N-30D 1 0001.txt THE BRINSON FUNDS ANNUAL REPORT [LOGO] 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 Global (Ex-U.S.) Equity Fund Annual Report June 30, 2000 [LOGO] The Brinson Funds ----------------- Trustees and Officers ------------------------------------------------------------------------------ [LOGO] Trustees Walter E. Auch Frank K. Reilly, CFA Edward M. Roob Officers Frank K. Reilly, CFA Chairman of the Board Thomas J. Digenan, CFA, CPA President Carolyn M. Burke, CPA Secretary and Treasurer David E. Floyd, CPA Assistant Secretary Mark F. Kemper Assistant Secretary Alanna N. Palmer Assistant Secretary ================================================================================ 1 The Funds' Advisor -- Brinson Partners, Inc. -------------------------------------------------------------------------------- [LOGO] Since the founding of our organization nearly twenty years ago, we have focused our collective energy on two goals: creating meaningful value-added investment performance; and providing our clients with individualized client relationships of the highest quality. Now in 2000, nearly 500 focused investment specialists, located in all of the world's major financial centers, continue to deliver investment strategies that meet our clients' needs. With an unrelenting focus on our goals, we have grown into one of the world's premier investment management organizations, and a recognized leader in our industry. In North America, we make our investment capabilities available to institutions and individual investors through the Brinson Family of Funds. The Brinson Funds are no-load, institutionally priced mutual funds that provide investors convenient access to our global investment expertise and capabilities. We select portfolio investments for all of The Brinson Funds by focusing on long-term investment fundamentals within a framework of integrated capital markets. Investment performance for our clients is maximized within and across asset classes through a comprehensive understanding of global investment markets and their interrelationships. We apply a systematic, disciplined approach to valuing investments and combine the seasoned judgment of our global investment teams to construct optimal portfolios--balancing considerations for both risk and return. Brinson Partners, Inc. is a member of UBS Asset Management, the asset management division of UBS AG. ================================================================================ 2 ---------------------------------------------------------------------- Table of Contents ---------------------------------------------------------------------- -------------------------------------------------------------------------------- [LOGO] To Our Shareholders.............................................. 4 Global Economic and Market Highlights............................ 5 U.S. Economic and Market Highlights.............................. 6 Portfolio Managers' Commentary and Schedule of Investments Global Fund................................................. 7 Global Equity............................................... 18 Global Technology Fund...................................... 25 Global Biotech Fund......................................... 28 Global Bond Fund............................................ 31 U.S. Balanced Fund.......................................... 37 U.S. Equity Fund............................................ 43 U.S. Large Cap Equity Fund.................................. 48 U.S. Large Cap Growth Fund.................................. 52 U.S. Small Cap Growth Fund.................................. 56 U.S. Bond Fund.............................................. 61 High Yield Fund............................................. 67 Global (Ex-U.S.) Equity Fund................................ 74 Statements of Assets and Liabilities............................. 82 Statements of Operations......................................... 84 Statement of Cash Flows.......................................... 86 Statements of Changes in Net Assets.............................. 88 Financial Highlights............................................. 93 Notes to Financial Statements.................................... 106 Report of Independent Auditors................................... 112
