
* On October 29,2001, Class N and I were redesignated Class A and Y, respectively. -------------------------------------------------------------------------------- 88 See accompanying notes to financial statements. THE BRINSON FUNDS -- FINANCIAL STATEMENTS --------------------------------------------------------------------------------
GLOBAL GLOBAL TECHNOLOGY FUND BIOTECH FUND -------------------------------- -------------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, 2001 (UNAUDITED) 2001 2001 (UNAUDITED) 2001 --------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income (loss) . . ....................... $ (13,400) $ (30,494) $ (17,436) $ (23,194) Net realized gain (loss). .............................. (503,360) (1,007,036) (277,904) (325,522) Change in net unrealized appreciation (depreciation). .. 492,565 (331,524) 88,847 (130,463) -------------- ------------- ------------ ------------ Net increase (decrease) in net assets from operations .. (24,195) (1,369,054) (206,493) (479,179) -------------- ------------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Class A: (formerly Class N) Distributions from net investment income. ........... -- -- -- -- Distributions from net realized gains. .............. -- (1) -- (21) -------------- ------------- ------------ ------------ Total Class A distributions . .......................... -- (1) -- (21) -------------- ------------- ------------ ------------ Class B: Distributions from net investment income. ........... -- -- -- -- Distributions from net realized gains. .............. -- -- -- -- -------------- ------------- ------------ ------------ Total Class B distributions . .......................... -- -- -- -- -------------- ------------- ------------ ------------ Class C: Distributions from net investment income. ........... -- -- -- -- Distributions from net realized gains. .............. -- -- -- -- -------------- ------------- ------------ ------------ Total Class C distributions . .......................... -- -- -- -- -------------- ------------- ------------ ------------ Class Y: (formerly Class I) Distributions from net investment income. ........... -- -- -- -- Distributions from net realized gains. .............. -- (785) -- (22,723) -------------- ------------- ------------ ------------ Total Class Y distributions . .......................... -- (785) -- (22,723) -------------- ------------- ------------ ------------ UBS Investment Funds Class Distributions from net investment income. ........... -- -- -- -- Distributions from net realized gains. .............. -- (2,011) -- (6,758) -------------- ------------- ------------ ------------ Total UBS Investment Funds Class distributions ......... -- (2,011) -- (6,758) -------------- ------------- ------------ ------------ Decrease in net assets from distributions .............. -- (2,797) -- (29,502) -------------- ------------- ------------ ------------ CAPITAL SHARE TRANSACTIONS BY CLASS: Class A: (formerly Class N) Shares sold ......................................... 790,454 -- 767,774 -- Shares issued on reinvestment of distributions. ..... -- 1 -- 21 Shares redeemed ..................................... -- -- (19,881) -- -------------- ------------- ------------ ------------ Total Class A transactions ............................. 790,454 1 747,893 21 -------------- ------------- ------------ ------------ Class B: Shares sold ......................................... -- -- 21,000 -- Shares issued on reinvestment of distributions. ..... -- -- -- -- Shares redeemed ..................................... -- -- -- -- -------------- ------------- ------------ ------------ Total Class B transactions ............................. -- -- 21,000 -- -------------- ------------- ------------ ------------ Class C: Shares sold ......................................... -- -- 990 -- Shares issued on reinvestment of distributions. ..... -- -- -- -- Shares redeemed ..................................... -- -- -- -- -------------- ------------- ------------ ------------ Total Class C transactions ............................. -- -- 990 -- -------------- ------------- ------------ ------------ Class Y: (formerly Class I) Shares sold ......................................... 5,687,619 2,477,857 384,360 2,694,167 Shares issued on reinvestment of distributions. ..... -- 785 -- 22,723 Shares redeemed ..................................... (5,813,820) (1,252,617) (346,855) (708,088) -------------- ------------- ------------ ------------ Total Class Y transactions ............................. (126,201) 1,226,025 37,505 2,008,802 -------------- ------------- ------------ ------------ UBS Investment Funds Class Shares sold ......................................... 297 1,557,760 176,391 625,322 Shares issued on reinvestment of distributions. ..... -- 1,400 -- 6,744 Shares redeemed ..................................... (551,588) (403,474) (695,923) (64,650) -------------- ------------- ------------ ------------ Total UBS Investment Funds Class transactions .......... (551,291) 1,155,686 (519,532) 567,416 -------------- ------------- ------------ ------------ Net increase (decrease) in net assets resulting from capital share transactions. . ....................... 112,962 2,381,712 287,856 2,576,239 -------------- ------------- ------------ ------------ INCREASE (DECREASE) IN NET ASSETS ...................... 88,767 1,009,861 81,363 2,067,558 NET ASSETS, BEGINNING OF PERIOD ........................ 1,588,521 578,660 2,907,996 840,438 -------------- ------------- ------------ ------------ NET ASSETS, END OF PERIOD .............................. $ 1,677,288 $ 1,588,521 $ 2,989,359 $ 2,907,996 ============== ============= ============ ============ Net assets include accumulated undistributed net investment income (loss) . ...................... $ (11,515) $ 1,885 $ (40,630) $ (23,194) ============== ============= ============ ============ GLOBAL U.S. BOND FUND BALANCED FUND ------------------------------- ----------------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, 2001 (UNAUDITED) 2001 2001 (UNAUDITED) 2001 --------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income (loss) . . ....................... $ 701,890 $ 1,564,794 $ 341,798 $ 553,222 Net realized gain (loss). .............................. (448,069) (2,748,106) (209,410) 855,561 Change in net unrealized appreciation (depreciation). .. 1,584,344 (572,549) 88,356 663,395 ------------ ------------- ------------- ------------- Net increase (decrease) in net assets from operations .. 1,838,165 (1,755,861) 220,744 2,072,178 ------------ ------------- ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Class A: (formerly Class N) Distributions from net investment income. ........... (4,950) (11) (35,339) (47) Distributions from net realized gains. .............. -- -- -- -- ------------ ------------- ------------- ------------- Total Class A distributions . .......................... (4,950) (11) (35,339) (47) ------------ ------------- ------------- ------------- Class B: Distributions from net investment income. ........... (561) -- (3,889) -- Distributions from net realized gains. .............. -- -- -- -- ------------ ------------- ------------- ------------- Total Class B distributions . .......................... (561) -- (3,889) -- ------------ ------------- ------------- ------------- Class C: Distributions from net investment income. ........... -- -- (781) -- Distributions from net realized gains. .............. -- -- -- -- ------------ ------------- ------------- ------------- Total Class C distributions . .......................... -- -- (781) -- ------------ ------------- ------------- ------------- Class Y: (formerly Class I) Distributions from net investment income. ........... (204,449) (331,177) (520,386) (476,453) Distributions from net realized gains. .............. -- -- -- -- ------------ ------------- ------------- ------------- Total Class Y distributions . .......................... (204,449) (331,177) (520,386) (476,453) ------------ ------------- ------------- ------------- UBS Investment Funds Class Distributions from net investment income. ........... -- (4,729) -- (46,051) Distributions from net realized gains. .............. -- -- -- -- ------------ ------------- ------------- ------------- Total UBS Investment Funds Class distributions ......... -- (4,729) -- (46,051) ------------ ------------- ------------- ------------- Decrease in net assets from distributions .............. (209,960) (335,917) (560,395) (522,551) ------------ ------------- ------------- ------------- CAPITAL SHARE TRANSACTIONS BY CLASS: Class A: (formerly Class N) Shares sold ......................................... 941,684 2,672 1,377,891 -- Shares issued on reinvestment of distributions. ..... 4,385 -- 34,528 47 Shares redeemed ..................................... (53,649) (849) (2,719) -- ------------ ------------- ------------- ------------- Total Class A transactions ............................. 892,420 1,823 1,409,700 47 ------------ ------------- ------------- ------------- Class B: Shares sold ......................................... 124,495 -- 204,624 -- Shares issued on reinvestment of distributions. ..... 531 -- 3,643 -- Shares redeemed ..................................... -- -- (7,841) -- ------------ ------------- ------------- ------------- Total Class B transactions ............................. 125,026 -- 200,426 -- ------------ ------------- ------------- ------------- Class C: Shares sold ......................................... -- -- 258,461 -- Shares issued on reinvestment of distributions. ..... -- -- 781 -- Shares redeemed ..................................... -- -- -- -- ------------ ------------- ------------- ------------- Total Class C transactions ............................. -- -- 259,242 -- ------------ ------------- ------------- ------------- Class Y: (formerly Class I) Shares sold ......................................... 6,246,121 14,479,767 6,606,335 19,666,739 Shares issued on reinvestment of distributions. ..... 127,582 242,044 493,900 423,258 Shares redeemed ..................................... (8,195,809) (18,340,807) (12,536,171) (6,941,267) ------------ ------------- ------------- ------------- Total Class Y transactions ............................. (1,822,106) (3,618,996) (5,435,936) 13,148,730 ------------ ------------- ------------- ------------- UBS Investment Funds Class Shares sold ......................................... 2,139 156,620 5,273 200,000 Shares issued on reinvestment of distributions. ..... -- 3,519 -- 45,287 Shares redeemed ..................................... (1,125,010) (1,163,438) (1,291,178) (293,128) ------------ ------------- ------------- ------------- Total UBS Investment Funds Class transactions .......... (1,122,871) (1,003,299) (1,285,905) (47,841) ------------ ------------- ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions. . ....................... (1,927,531) (4,620,472) (4,852,473) 13,100,936 ------------ ------------- ------------- ------------- INCREASE (DECREASE) IN NET ASSETS ...................... (299,326) (6,712,250) (5,192,124) 14,650,563 NET ASSETS, BEGINNING OF PERIOD ........................ 38,868,974 45,581,224 27,024,944 12,374,381 ------------ ------------- ------------- ------------- NET ASSETS, END OF PERIOD .............................. $ 38,569,648 $ 38,868,974 $ 21,832,820 $ 27,024,944 ============ ============= ============= ============= Net assets include accumulated undistributed net investment income (loss) . ...................... $ (1,092,581) $ (1,584,511) $ (9,429) $ 209,168 ============ ============= ============= =============
-------------------------------------------------------------------------------- 89 THE BRINSON FUNDS -- FINANCIAL STATEMENTS -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
U.S. EQUITY FUND U.S. LARGE CAP EQUITY FUND -------------------------------------------------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, 2001 (UNAUDITED) 2001 2001 (UNAUDITED) 2001 -------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income (loss) ........................... $ 563,566 $ 1,042,201 $ 28,839 $ 67,597 Net realized gain (loss) ............................... 1,339,734 11,935,456 (179,982) 6,876 Change in net unrealized appreciation (depreciation) ... (2,455,527) 3,172,706 (87,515) 1,161,741 ------------- ------------- ------------- ------------- Net increase (decrease) in net assets from operations .. (552,227) 16,150,363 (238,658) 1,236,214 ------------- ------------- ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Class A: (formerly Class N) Distributions from net investment income ............ (33,362) (136,402) (1,213) (360) Distributions from net realized gains ............... (531,722) (626,092) -- -- ------------- ------------- ------------- ------------- Total Class A distributions ............................ (565,084) (762,494) (1,213) (360) ------------- ------------- ------------- ------------- Class B: Distributions from net investment income ............ (206) -- (418) -- Distributions from net realized gains ............... (3,285) -- -- -- ------------- ------------- ------------- ------------- Total Class B distributions ............................ (3,491) -- (418) -- ------------- ------------- ------------- ------------- Class C: Distributions from net investment income ............ (60) -- -- -- Distributions from net realized gains ............... (955) -- -- -- ------------- ------------- ------------- ------------- Total Class C distributions ............................ (1,015) -- -- -- ------------- ------------- ------------- ------------- Class Y: (formerly Class I) Distributions from net investment income ............ (314,778) (2,310,563) (11,570) (134,581) Distributions from net realized gains ............... (5,018,843) (9,027,121) -- -- ------------- ------------- ------------- ------------- Total Class Y distributions ............................ (5,333,621) (11,337,684) (11,570) (134,581) ------------- ------------- ------------- ------------- UBS Investment Funds Class Distributions from net investment income ............ -- (43,540) -- (5,236) Distributions from net realized gains ............... -- (471,358) -- -- ------------- ------------- ------------- ------------- Total UBS Investment Funds Class distributions ......... -- (514,898) -- (5,236) ------------- ------------- ------------- ------------- Decrease in net assets from distributions .............. (5,903,211) (12,615,076) (13,201) (140,177) ------------- ------------- ------------- ------------- CAPITAL SHARE TRANSACTIONS BY CLASS (SEE NOTE 9 & 10): Class A: (formerly Class N) Shares sold ......................................... 6,518,664 4,531,959 56,404 -- Shares issued on reinvestment of distributions ...... 163,489 11,498 192,713 360 Shares redeemed ..................................... (819,941) (4,650,226) -- (17,725) ------------- ------------- ------------- ------------- Total Class A transactions ............................. 5,862,212 (106,769) 249,117 (17,365) ------------- ------------- ------------- ------------- Class B: Shares sold ......................................... 123,388 -- 141,375 -- Shares issued on reinvestment of distributions ...... 3,491 -- -- -- Shares redeemed ..................................... (17,619) -- -- -- ------------- ------------- ------------- ------------- Total Class B transactions ............................. 109,260 -- 141,375 -- ------------- ------------- ------------- ------------- Class C: Shares sold ......................................... 40,032 -- -- -- Shares issued on reinvestment of distributions ...... 1,015 -- -- -- Shares redeemed ..................................... -- -- -- -- ------------- ------------- ------------- ------------- Total Class C transactions ............................. 41,047 -- -- -- ------------- ------------- ------------- ------------- Class Y: (formerly Class I) Shares sold ......................................... 21,474,921 59,473,592 10,174,085 3,121,581 Shares issued on reinvestment of distributions ...... 4,877,724 10,320,990 5,418 109,658 Shares redeemed ..................................... (38,754,979) (114,970,733) (10,962,914) (17,203,370) ------------- ------------- ------------- ------------- Total Class Y transactions ............................. (12,402,334) (45,176,151) (783,411) (13,972,131) ------------- ------------- ------------- ------------- UBS Investment Funds Class Shares sold ......................................... 235,795 708,297 906,536 77,826 Shares issued on reinvestment of distributions ...... -- 400,452 -- 5,215 Shares redeemed ..................................... (5,719,369) (7,995,833) (238,252) (10,746) ------------- ------------- ------------- ------------- Total UBS Investment Funds Class transactions .......... (5,483,574) (6,887,084) 668,284 72,295 ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions .......................... (11,873,389) (52,170,004) 275,365 (13,917,201) ------------- ------------- ------------- ------------- INCREASE (DECREASE) IN NET ASSETS ...................... (18,328,827) (48,634,717) 23,506 (12,821,164) NET ASSETS, BEGINNING OF PERIOD ........................ 138,929,380 187,564,097 3,129,671 15,950,835 ------------- ------------- ------------- ------------- NET ASSETS, END OF PERIOD .............................. $ 120,600,553 $ 138,929,380 $ 3,153,177 $ 3,129,671 ============= ============= ============= ============= Net assets include accumulated undistributed net investment income (loss). ....................... $ 563,685 $ 348,525 $ 29,173 $ 13,535 ============= ============= ============= =============
-------------------------------------------------------------------------------- 90 See accompanying notes to financial statements. THE BRINSON FUNDS -- FINANCIAL STATEMENTS --------------------------------------------------------------------------------
U.S. LARGE CAP GROWTH FUND U.S. SMALL CAP GROWTH FUND ------------------------------------------------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, 2001 (UNAUDITED) 2001 2001 (UNAUDITED) 2001 -------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income (loss) ........................... $ (10,263) $ (50,594) $ (152,902) $ (299,723) Net realized gain (loss) ............................... (1,201,088) (232,759) 1,567,602 3,225,926 Change in net unrealized appreciation (depreciation) ... 569,959 (3,253,566) (3,758,439) (9,250,074) ----------- ----------- ------------ ------------ Net increase (decrease) in net assets from operations .. (641,392) (3,536,919) (2,343,739) (6,323,871) ----------- ----------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Class A: (formerly Class N) Distributions from net investment income ............ -- -- -- -- Distributions from net realized gains ............... (13,807) (173) (61,112) (322) ----------- ----------- ------------ ------------ Total Class A distributions ............................ (13,807) (173) (61,112) (322) ----------- ----------- ------------ ------------ Class B: Distributions from net investment income ............ -- -- -- -- Distributions from net realized gains ............... (244) -- (3,713) -- ----------- ----------- ------------ ------------ Total Class B distributions ............................ (244) -- (3,713) -- ----------- ----------- ------------ ------------ Class C: Distributions from net investment income ............ -- -- -- -- Distributions from net realized gains ............... (3,707) -- (768) -- ----------- ----------- ------------ ------------ Total Class C distributions ............................ (3,707) -- (768) -- ----------- ----------- ------------ ------------ Class Y: (formerly Class I) Distributions from net investment income ............ -- -- -- -- Distributions from net realized gains ............... (15,304) (582,801) (1,477,410) (8,814,507) ----------- ----------- ------------ ------------ Total Class Y distributions ............................ (15,304) (582,801) (1,477,410) (8,814,507) ----------- ----------- ------------ ------------ UBS Investment Funds Class Distributions from net investment income ............ -- -- -- -- Distributions from net realized gains ............... -- (798,399) -- (707,080) ----------- ----------- ------------ ------------ Total UBS Investment Funds Class distributions ......... -- (798,399) -- (707,080) ----------- ----------- ------------ ------------ Decrease in net assets from distributions .............. (33,062) (1,381,373) (1,543,003) (9,521,909) ----------- ----------- ------------ ------------ CAPITAL SHARE TRANSACTIONS BY CLASS: Class A: (formerly Class N) Shares sold ......................................... 2,397,959 -- 1,490,583 -- Shares issued on reinvestment of distributions ...... 13,610 173 60,938 322 Shares redeemed ..................................... (194,950) -- (3,002) -- ----------- ----------- ------------ ------------ Total Class A transactions ............................. 2,216,619 173 1,548,519 322 ----------- ----------- ------------ ------------ Class B: Shares sold ......................................... 94,714 -- 193,245 -- Shares issued on reinvestment of distributions ...... 244 -- 3,712 -- Shares redeemed ..................................... -- -- (50,000) -- ----------- ----------- ------------ ------------ Total Class B transactions ............................. 94,958 -- 146,957 -- ----------- ----------- ------------ ------------ Class C: Shares sold ......................................... 661,107 -- 61,653 -- Shares issued on reinvestment of distributions ...... 3,707 -- 768 -- Shares redeemed ..................................... (98) -- -- -- ----------- ----------- ------------ ------------ Total Class C transactions ............................. 664,716 -- 62,421 -- ----------- ----------- ------------ ------------ Class Y: (formerly Class I) Shares sold ......................................... 8,067 890,634 17,311,274 26,763,500 Shares issued on reinvestment of distributions ...... 13,460 557,236 1,389,547 7,277,911 Shares redeemed ..................................... (368,133) (1,863,805) (21,513,154) (26,330,137) ----------- ----------- ------------ ------------ Total Class Y transactions ............................. (346,606) (415,935) (2,812,333) 7,711,274 ----------- ----------- ------------ ------------ UBS Investment Funds Class Shares sold ......................................... 203,529 528,204 268,873 1,781,567 Shares issued on reinvestment of distributions ...... -- 751,964 -- 676,885 Shares redeemed ..................................... (3,266,791) (2,261,874) (2,293,974) (2,577,682) ----------- ----------- ------------ ------------ Total UBS Investment Funds Class transactions .......... (3,063,262) (981,706) (2,025,101) (119,230) ----------- ----------- ------------ ------------ Net increase (decrease) in net assets resulting from capital share transactions .......................... (433,575) (1,397,468) (3,079,537) 7,592,366 ----------- ----------- ------------ ------------ INCREASE (DECREASE) IN NET ASSETS ...................... (1,108,029) (6,315,760) (6,966,279) (8,253,414) NET ASSETS, BEGINNING OF PERIOD ........................ 6,753,507 13,069,267 46,394,760 54,648,174 ----------- ----------- ------------ ------------ NET ASSETS, END OF PERIOD .............................. $ 5,645,478 $ 6,753,507 $ 39,428,481 $ 46,394,760 =========== =========== ============ ============ Net assets include accumulated undistributed net investment income (loss). ....................... $ (10,263) $ -- $ (152,902) $ -- =========== =========== ============ ============ U.S. BOND FUND HIGH YIELD FUND ------------------------------ --------------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, 2001 (UNAUDITED) 2001 2001 (UNAUDITED) 2001 -------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income (loss) ........................... $ 2,268,784 $ 4,008,666 $ 3,450,861 $ 5,305,020 Net realized gain (loss) ............................... 