================================================================================ 3 Shareholder Letter -------------------------------------------------------------------------------- [LOGO] August 28, 2000 Dear Shareholder: Thank you for investing in The Brinson Funds. We appreciate the confidence you have placed in us. The first half of 2000 was characterized by turbulence in both equity and bond markets as uncertainty about interest rates, inflation and economic growth came to the fore. While investor sentiment showed continued adoration of the so-called "new economy" in the first quarter, trends reversed sharply in the second quarter. Investors began to heed the warning signs of increasing volatility in most major equity markets, and of swelling share prices in the technology, media and telecommunications sectors. Investor attention shifted to searching for investment value among "old economy" stocks. Investors have also begun to look at dot-com companies more skeptically. Many of the new dot-com companies that have sprung up in the past few years are starting to see increasing pressures to solidify their bottom lines. The days of free (or almost free) capital are, if not ending, certainly beginning to slow. More than 120 dot-com companies laid off workers in the past eight months, and 24 of them have subsequently gone out of business. There are still many opportunities to invest in strong, growing companies and undervalued out-of-favor stocks, but active security selection is increasingly important in the current environment. While we understand and appreciate the role of new and emerging technology in business, our analysis is focused on investing in companies with solid fundamentals that are using the Internet to strengthen and leverage their existing businesses. Furthermore, as we identify investment opportunities in other specialized areas, we will continue to broaden our selection of offerings within The Brinson Funds. In view of this, we launched two new Funds in the second quarter of 2000: the Global Technology Fund and the Global Biotech Fund. The long-term success of our organization was built by focusing on two main goals: (1) delivering value-added investment performance, and (2) providing the highest quality client service. We remain as focused as ever on achieving those goals, and we continue to develop our mutual fund organization to better serve our shareholders. We are committed to providing individual investors with the same access to the industry- leading investment expertise and state-of-the-art techniques that are offered to large institutional investors. We look forward to continuing our relationship with you, and to helping you meet your long-term investment objectives. Sincerely, /s/ Thomas J. Digenan Thomas J. Digenan, CFA, CPA President, The Brinson Funds ================================================================================ 4 Global Economic and Market Highlights -------------------------------------------------------------------------------- [LOGO] The tentative recovery in Japan continues. Real GDP growth was 0.7% year-on-year in the first quarter but on figures which were not adjusted for the leap year. Consensus Forecasts predicts year-on-year GDP growth to be flat in the second quarter but to pick up strongly in H2 2000. Recently, industrial production has strengthened on the back of demand for IT goods. The big news to affect the Japanese economy is the removal of the zero interest rate policy. The overnight call rate was raised to 0.25%. This represents the first tightening of monetary policy in Japan in 10 years. The consensus view is that this is premature with the economy still suffering from deflation and the recovery still green. In Euroland, sentiment continues to be upbeat. The Euroland real GDP grew by 3.4% year-on-year in the first quarter. Consensus Forecasts predict 3.3% growth in 2000. Inflation is rising, from 1.9% at the start of the year, to 2.4% in July. The Euro continues to languish, reaching new lows against the Dollar earlier this month. The weak Euro is bolstering the recovery in industrial production and export growth. This, coupled with the pick up in domestic demand, means that there are upside risks for inflation. It is likely that the European Central Bank (ECB) will raise rates again. The ECB measure of M3 growth slowed again in June, down 40 basis points to 5.4% year-on-year increase. The United Kingdom position is finely balanced. At the recent meeting of the Monetary Policy Committee, interest rates were not changed but the minutes show that there is a big split within the committee as to the size of risks to the economy. The Governor used his casting vote. There has been a weakening in some areas of the economy. Earnings growth have weakened as has the housing market. But with the labor market tightening further and the Bank of England forecasting that inflation is likely to beach its 2.5% target in two years time, a further increase in interest rates seems possible. Global Environment