1,536,169 119,289 (13,257,208) (5,794,063) Change in net unrealized appreciation (depreciation) ... 488,986 2,228,358 8,914,052 (487,323) ------------- ------------- ------------ ------------- Net increase (decrease) in net assets from operations .. 4,293,939 6,356,313 (892,295) (976,366) ------------- ------------- ------------ ------------- DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Class A: (formerly Class N) Distributions from net investment income ............ (40,747) (992) (1,014,450) (124) Distributions from net realized gains ............... -- -- -- -- ------------- ------------- ------------ ------------- Total Class A distributions ............................ (40,747) (992) (1,014,450) (124) ------------- ------------- ------------ ------------- Class B: Distributions from net investment income ............ (870) -- (215,518) -- Distributions from net realized gains ............... -- -- -- -- ------------- ------------- ------------ ------------- Total Class B distributions ............................ (870) -- (215,518) -- ------------- ------------- ------------ ------------- Class C: Distributions from net investment income ............ (4,575) -- (246,288) -- Distributions from net realized gains ............... -- -- -- -- ------------- ------------- ------------ ------------- Total Class C distributions ............................ (4,575) -- (246,288) -- ------------- ------------- ------------ ------------- Class Y: (formerly Class I) Distributions from net investment income ............ (3,366,892) (3,998,606) (3,590,045) (4,665,809) Distributions from net realized gains ............... -- -- -- -- ------------- ------------- ------------ ------------- Total Class Y distributions ............................ (3,366,892) (3,998,606) (3,590,045) (4,665,809) ------------- ------------- ------------ ------------- UBS Investment Funds Class Distributions from net investment income ............ (38,696) (195,266) (153,732) (242,944) Distributions from net realized gains ............... -- -- -- -- ------------- ------------- ------------ ------------- Total UBS Investment Funds Class distributions ......... (38,696) (195,266) (153,732) (242,944) ------------- ------------- ------------ ------------- Decrease in net assets from distributions .............. (3,451,780) (4,194,864) (5,220,033) (4,908,877) ------------- ------------- ------------ ------------- CAPITAL SHARE TRANSACTIONS BY CLASS: Class A: (formerly Class N) Shares sold ......................................... 5,972,227 123,495 83,860,513 -- Shares issued on reinvestment of distributions ...... 37,196 812 433,550 123 Shares redeemed ..................................... (1,732,369) (1,422) (5,280,101) -- ------------- ------------- ------------ ------------- Total Class A transactions ............................. 4,277,054 122,885 79,013,962 123 ------------- ------------- ------------ ------------- Class B: Shares sold ......................................... 212,724 -- 21,815,962 -- Shares issued on reinvestment of distributions ...... 785 -- 84,412 -- Shares redeemed ..................................... (123,149) -- (3,375,025) -- ------------- ------------- ------------ ------------- Total Class B transactions ............................. 90,360 -- 18,525,349 -- ------------- ------------- ------------ ------------- Class C: Shares sold ......................................... 938,219 -- 21,676,004 -- Shares issued on reinvestment of distributions ...... 2,265 -- 122,897 -- Shares redeemed ..................................... -- -- (1,209,764) -- ------------- ------------- ------------ ------------- Total Class C transactions ............................. 940,484 -- 20,589,137 -- ------------- ------------- ------------ ------------- Class Y: (formerly Class I) Shares sold ......................................... 239,862,588 132,318,463 58,525,296 167,750,223 Shares issued on reinvestment of distributions ...... 2,886,056 3,591,657 3,235,179 4,317,900 Shares redeemed ..................................... (232,949,305) (133,516,288) (87,753,440) (162,774,488) ------------- ------------- ------------ ------------- Total Class Y transactions ............................. 9,799,339 2,393,832 (25,992,965) 9,293,635 ------------- ------------- ------------ ------------- UBS Investment Funds Class Shares sold ......................................... 207,611 1,507,160 83,673 259,383 Shares issued on reinvestment of distributions ...... 29,559 170,655 119,090 117,825 Shares redeemed ..................................... (3,107,604) (2,609,246) (1,958,227) (306,671) ------------- ------------- ------------ ------------- Total UBS Investment Funds Class transactions .......... (2,870,434) (931,431) (1,755,464) 70,537 ------------- ------------- ------------ ------------- Net increase (decrease) in net assets resulting from capital share transactions .......................... 12,236,803 1,585,286 90,380,019 9,364,295 ------------- ------------- ------------ ------------- INCREASE (DECREASE) IN NET ASSETS ...................... 13,078,962 3,746,735 84,267,691 3,479,052 NET ASSETS, BEGINNING OF PERIOD ........................ 65,394,574 61,647,839 56,488,566 53,009,514 ------------- ------------- ------------ ------------- NET ASSETS, END OF PERIOD .............................. $ 78,473,536 $ 65,394,574 $140,756,257 $ 56,488,566 ============= ============= ============ ============= Net assets include accumulated undistributed net investment income (loss). ....................... $ 48,055 $ 1,231,051 $ 122,256 $ 1,891,428 ============= ============= ============ =============
-------------------------------------------------------------------------------- See accompanying notes to financial statements. 91 THE BRINSON FUNDS -- FINANCIAL STATEMENTS -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
INTERNATIONAL EQUITY FUND U.S. VALUE EQUITY --------------------------------------------------------------- SIX MONTHS YEAR SIX MONTHS ENDED ENDED ENDED DECEMBER 31, JUNE 30, DECEMBER 31, 2001 (UNAUDITED) 2001 2001 (UNAUDITED)+ ------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income . ................................... $ 358,192 $ 3,135,238 $ 17,421 Net realized gain (loss) .................................. (3,727,594) 24,276,913 (9,774) Change in net unrealized appreciation (depreciation) . .... (4,380,555) (76,476,247) (9,864) ------------- --------------- ----------- Net decrease in net assets from operations ................ (7,749,957) (49,064,096) (2,217) ------------- --------------- ----------- DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Class A: (formerly Class N) Distributions from net investment income ............... (36,545) (4) -- Distributions from net realized gains. ................. (218,140) (68) -- ------------- --------------- ----------- Total Class A distributions ............................... (254,685) (72) -- ------------- --------------- ----------- Class B: Distributions from net investment income ............... -- -- -- Distributions from net realized gains. ................. -- -- -- ------------- --------------- ----------- Total Class B distributions ............................... -- -- -- ------------- --------------- ----------- Class C: Distributions from net investment income ............... (28) -- -- Distributions from net realized gains. ................. (166) -- -- ------------- --------------- ----------- Total Class C distributions ............................... (194) -- -- ------------- --------------- ----------- Class Y: (formerly Class I) Distributions from net investment income ............... (2,958,666) (663,935) -- Distributions from net realized gains. ................. (17,649,541) (19,686,583) -- ------------- --------------- ----------- Total Class Y distributions ............................... (20,608,207) (20,350,518) -- ------------- --------------- ----------- UBS Investment Funds Class Distributions from net investment income ............... -- (10,203) -- Distributions from net realized gains. ................. -- (307,666) -- ------------- --------------- ----------- Total UBS Investment Funds Class distributions. ........... -- (317,869) -- ------------- --------------- ----------- Decrease in net assets from distributions ................. (20,863,086) (20,668,459) -- ------------- --------------- ----------- CAPITAL SHARE TRANSACTIONS BY CLASS: Class A: (formerly Class N) Shares sold. ........................................... 4,610,902 310,000 558,168 Shares issued on reinvestment of distributions. ........ 241,742 72 -- Shares redeemed. ....................................... (2,716,611) (9,495) -- ------------- --------------- ----------- Total Class A transactions. ............................... 2,136,033 300,577 558,168 ------------- --------------- ----------- Class B: Shares sold. ........................................... -- -- 175,446 Shares issued on reinvestment of distributions. ........ -- -- -- Shares redeemed. ....................................... -- -- -- ------------- --------------- ----------- Total Class B transactions. ............................... -- -- 175,446 ------------- --------------- ----------- Class C: Shares sold. ........................................... 285,019 -- 25,745 Shares issued on reinvestment of distributions. ........ 1 -- -- Shares redeemed. ....................................... (190,528) -- -- ------------- --------------- ----------- Total Class C transactions. ............................... 94,492 -- 25,745 ------------- --------------- ----------- Class Y: (formerly Class I) Shares sold. ........................................... 572,385,697 1,068,404,548 -- Shares issued on reinvestment of distributions. ........ 18,535,363 18,935,302 -- Shares redeemed. ....................................... (627,708,272) (1,238,414,502) (49) ------------- --------------- ----------- Total Class Y transactions. ............................... (36,787,212) (151,074,652) (49) ------------- --------------- ----------- UBS Investment Funds Class Shares sold. ........................................... 231,700 1,238,857 -- Shares issued on reinvestment of distributions. ........ -- 316,754 -- Shares redeemed. ....................................... (4,025,287) (2,014,627) -- ------------- --------------- ----------- Total UBS Investment Funds Class transactions. ............ (3,793,587) (459,016) -- ------------- --------------- ----------- Net increase (decrease) in net assets resulting from capital share transactions ............................. (38,350,274) (151,233,091) 759,310 ------------- --------------- ----------- INCREASE (DECREASE) IN NET ASSETS ......................... (66,963,317) (220,965,646) 757,093 NET ASSETS, BEGINNING OF PERIOD ........................... 196,838,899 417,804,545 3,000,010 ------------- --------------- ----------- NET ASSETS, END OF PERIOD ................................. $ 129,875,582 $ 196,838,899 $ 3,757,103 ============= =============== =========== Net assets include accumulated undistributed net investment income (loss). .......................... $ (802,167) $ 3,594,471 $ 17,421 ============= =============== ===========
+ For the period June 29, 2001, commencement of investment operations, to December 31, 2001. See accompanying notes to financial statements -------------------------------------------------------------------------------- 92 See accompanying notes to financial statements. GLOBAL BALANCED FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, ---------------------------------------------- CLASS A (FORMERLY CLASS N) 2001 (UNAUDITED) 2001 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ................ $ 11.10 $ 11.20 $ 11.99 $ 12.75 $ 13.13 ------------ -------- -------- -------- ----------- Income (loss) from investment operations: Net investment income ............................ 0.05** 0.22 0.19** 0.27 0.63 Net realized and unrealized gain (loss) .......... 0.22 0.31 (0.30) 0.25 0.32 ------------ -------- -------- -------- ----------- Total income (loss) from investment operations ................................ 0.27 0.53 (0.11) 0.52 0.95 ------------ -------- -------- -------- ----------- Less distributions: Distributions from net investment income ......... (0.19) -- (0.16) (0.44) (0.63) Distributions from net realized gains ............ (0.81) (0.63) (0.52) (0.84) (0.70) ------------ -------- -------- -------- ----------- Total distributions ......................... (1.00) (0.63) (0.68) (1.28) (1.33) ------------ -------- -------- -------- ----------- Net asset value, end of period ...................... $ 10.37 $ 11.10 $ 11.20 $ 11.99 $ 12.75 ============ ======== ======== ========= ============ Total return ........................................ 2.57%++ 4.95% (0.80)% 4.47% 7.90% Ratios/Supplemental data: Net assets, end of period (in 000s) .............. $ 5,457 $ 237 $ 202 $ 1,576 $ 1,163 Ratio of gross expenses to average net assets .... 1.35%*** 1.30% 1.24% 1.21% 1.19% Ratio of net investment income to average net assets ................................. 0.84%*** 1.52% 1.74% 1.98% 2.45% Portfolio turnover rate .......................... 66% 115% 98% 105% 88% -------------------------------------------------------------------------------------------------------------------------- FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS B (UNAUDITED) -------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ........................................................ $ 11.21 ----------- Income from investment operations: Net investment income .................................................................... 0.00** Net realized and unrealized loss ......................................................... 0.15 ----------- Total income from investment operations ............................................. 0.15 ----------- Less distributions: Distributions from net investment income ................................................. (0.19) Distributions from net realized gains .................................................... (0.81) ----------- Total distributions ................................................................. (1.00) ----------- Net asset value, end of period .............................................................. $ 10.36 =========== Total return ................................................................................ 1.44%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ...................................................... $ 103 Ratio of gross expenses to average net assets ............................................ 2.10%*** Ratio of net investment income to average net assets ..................................... 0.06%*** Portfolio turnover rate .................................................................. 66% --------------------------------------------------------------------------------------------------------------------------
* For the period December 13, 2001 (commencement of issuance) through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 93 GLOBAL BALANCED FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS C (UNAUDITED) ------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ........................................................ $ 11.10 ----------- Income from investment operations: Net investment income .................................................................... 0.01** Net realized and unrealized gain ......................................................... 0.26 ----------- Total income from investment operations ............................................. 0.27 ----------- Less distributions: Distributions from net investment income ................................................. (0.19) Distributions from net realized gains .................................................... (0.81) ----------- Total distributions ................................................................. (1.00) ----------- Net asset value, end of period .............................................................. $ 10.37 =========== Total return ................................................................................ 2.55%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ...................................................... $ 66 Ratio of gross expenses to average net assets ............................................ 2.10%*** Ratio of net investment income to average net assets ..................................... 0.65%*** Portfolio turnover rate .................................................................. 66% ------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, ---------------------------------------------------------- CLASS Y (FORMERLY CLASS I) 2001 (UNAUDITED) 2001 2000 1999 1998 1997 ------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ...... $ 11.18 $ 11.25 $ 12.02 $ 12.77 $ 13.13 $ 12.22 --------- -------- -------- -------- --------- --------- Income (loss) from investment operations: Net investment income .................. 0.07** 0.25 0.23** 0.30 0.37 0.38 Net realized and unrealized gain (loss) 0.22 0.31 (0.30) 0.25 0.62 1.79 --------- -------- -------- -------- --------- --------- Total income (loss) from investment operations ............ 0.29 0.56 (0.07) 0.55 0.99 2.17 --------- -------- -------- -------- --------- --------- Less distributions: Distributions from net investment income (0.19) -- (0.18) (0.46) (0.65) (0.61) Distributions from net realized gains .. (0.81) (0.63) (0.52) (0.84) (0.70) (0.65) --------- -------- -------- -------- --------- --------- Total distributions ............... (1.00) (0.63) (0.70) (1.30) (1.35) (1.26) --------- -------- -------- -------- --------- --------- Net asset value, end of period ............ $ 10.47 $ 11.18 $ 11.25 $ 12.02 $ 12.77 $ 13.13 ========= ========= ======== ======== ========= ========= Total return .............................. 2.75%+ 5.20% (0.48)% 4.76% 8.28% 18.79% Ratios/Supplemental data: Net assets, end of period (in 000s) .... $ 156,636 $ 156,130 $284,229 $469,080 $ 667,745 $ 586,667 Ratio of gross expenses to average net assets ................... 1.10%*** 1.05% 0.99% 0.96% 0.94% 0.99% Ratio of net investment income to average net assets ................... 1.20%*** 1.77% 1.99% 2.23% 2.70% 3.03% Portfolio turnover rate ................ 66% 115% 98% 105% 88% 150% --------------------------------------------------------------------------------------------------------------------------
* For the period November 22, 2001 (commencement of issuance) through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. + The total return calculation is non-annualized. -------------------------------------------------------------------------------- 94 See accompanying notes to financial statements. GLOBAL EQUITY FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
SIX MONTHS ENDED DECEMBER 31, YEAR ENDED JUNE 30, ----------------------------------------------------------------- CLASS A (FORMERLY CLASS N) 2001 (UNAUDITED) 2001 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ................... $ 10.61 $ 12.44 $ 13.40 $ 12.53 $ 12.76 --------- -------- -------- --------- ----------- Income (loss) from investment operations: Net investment income ............................... 0.10** 0.07 0.04** 0.10** 0.13 Net realized and unrealized gain (loss) ............. (0.43) (0.56) 0.27 1.09 0.82 --------- -------- -------- --------- ----------- Total income (loss) from investment operations (0.33) (0.49) 0.31 1.19 0.95 --------- -------- -------- --------- ----------- Less distributions: Distributions from net investment income ............ (0.06) (0.02) (0.06) (0.14) (0.13) Distributions from net realized gains ............... (0.34) (1.32) (1.21) (0.18) (1.05) --------- -------- -------- --------- ----------- Total distributions ............................ (0.40) (1.34) (1.27) (0.32) (1.18) --------- -------- -------- --------- ----------- Net asset value, end of period ......................... $ 9.88 $ 10.61 $ 12.44 $ 13.40 $ 12.53 ========= ======== ======== ========= =========== Total return ........................................... (3.04)%++ (4.45)% 2.49% 9.80% 8.60% Ratios/Supplemental data: Net assets, end of period (in 000s) ................. $ 16,675 $ 302 $ 224 $ 220 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits . 1.43%*** 1.37% 1.33% 1.30% 1.27% After expense reimbursement and earnings credits .. 1.25%*** 1.25% 1.25% 1.25% 1.25% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits . 1.86%*** 0.65% 0.23% 0.80% 1.04% After expense reimbursement and earnings credits .. 2.04%*** 0.77% 0.31% 0.85% 1.06% Portfolio turnover rate 73% 81% 111% 86% 46% ------------------------------------------------------------------------------------------------------------------------- FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS B (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ........................................................ $ 10.17 ----------- Income from investment operations: Net investment loss ...................................................................... (0.01)** Net realized and unrealized gain ......................................................... 0.13 ----------- Total income from investment operations ............................................. 0.12 ----------- Less distributions: Distributions from net investment income ................................................. (0.06) Distributions from net realized gains .................................................... (0.34) ----------- Total distributions ................................................................. (0.40) ----------- Net asset value, end of period .............................................................. $ 9.89 =========== Total return ................................................................................ 1.25%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ...................................................... $ 109 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ...................................... 3.96%*** After expense reimbursement and earnings credits ....................................... 2.00%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ...................................... (3.61)%*** After expense reimbursement and earnings credits ....................................... (1.65)%*** Portfolio turnover rate .................................................................. 73% -------------------------------------------------------------------------------------------------------------------------
* For the period December 11, 2001 (commencement of issuance) through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 95 GLOBAL EQUITY FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
PERIOD ENDED DECEMBER 31, 2001* CLASS C (UNAUDITED) -------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ......................................................... $ 10.18 ----------- Income from investment operations: Net investment loss ....................................................................... (0.00)** Net realized and unrealized gain .......................................................... 0.10 ----------- Total income from investment operations .............................................. 0.10 ----------- Less distributions: Distributions from net investment income .................................................. (0.06) Distributions from net realized gains ..................................................... (0.34) ----------- Total distributions .................................................................. (0.40) ----------- Net asset value, end of period ............................................................... $ 9.88 =========== Total return ................................................................................. 1.06%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ....................................................... $ 195 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ....................................... 2.75%*** After expense reimbursement and earnings credits ........................................ 2.00%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ....................................... (0.79)%*** After expense reimbursement and earnings credits ........................................ (0.04)%*** Portfolio turnover rate ................................................................... 73% -------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, ---------------------------------------------------------- CLASS Y (FORMERLY CLASS I) 2001 (UNAUDITED) 2001 2000 1999 1998 1997 ------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ....... $ 10.68 $ 12.47 $ 13.42 $ 12.54 $ 12.76 $ 11.57 -------- --------- -------- -------- --------- --------- Income (loss) from investment operations: Net investment income ................... 0.03** 0.09 0.07** 0.14** 0.22 0.16 Net realized and unrealized gain (loss) . (0.33) (0.54) 0.27 1.09 0.78 2.14 -------- --------- -------- -------- --------- --------- Total income (loss) from investment operations ............. (0.30) (0.45) 0.34 1.23 1.00 2.30 -------- --------- -------- -------- --------- --------- Less distributions: Distributions from net investment income (0.06) (0.02) (0.08) (0.17) (0.17) (0.12) Distributions from net realized gains ... (0.34) (1.32) (1.21) (0.18) (1.05) (0.99) -------- --------- -------- -------- --------- --------- Total distributions ................ (0.40) (1.34) (1.29) (0.35) (1.22) (1.11) -------- --------- -------- -------- --------- --------- Net asset value, end of period ............. $ 9.98 $ 10.68 $ 12.47 $ 13.42 $ 12.54 $ 12.76 ======== ========= ======== ======== ========= ========= Total return ............................... (2.74)%+ (4.07)% 2.69% 10.14% 8.99% 21.26% Ratios/Supplemental data: Net assets, end of period (in 000s) ..... $ 39,733 $ 49,306 $ 40,538 $ 42,106 $ 22,724 $ 48,054 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ............... 1.14%*** 1.12% 1.08% 1.05% 1.02% 1.25% After expense reimbursement and earnings credits ............... 1.00%*** 1.00% 1.00% 1.00% 1.00% 1.00% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ............... 0.49%*** 0.90% 0.48% 1.05% 1.29% 1.35% After expense reimbursement and earnings credits ............... 0.63%*** 1.02% 0.56% 1.10% 1.31% 1.60% Portfolio turnover rate ................. 73% 81% 111% 86% 46% 32% -------------------------------------------------------------------------------------------------------------------------
* For the period November 27, 2001 (commencement of issuance) through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. + The total return calculation is non-annualized. -------------------------------------------------------------------------------- 96 See accompanying notes to financial statements. GLOBAL TECHNOLOGY FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
SIX MONTHS PERIOD FROM ENDED YEAR ENDED MAY 26, 2000* DECEMBER 31, JUNE 30, TO CLASS A (FORMERLY CLASS N) 2001 (UNAUDITED) 2001 JUNE 30, 2000 -------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ............................ $ 5.79 $ 11.30 $ 10.00 ------------ ---------- ---------- Income (loss) from investment operations: Net investment income (loss) ................................. (0.04)** (0.12)** -- Net realized and unrealized gain (loss) ...................... (0.83) (5.38) 1.30 ------------ ---------- ---------- Total income (loss) from investment operations .......... (0.87) (5.50) 1.30 ------------ ---------- ---------- Less distributions: Distributions from net realized gains ........................ -- (0.01) -- ------------ ---------- ---------- Net asset value, end of period .................................. $ 4.92 $ 5.79 $ 11.30 ============ ========== ========== Total return .................................................... (15.03)%++ (48.67)% 13.00%+ Ratios/Supplemental data: Net assets, end of period (in 000s) .......................... $ 821 $ 1 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .......... 6.42%*** 4.85% 13.53%*** After expense reimbursement and earnings credits ........... 1.80%*** 1.80% 1.80%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits .......... (5.96)%*** (4.45)% (12.51)%*** After expense reimbursement and earnings credits ........... (1.34)%*** (1.40)% (0.78)%*** Portfolio turnover rate ...................................... 462% 221% 14% -------------------------------------------------------------------------------------------------------------------- SIX MONTHS PERIOD FROM ENDED YEAR ENDED MAY 26, 2000* DECEMBER 31, JUNE 30, TO CLASS Y (FORMERLY CLASS I) 2001 (UNAUDITED) 2001 JUNE 30, 2000 -------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ............................ $ 5.80 $ 11.30 $ 10.00 ---------- ---------- --------- Income (loss) from investment operations: Net investment income (loss) ................................. (0.03)** (0.08)** -- Net realized and unrealized gain (loss) ...................... (0.89) (5.41) 1.30 ---------- ---------- --------- Total income (loss) from investment operations .......... (0.92) (5.49) 1.30 ---------- ---------- --------- Less distributions: Distributions from net realized gains ........................ -- (0.01) -- ---------- ---------- --------- Net asset value, end of period .................................. $ 4.88 $ 5.80 $ 11.30 ========== ========== ========= Total return .................................................... (15.86)%+ (48.58)% 13.00%+ Ratios/Supplemental data: Net assets, end of period (in 000s) .......................... $ 856 $ 895 $ 224 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .......... 5.35%*** 4.60% 13.28%*** After expense reimbursement and earnings credits ........... 1.55%*** 1.55% 1.55%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits .......... (4.99)%*** (4.20)% (12.26)%*** After expense reimbursement and earnings credits ........... (1.19)%*** (1.15)% (0.53)%*** Portfolio turnover rate ...................................... 462% 221% 14% --------------------------------------------------------------------------------------------------------------------
* Commencement of investment operations. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. + The total return calculation is non-annualized. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 97 GLOBAL BIOTECH FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
SIX MONTHS PERIOD FROM ENDED YEAR ENDED JUNE 2, 2000* DECEMBER 31, JUNE 30, TO CLASS A (FORMERLY CLASS N) 2001 (UNAUDITED) 2001 JUNE 30, 2000 ------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ............................ $ 9.08 $ 12.07 $ 10.00 ------------ ---------- --------- Income (loss) from investment operations: Net investment loss .......................................... (0.06)** (0.12)** (0.01)** Net realized and unrealized gain (loss) ...................... (0.56) (2.66) 2.08 ------------ ---------- --------- Total income (loss) from investment operations .......... (0.62) (2.78) 2.07 ------------ ---------- --------- Less distributions: Distributions from net realized gains ........................ -- (0.21) -- ------------ ---------- --------- Net asset value, end of period .................................. $ 8.46 $ 9.08 $ 12.07 ============ ========== ========= Total return .................................................... (6.83)%++ (23.44)% 20.70%+ Ratios/Supplemental data: Net assets, end of period (in 000s) .......................... $ 783 $ 1 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .......... 3.93%*** 4.11% 10.35%*** After expense reimbursement and earnings credits ........... 1.55%*** 1.55% 1.55%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits .......... (3.84)%*** (3.73)% (9.54)%*** After expense reimbursement and earnings credits ........... (1.46)%*** (1.17)% (0.74)%*** Portfolio turnover rate ...................................... 74% 205% 19% ------------------------------------------------------------------------------------------------------------------- PERIOD ENDED DECEMBER 31, 2001+++ CLASS B (UNAUDITED) ------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ....................................................... $ 8.23 ------------ Income from investment operations: Net investment loss ..................................................................... (0.03)** Net realized and unrealized gain ........................................................ 0.26 ------------ Total income from investment operations ............................................ 0.23 ------------ Net asset value, end of period ............................................................. $ 8.46 ============ Total return ............................................................................... 2.79%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................... $ 22 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ..................................... 4.99%*** After expense reimbursement and earnings credits ...................................... 2.30%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ..................................... (4.88)%*** After expense reimbursement and earnings credits ...................................... (2.19)%*** Portfolio turnover rate ................................................................. 74% -------------------------------------------------------------------------------------------------------------------
* Commencement of investment operations. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. + The total return calculation is non-annualized. +++ For the period November 15, 2001 (commencement of issuance) through December 31, 2001. -------------------------------------------------------------------------------- 98 See accompanying notes to financial statements. GLOBAL BIOTECH FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
PERIOD ENDED DECEMBER 31, 2001+++ CLASS C (UNAUDITED) -------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ...................................................... $ 8.42 ------------ Income from investment operations: Net investment loss .................................................................... (0.01)** Net realized and unrealized gain ....................................................... 0.04 ------------ Total income from investment operations ........................................... 0.03 ------------ Net asset value, end of period ............................................................ $ 8.45 ============ Total return .............................................................................. 0.36%++ Ratios/Supplemental data: Net assets, end of period (in 000s) .................................................... $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................... 5.20%*** After expense reimbursement and earnings credits ..................................... 2.30%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits .................................... (5.20)%*** After expense reimbursement and earnings credits ..................................... (2.30)%*** Portfolio turnover rate ................................................................ 74% -------------------------------------------------------------------------------------------------------------------- SIX MONTHS PERIOD FROM ENDED YEAR ENDED JUNE 2, 2000* DECEMBER 31, JUNE 30, TO CLASS Y (FORMERLY CLASS I) 2001 (UNAUDITED) 2001 JUNE 30, 2000 -------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ............................ $ 9.11 $ 12.08 $ 10.00 ------------ ---------- --------- Income (loss) from investment operations: Net investment loss .......................................... (0.05)** (0.09)** 0.00** Net realized and unrealized gain (loss) ...................... (0.55) (2.67) 2.08 ------------ ---------- --------- Total income (loss) from investment operations .......... (0.60) (2.76) 2.08 ------------ ---------- --------- Less distributions: Distributions from and in excess of net realized gains ....... -- (0.21) -- ------------ ---------- --------- Net asset value, end of period .................................. $ 8.51 $ 9.11 $ 12.08 ============ ========== ========= Total return .................................................... (6.59)%+ (23.25)% 20.80%+ Ratios/Supplemental data: Net assets, end of period (in 000s) .......................... $ 2,183 $ 2,322 $ 691 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .......... 3.57%*** 3.86% 10.10%*** After expense reimbursement and earnings credits ........... 1.30%*** 1.30% 1.30%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits .......... (3.39)%*** (3.48)% (9.29)%*** After expense reimbursement and earnings credits ........... (1.12)%*** (0.92)% (0.49)%*** Portfolio turnover rate ...................................... 74% 205% 19% --------------------------------------------------------------------------------------------------------------------
* Commencement of investment operations. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. + The total return calculation is non-annualized. +++ For the period December 10, 2001 (commencement of issuance) through December 31, 2001. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 99 GLOBAL BOND FUND -- FINANCIAL HIGHLIGHTS ------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
FOR THE PERIOD ENDED YEAR ENDED JUNE 30, DECEMBER 31, ---------------------------------------------------- 2001* CLASS A (FORMERLY CLASS N) (UNAUDITED) 2001 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ......................... $ 8.64 $ 9.09 $ 9.16 $ 9.40 $ 9.64 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income .................................... 0.05** 0.33** 0.37** 0.37** 0.42** Net realized and unrealized loss ......................... (0.42) (0.72) (0.43) (0.07) (0.20) -------- -------- -------- -------- -------- Total income (loss) from investment operations ... (0.37) (0.39) (0.06) 0.30 0.22 -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income ................. (0.05) (0.06) -- (0.46) (0.29) Distributions from net realized gains .................... -- -- (0.01) (0.08) (0.17) -------- -------- -------- -------- -------- Total distributions .............................. (0.05) (0.06) (0.01) (0.54) (0.46) -------- -------- -------- -------- -------- Net asset value, end of period ............................... $ 8.22 $ 8.64 $ 9.09 $ 9.16 $ 9.40 ======== ======== ======== ======== ======== Total return ................................................. (3.66)%++ (4.27)% (0.66)% 2.89% 2.37% Ratios/Supplemental data: Net assets, end of period (in 000s) ...................... $ 858 $ 3 $ 1 $ 1,085 $ 9 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ..... 1.36%*** 1.37% 1.30% 1.15% 1.21% After expense reimbursement and earnings credits ...... 1.15%*** 1.15% 1.19%+ 1.15% 1.15% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ..... 3.93%*** 3.60% 4.09% 3.80% 4.22% After expense reimbursement and earnings credits ...... 4.14%*** 3.82% 4.20% 3.80% 4.28% Portfolio turnover rate .................................. 54% 165% 87% 138% 151% ------------------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS B (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period .......................................................................... $ 8.35 ----------- Income (loss) from investment operations: Net investment income ..................................................................................... 0.03** Net realized and unrealized loss .......................................................................... (0.13) ----------- Total income (loss) from investment operations ......................................................... (0.10) ----------- Less distributions: Distributions from net investment income .................................................................. (0.04) ----------- Net asset value, end of period ................................................................................ $ 8.21 =========== Total return .................................................................................................. (1.17)%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ....................................................................... $ 123 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ...................................................... 2.13%*** After expense reimbursement and earnings credits ....................................................... 1.90%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ...................................................... 3.54%*** After expense reimbursement and earnings credits ....................................................... 3.77%*** Portfolio turnover rate ................................................................................... 54% ------------------------------------------------------------------------------------------------------------------------------------
* On July 2, 2001 Class A (formerly Class N) was fully liquidated. For the period November 5, 2001 and November 26, 2001 (commencement of reissuance) for Class A and Class B, respectively, through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. ------------------------------------------------------------------------------- 100 See accompanying notes to financial statements. GLOBAL BOND FUND -- FINANCIAL HIGHLIGHTS ------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
SIX MONTHS ENDED DECEMBER 31, YEAR ENDED JUNE 30, 2001 ---------------------------------------------------------------- CLASS Y (FORMERLY CLASS I) (UNAUDITED) 2001 2000 1999 1998 1997 ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ........... $ 8.57 $ 9.01 $ 9.18 $ 9.41 $ 9.64 $ 10.04 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income ...................... 0.16* 0.36* 0.40* 0.39* 0.43* 0.67 Net realized and unrealized gain (loss) .... 0.24 (0.72) (0.43) (0.07) (0.18) 0.08 -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations .............. 0.40 (0.36) (0.03) 0.32 0.25 0.75 -------- -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income ... (0.05) (0.08) (0.13) (0.47) (0.31) (0.96) Distributions from net realized gains ...... -- -- (0.01) (0.08) (0.17) (0.19) -------- -------- -------- -------- -------- -------- Total distributions ..................... (0.05) (0.08) (0.14) (0.55) (0.48) (1.15) -------- -------- -------- -------- -------- -------- Net asset value, end of period ................. $ 8.92 $ 8.57 $ 9.01 $ 9.18 $ 9.41 $ 9.64 ======== ======== ======== ======== ======== ======== Total return ................................... 4.65%++ (4.02)% (0.34)% 3.13% 2.69% 7.71% Ratios/Supplemental data: Net assets, end of period (in 000s) ........ $ 37,589 $ 37,822 $ 43,467 $ 92,832 $ 91,274 $ 54,157 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ................... 1.10%** 1.12% 1.05% 0.90% 0.96% 1.32% After expense reimbursement and earnings credits ................... 0.90%** 0.90% 0.94%+ 0.90% 0.90% 0.90% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ................... 3.28%** 3.85% 4.34% 4.05% 4.47% 4.90% After expense reimbursement and earnings credits ................... 3.48%** 4.07% 4.45% 4.05% 4.53% 5.32% Portfolio turnover rate .................... 54% 165% 87% 138% 151% 235% -----------------------------------------------------------------------------------------------------------------------------------
* The net investment income per share data was determined by using average shares outstanding throughout the period. ** Annualized. + The ratio of net operating expenses to average net assets for Class Y was 0.90%. ++ The total return calculation is non-annualized. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 101 U.S. BALANCED FUND -- FINANCIAL HIGHLIGHTS ------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, ---------------------------------------------------- 2001 CLASS A (FORMERLY CLASS N) (UNAUDITED) 2001 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................ $ 9.38 $ 8.57 $ 9.38 $ 12.27 $ 12.53 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income ................................... 0.13** 0.28 0.23** 0.29** 0.47** Net realized and unrealized gain (loss) ................. 0.14(a) 0.89 (0.74) 0.18 0.94 -------- -------- -------- -------- -------- Total income (loss) from investment operations ....... 0.27 1.17 (0.51) 0.47 1.41 -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income ................ (0.29) (0.36) (0.24) (0.71) (0.73) Distributions from net realized gains ................... -- -- (0.06) (2.65) (0.94) -------- -------- -------- -------- -------- Total distributions .................................. (0.29) (0.36) (0.30) (3.36) (1.67) -------- -------- -------- -------- -------- Net asset value, end of period .............................. $ 9.36 $ 9.38 $ 8.57 $ 9.38 $ 12.27 ======== ======== ======== ======== ======== Total return ................................................ 2.92%++ 13.89% (5.39)% 4.17% 12.15% Ratios/Supplemental data: Net assets, end of period (in 000s) ..................... $ 1,411 $ 1 $ 1 $ 1 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .... 1.47%*** 1.39% 1.26% 1.21% 1.06% After expense reimbursement and earnings credits ..... 1.05%*** 1.05% 1.06%+ 1.05% 1.05% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits .... 2.26%*** 2.81% 2.55% 2.75% 3.63% After expense reimbursement and earnings credits ..... 2.68%*** 3.15% 2.75% 2.91% 3.64% Portfolio turnover rate ................................. 73% 159% 96% 113% 194% ------------------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS B (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................... $ 9.39 --------- Income from investment operations: Net investment income ...................................................................................... 0.05** Net realized and unrealized gain ........................................................................... 0.20(a) --------- Total income from investment operations ................................................................. 0.25 --------- Less distributions: Distributions from net investment income ................................................................... (0.29) --------- Net asset value, end of period ................................................................................. $ 9.35 ========= Total return ................................................................................................... 2.66%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ........................................................................ $ 199 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ....................................................... 2.80%*** After expense reimbursement and earnings credits ........................................................ 1.80%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ....................................................... 2.87%*** After expense reimbursement and earnings credits ........................................................ 3.87%*** Portfolio turnover rate .................................................................................... 73% ------------------------------------------------------------------------------------------------------------------------------------