6 months 1 year 3 years 5 years Major Markets ended ended ended ended Total Return in U.S. Dollars 6/30/00 6/30/00 6/30/00 6/30/00 ------------------------------------------------------------------------------------------------ U.S. Equity (0.84)% 9.52% 19.06% 22.47% Global (Ex-U.S.) Equities (currency unhedged) (2.99) 18.78 10.52 11.75 Global (Ex-U.S.) Equities (currency hedged) 2.69 23.11 16.45 20.48 U.S. Bonds 3.92 4.49 6.02 6.23 Global (Ex-U.S.) Bonds (currency unhedged) (1.95) 2.40 2.70 1.70 Global (EX-U.S.) Bonds (currency hedged) 4.02 5.75 8.20 9.81 U.S. Cash Equivalents 3.13 6.08 5.82 5.83 ------------------------------------------------------------------------------------------------ 6 months 1 year 3 years 5 years Major Markets ended ended ended ended Percent Change Relative to U.S. Dollars 6/30/00 6/30/00 6/30/00 6/30/00 ------------------------------------------------------------------------------------------------ Yen (3.26)% 14.40% 2.65% (4.31)% Pound (6.07) (3.96) (3.11) (0.99) Euro (4.37) (7.05) (5.16) (6.94) Canadian Dollar (2.05) (0.11) (2.35) (1.50) ------------------------------------------------------------------------------------------------
All total returns in excess of 1 year are average annualized returns. ================================================================================ 5 U.S. Economic and Market Highlights -------------------------------------------------------------------------------- [LOGO] The slowdown in the economy seems less evident than a few months ago. The annualized growth rate in real GDP rose from 5.4% in the first quarter of this year to 6% in the second quarter. Federal government spending and business investment were strong contributors but personal consumption growth weakened in the second quarter. Consensus Forecasts estimate that activity will slow by the end of the year. Growth is forecast to be 5% in 2000, falling sharply to 3.4% in 2001. The oil price has risen by nearly 50 percent in the year to July and had an impact on consumer price inflation. From lows of around 1.5% year-on-year increase in late 1998, the rate of price inflation has surged to 3.7% in July 2000. Core inflation, which excludes energy and food, was 2.4% in July, up from 1.9% at the beginning of this year. Thanks to recent productivity gains and the expected unwinding of the oil price effect, the CPI rate is expected to stabilize in the coming months. Evidence is emerging that the U.S. economy has undergone a structural change. Productivity, measured by workers' output per hour, has recorded its fastest increase in 17 years. The figures provide some evidence that the economy is utilizing "information-technology enhanced production processes." In the year to June, non-farm productivity grew by 5.1% and the annualized increase in the second quarter was 5.3%. The labor market continues to tighten with the unemployment rate falling to 4% but the increases in productivity seem to be keeping a lid on inflationary pressures as unit labor costs are falling. The outlook for short-term interest rates seems to be fairly benign. The consensus opinion is that interest rates have peaked. The combination of a slowing economy, increases in productivity and the prospect of lower energy costs all seem to point to the effective Fed Funds rate being held at 6.5%. The current account deficit poses a risk. Should foreign capital inflows slow, the dollar would fall and raise inflationary pressures. U.S. Environment Major Markets Year To Date June 30, 2000 [GRAPH APPEARS HERE] Salomon U.S.Treasury Benchmark Returns Year To Date June 30, 2000 [GRAPH APPEARS HERE] Top Ten Industry Returns Relative to S&P 500 Year To Date June 30, 2000 [GRAPH APPEARS HERE] Bottom Ten Industry Returns Relative to S&P 500 Year To Date June 30, 2000 [GRAPH APPEARS HERE] Label A B C Label U.S. Cash Equiv U.S. Bonds U.S. Equities 1 6/30/2000 4.9 4.49 9.52 Label A Label 1 1 5.1 2 2 4 3 5 3.64 4 10 3.44 5 30 4.31 Label A Label 0 1 Semiconductors 41.7 2 Oil Services 37.47 3 Drugs 35.58 4 Energy Reserves 26.2 5 Securities & Asst. Mgmt. 22.46 6 Heavy Electrical Eqp 20.85 7 Electronic Equipment 20.85 8 Medical Products 20.14 9 Oil Refining 18.92 10 Electric Utility 11.26 Label A Label 1 Grocery Stores -15.27 2 Entertainment -17.73 3 Department Stores -19.71 4 Forestry & Paper -20.00 5 Motor Vehicles & Parts -20.04 6 Home Products -20.53 7 Gold -21.25 8 Internet -22.41 9 Wireless Telecom -27.01 10 Mining & Metals -34.61 ================================================================================ 6 ---------------------------------------------------------------------- Global Fund ---------------------------------------------------------------------- -------------------------------------------------------------------------------- [LOGO] Since its inception on August 31, 1992, the Brinson Global Fund Class I has provided an annualized return of 8.97% versus the 13.06% return of its index, the Global Securities Markets Mutual Fund Index. The annualized volatility or risk of the Fund over this period was 6.61%, or about 30% less than the 8.78% volatility of the benchmark. The Fund's return of 0.72% for the first six months of 2000 is 113 