* For the period November 7, 2001 (commencement of issuance) through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. + The ratio of net operating expenses to average net assets for Class A was 1.05%. ++ The returns do not include sales charges and are non-annualized. (a) The amount shown for a share outstanding throughout the six month period ended December 31, 2001 does not accord with the aggregate net loss on investments for that period because of the timing of sales and repurchases of the Fund Shares in relation to fluctuating market value of the investments of the Fund. -------------------------------------------------------------------------------- 102 See accompanying notes to financial statements. U.S. BALANCED FUND -- FINANCIAL HIGHLIGHTS ------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS C (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................... $ 9.39 --------- Income from investment operations: Net investment income ...................................................................................... 0.07** Net realized and unrealized gain ........................................................................... 0.19(a) --------- Total income from investment operations ................................................................. 0.26 --------- Less distributions: Distributions from net investment income ................................................................... (0.29) --------- Net asset value, end of period ................................................................................. $ 9.36 ========= Total return ................................................................................................... 2.77%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ........................................................................ $ 259 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ....................................................... 3.07%*** After expense reimbursement and earnings credits ........................................................ 1.80%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ....................................................... 3.50%*** After expense reimbursement and earnings credits ........................................................ 4.77%*** Portfolio turnover rate .................................................................................... 73% ------------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED DECEMBER 31, YEAR ENDED JUNE 30, 2001 ---------------------------------------------------------------- CLASS Y (FORMERLY CLASS I) (UNAUDITED) 2001 2000 1999 1998 1997 ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ........... $ 9.41 $ 8.59 $ 9.38 $ 12.24 $ 12.53 $ 11.71 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income ...................... 0.14** 0.31 0.26** 0.34** 0.49** 0.47 Net realized and unrealized gain (loss) .... 0.14(a) 0.89 (0.74) 0.18 0.93 1.29 -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations ............................ 0.28 1.20 (0.48) 0.52 1.42 1.76 -------- -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income ... (0.29) (0.38) (0.25) (0.73) (0.77) (0.40) Distributions from net realized gains. ..... -- -- (0.06) (2.65) (0.94) (0.54) -------- -------- -------- -------- -------- -------- Total distributions ..................... (0.29) (0.38) (0.31) (3.38) (1.71) (0.94) -------- -------- -------- -------- -------- -------- Net asset value, end of period ................. $ 9.40 $ 9.41 $ 8.59 $ 9.38 $ 12.24 $ 12.53 ======== ======== ======== ======== ======== ======== Total return ................................... 3.03%+++ 14.18% (5.07)% 4.74% 12.19% 15.50% Ratios/Supplemental data: Net assets, end of period (in 000s) ........ $ 19,963 $ 25,719 $ 11,136 $ 37,603 $ 80,556 $282,860 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ...................... 1.12%*** 1.14% 1.01% 0.96% 0.81% 0.88% After expense reimbursement and earnings credits ........................ 0.80%*** 0.80% 0.81%+ 0.80% 0.80% 0.80% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ........................ 2.58%*** 3.06% 2.80% 3.00% 3.88% 3.78% After expense reimbursement and earnings credits ........................ 2.90%*** 3.40% 3.00% 3.16% 3.89% 3.86% Portfolio turnover rate .................... 73% 159% 96% 113% 194% 329% ------------------------------------------------------------------------------------------------------------------------------------
* For the period November 6, 2001 (commencement of issuance) through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. + The ratio of net operating expenses to average net assets for Class Y was 0.80%. ++ The returns do not include sales charges and are non-annualized. +++ The total return calculation is non-annualized. (a) The amount shown for a share outstanding throughout the six month period ended December 31, 2001 does not accord with the aggregate net loss on investments for that period because of the timing of sales and repurchases of the Fund Shares in relation to fluctuating market value of the investments of the Fund. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 103 U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31 ---------------------------------------------------- CLASS A (FORMERLY CLASS N) 2001 (UNAUDITED) 2001 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ....................... $ 15.97 $ 15.97 $ 21.39 $ 19.88 $ 17.64 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income .................................. 0.05** 0.08** 0.13** 0.08** 0.15 Net realized and unrealized gain (loss) ................ (0.20) 1.56 (3.75) 2.67 3.37 -------- -------- -------- -------- -------- Total income (loss) from investment operations.. (0.15) 1.64 (3.62) 2.75 3.52 -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income ............... (0.04) (0.29) (0.03) (0.12) (0.15) Distributions from net realized gains .................. (0.69) (1.35) (1.77) (1.12) (1.13) -------- -------- -------- -------- -------- Total distributions ............................ (0.73) (1.64) (1.80) (1.24) (1.28) -------- -------- -------- -------- -------- Net asset value, end of period ............................. $ 15.09 $ 15.97 $ 15.97 $ 21.39 $ 19.88 ======== ======== ======== ======== ======== Total return ............................................... (0.85)%++ 10.63% (17.24)% 14.75% 21.10% Ratios/Supplemental data: Net assets, end of period (in 000s) .................... $ 12,647 $ 7,067 $ 7,191 $ 7,563 $ 268 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ... 1.14%*** 1.17% 1.09% 1.05% 1.05% After expense reimbursement and earnings credits .... 1.05%*** 1.05% 1.05% 1.05% 1.05% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ... 0.52%*** 0.37% 0.64% 0.57% 0.87% After expense reimbursement and earnings credits .... 0.61%*** 0.49% 0.68% 0.57% 0.87% Portfolio turnover rate ................................ 33% 54% 55% 48% 42% ------------------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS B (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period .......................................................................... $ 14.76 --------- Income from investment operations: Net investment income ..................................................................................... 0.00** Net realized and unrealized gain .......................................................................... 1.04 --------- Total income from investment operations ........................................................... 1.04 --------- Less distributions: Distributions from net investment income .................................................................. (0.04) Distributions from net realized gains ..................................................................... (0.69) --------- Total distributions ............................................................................... (0.73) --------- Net asset value, end of period ................................................................................ $ 15.07 ========= Total return ...................................................................................... 7.14%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ....................................................................... $ 111 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ...................................................... 2.92%*** After expense reimbursement and earnings credits ....................................................... 1.80%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ...................................................... (1.04)%*** After expense reimbursement and earnings credits ....................................................... 0.08%*** Portfolio turnover rate ................................................................................... 33% ------------------------------------------------------------------------------------------------------------------------------------
* For the period November 5, 2001 (commencement of issuance) through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. -------------------------------------------------------------------------------- 104 See accompanying notes to financial statements. U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS C (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period .......................................................................... $ 15.20 --------- Income from investment operations: Net investment income ..................................................................................... 0.00** Net realized and unrealized gain .......................................................................... 0.61 --------- Total income from investment operations ........................................................... 0.61 --------- Less distributions: Distributions from net investment income .................................................................. (0.04) Distributions from net realized gains ..................................................................... (0.69) --------- Total distributions ............................................................................... (0.73) --------- Net asset value, end of period ................................................................................ $ 15.08 ========= Total return .................................................................................................. 4.10%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ....................................................................... $ 41 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ...................................................... 1.98%*** After expense reimbursement and earnings credits ....................................................... 1.80%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ...................................................... (0.18)%*** After expense reimbursement and earnings credits ....................................................... 0.00%*** Portfolio turnover rate ................................................................................... 33% ------------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, ---------------------------------------------------------------- CLASS Y (FORMERLY CLASS I) 2001 (UNAUDITED) 2001 2000 1999 1998 1997 ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ........... $ 16.07 $ 16.07 $ 21.48 $ 19.91 $ 17.64 $ 14.59 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income ...................... 0.07** 0.12** 0.16** 0.17** 0.19 0.15 Net realized and unrealized gain (loss) .... (0.18) 1.57 (3.75) 2.67 3.39 4.27 -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations ....................... (0.11) 1.69 (3.59) 2.84 3.58 4.42 -------- -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income ... (0.06) (0.34) (0.05) (0.15) (0.18) (0.14) Distributions from net realized gains ...... (0.69) (1.35) (1.77) (1.12) (1.13) (1.23) -------- -------- -------- -------- -------- -------- Total distributions ................ (0.75) (1.69) (1.82) (1.27) (1.31) (1.37) -------- -------- -------- -------- -------- -------- Net asset value, end of period ................. $ 15.21 $ 16.07 $ 16.07 $ 21.48 $ 19.91 $ 17.64 ======== ======== ======== ======== ======== ======== Total return ................................... (0.72)%+ 10.88% (17.00)% 15.22% 21.48% 31.87% Ratios/Supplemental data: Net assets, end of period (in 000s) ........ $107,802 $125,997 $167,870 $713,321 $605,768 $337,949 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ...................... 0.88%*** 0.92% 0.84% 0.80% 0.80% 0.89% After expense reimbursement and earnings credits ...................... 0.80%*** 0.80% 0.80% 0.80% 0.80% 0.80% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ...................... 0.78%*** 0.62% 0.89% 0.82% 1.12% 1.06% After expense reimbursement and earnings credits ...................... 0.86%*** 0.74% 0.93% 0.82% 1.12% 1.15% Portfolio turnover rate .................... 33% 54% 55% 48% 42% 43% ------------------------------------------------------------------------------------------------------------------------------------
* For the period November 13, 2001 (commencement of issuance) through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. + The total return calculation is non-annualized. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 105 U.S. LARGE CAP EQUITY FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
SIX MONTHS PERIOD FROM ENDED YEAR ENDED JUNE 30, APRIL 6, 1998* DECEMBER 31, -------------------------------- TO CLASS A (FORMERLY CLASS N) 2001 (UNAUDITED) 2001 2000 1999 JUNE 30, 1998 --------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ....................... $ 8.24 $ 7.51 $ 11.13 $ 9.78 $ 10.00 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income .................................. 0.05** 0.06** 0.07** 0.09** 0.02 Net realized and unrealized gain (loss) ................ (0.20) 0.82 (2.68) 1.31 (0.23) -------- -------- -------- -------- -------- Total income (loss) from investment operations.. (0.15) 0.88 (2.61) 1.40 (0.21) -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income ............... (0.04) (0.15) (0.06) (0.05) (0.01) Distributions from net realized gains .................. -- -- (0.95) -- -- -------- -------- -------- -------- -------- Total distributions ............................ (0.04) (0.15) (1.01) (0.05) (0.01) -------- -------- -------- -------- -------- Net asset value, end of period ............................. $ 8.05 $ 8.24 $ 7.51 $ 11.13 $ 9.78 ======== ======== ======== ======== ======== Total return ............................................... (1.87)%++ 11.74% (24.12)% 14.40% (2.02)%+ Ratios/Supplemental data: Net assets, end of period (in 000s) .................... $ 280 $ 20 $ 35 $ 3,756 $ 16,033 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ... 2.41%*** 2.28% 1.52% 1.54% 1.84%*** After expense reimbursement and earnings credits .... 1.05%*** 1.05% 1.05% 1.05% 1.05%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ... 0.11%*** (0.49)% 0.45% 0.32% 0.27%*** After expense reimbursement and earnings credits .... 1.47%*** 0.74% 0.92% 0.81% 1.06%*** Portfolio turnover rate ................................ 175% 94% 174% 88% 12% ------------------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED DECEMBER 31, 2001+++ CLASS B (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................ $ 7.85 --------- Income from investment operations: Net investment income ................................................................................... 0.08** Net realized and unrealized gain ........................................................................ 0.16 --------- Total income from investment operations ......................................................... 0.24 --------- Less distributions: Distributions from net investment income ................................................................ (0.04) --------- Net asset value, end of period .............................................................................. $ 8.05 ========= Total return ................................................................................................ 3.00%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................................... $ 143 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................................... 4.41%*** After expense reimbursement and earnings credits ..................................................... 1.80%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits .................................................... 9.66%*** After expense reimbursement and earnings credits ..................................................... 12.27%*** Portfolio turnover rate ................................................................................. 175% ------------------------------------------------------------------------------------------------------------------------------------
* Commencement of investment operations. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. + The total return calculation is non-annualized. +++ For the period November 28, 2001 (commencement of issuance) through December 31, 2001. -------------------------------------------------------------------------------- 106 See accompanying notes to financial statements. U.S. LARGE CAP EQUITY FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
SIX MONTHS PERIOD FROM ENDED YEAR ENDED JUNE 30, APRIL 6, 1998* DECEMBER 31, ---------------------------------- TO CLASS Y (FORMERLY CLASS I) 2001 (UNAUDITED) 2001 2000 1999 JUNE 30, 1998 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ....................... $ 8.18 $ 7.48 $ 11.13 $ 9.80 $ 10.00 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income .................................. 0.06** 0.08** 0.09** 0.11** 0.02 Net realized and unrealized gain (loss) ................ (0.20) 0.82 (2.68) 1.31 (0.20) -------- -------- -------- -------- -------- Total income (loss) from investment operations.. (0.14) 0.90 (2.59) 1.42 (0.18) -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income ............... (0.04) (0.20) (0.11) (0.09) (0.02) Distributions from net realized gains .................. -- -- (0.95) -- -- -------- -------- -------- -------- -------- Total distributions ............................ (0.04) (0.20) (1.06) (0.09) (0.02) -------- -------- -------- -------- -------- Net asset value, end of period ............................. $ 8.00 $ 8.18 $ 7.48 $ 11.13 $ 9.80 ======== ======== ======== ======== ======== Total return ............................................... (1.76)%+ 12.12% (23.95)% 14.54% (1.83)%+ Ratios/Supplemental data: Net assets, end of period (in 000s) .................... $ 2,730 $ 2,859 $ 15,758 $ 22,668 $ 154 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ... 1.96%*** 2.03% 1.27% 1.29% 1.59%*** After expense reimbursement and earnings credits .... 0.80%*** 0.80% 0.80% 0.80% 0.80%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ... 0.56%*** (0.25)% 0.70% 0.57% 0.52%*** After expense reimbursement and earnings credits .... 1.72%*** 0.98% 1.17% 1.06% 1.31%*** Portfolio turnover rate ................................ 175% 94% 174% 88% 12% ------------------------------------------------------------------------------------------------------------------------------------
* Commencement of investment operations. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. + The total return calculation is non-annualized. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 107 U.S. LARGE CAP GROWTH FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
PERIOD FROM SIX MONTHS DECEMBER 31, 1998* ENDED YEAR ENDED JUNE 30, TO JUNE 30, DECEMBER 31, -------------------------------------------- CLASS A (FORMERLY CLASS N) 2001 (UNAUDITED) 2001 2000 1999 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ............................. $ 8.90 $ 15.20 $ 13.88 $ 11.84 -------- -------- -------- -------- Income (loss) from investment operations: Net investment loss .......................................... (0.00)** (0.07) (0.02)** (0.01) Net realized and unrealized gain (loss) ...................... (0.84) (4.32) 2.29 2.05 -------- -------- -------- -------- Total income (loss) from investment operations ....... (0.84) (4.39) 2.27 2.04 -------- -------- -------- -------- Less distributions: Distributions from net realized gains ........................ (0.05) (1.91) (0.95) -- -------- -------- -------- -------- Net asset value, end of period ................................... $ 8.01 $ 8.90 $ 15.20 $ 13.88 ======== ======== ======== ======== Total return ..................................................... (9.47)%++ (31.59)% 17.18% 17.23%+ Ratios/Supplemental data: Net assets, end of period (in 000s) .......................... $ 2,267 $ 1 $ 1 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ......... 2.53%*** 1.59% 2.11% 2.63%*** After expense reimbursement and earnings credits .......... 1.05%*** 1.05% 1.05% 1.05%*** Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits ......... (1.52)%*** (0.91)% (1.22)% (1.51)%*** After expense reimbursement and earnings credits .......... (0.04)%*** (0.37)% (0.16)% 0.07% *** Portfolio turnover rate ...................................... 43% 56% 86% 51% ------------------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED DECEMBER 31, 2001+++ CLASS B (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................ $ 7.86 --------- Income from investment operations: Net investment income ................................................................................... 0.00** Net realized and unrealized gain ........................................................................ 0.20 --------- Total income from investment operations ......................................................... 0.20 --------- Less distributions: Distributions from net realized gains ................................................................... (0.05) --------- Net asset value, end of period .............................................................................. $ 8.01 ========= Total return ................................................................................................ 2.51%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................................... $ 95 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................................... 3.87%*** After expense reimbursement and earnings credits ..................................................... 1.80%*** Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits .................................................... (1.80)%*** After expense reimbursement and earnings credits ..................................................... 0.27%*** Portfolio turnover rate ................................................................................. 43% ------------------------------------------------------------------------------------------------------------------------------------
* Commencement of investment operations. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. + The total return calculation is non-annualized. +++ For the period November 7, 2001 (commencement of issuance) through December 31, 2001. -------------------------------------------------------------------------------- 108 See accompanying notes to financial statements. U.S. LARGE CAP GROWTH FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
FOR THE PERIOD ENDED DECEMBER 31, 2001+++ CLASS C (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ....................................................................... $ 8.18 --------- Income (loss) from investment operations: Net investment loss .................................................................................... (0.00)** Net realized and unrealized loss ....................................................................... (0.12) --------- Total income (loss) from investment operations ................................................. (0.12) --------- Less distributions: Distributions from net realized gains .................................................................. (0.05) --------- Net asset value, end of period ............................................................................. $ 8.01 ========= Total return ............................................................................................... (1.50)%++ Ratios/Supplemental data: Net assets, end of period (in 000s) .................................................................... $ 652 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ................................................... 3.92%*** After expense reimbursement and earnings credits .................................................... 1.80%*** Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits ................................................... (2.70)%*** After expense reimbursement and earnings credits .................................................... (0.58)%*** Portfolio turnover rate ................................................................................ 43% ------------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS PERIOD FROM ENDED YEAR ENDED JUNE 30, ENDED YEAR ENDED OCTOBER 14, 1997* DECEMBER 31, -------------------- JUNE 30, DECEMBER 31, TO CLASS Y (FORMERLY CLASS I) 2001 (UNAUDITED) 2001 2000 1999(a) 1998(b) DECEMBER 31, 1997 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........ $ 8.99 $ 15.28 $ 13.91 $ 11.84 $ 9.92 $ 10.00 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income (loss) ................ (0.00)** (0.01) 0.03** 0.02 0.06 0.02 Net realized and unrealized gain (loss).. (0.83) (4.37) 2.29 2.05 2.38 (0.08) -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations ........ (0.83) (4.38) 2.32 2.07 2.44 (0.06) -------- -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income. -- -- -- -- (0.06) (0.02) Distributions from net realized gains.... (0.05) (1.91) (0.95) -- (0.46) -- -------- -------- -------- -------- -------- -------- Total distributions ............. (0.05) (1.91) (0.95) -- (0.52) (0.02) -------- -------- -------- -------- -------- -------- Net asset value, end of period .............. $ 8.11 $ 8.99 $ 15.28 $ 13.91 $ 11.84 $ 9.92 ======== ======== ======== ======== ======== ======== Total return ................................ (9.26)%+ (31.33)% 17.52% 17.48%+ 24.90% (0.55)%+ Ratios/Supplemental data: Net assets, end of period (in 000s) ..... $ 2,632 $ 3,299 $ 5,885 $ 2,947 $ 4,147 $ 4,137 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ............ 2.08%*** 1.34% 1.86% 2.38%*** 2.76% 8.54%*** After expense reimbursement and earnings credits ............ 0.80%*** 0.80% 0.80% 0.80%*** 0.99% 1.00%*** Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits ............ (1.33)%*** (0.66)% (0.97)% (1.26)%*** (1.40)% (6.19)%*** After expense reimbursement and earnings credits ............ (0.04)%*** (0.12)% 0.09% 0.32% *** 0.37% 1.35% *** Portfolio turnover rate ................. 43% 56% 86% 51% N/A N/A ------------------------------------------------------------------------------------------------------------------------------------
* Commencement of investment operations. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. + The total return calculation is non-annualized. ++ The returns do not include sales charges and are non-annualized. +++ For the period November 19, 2001 (commencement of issuance) through December 31, 2001. (a) Reflects the Fund's change in fiscal year end from December 31 to June 30. (b) Reflects 10 for 1 share split effective December 9, 1998. N/A = Information is not available for periods prior to reorganization. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 109 U.S. SMALL CAP GROWTH FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
PERIOD FROM SIX MONTHS DECEMBER 31, 1998* ENDED YEAR ENDED JUNE 30, TO JUNE 30, DECEMBER 31, ------------------------------------------ CLASS A (FORMERLY CLASS N) 2001 (UNAUDITED) 2001 2000 1999 --------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ............................. $ 11.76 $ 16.20 $ 9.16 $ 8.80 -------- -------- -------- -------- Income (loss) from investment operations: Net investment loss .......................................... (0.05)** (0.09) (0.08)** (0.04) Net realized and unrealized gain (loss) ...................... (0.65) (1.52) 7.12 0.40 -------- -------- -------- -------- Total income (loss) from investment operations ....... (0.70) (1.61) 7.04 0.36 -------- -------- -------- -------- Less distributions: Distributions from net realized gains ........................ (0.44) (2.83) -- -- -------- -------- -------- -------- Net asset value, end of period ................................... $ 10.62 $ 11.76 $ 16.20 $ 9.16 ======== ======== ======== ======== Total return ..................................................... (5.91)%++ (11.00)% 76.86% 4.09%+ Ratios/Supplemental data: Net assets, end of period (in 000s) .......................... $ 1,621 $ 2 $ 2 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ......... 1.64%*** 1.48% 1.56% 1.57%*** After expense reimbursement and earnings credits .......... 1.40%*** 1.40% 1.40% 1.40%*** Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits ......... (1.26)%*** (0.87)% (1.01)% (0.87)%*** After expense reimbursement and earnings credits .......... (1.02)%*** (0.79)% (0.85)% (0.70)%*** Portfolio turnover rate ...................................... 41% 93% 104% 71% ---------------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED DECEMBER 31, 2001+++ CLASS B (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................ $ 10.18 --------- Income from investment operations: Net investment loss ..................................................................................... (0.01)** Net realized and unrealized gain ........................................................................ 0.89 --------- Total income from investment operations ......................................................... 0.88 --------- Less distributions: Distributions from net realized gains ................................................................... (0.44) --------- Net asset value, end of period .............................................................................. $ 10.62 ========= Total return ................................................................................................ 8.69%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................................... $ 151 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................................... 4.83%*** After expense reimbursement and earnings credits ..................................................... 2.15%*** Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits .................................................... (3.53)%*** After expense reimbursement and earnings credits ..................................................... (0.85)%*** Portfolio turnover rate ................................................................................. 41% ------------------------------------------------------------------------------------------------------------------------------------
* Commencement of investment operations. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. + The total return calculation is non-annualized. +++ For the period November 7, 2001 (commencement of issuance) through December 31, 2001. -------------------------------------------------------------------------------- 110 See accompanying notes to financial statements. U.S. SMALL CAP GROWTH FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
FOR THE PERIOD ENDED DECEMBER 31, 2001+++ CLASS C (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................ $ 10.37 --------- Income from investment operations: Net investment loss ..................................................................................... (0.01)** Net realized and unrealized gain ........................................................................ 0.69 --------- Total income from investment operations ......................................................... 0.68 --------- Less distributions: Distributions from net realized gains ................................................................... (0.44) --------- Net asset value, end of period .............................................................................. $ 10.61 ========= Total return ................................................................................................ 6.70%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................................... $ 63 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................................... 2.65%*** After expense reimbursement and earnings credits ..................................................... 2.15%*** Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits .................................................... (0.99)%*** After expense reimbursement and earnings credits ..................................................... (0.49)%*** Portfolio turnover rate ................................................................................. 41% ------------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS PERIOD FROM ENDED YEAR ENDED JUNE 30, ENDED YEAR ENDED SEPTEMBER 30, 1997* DECEMBER 31, -------------------- JUNE 30, DECEMBER 31, TO CLASS Y (FORMERLY CLASS I) 2001 (UNAUDITED) 2001 2000 1999(a) 1998(b) DECEMBER 31, 1997 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period........ $ 11.86 $ 16.27 $ 9.18 $ 8.80 $ 9.44 $ 10.00 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income (loss)............ (0.04)** (0.07) (0.03)** (0.02) (0.02) -- Net realized and unrealized gain (loss). (0.63) (1.51) 7.12 0.40 (0.57) (0.56) -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations........ (0.67) (1.58) 7.09 0.38 (0.59) (0.56) -------- -------- -------- -------- -------- -------- Less distributions: Distributions from net realized gains... (0.44) (2.83) -- -- (0.05) -- -------- -------- -------- -------- -------- -------- Net asset value, end of period ............. $ 10.75 $ 11.86 $ 16.27 $ 9.18 $ 8.80 $ 9.44 ======== ======== ======== ======== ======== ======== Total return ............................... (5.61)%+ (10.74)% 77.23% 4.32%+ (6.70)% (5.62)%+ Ratios/Supplemental data: Net assets, end of period (in 000s)..... $ 37,595 $ 44,057 $ 50,975 $ 35,211 $ 22,607 $ 11,954 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ........... 1.37%*** 1.23% 1.31% 1.32%*** 1.69% 3.63%*** After expense reimbursement and earnings credits ............... 1.15%*** 1.15% 1.15% 1.15%*** 1.20% 1.20%*** Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits ........... (0.98)%*** (0.62)% (0.76)% (0.62)%*** (0.76)% (2.53)%*** After expense reimbursement and earnings credits ............... (0.76)%*** (0.54)% (0.60)% (0.45)%*** (0.27)% (0.10)%*** Portfolio turnover rate ................ 41% 93% 104% 71% N/A N/A ------------------------------------------------------------------------------------------------------------------------------------
* Commencement of investment operations. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. + The total return calculation is non-annualized. ++ The returns do not include sales charges and are non-annualized. +++ For the period November 10, 2001 (commencement of issuance) through December 31, 2001. (a) Reflects the Fund's change in fiscal year end from December 31 to June 30. (b) Reflects 10 for 1 share split effective December 9, 1998. N/A = Information is not available for periods prior to reorganization. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 111 U.S. BOND FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, ---------------------------------------------------- CLASS A (FORMERLY CLASS N) 2001 (UNAUDITED) 2001 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ....................... $ 10.33 $ 9.99 $ 10.30 $ 10.58 $ 10.24 -------- -------- -------- -------- -------- Income from investment operations: Net investment income .................................. 0.27** 0.62** 0.58** 0.57** 0.61 Net realized and unrealized gain (loss) ................ 0.24 0.41 (0.25) (0.26) 0.42 -------- -------- -------- -------- -------- Total income from investment operations ........ 0.51 1.03 0.33 0.31 1.03 -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income ............... (0.41) (0.69) (0.64) (0.44) (0.55) Distributions from net realized gains .................. -- -- -- (0.15) (0.14) -------- -------- -------- -------- -------- Total distributions ............................ (0.41) (0.69) (0.64) (0.59) (0.69) -------- -------- -------- -------- -------- Net asset value, end of period ............................. $ 10.43 $ 10.33 $ 9.99 $ 10.30 $ 10.58 ======== ======== ======== ======== ======== Total return ............................................... 4.89%++ 10.56% 3.29% 2.88% 10.30% Ratios/Supplemental data: Net assets, end of period (in 000s) .................... $ 4,358 $ 123 $ 1 $ 1 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ... 0.97%*** 0.98% 0.92% 0.86% 1.09% After expense reimbursement and earnings credits .... 0.85%*** 0.85% 0.85% 0.85% 0.85% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ... 4.96%*** 5.86% 5.87% 5.17% 5.36% After expense reimbursement and earnings credits .... 5.08%*** 5.99% 5.94% 5.18% 5.60% Portfolio turnover rate ................................ 327% 314% 170% 260% 198% ------------------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS B (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ......................................................................... $ 10.81 --------- Income (loss) from investment operations: Net investment income .................................................................................... 0.09** Net realized and unrealized loss ......................................................................... (0.38) --------- Total loss from investment operations ............................................................ (0.29) --------- Less distributions: Distributions from net investment income ................................................................. (0.10) --------- Net asset value, end of period ............................................................................... $ 10.42 ========= Total return ................................................................................................. (2.73)%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ...................................................................... $ 87 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ..................................................... 1.80%*** After expense reimbursement and earnings credits ...................................................... 1.60%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ..................................................... 4.85%*** After expense reimbursement and earnings credits ...................................................... 5.05%*** Portfolio turnover rate .................................................................................. 327% ------------------------------------------------------------------------------------------------------------------------------------
* For the period November 6, 2001 (commencement of issuance) through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. -------------------------------------------------------------------------------- 112 See accompanying notes to financial statements. U.S. BOND FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS C (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................ $ 10.77 --------- Income (loss) from investment operations: Net investment income ................................................................................... 0.10** Net realized and unrealized loss ........................................................................ (0.35) --------- Total loss from investment operations ........................................................... (0.25) --------- Less distributions: Distributions from net investment income ................................................................ (0.10) --------- Net asset value, end of period .............................................................................. $ 10.42 ========= Total return ................................................................................................ (2.30)%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................................... $ 933 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................................... 1.62%*** After expense reimbursement and earnings credits ..................................................... 1.35%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits .................................................... 5.50%*** After expense reimbursement and earnings credits ..................................................... 5.77%*** Portfolio turnover rate ................................................................................. 327% ------------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, --------------------------------------------------------------- CLASS Y (FORMERLY CLASS I) 2001 (UNAUDITED) 2001 2000 1999 1998 1997 ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ........... $ 10.35 $ 10.00 $ 10.28 $ 10.58 $ 10.24 $ 9.93 -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income ...................... 0.28** 0.64** 0.62** 0.58** 0.53 0.51** Net realized and unrealized gain (loss) .... 0.22 0.42 (0.25) (0.26) 0.53 0.32 -------- -------- -------- -------- -------- -------- Total income from investment operations ....................... 0.50 1.06 0.37 0.32 1.06 0.83 -------- -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income ... (0.41) (0.71) (0.65) (0.47) (0.58) (0.52) Distributions from net realized gains ...... -- -- -- (0.15) (0.14) -- -------- -------- -------- -------- -------- -------- Total distributions ................ (0.41) (0.71) (0.65) (0.62) (0.72) (0.52) -------- -------- -------- -------- -------- -------- Net asset value, end of period ................. $ 10.44 $ 10.35 $ 10.00 $ 10.28 $ 10.58 $ 10.24 ======== ======== ======== ======== ======== ======== Total return ................................... 4.85%+ 10.86% 3.74% 2.97% 10.60% 8.45% Ratios/Supplemental data: Net assets, end of period (in 000s) ........ $ 73,095 $ 62,514 $ 58,121 $ 92,030 $ 38,874 $ 22,421 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ................... 0.73%*** 0.73% 0.67% 0.61% 0.84% 1.65% After expense reimbursement and earnings credits ...................... 0.60%*** 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ................... 5.17%*** 6.11% 6.12% 5.42% 5.61% 5.14% After expense reimbursement and earnings credits ...................... 5.30%*** 6.24% 6.19% 5.43% 5.85% 6.19% Portfolio turnover rate .................... 327% 314% 170% 260% 198% 410% ------------------------------------------------------------------------------------------------------------------------------------
* For the period November 8, 2001 (commencement of issuance) through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. + The total return calculation is non-annualized. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 113 HIGH YIELD FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
SIX MONTHS PERIOD FROM ENDED YEAR ENDED JUNE 30, DECEMBER 31, 1998* DECEMBER 31, -------------------- TO JUNE 30, CLASS A (FORMERLY CLASS N) 2001 (UNAUDITED) 2001 2000 1999 --------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ............................ $ 7.87 $ 9.18 $ 9.95 $ 9.98 -------- -------- -------- -------- Income (loss) from investment operations: Net investment income ....................................... 0.40** 0.85** 0.90** 0.42** Net realized and unrealized loss ............................ (0.24) (1.08) (0.90) (0.15) -------- -------- -------- -------- Total income (loss) from investment operations ...... 0.16 (0.23) -- 0.27 -------- -------- -------- -------- Less distributions: Distributions from net investment income .................... (0.95) (1.08) (0.70) (0.30) Distributions from net realized gains ....................... -- -- (0.07) -- -------- -------- -------- -------- Total distributions ................................. (0.95) (1.08) (0.77) (0.30) -------- -------- -------- -------- Net asset value, end of period .................................. $ 7.08 $ 7.87 $ 9.18 $ 9.95 ======== ======== ======== ======== Total return .................................................... 2.44%++ (2.28)% (0.13)% 2.71%+++ Ratios/Supplemental data: Net assets, end of period (in 000s) ......................... $ 77,605 $ 1 $ 1 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ........ 1.07%*** 1.14% 1.11% 1.08%*** After expense reimbursement and earnings credits ......... 0.95%*** 0.97%+ 0.95% 0.95%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ........ 11.52%*** 9.65% 9.06% 8.29%*** After expense reimbursement and earnings credits ......... 11.64%*** 9.82% 9.22% 8.42%*** Portfolio turnover rate ..................................... 60% 87% 73% 77% ------------------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED DECEMBER 31, 2001(a) CLASS B (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................ $ 7.02 --------- Income from investment operations: Net investment income ................................................................................... 0.10** Net realized and unrealized loss ........................................................................ 0.13 --------- Total income from investment operations ......................................................... 0.23 --------- Less distributions: Distributions from net investment income ................................................................ (0.17) --------- Net asset value, end of period .............................................................................. $ 7.08 ========= Total return .................................................................................... 3.34%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................................... $ 18,196 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................................... 1.81%*** After expense reimbursement and earnings credits ..................................................... 1.70%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits .................................................... 10.76%*** After expense reimbursement and earnings credits ..................................................... 10.87%*** Portfolio turnover rate ................................................................................. 60% ------------------------------------------------------------------------------------------------------------------------------------
* Commencement of investment operations. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. + The ratio of net operating expenses to average net assets for Class A was 0.95%. +++ The total return calculation is non-annualized. (a) For the period November 7, 2001 (commencement of issuance) through December 31, 2001. -------------------------------------------------------------------------------- 114 See accompanying notes to financial statements. HIGH YIELD FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