basis points higher than the benchmark return of -0.41%. Most of this performance advantage came in the second quarter of the year when the Fund returned 1.81%, greatly outperforming the -2.56% return of the benchmark. Market turbulence that began early this year, particularly in equities, continued into the second quarter. Aggregate equity indices generally fell by moderate amounts. In recent quarters, industry selection has been critical. In the latest quarter, there were significant setbacks in technology, media and telecommunications stocks, with so-called "old economy" stocks generally outperforming. The Fund's focus on these "old economy" stocks greatly contributed to the Fund's performance advantage in the quarter and for the year-to- date period. In the current market environment, our analyses show that bond valuations are more attractive than equities. The risk premium on equities versus government inflation-linked bonds is only about 1%. This clearly does not compensate investors for the added risk of holding large equity positions. Our strategies therefore include a general overweight to bonds offset by underweights to equities. Notably this quarter, widening credit spreads prompted us to increase holdings in U.S. high-yield bonds, which was offset by reducing our large overweight position in U.S. Treasury Inflation Protected Securities (TIPS). We reduced our Japanese equity overweight and redistributed the proceeds to U.S. and U.K. equities. This move came after earlier outperformance that allowed us to take profits on some highly valued Japanese technology shares. In U.S. and U.K. equity markets, we see opportunities in the "old economy" sectors where some undervalued companies are making progress in leveraging their skills, assets and competitive positions to take advantage of technology and the Internet. ====================================================================== 7 ---------------------------------------------------------------------- Global Fund ---------------------------------------------------------------------- ---------------------------------------------------------------------- [LOGO] Total Return ----------------------------------------------------------------------
6 months 1 year 3 years 5 years Inception* ended ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 6/30/00 ------------------------------------------------------------------------------------------------------------------------ Brinson Global Fund Class I 0.72% -0.48% 4.12% 9.30% 8.97% ------------------------------------------------------------------------------------------------------------------------ Brinson Global Fund Class N 0.54 -0.80 3.79 N/A 3.79 ------------------------------------------------------------------------------------------------------------------------ GSMI Mutual Fund Index** -0.41 9.96 11.85 13.90 13.06 ------------------------------------------------------------------------------------------------------------------------ MSCI World Equity (Free) Index -2.49 12.39 15.13 17.35 15.66 ------------------------------------------------------------------------------------------------------------------------ Salomon Smith Barney World Gov't. Bond Index 0.03 3.16 3.87 3.16 5.66 ------------------------------------------------------------------------------------------------------------------------
* Inception dates of the Brinson Global Fund Class I and Class N are 8/31/92 and 6/30/97, respectively. Performance inception date of each of 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 Non- U.S. Government Bond Index (unhedged); 2% JP Morgan EMBI+; 3% MSCI Emerging Markets Free Index; and 3% Merrill Lynch High Yield Master Index. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. ---------------------------------------------------------------------- Illustration of an Assumed Investment of $1,000,000 ---------------------------------------------------------------------- This chart shows the growth in the value of an investment in the Brinson Global Fund Class I, the GSMI Mutual Fund Index, the MSCI World Equity (Free) Index and the Salomon Smith Barney World Government Bond Index if you had invested $1,000,000 on August 31, 1992, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. The performance of Class N shares will vary based upon the different inception dates and class specific expenses. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. Brinson Global Fund Class I vs. GSMI Mutual Fund Index, MSCI World Equity (Free) Index and Salomon Smith Barney World Gov't. Bond Index Wealth Value with Dividends Reinvested [GRAPH] $1,960,819 Brinson Global Fund Class I $2,615,635 GSMI Mutual Fund Index $3,126,211 MSCI World Equity (Free) Index $1,539,557 Salomon Smith Barney World Gov't Bond Index Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing.