FOR THE PERIOD ENDED DECEMBER 31, 2001(c) CLASS C (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................ $ 7.02 --------- Income from investment operations: Net investment income ................................................................................... 0.11** Net realized and unrealized loss ........................................................................ 0.13 --------- Total income from investment operations ......................................................... 0.24 --------- Less distributions: Distributions from net investment income ................................................................ (0.18) --------- Net asset value, end of period .............................................................................. $ 7.08 ========= Total return ................................................................................................ 3.37%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................................... $ 20,223 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................................... 1.56%*** After expense reimbursement and earnings credits ..................................................... 1.45%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits .................................................... 11.07%*** After expense reimbursement and earnings credits ..................................................... 11.18%*** Portfolio turnover rate ................................................................................. 60% ------------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS PERIOD FROM ENDED YEAR ENDED JUNE 30, ENDED YEAR ENDED SEPTEMBER 30, 1997* DECEMBER 31, -------------------- JUNE 30, DECEMBER 31, TO CLASS Y (FORMERLY CLASS I) 2001 (UNAUDITED) 2001 2000 1999(a) 1998(b) DECEMBER 31, 1997 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........ $ 7.90 $ 9.19 $ 9.96 $ 9.98 $ 10.05 $ 10.00 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income ................... 0.41** 0.88** 0.91** 0.44** 7.30 0.18 Net realized and unrealized gain (loss) (0.25) (1.08) (0.90) (0.15) 0.02 0.05 -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations ........ 0.16 (0.20) 0.01 0.29 7.32 0.23 -------- -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income. (0.95) (1.09) (0.71) (0.31) (7.33) (0.18) Distributions from net realized gains.... -- -- (0.07) -- (0.06) -- -------- -------- -------- -------- -------- -------- Total distributions.............. (0.95) (1.09) (0.78) (0.31) (7.39) (0.18) -------- -------- -------- -------- -------- -------- Net asset value, end of period............... $ 7.11 $ 7.90 $ 9.19 $ 9.96 $ 9.98 $ 10.05 ======== ======== ======== ======== ======== ======== Total return ................................ 2.49%+++ (1.83)% 0.02% 2.91%+++ 7.75% 2.34%+++ Ratios/Supplemental data: Net assets, end of period (in 000s)...... $ 24,732 $ 54,560 $ 50,845 $ 60,044 $ 34,900 $ 7,861 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits............. 0.81%*** 0.89% 0.86% 0.83%*** 1.59% 4.98%*** After expense reimbursement and earnings credits................. 0.70%*** 0.72%+ 0.70% 0.70%*** 0.89% 0.90%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits............. 10.66%*** 9.90% 9.31% 8.54%*** 7.38% 3.15%*** After expense reimbursement and earnings credits................. 10.77%*** 10.07% 9.47% 8.67%*** 8.08% 7.23%*** Portfolio turnover rate.................. 60% 87% 73% 77% N/A N/A ------------------------------------------------------------------------------------------------------------------------------------
* Commencement of investment operations. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. (a) Reflects the Fund's change in fiscal year end from December 31 to June 30. (b) Reflects 10 for 1 share split effective December 9, 1998. (c) For the period November 7, 2001 (commencement of issuance) through December 31, 2001. + The ratio of net operating expenses to average net assets for Class Y was 0.70%. +++ The total return calculation is non-annualized. N/A = Information is not available for periods prior to reorganization. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 115 INTERNATIONAL EQUITY FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED.
SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, ---------------------------------------------------- CLASS A (FORMERLY CLASS N) 2001 (UNAUDITED) 2001 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ....................... $ 10.61 $ 13.57 $ 12.30 $ 12.14 $ 12.59 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income .................................. (0.00)** --** 0.08** 0.12 0.16 Net realized and unrealized gain (loss) ................ (0.70) (2.15) 1.33 0.27 0.29 -------- -------- -------- -------- -------- Total income (loss) from investment operations.. (0.70) (2.15) 1.41 0.39 0.45 -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income ............... (0.27) (0.04) -- (0.11) (0.16) Distributions from net realized gains .................. (1.60) (0.77) (0.14) (0.12) (0.74) -------- -------- -------- -------- -------- Total distributions ............................ (1.87) (0.81) (0.14) (0.23) (0.90) -------- -------- -------- -------- -------- Net asset value, end of period ............................. $ 8.04 $ 10.61 $ 13.57 $ 12.30 $ 12.14 ======== ======== ======== ======== ======== Total return ............................................... (6.38)%++ (16.37)% 11.51% 3.30% 4.51% Ratios/Supplemental data: Net assets, end of period (in 000s) .................... $ 2,217 $ 301 $ 1 $ 15 $ 11 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ... 1.39%*** 1.31% 1.25% 1.24% 1.25% After expense reimbursement and earnings credits .... 1.25%*** 1.28%+++ 1.25%+ 1.24% 1.25% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ... (0.26)%*** 0.77% 0.64% 1.10% 1.27% After expense reimbursement and earnings credits .... (0.12)%*** 0.80% 0.64% 1.10% 1.27% Portfolio turnover rate ................................ 33% 62% 59% 74% 49% ------------------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS C (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................ $ 7.82 --------- Income from investment operations: Net investment income ................................................................................... 0.00** Net realized and unrealized gain ........................................................................ 2.18 --------- Total income from investment operations ......................................................... 2.18 --------- Less distributions: Distributions from net investment income ................................................................ (0.27) Distributions from net realized gains ................................................................... (1.60) --------- Total distributions ............................................................................. (1.87) --------- Net asset value, end of period .............................................................................. $ 8.13 ========= Total return ................................................................................................ 3.96%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................................... $ 98 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................................... 5.42%*** After expense reimbursement and earnings credits ..................................................... 2.00%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits .................................................... (4.27)%*** After expense reimbursement and earnings credits ..................................................... (0.85)%*** Portfolio turnover rate ................................................................................. 33% ------------------------------------------------------------------------------------------------------------------------------------
* For the period December 26, 2001 (commencement of issuance) through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. + The ratio of net operating expenses to average net assets for Class A was 1.24%. +++ The ratio of net operating expenses to average net assets for Class A was 1.25%. ++ The returns do not include sales charges and are non-annualized. -------------------------------------------------------------------------------- 116 See accompanying notes to financial statements. INTERNATIONAL EQUITY FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD PRESENTED
SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, ---------------------------------------------------------------- BRINSON CLASS Y (FORMERLY CLASS I) 2001 (UNAUDITED) 2001 2000 1999 1998 1997 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........... $ 10.64 $ 13.57 $ 12.34 $ 12.15 $ 12.59 $ 11.17 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income ...................... 0.02* 0.13* 0.11* 0.16 0.18 0.18 Net realized and unrealized gain (loss) .... (0.72) (2.25) 1.33 0.27 0.30 1.97 -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations ........... (0.70) (2.12) 1.44 0.43 0.48 2.15 -------- -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income ... (0.27) (0.04) (0.07) (0.12) (0.18) (0.17) Distributions from net realized gains ...... (1.60) (0.77) (0.14) (0.12) (0.74) (0.56) -------- -------- -------- -------- -------- -------- Total distributions ................ (1.87) (0.81) (0.21) (0.24) (0.92) (0.73) -------- -------- -------- -------- -------- -------- Net asset value, end of period ................. $ 8.07 $ 10.64 $ 13.57 $ 12.34 $ 12.15 $ 12.59 ======== ======== ======== ======== ======== ======== Total return ................................... (6.36)%++ (16.15)% 11.76% 3.65% 4.78% 20.27% Ratios/Supplemental data: Net assets, end of period (in 000s) ........ $127,561 $192,408 $411,985 $490,322 $439,329 $420,855 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits ................... 1.11%** 1.06% 1.00% 0.99% 1.00% 1.00% After expense reimbursement and earnings credits ................... 1.00%** 1.03%+++ 1.00%+ 0.99% 1.00% 1.00% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits ................... 0.32%** 1.02% 0.89% 1.35% 1.52% 1.83% After expense reimbursement and earnings credits ................... 0.43%** 1.05% 0.89% 1.35% 1.52% 1.83% Portfolio turnover rate .................... 33% 62% 59% 74% 49% 25% ------------------------------------------------------------------------------------------------------------------------------------
* The net investment income per share data was determined by using average shares outstanding throughout the period. ** Annualized. + The ratio of net operating expenses to average net assets for Class Y was 0.99%. +++ The ratio of net operating expenses to average net assets for Class Y was 1.00%. ++ The total return calculation is non-annualized. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 117 U.S. VALUE EQUITY FUND -- FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT THE PERIOD PRESENTED.
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS A (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................ $ 9.96 --------- Income from investment operations: Net investment income ................................................................................... 0.01** Net realized and unrealized gain ........................................................................ 0.00 --------- Total income from investment operations ......................................................... 0.01 --------- Net asset value, end of period .............................................................................. $ 9.97 ========= Total return .................................................................................... 0.10%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................................... $ 562 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................................... 4.96%*** After expense reimbursement and earnings credits ..................................................... 1.10%*** Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits .................................................... (2.59)%*** After expense reimbursement and earnings credits ..................................................... 1.27%*** Portfolio turnover rate ................................................................................. 19% ------------------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS B (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................ $ 9.62 --------- Income from investment operations: Net investment income ................................................................................... 0.00** Net realized and unrealized gain ........................................................................ 0.34 --------- Total income from investment operations ......................................................... 0.34 --------- Net asset value, end of period .............................................................................. $ 9.96 ========= Total return .................................................................................... 3.53%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................................... $ 177 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................................... 4.40%*** After expense reimbursement and earnings credits ..................................................... 1.85%*** Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits .................................................... (2.35)%*** After expense reimbursement and earnings credits ..................................................... 0.20%*** Portfolio turnover rate ................................................................................. 19% ------------------------------------------------------------------------------------------------------------------------------------
* For the periods December 7, 2001 and November 8, 2001 (commencement of issuance) for Class A and Class B, respectively, through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. -------------------------------------------------------------------------------- 118 See accompanying notes to financial statements. U.S. VALUE EQUITY FUND -- FINANCIAL HIGHLIGHTS ------------------------------------------------------------------------------- THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR ONE SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT THE PERIOD PRESENTED.
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS C (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................ $ 9.73 --------- Income from investment operations: Net investment loss ..................................................................................... (0.01)** Net realized and unrealized gain ........................................................................ 0.25 --------- Total income from investment operations ......................................................... 0.24 --------- Net asset value, end of period .............................................................................. $ 9.97 ========= Total return .................................................................................... 2.47%++ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................................... $ 26 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................................... 4.36%*** After expense reimbursement and earnings credits ..................................................... 1.85%*** Ratio of net investment loss to average net assets: Before expense reimbursement and earnings credits .................................................... (3.82)%*** After expense reimbursement and earnings credits ..................................................... (1.31)%*** Portfolio turnover rate ................................................................................. 19% ------------------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED DECEMBER 31, 2001* CLASS Y (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ........................................................................ $ 10.00 --------- Income (loss) from investment operations: Net investment income ................................................................................... 0.06** Net realized and unrealized loss ........................................................................ (0.09) --------- Total income (loss) from investment operations .................................................. (0.03) --------- Net asset value, end of period .............................................................................. $ 9.97 ========= Total return .................................................................................... (0.30)%+ Ratios/Supplemental data: Net assets, end of period (in 000s) ..................................................................... $ 2,992 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits .................................................... 2.88%*** After expense reimbursement and earnings credits ..................................................... 0.85%*** Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits .................................................... (0.86)%*** After expense reimbursement and earnings credits ..................................................... 1.17%*** Portfolio turnover rate ................................................................................. 19% ------------------------------------------------------------------------------------------------------------------------------------
* For the periods December 12, 2001 and June 29, 2001 (commencement of issuance) for Class C and Class Y, respectively, through December 31, 2001. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized. ++ The returns do not include sales charges and are non-annualized. + The total return calculation is non-annualized. -------------------------------------------------------------------------------- See accompanying notes to financial statements. 119 This page intentionally left blank. THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES The Brinson Funds (the "Trust") is an open-end, management investment company registered under the Investment Company Act of 1940, as amended, as a series company. The Trust currently offers shares of fourteen series: Global Balanced Fund (formerly Global Fund),Global Equity Fund, Global Technology Fund, Global Biotech Fund, Global Bond Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Large Cap Equity Fund, U.S. Large Cap Growth Fund, U.S. Small Cap Growth Fund, U.S. Bond Fund, High Yield Fund, International Equity Fund, and U.S. Value Equity Fund (each a "Fund" and collectively, the "Funds"). As of November 5, 2001, each Fund has four classes of shares outstanding, Class A, Class B, Class C and Class Y. There are an unlimited number of shares of each class with par value of $0.001 authorized. Each share represents an identical interest in the investments of the Funds and has the same rights. The UBS Investment Funds Class shares were liquidated effective November 9, 2001. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. A. INVESTMENT VALUATION: Securities for which market quotations are readily available are valued at the last available sales price on the exchange or market on which they are principally traded, or lacking any sales, at the last available bid price on the exchange or market on which such securities are principally traded. U.S. equity securities traded over-the-counter are valued at the most recent bid price. Investments in affiliated investment companies are valued at the daily closing net asset value of the respective fund. Debt securities are valued at the most recent bid price by using market quotations or independent pricing services. Securities for which market quotations are not readily available, including restricted securities which are subject to limitations on their sale, are valued at fair value as determined in good faith by or under the direction of the Trust's Board of Trustees. Futures contracts are valued at the settlement price established each day on the exchange on which they are traded. Forward foreign currency contracts are valued daily using quoted forward exchange rates. Short-term obligations with a maturity of 60 days or less are valued at amortized cost, which approximates market value. B. FOREIGN CURRENCY TRANSLATION: Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the WM/Reuters closing spot rates as of 4:00 p.m. London time. Purchases and sales of portfolio securities, commitments under forward foreign currency contracts and income receipts are translated at the prevailing exchange rate as of the date of each transaction. Realized and unrealized foreign exchange gains or losses on investments are included as a component of net realized and unrealized gain or loss on investments in the statements of operations. C. INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade date basis. Gains and losses on securities sold are determined on an identified cost basis. D. INVESTMENT INCOME: Interest income, which includes the amortization of premiums and accretion of discounts, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date, except that certain dividends from foreign securities are recorded as the information becomes available. E. FEDERAL INCOME TAXES: It is the policy of the Funds to comply with all requirements of the Internal Revenue Code (the "Code") applicable to regulated investment companies and to distribute substantially all of their taxable income to their shareholders. The Funds met the requirements of the Code applicable to regulated investment companies for the period ended December 31, 2001, therefore, no federal income tax provision was required. F. DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Funds to distribute their respective net investment income and net capital gains, if any, annually except for, U.S. Bond Fund, High Yield Fund and Global Bond Fund. These Funds will distribute their respective net income, if any, monthly. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States. These differences are primarily due to differing treatments for foreign currency transactions. Differences in dividends per share between the classes are due to service and distribution expenses. G. INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by each Fund will be borne on a pro rata basis by each of the classes. -------------------------------------------------------------------------------- 120 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- H. EARNINGS CREDITS: The Funds have entered into an arrangement with their custodian whereby interest earned on uninvested cash balances are used to offset a portion of the Fund's expenses. These amounts are reflected in the Statements of Operations. I. USE OF ESTIMATES: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimates. 2. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES Brinson Partners, Inc. (the "Advisor"), a registered investment advisor, provides the Funds with investment management services. As compensation for these services, each Fund pays the Advisor a monthly fee based on each Fund's respective average daily net assets. With respect to Global Technology Fund, Global Biotech Fund, U.S. Large Cap Growth Fund, U.S. Small Cap Growth Fund and High Yield Fund, UBS Asset Management (New York), Inc. (the "Sub-Advisor") is responsible for managing a portion of these Funds pursuant to a Sub-Investment Advisory Agreement (the "Sub-Advisory Agreement") with the Advisor. The Sub-Advisor receives 0.10% from the Advisor under the Sub-Advisory Agreement for providing services to the Advisor.
FUND ADVISORY FEE ---- ------------ Global Balanced Fund ...................................... 0.80% Global Equity Fund ........................................ 0.80 Global Technology Fund .................................... 1.40 Global Biotech Fund ....................................... 1.15 Global Bond Fund .......................................... 0.75 U.S. Balanced Fund ........................................ 0.70 U.S. Equity Fund .......................................... 0.70 U.S. Large Cap Equity Fund ................................ 0.70 U.S. Large Cap Growth Fund ................................ 0.70 U.S. Small Cap Growth Fund ................................ 1.00 U.S. Bond Fund ............................................ 0.50 High Yield Fund ........................................... 0.60 International Equity Fund ................................. 0.80 U.S. Value Equity ......................................... 0.70
The Advisor has agreed to waive its fees and reimburse each Fund to the extent that total annualized operating expenses exceed a specified percentage of each Fund's respective average daily net assets. The Advisor may recapture any amounts waived or reimbursed with respect to the Global Technology Fund and Global Biotech Fund subject to the following conditions: (1) the Advisor must request reimbursement within five years from the date on which the waiver and/or reimbursement was made, and (2) the Fund must be able to reimburse the Advisor and remain within the operating expense limits noted in the following chart. No amounts were recaptured by the Advisor during the period ended December 31, 2001. Investment advisory fees and other transactions for the period ended December 31, 2001, were as follows:
BRINSON BRINSON BRINSON BRINSON CLASS A CLASS B CLASS C CLASS Y ADVISORY FEES FUND EXPENSE CAP EXPENSE CAP EXPENSE CAP EXPENSE CAP FEES WAIVED ---- ----------- ----------- ----------- ----------- -------- -------- Global Balanced Fund ............ 1.35% 2.10% 2.10% 1.10% $648,713 $ -- Global Equity Fund .............. 1.25 2.00 2.00 1.00 241,898 42,723 Global Technology Fund .......... 1.80 2.55 2.55 1.55 11,014 28,321 Global Biotech Fund ............. 1.55 2.30 2.30 1.30 15,161 29,940 Global Bond Fund ................ 1.15 1.90 1.65 0.90 151,034 40,967 U.S. Balanced Fund. ............. 1.05 1.80 1.80 0.80 83,283 37,442 U.S. Equity Fund ................ 1.05 1.80 1.80 0.80 471,191 56,384 U.S. Large Cap Equity Fund ...... 1.05 1.80 1.80 0.80 28,617 41,838 U.S. Large Cap Growth Fund ...... 1.05 1.80 1.80 0.80 19,705 36,190 U.S. Small Cap Growth Fund ...... 1.40 2.15 2.15 1.15 189,256 41,849 U.S. Bond Fund .................. 0.85 1.60 1.35 0.60 217,185 28,516 High Yield Fund ................. 0.95 1.70 1.45 0.70 192,840 53,204 International Equity Fund ....... 1.25 2.00 2.00 1.00 668,113 80,866 U.S. Value Equity ............... 1.10 1.85 1.85 0.85 10,352 30,569
-------------------------------------------------------------------------------- 121 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- Certain officers of the Funds are also officers of the Advisor. All officers serve without direct compensation from the Funds. Trustees' fees paid to unaffiliated trustees for the period ended December 31, 2001, were as follows:
FUND FEES PAID ---- --------- Global Balanced Fund .......................................... $3,800 Global Equity Fund ............................................ 2,555 Global Technology Fund ........................................ 1,846 Global Biotech Fund ........................................... 1,846 Global Bond Fund .............................................. 2,395 U.S. Balanced Fund ............................................ 2,184 U.S. Equity Fund .............................................. 3,406 U.S. Large Cap Equity Fund .................................... 1,818 U.S. Large Cap Growth Fund .................................... 1,857 U.S. Small Cap Growth Fund .................................... 2,389 U.S. Bond Fund ................................................ 2,764 High Yield Fund ............................................... 2,563 International Equity Fund ..................................... 4,029 U.S. Value Equity ............................................. 1,650
The Global Balanced Fund invests in shares of certain affiliated investment companies also sponsored by the Advisor. These investments represented 19.55% of the Fund's net assets at December 31, 2001. Amounts relating to those investments at December 31, 2001 and for the year then ended, were as follows:
NET CHANGE IN SALES REALIZED NET UNREALIZED AFFILIATES PURCHASES PROCEEDS GAIN/(LOSS) GAIN/(LOSS) VALUE ---------- ----------- ----------- ----------- -------------- ----------- Brinson Small Capitalization Equity Fund ....... $ -- $ -- $ -- $ 39,371 $ 4,359,413 Brinson High Yield Fund ........................ 500,000 485,301 14,699 65,734 7,625,984 Brinson Emerging Markets Equity Fund ........... 6,570,000 4,719,983 (779,983) 2,243,075 10,700,103 Brinson Emerging Markets Debt Fund ............. -- -- -- 167,915 6,052,092 Brinson Supplementary Trust U.S. Cash Management Prime Fund ................ 73,651,735 77,399,096 -- -- 2,989,817
The following Funds invest in shares of the Brinson Supplementary Trust U.S. Cash Management Prime Fund ("Supplementary Trust"). The Supplementary Trust is a short-term investment vehicle managed by the Advisor. The Supplementary Trust is offered as a cash management option only to mutual funds and other accounts managed by the Advisor. The Supplementary Trust pays no management fees. Distributions received from the Supplementary Trust are reflected as interest income in the Statements of Operations. Amounts relating to those investments at December 31, 2001 and for the period ended December 31, 2001, were as follows:
% OF SALES INTEREST NET FUND PURCHASES PROCEEDS INCOME VALUE ASSETS ---- ------------- ------------- --------- ---------- ------ Global Balanced Fund ................. $ 73,651,735 $ 77,399,096 $ 68,251 $2,989,817 1.84% Global Equity Fund ................... 85,207,731 90,634,684 43,184 557,333 0.98 Global Bond Fund ..................... 9,842,658 9,863,278 13,665 1,071,684 2.78 U.S. Balanced Fund ................... 14,362,217 13,963,220 19,267 1,913,776 8.77 U.S. Equity Fund ..................... 36,165,477 39,898,311 54,907 -- -- U.S. Large Cap Equity Fund ........... 6,526 6,526 -- -- -- U.S. Small Cap Growth Fund ........... 23,823,071 24,804,746 31,380 1,829,073 4.64 U.S. Bond Fund ....................... 231,254,455 229,780,331 70,838 1,509,194 1.92 High Yield Fund ...................... 71,524,545 71,593,939 45,583 -- -- International Equity Fund ............ 378,336,957 413,147,445 183,298 -- --
-------------------------------------------------------------------------------- 122 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- The following Funds have incurred brokerage commissions with affiliated broker dealers as listed below. Amounts relating to those transactions at December 31, 2001, were as follows:
UBS/ UBSWARBURG LLC PAINEWEBBER, INC. -------------- ----------------- Global Balanced Fund ........................... $11,529 $ -- Global Equity Fund ............................. 6,093 -- Global Technology Fund ......................... 16,836 -- Global Biotech Fund ............................ -- 102 U.S. Balanced Fund ............................. 1,810 -- U.S. Equity Fund ............................... 40,506 -- U.S. Large Cap Equity Fund ..................... 1,318 -- U.S. Large Cap Growth Fund ..................... 277 -- U.S. Value Equity .............................. -- 35
3. INVESTMENT TRANSACTIONS Investment transactions for the period ended December 31, 2001, excluding short-term investments, were as follows:
SALES FUND PURCHASES PROCEEDS ---- ------------ ------------ Global Balanced Fund ............................ $103,317,995 $101,964,651 Global Equity Fund .............................. 42,380,413 51,441,678 Global Technology Fund .......................... 6,310,430 6,231,611 Global Biotech Fund ............................. 2,262,618 1,927,166 Global Bond Fund ................................ 21,364,134 21,505,828 U.S. Balanced Fund .............................. 17,067,498 22,063,255 U.S. Equity Fund ................................ 41,697,346 59,278,882 U.S. Large Cap Equity Fund ...................... 11,951,074 11,723,990 U.S. Large Cap Growth Fund ...................... 2,361,971 2,723,926 U.S. Small Cap Growth Fund ...................... 14,887,583 18,338,547 U.S. Bond Fund .................................. 283,288,335 272,794,867 High Yield Fund ................................. 34,518,500 40,708,068 International Equity Fund ....................... 51,369,853 66,894,351 U.S. Value Equity ............................... 1,236,095 578,061
4. FORWARD FOREIGN CURRENCY CONTRACTS The Funds may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. Forward foreign currency contracts are also used to achieve currency allocation strategies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The unrealized gain, if any, represents the credit risk to each Fund on a forward foreign currency contract. Fluctuations in the value of forward foreign currency contracts are recorded daily as net unrealized gains or losses. The Funds realize a gain or loss upon settlement of the contracts. The statements of operations reflects net realized and net unrealized gains and losses on these contracts. The counterparty to all forward foreign currency contracts during the period ended December 31, 2001, was the Funds' custodian. -------------------------------------------------------------------------------- 123 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 5. FUTURES CONTRACTS The Funds may purchase or sell exchange-traded futures contracts, which are contracts that obligate the Funds to make or take delivery of a financial instrument or the cash value of a securities index at a specified future date at a specified price. The Funds enter into such contracts to hedge a portion of their portfolio or equitize cash. Risks of entering into futures contracts include the possibility that there may be an illiquid market or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Funds are required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Funds, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires. The statements of operations reflects net realized and net unrealized gains and losses on these contracts. 6. SECURITY LENDING The Global Balanced Fund and International Equity Fund loaned securities to certain brokers, with the Funds' custodian acting as the Funds' lending agent. The Funds earned negotiated lenders' fees, which are included in securities lending-net in the statements of operations. The Funds receive cash and/or securities as collateral against the loaned securities. The cash collateral received is invested in interest bearing securities which are included in the schedule of investments. The Funds' monitor the market value of securities loaned on a daily basis and initially require collateral against the loaned securities in an amount at least equal to 102% of the value of domestic securities loaned and 105% of the value of foreign securities loaned. The value of loaned securities and related collateral outstanding at December 31, 2001, were as follows:
MARKET CASH COLLATERAL MARKET VALUE OF VALUE OF RECEIVED FOR INVESTMENTS SECURITIES SECURITIES OF CASH COLLATERAL LOANED LOANED RECEIVED ----------- --------------- ------------------ Global Balanced Fund ................... $21,962,243 $22,118,595 $21,982,479 International Equity Fund .............. 6,702,213 7,021,742 7,021,742
7. DISTRIBUTION PLANS Effective November 5, 2001, the Trust has adopted distribution and service plans (the "Plans") pursuant to Rule 12b-1 under the Investment Company Act of 1940, as amended, for Class A, Class B and Class C. Each Plan governs payments made for the expenses incurred in the promotion and distribution of Class A, Class B and Class C. Annual fees under the Plan are as follows as a percentage of the average daily netassets of the Class of each of the Funds:
FUND CLASS A CLASS B CLASS C ---- ------- ------- ------- Global Balanced Fund ................. 0.25% 1.00% 1.00% Global Equity Fund ................... 0.25 1.00 1.00 Global Technology Fund ............... 0.25 1.00 1.00 Global Biotech Fund .................. 0.25 1.00 1.00 Global Bond Fund ..................... 0.25 1.00 0.75 U.S. Balanced Fund ................... 0.25 1.00 1.00 U.S. Equity Fund ..................... 0.25 1.00 1.00 U.S. Large Cap Equity Fund ........... 0.25 1.00 1.00 U.S. Large Cap Growth Fund ........... 0.25 1.00 1.00 U.S. Small Cap Growth Fund ........... 0.25 1.00 1.00 U.S. Bond Fund ....................... 0.25 1.00 0.75 High Yield Fund ...................... 0.25 1.00 0.75 International Equity Fund ............ 0.25 1.00 1.00 U.S. Value Equity .................... 0.25 1.00 1.00
A. TRANSFER AGENCY SERVICES FEES As of August 20, 2001, the Funds changed transfer agents to PFPC, Inc., UBS/Painewebber and Brinson Advisors provides transfer agency related services to the Funds pursuant to a delegation of authority from PFPC, Inc., the Funds transfer agent, and is compensated for the services by PFPC, Inc., not the Fund. For the six months ended December 31, 2001, UBS/Painewebber received from PFPC, Inc., not the Fund, 0.60% of the total transfer agency and related service fees collected by PFPC, Inc. from the Fund. As of October 29, 2001, Class N and I have been redesignated Class A and Y, respectively. -------------------------------------------------------------------------------- 124 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 8. LINE OF CREDIT Effective September 10, 2001, the Trust has entered into an agreement with UBS AG, Stamford Branch to provide a 364-day $300 million committed line of credit to the Funds. Prior to September 10, 2001, the line of credit was provided by JPMorgan Chase Bank. Borrowings will be made for temporary purposes. Interest on amounts borrowed is calculated based on the Federal Funds Rate plus 0.40%. The Funds pay an annual commitment fee of 0.09% of the average daily balance of the line of credit not utilized. The average borrowings under the agreement for the period ended December 31, 2001, were as follows:
AVERAGE NUMBER OF DAYS INTEREST FUND BORROWINGS OUTSTANDING PAID ---- -------------- ---------------- ------------ U.S. Bond Fund .................... $7,244,444 36 $28,286 High Yield Fund ................... 3,485,714 14 3,884 U.S. Balanced Fund ................ 6,400,000 3 1,755
9. SHARES OF BENEFICIAL INTEREST For the six months ended December 31, 2001, transactions in shares of beneficial interest for each of the Funds were as follows:
NET INCREASE (DECREASE) SHARES DIVIDENDS IN SHARES CLASS A (FORMERLY CLASS N) SHARES SOLD REPURCHASED REINVESTED OUTSTANDING -------------------------- ------------- --------------- -------------- --------------- Global Balanced Fund ............... 510,765 (49,049) 43,233 504,949 Global Equity Fund ................. 2,235,925 (618,026) 40,866 1,658,765 Global Technology Fund ............. 166,858 -- -- 166,858 Global Biotech Fund ................ 94,909 (2,410) -- 92,499 Global Bond Fund ................... 109,964 (6,395) 531 104,100 U.S. Balanced Fund ................. 147,128 (287) 3,757 150,598 U.S. Equity Fund ................... 439,560 (54,701) 11,062 395,921 U.S. Large Cap Equity Fund ......... 32,195 -- 154 32,349 U.S. Large Cap Growth Fund ......... 305,352 (24,250) 1,699 282,801 U.S. Small Cap Growth Fund ......... 146,870 (281) 5,820 152,409 U.S. Bond Fund ..................... 566,009 (163,557) 3,552 406,004 High Yield Fund .................... 1,106,633 (729,856) 61,287 438,064 International Equity Fund .......... 486,944 (270,034) 30,485 247,395 U.S. Value Equity Fund ............. 56,300 -- -- 56,300
NET INCREASE (DECREASE) SHARES DIVIDENDS IN SHARES CLASS B SHARES SOLD REPURCHASED REINVESTED OUTSTANDING -------------------------- ------------- --------------- -------------- --------------- Global Balanced Fund ............... 17,030 (7,979) 884 9,935 Global Equity Fund ................. 10,955 -- 81 11,036 Global Technology Fund ............. -- -- -- -- Global Biotech Fund ................ 2,552 -- -- 2,552 Global Bond Fund ................... 14,901 -- 64 14,965 U.S. Balanced Fund ................. 21,712 (826) 396 21,282 U.S. Equity Fund ................... 8,256 (1,148) 237 7,345 U.S. Large Cap Equity Fund ......... 17,787 -- 12 17,799 U.S. Large Cap Growth Fund ......... 11,775 -- 30 11,805 U.S. Small Cap Growth Fund ......... 18,814 (4,975) 355 14,194 U.S. Bond Fund ..................... 20,143 (11,843) 75 8,375 High Yield Fund .................... 118,222 (470,071) 11,927 (339,922) International Equity Fund .......... -- -- -- -- U.S. Value Equity Fund ............. 17,819 -- -- 17,819
-------------------------------------------------------------------------------- 125 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS --------------------------------------------------------------------------------
NET INCREASE (DECREASE) SHARES DIVIDENDS IN SHARES CLASS C SHARES SOLD REPURCHASED REINVESTED OUTSTANDING -------- --------------- --------------- -------------- --------------- Global Balanced Fund ............................. 6,142 -- 219 6,361 Global Equity Fund ............................... 18,973 -- 744 19,717 Global Technology Fund ........................... -- -- -- -- Global Biotech Fund .............................. 117 -- -- 117 Global Bond Fund ................................. -- -- -- -- U.S. Balanced Fund ............................... 27,627 -- 85 27,712 U.S. Equity Fund ................................. 2,651 -- 69 2,720 U.S. Large Cap Equity Fund ....................... -- -- -- -- U.S. Large Cap Growth Fund ....................... 80,924 (12) 463 81,375 U.S. Small Cap Growth Fund ....................... 5,824 -- 73 5,897 U.S. Bond Fund ................................... 89,377 -- 218 89,595 High Yield Fund .................................. 123,575 (169,518) 17,362 (28,581) International Equity Fund ........................ 33,734 (21,724) -- 12,010 U.S. Value Equity Fund ........................... 2,580 -- -- 2,580
NET INCREASE (DECREASE) SHARES DIVIDENDS IN SHARES CLASS Y (FORMERLY CLASS I) SHARES SOLD REPURCHASED REINVESTED OUTSTANDING -------------------------- --------------- --------------- -------------- --------------- Global Balanced Fund ............................. 6,074,539 (5,947,592) 880,082 1,007,029 Global Equity Fund ............................... 10,575,370 (11,316,143) 103,897 (636,876) Global Technology Fund ........................... 1,323,971 (1,302,776) -- 21,195 Global Biotech Fund .............................. 48,406 (46,638) -- 1,768 Global Bond Fund ................................. 692,592 (906,964) 14,215 (200,157) U.S. Balanced Fund ............................... 712,090 (1,374,530) 53,510 (608,930) U.S. Equity Fund ................................. 1,474,430 (2,554,466) 327,364 (752,672) U.S. Large Cap Equity Fund ....................... 1,269,323 (1,278,316) 692 (8,301) U.S. Large Cap Growth Fund ....................... 32,622 (76,789) 1,660 (42,507) U.S. Small Cap Growth Fund ....................... 2,114,992 (2,461,284) 131,213 (215,079) U.S. Bond Fund ................................... 22,578,149 (21,889,215) 272,234 961,168 High Yield Fund .................................. 7,651,845 (11,585,323) 459,684 (3,473,794) International Equity Fund ........................ 58,737,399 (63,337,764) 2,330,094 (2,270,271) U.S. Value Equity Fund ........................... -- -- -- --
NET INCREASE (DECREASE) SHARES DIVIDENDS IN SHARES UBS INVESTMENT FUNDS CLASS* SHARES SOLD REPURCHASED REINVESTED OUTSTANDING -------------------------- --------------- --------------- -------------- --------------- Global Balanced Fund ............................. 29,669 (662,034) -- (632,365) Global Equity Fund ............................... 121,155 (2,013,474) -- (1,892,319) Global Technology Fund ........................... -- (120,896) -- (120,896) Global Biotech Fund .............................. 22,349 (87,211) -- (64,862) Global Bond Fund ................................. 34 (122,117) -- (122,083) U.S. Balanced Fund ............................... 535 (140,307) -- (139,772) U.S. Equity Fund ................................. 35,944 (400,785) -- (364,841) U.S. Large Cap Equity Fund ....................... 631 (31,458) -- (30,827) U.S. Large Cap Growth Fund ....................... 24,524 (418,933) -- (394,409) U.S. Small Cap Growth Fund ....................... 39,760 (241,359) -- (201,599) U.S. Bond Fund ................................... 38,862 (309,461) 2,786 (267,813) High Yield Fund .................................. 10,605 (272,296) 17,013 (244,678) International Equity Fund ........................ 39,536 (436,791) -- (397,255) U.S. Value Equity Fund ........................... -- -- -- --
* The UBS Investment Funds Class shares were liquidated effective November 9, 2001. -------------------------------------------------------------------------------- 126 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- For the year ended June 30, 2001, transactions in shares of beneficial interest for each of the Funds were as follows:
NET INCREASE (DECREASE) SHARES DIVIDENDS IN SHARES CLASS A (FORMERLY CLASS N) SHARES SOLD REPURCHASED REINVESTED OUTSTANDING -------------------------- --------------- --------------- -------------- --------------- Global Balanced Fund ............................. 3,612 (654) 360 3,318 Global Equity Fund ............................... 8,271 -- 2,169 10,440 Global Technology Fund ........................... -- -- -- -- Global Biotech Fund .............................. -- -- 2 2 Global Bond Fund ................................. 302 (96) -- 206 U.S. Balanced Fund ............................... -- -- 5 5 U.S. Equity Fund ................................. 282,952 (291,478) 744 (7,782) U.S. Large Cap Equity Fund ....................... -- (2,239) 45 (2,194) U.S. Large Cap Growth Fund ....................... -- -- 16 16 U.S. Small Cap Growth Fund ....................... -- -- 25 25 U.S. Bond Fund ................................... 11,879 (137) 78 11,820 High Yield Fund .................................. -- -- 15 15 International Equity Fund ........................ 29,190 (900) 6 28,296 U.S. Value Equity Fund ........................... -- -- -- --
NET INCREASE (DECREASE) SHARES DIVIDENDS IN SHARES CLASS Y (FORMERLY CLASS I) SHARES SOLD REPURCHASED REINVESTED OUTSTANDING -------------------------- --------------- --------------- -------------- --------------- Global Balanced Fund ............................. 13,170,765 (25,149,917) 682,606 (11,296,546) Global Equity Fund ............................... 8,564,732 (7,452,703) 257,001 1,369,030 Global Technology Fund ........................... 284,244 (149,855) 96 134,485 Global Biotech Fund .............................. 262,496 (66,939) 1,959 197,516 Global Bond Fund ................................. 1,633,523 (2,073,452) 27,821 (412,108) U.S. Balanced Fund ............................... 2,159,047 (770,837) 47,172 1,435,382 U.S. Equity Fund ................................. 3,772,869 (7,044,608) 663,992 (2,607,747) U.S. Large Cap Equity Fund ....................... 393,712 (2,164,332) 13,686 (1,756,934) U.S. Large Cap Growth Fund ....................... 78,058 (144,949) 48,752 (18,139) U.S. Small Cap Growth Fund ....................... 2,035,204 (2,031,226) 577,154 581,132 U.S. Bond Fund ................................... 12,781,260 (12,913,593) 357,842 225,509 High Yield Fund .................................. 19,421,713 (18,586,243) 545,121 1,380,591 International Equity Fund ........................ 89,527,090 (103,415,131) 1,613,416 (12,274,625) U.S. Value Equity Fund ........................... -- -- -- --
-------------------------------------------------------------------------------- 127 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS --------------------------------------------------------------------------------
NET INCREASE (DECREASE) SHARES DIVIDENDS IN SHARES UBS INVESTMENT FUNDS CLASS SHARES SOLD REPURCHASED REINVESTED OUTSTANDING -------------------------- --------------- --------------- -------------- --------------- Global Balanced Fund ............................. 39,462 (232,932) 39,447 (154,023) Global Equity Fund ............................... 37,501 (615,995) 206,290 (372,204) Global Technology Fund ........................... 151,006 (61,638) 173 (89,541) Global Biotech Fund .............................. 57,847 (5,809) 584 52,622 Global Bond Fund ................................. 17,470 (131,350) 404 (113,476) U.S. Balanced Fund ............................... 22,321 (32,886) 5,101 (5,464) U.S. Equity Fund ................................. 50,554 (495,064) 25,701 (418,809) U.S. Large Cap Equity Fund ....................... 10,314 (1,342) 655 9,627 U.S. Large Cap Growth Fund ....................... 36,350 (185,074) 67,020 (81,704) U.S. Small Cap Growth Fund ....................... 110,194 (191,641) 54,734 (26,713) U.S. Bond Fund ................................... 147,598 (251,733) 17,092 (87,043) High Yield Fund .................................. 28,962 (35,174) 14,868 8,656 International Equity Fund ........................ 104,031 (169,681) 27,545 (38,105) U.S. Value Equity Fund ........................... -- -- -- --
10. REORGANIZATION At the close of business November 30, 2001, the High Yield Fund ("Acquiring Fund") acquired the assets and liabilities of the Paine Webber High Income Fund ("Acquired Fund") by effecting a tax-free reorganization whereby Paine Webber High Income Fund made a distribution-in-kind of the assets of the Fund to the sole shareholder, High Yield Fund, pursuant to a plan of reorganization approved by the Board of Trustees and shareholders of the Acquired Fund. Net assets as of the reorganization date were as follows:
PAINE WEBBER HIGH INCOME FUND HIGH YIELD NET SHARES FUND UNREALIZED FUND ACQUIRED EXCHANGED SHARES ISSUED NET ASSETS DEPRECIATION ------------- ---------------- --------------- -------------- -------------- Paine Webber High Income Fund ............ $117,928,581 $(91,402,909) Class A .................................. 23,125,101 10,526,844 Class B .................................. 6,398,808 2,911,618 Class C .................................. 6,330,500 2,886,568 Class Y .................................. 96,550 43,748
The High Yield Fund's net assets immediately before the reorganization were $31,342,005. -------------------------------------------------------------------------------- 128 TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- TRUSTEE INFORMATION The Trust is a Delaware business trust. Under Delaware law, the Board has overall responsibility for managing the business and affairs of the Trust, including general supervision and review of its investment activities. The Trustees serve an indefinite term. The Trustees elect the officers of the Trust, who are responsible for administering the day-to-day operations of the Trust and the Funds. The table below shows, for each Trustee, his or her name, address and age, the position held with the Trust, the length of time served as a Trustee of the Trust, the Trustee's principal occupations during the last five years, the number of funds in the Brinson Family of Funds overseen by the Trustee, and other directorships held by such Trustee. The Fund's Statement of Additional Information contains additional information about the Trustees and is available, without charge, upon request, by calling 1-800-647-1568. INDEPENDENT TRUSTEES:
POSITON(S) HELD WITH THE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS FUND; LENGTH OF NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE; NAME, ADDRESS AND AGE TIME SERVED OTHER DIRECTORSHIPS HELD BY TRUSTEE --------------------- --------------- --------------------------------------------------------- Walter E. Auch, 80 Trustee since 1994 Retired; prior thereto, Chairman and CEO of Chicago Board of 6001 N. 62nd Place Options Exchange 1979-1986; Trustee of the Trust since May, 1994; Paradise Valley, AZ 85253 Trustee, The Brinson Funds since 1994; Trustee, Brinson Supplementary Trust since 1997; Director, Fort Dearborn Income Securities, Inc. 1987-1995; Director, SB Advisers since 1992; Director, SB Trak since 1992; Director, Banyan Realty Trust since 1988; and Director, Express America Holdings Corp. since 1992, and Nicholas/Applegate Funds and Legend Properties, Inc.; Director, Geotek Industries, Inc. 1987-1998. Frank K. Reilly, 66 Chairman and Professor, University of Notre Dame since 1982; Trustee of the Trust College of Business Trustee since 1993 since 1993; Trustee, The Brinson Funds since 1994; Trustee, Brinson Administration, University of Supplementary Trust since 1997; Director of The Brinson Funds, Inc. Notre Dame Notre Dame, 1992-1993; Director, Fort Dearborn Income Securities, Inc. since IN 46556-0399 1993; Director, Discover Bank since 1993; and Director, Morgan Stanley Trust, FSB since 1996; Director, NIBCO, Inc., since 1993; Director, Battery Park High Yield Fund, 1995-2001. Edward M. Roob, 67 Trustee since 1995 Retired; prior thereto, Senior Vice President, Daiwa Securities 841 Woodbine Lane America Inc. 1986-1993; Trustee of the Trust since 1995; Trustee, The Northbrook, IL 60002 Brinson Funds since 1995; Trustee, Brinson Supplementary Trust since 1997; Director, Fort Dearborn Income Securities, Inc. since 1993; Director, Brinson Trust Company since 1993; Committee Member, Chicago Stock Exchange since 1993.
-------------------------------------------------------------------------------- 129 TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- INTERESTED TRUSTEE:
POSITON(S) HELD WITH THE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS FUND; LENGTH OF NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE; NAME, ADDRESS AND AGE TIME SERVED OTHER DIRECTORSHIPS HELD BY TRUSTEE --------------------- --------------- --------------------------------------------------------- Brian M. Storms +**, 47 Trustee and Mr. Storms is chief operating officer (since September 2001) and President since president of Brinson Advisors (since March 1999). Mr. Storms was 2001 chief executive officer of Brinson Advisors from October 2000 to September 2001. He was president of Prudential Investments (1996-1999). Prior to joining Prudential Investments he was a managing director at Fidelity Investments. Mr. Storms is president and trustee of the Trust, The Brinson Funds and Brinson Supplementary Trust since 2001. Mr. Storms is president of 22 other investment companies for which Brinson Advisors, Brinson Partners, UBS PaineWebber or one of their affiliates serves as investment advisor, sub-advisor or manager. OFFICERS: Amy R. Doberman**, 39 Vice President and Managing Director and General Counsel, Brinson Advisors, Inc. since Secretary since 2000; Vice President and Secretary of the Trust since 2001; 2001 Vice President and Secretary, The Brinson Funds since 2001; Secretary, Brinson Supplementary Trust since 2001; General Counsel, Aeltus Investment Management, Inc. 1997-2000; previously, Assistant Chief Counsel, Division of Investment Management, SEC; Vice President and Secretary of 22 other investment companies for which Brinson Advisors, Brinson Partners, UBS PaineWebber or one of their affiliates serves as investment advisor, sub-advisor or manager. Paul H. Schubert***, 39 Treasurer and Executive Director and Head of the Mutual Fund Finance Department, Principal Brinson Advisors, Inc. since 1997; Treasurer and Principal Accounting Accounting Officer Officer of the Trust, The Brinson Funds and Brinson Supplementary since 2001 Trust since 2001. Vice President and Treasurer of 22 other investment companies for which Brinson Advisors, Brinson Partners, UBS PaineWebber or one of their affiliates who serves as investment advisor, sub-advisor or manager. David E. Floyd*, 32 Assistant Associate Director, Brinson Partners, Inc. since 1998; Associate, Secretary since Brinson Partners, Inc., 1994-1998; Assistant Trust Officer, Brinson 1998 Trust Company since 1993; Assistant Secretary of the Trust since 1998; Assistant Secretary, The Brinson Funds since 1998; Assistant Secretary, Brinson Supplementary Trust since 1998.
-------------------------------------------------------------------------------- 130 TRUSTEES AND OFFICERS --------------------------------------------------------------------------------
POSITON(S) HELD WITH THE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS FUND; LENGTH OF NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE; NAME, ADDRESS AND AGE TIME SERVED OTHER DIRECTORSHIPS HELD BY TRUSTEE --------------------- --------------- --------------------------------------------------------- Mark F. Kemper*, 43 Assistant Secretary Executive Director, Brinson Partners, Inc. since 1993; Secretary, since 1999 Brinson Partners, Inc. since 1999; Assistant Secretary, Brinson Partners, Inc. 1993-1999; Assistant Secretary, Brinson Trust Company since 1993; Secretary, UBS Brinson since 1998; Assistant Secretary, Brinson Holdings, Inc. 1993-1998; Assistant Secretary of the Trust since 1999; Assistant Secretary, The Brinson Funds since 1999; Assistant Secretary, Brinson Supplementary Trust since 1999. Joseph T. Malone***, 34 Assistant Treasurer Director and a senior manager of the mutual fund finance department since 2001 of Brinson Advisors. From August 2000 through June 2001, he was the controller at AEA Investors Inc. From March 1998 to August 2000, Mr. Malone was a manager within investment management services of Pricewaterhouse-Coopers LLC. Prior to March 1998, he was a vice president of the mutual fund services group of Bankers Trust & Co. Mr. Malone is an assistant treasurer of three investment companies for which Brinson Partners, Brinson Advisors, UBS PaineWebber or one of their affiliates serves as investment advisor, sub-advisor or manager.
* This person's business address is Brinson Partners, Inc., 209 South LaSalle Street, Chicago, IL 60604-1295. ** This person's business address is Brinson Advisors, Inc., 51 West 52nd Street, New York, NY 10019-6114. *** This person's business address is Brinson Advisors, Inc., Newport Center III, 499 Washington Blvd., 14th Floor, Jersey City, NJ 07310-1998. + Mr. Storms is an "interested person" of the Trust, as that term is defined in the Investment Company Act by virtue of his positions with Brinson Advisors, Brinson Partners and/or UBS PaineWebber. -------------------------------------------------------------------------------- 131 THE BRINSON FUNDS -------------------------------------------------------------------------------- 209 South LaSalle Street - Chicago, Illinois 60604-1295 - Tel: (800) 448-2430