Label A B C D Label Date Brinson Global F GSMI Mutual Fun MSCI World Equi Solomon Smith 1 8/31/92 $1,000,000 $1,000,000 $1,000,000 $1,000,000 2 9/30/92 $1,013,000 $1,005,314 $ 991,423 $1,010,000 3 10/31/92 $1,007,000 $ 997,514 $ 964,679 $ 982,528 4 11/30/92 $1,022,000 $1,017,428 $ 981,884 $ 966,906 5 12/31/92 $1,032,925 $1,030,790 $ 990,218 $ 972,746 6 1/31/93 $1,048,115 $1,042,387 $ 993,554 $ 989,769 7 2/28/93 $1,068,369 $1,055,458 $1,017,111 $1,009,267 8 3/31/93 $1,081,142 $1,087,329 $1,075,990 $1,024,810 9 4/30/93 $1,086,223 $1,093,919 $1,125,787 $1,046,434 10 5/31/93 $1,097,400 $1,116,872 $1,151,607 $1,056,898 11 6/30/93 $1,107,567 $1,119,316 $1,141,994 $1,054,636 12 7/31/93 $1,110,624 $1,127,126 $1,165,369 $1,057,589 13 8/31/93 $1,134,059 $1,166,328 $1,219,770 $1,089,423 14 9/30/93 $1,134,084 $1,165,278 $1,197,452 $1,102,387 15 10/31/93 $1,143,329 $1,182,155 $1,230,667 $1,100,513 16 11/31/93 $1,131,002 $1,153,045 $1,160,612 $1,092,699 17 12/31/93 $1,148,054 $1,179,801 $1,216,971 $1,101,932 18 1/31/94 $1,173,590 $1,218,762 $1,297,252 $1,110,748 19 2/28/94 $1,152,310 $1,200,386 $1,280,212 $1,103,528 20 3/31/94 $1,118,262 $1,159,904 $1,225,058 $1,101,983 21 4/30/94 $1,122,518 $1,172,614 $1,263,624 $1,103,195 22 5/31/94 $1,124,646 $1,176,336 $1,267,367 $1,093,487 23 6/30/94 $1,116,140 $1,164,819 $1,263,654 $1,109,233 24 7/31/94 $1,132,192 $1,189,041 $1,287,845 $1,118,107 25 8/31/94 $1,156,805 $1,220,386 $1,326,765 $1,114,194 26 9/30/94 $1,139,683 $1,201,154 $1,291,216 $1,122,216 27 10/31/94 $1,137,543 $1,219,154 $1,328,899 $1,140,171 28 11/30/94 $1,122,561 $1,185,232 $1,271,624 $1,124,437 29 12/31/94 $1,126,372 $1,196,582 $1,283,697 $1,127,585 30 1/31/95 $1,139,482 $1,208,708 $1,264,853 $1,151,265 31 2/28/95 $1,167,887 $1,241,252 $1,283,629 $1,180,737 32 3/31/95 $1,183,182 $1,281,224 $1,345,557 $1,250,873 33 4/30/95 $1,206,125 $1,311,158 $1,392,627 $1,274,014 34 5/31/95 $1,244,362 $1,344,050 $1,405,194 $1,309,941 35 6/30/95 $1,256,423 $1,364,548 $1,404,730 $1,317,670 36 7/31/95 $1,284,098 $1,407,051 $1,475,061 $1,320,832 37 8/31/95 $1,300,703 $1,402,131 $1,442,139 $1,275,396 38 9/30/95 $1,322,842 $1,439,648 $1,484,738 $1,303,837 39 10/31/95 $1,332,805 $1,430,595 $1,461,673 $1,313,485 40 11/30/95 $1,371,549 $1,473,410 $1,512,618 $1,328,328 41 12/31/95 $1,398,239 $1,500,615 $1,557,008 $1,342,275 42 1/31/96 $1,424,264 $1,525,115 $1,586,118 $1,325,765 43 2/29/96 $1,418,349 $1,529,469 $1,595,765 $1,319,004 44 3/31/96 $1,428,996 $1,542,531 $1,622,258 $1,317,157 45 4/30/96 $1,447,923 $1,569,098 $1,660,371 $1,311,889 46 5/31/96 $1,452,665 $1,580,746 $1,661,700 $1,312,151 47 6/30/96 $1,462,269 $1,583,964 $1,670,556 $1,322,517 48 7/31/96 $1,440,730 $1,542,337 $1,611,517 $1,347,909 49 8/31/96 $1,463,465 $1,567,235 $1,630,575 $1,353,166 50 9/30/96 $1,511,330 $1,618,828 $1,694,511 $1,358,714 51 10/31/96 $1,536,459 $1,634,988 $1,706,176 $1,384,122 52 11/30/96 $1,596,290 $1,703,760 $1,802,360 $1,402,393 53 12/31/96 $1,595,424 $1,688,579 $1,773,715 $1,391,033 54 1/31/97 $1,615,268 $1,713,300 $1,795,458 $1,353,893 55 2/28/97 $1,629,820 $1,721,365 $1,815,922 $1,343,738 56 3/31/97 $1,604,685 $1,638,518 $1,779,579 $1,333,526 57 4/30/97 $1,621,882 $1,717,598 $1,837,956 $1,321,791 58 5/31/97 $1,689,351 $1,804,433 $1,951,687 $1,357,744 59 6/30/97 $1,736,975 $1,869,036 $2,048,777 $1,373,901 60 7/31/97 $1,792,537 $1,943,405 $2,143,340 $1,363,184 61 8/31/97 $1,746,236 $1,872,161 $1,998,281 $1,362,366 62 9/30/97 $1,800,475 $1,953,277 $2,106,924 $1,391,385 63 10/31/97 $1,747,558 $1,890,285 $1,996,326 $1,420,326 64 11/30/97 $1,751,527 $1,907,153 $2,031,241 $1,398,595 65 12/31/97 $1,770,868 $1,930,073 $2,056,062 $1,394,399 66 1/31/98 $1,791,307 $1,956,072 $2,113,744 $1,407,925 67 2/28/98 $1,857,002 $2,050,747 $2,256,714 $1,419,329 68 3/31/98 $1,899,340 $2,108,872 $2,351,694 $1,405,277 69 4/30/98 $1,902,260 $2,129,617 $2,374,688 $1,427,762 70 5/31/98 $1,892,040 $2,099,572 $2,345,875 $1,431,046 71 6/30/98 $1,880,791 $2,126,234 $2,400,742 $1,433,192 72 7/31/98 $1,876,373 $2,115,137 $2,397,120 $1,435,055 73 8/31/98 $1,726,145 $1,901,138 $2,077,601 $1,474,089 74 9/30/98 $1,780,639 $1,966,845 $2,114,573 $1,552,510 75 10/31/98 $1,845,443 $2,084,211 $2,306,041 $1,598,465 76 11/30/98 $1,896,992 $2,169,407 $2,443,383 $1,575,926 77 12/31/98 $1,918,264 $2,247,617 $2,562,162 $1,607,603 78 1/31/99 $1,921,515 $2,278,825 $2,618,459 $1,592,813 79 2/28/99 $1,874,371 $2,218,396 $2,548,880 $1,541,683 80 3/31/99 $1,905,259 $2,288,480 $2,654,612 $1,545,538 81 4/30/99 $1,983,290 $2,368,078 $2,759,702 $1,544,919 82 5/31/99 $1,947,525 $2,308,167 $2,658,037 $1,518,965 83 6/30/99 $1,970,339 $2,378,691 $2,781,681 $1,492,383 84 7/31/99 $1,965,421 $2,365,993 $2,773,416 $1,528,946 85 8/31/99 $1,934,276 $2,359,432 $2,768,275 $1,535,979 86 9/30/99 $1,906,409 $2,349,454 $2,742,252 $1,559,941 87 10/31/99 $1,903,131 $2,433,356 $2,884,676 $1,559,161 88 11/30/99 $1,911,327 $2,490,310 $2,965,705 $1,542,789 89 12/31/99 $1,946,875 $2,626,332 $3,205,905 $1,539,087 90 1/31/2000 $1,889,358 $2,537,983 $3,022,476 $1,506,304 91 2/29/2000 $1,861,471 $2,583,396 $3,030,359 $1,495,459 92 3/31/2000 $1,925,960 $2,684,238 $3,240,090 $1,541,818 93 4/30/2000 $1,925,960 $2,576,701 $3,102,949 $1,491,401 94 5/31/2000 $1,931,189 $2,523,472 $3,024,393 $1,503,033 95 6/30/2000 $1,960,819 $2,615,635 $3,126,211 $1,539,557
====================================================================== 8 ---------------------------------------------------------------------- Global Fund ---------------------------------------------------------------------- -------------------------------------------------------------------------------- ---------------------------------------------------------------------- Asset Allocation ---------------------------------------------------------------------- As of June 30, 2000 Current Benchmark Strategy ---------------------------------------------------------------------- U.S. Equities 40.0% 22.5% Global (Ex-U.S.) Equities 22.0 14.5 Emerging Markets Equities 3.0 3.0 Dollar Bonds 21.0 40.0 High Yield Bonds 3.0 5.5 Global (Ex-U.S.) Bonds 9.0 11.0 Emerging Markets Debt 2.0 3.5 Cash Equivalents 0.0 0.0 ---------------------------------------------------------------------- 100.0% 100.0% ---------------------------------------------------------------------- Top Ten Equity Holdings ---------------------------------------------------------------------- As of June 30, 2000 Percent of Net Assets ---------------------------------------------------------------------- 1. Advanced Micro Devices, Inc. 1.45% 2. FedEx Corp. 1.10 3. Burlington Northern Santa Fe Corp. 1.05 4. Allergan, Inc. 1.03 5. Electronic Data Systems Corp. 0.87 6. Gateway, Inc. 0.73 7. CIGNA Corp. 0.71 8. St. Jude Medical, Inc. 0.71 9. Alza Corp. 0.71 10.Baxter International, Inc. 0.70 ---------------------------------------------------------------------- ---------------------------------------------------------------------- Currency Allocation ---------------------------------------------------------------------- As of June 30, 2000 Current Benchmark Strategy ---------------------------------------------------------------------- U.S. 66.0% 62.4% Japan 9.0 1.0 U.K. 5.0 0.0 Euro 12.0 23.0 Other Europe 2.5 2.5 Canada 1.3 1.3 Emerging Markets 3.0 3.0 Asia (Ex-Japan) 0.6 0.2 Australia/New Zealand 0.6 6.6 ---------------------------------------------------------------------- 100.0% 100.0% ---------------------------------------------------------------------- Top Ten Fixed Income Holdings ---------------------------------------------------------------------- As of June 30, 2000 Percent of Net Assets ---------------------------------------------------------------------- 1. U.S. Treasury Inflation Indexed Note, 3.875%, due 04/15/29 8.60% 2. U.S. Treasury Inflation Indexed Note, 3.625%, due 04/15/28 4.59 3. Petroleum Geo-Services, 7.425%, due 03/20/02 1.19 4. Federal Home Loan Mortgage Corp., 5.750%, due 03/15/09 0.77 5. U.S. Treasury Note, 5.625%, due 05/15/08 0.74 6. Government of Canada, 4.250%, due 12/01/21 0.74 7. Government of Japan, 4.600%, due 03/21/05 0.71 8. Government National Mortgage Association, 6.500%, due 01/15/29 0.69 9. Key Bank, NA, 6.675%, due 07/23/01 0.68 10. Government of France (OAT), 4.000%, due 10/25/09 0.67 ---------------------------------------------------------------------- ====================================================================== 9 Global Fund ________________________________________________________________________________ [LOGO] Industry Diversification As a Percent of Net Assets As of June 30, 2000 ______________________________________________________________________ U.S. EQUITIES Energy..................................................... 1.12% Capital Investment Capital Goods......................................... 1.51 Electronic Components................................. 2.63 Technology............................................ 0.62 ----- 4.76 Basic Industries Chemicals............................................. 1.04 Housing/Paper......................................... 2.31 Metals................................................ 0.59 ----- 3.94 Computers Software.............................................. 0.85 Systems............................................... 1.59 ----- 2.44 Consumer Autos/Durables........................................ 0.77 Food/House Products................................... 0.16 Health: Drugs......................................... 2.08 Health: Non-Drugs..................................... 3.04 Leisure/Tourism....................................... 0.17 Retail/Apparel........................................ 2.39 Non-Durables.......................................... 0.67 ----- 9.28 Financial Banks................................................. 1.96 Non-Banks............................................. 2.49 ----- 4.45 Telecommunications Equipment............................................. 0.05 Services.............................................. 1.82 ----- 1.87 Transportation............................................. 2.43 Services/Misc.............................................. 2.58 U.S. Small Capitalization Equity........................... 2.78 Utilities.................................................. 1.07 ----- Total U.S. Equities............................. 36.72* GLOBAL (EX-U.S.) EQUITIES Aerospace and Military................................ 0.04 Airlines.............................................. 0.09 Appliances & Household................................ 0.44 Autos/Durables........................................ 0.40 Banking............................................... 1.65 Beverages & Tobacco................................... 0.52 Broadcasting & Publishing............................. 0.63 Building Materials.................................... 0.12 Business & Public Service............................. 0.26 Chemicals............................................. 0.45 Computer Software..................................... 0.10 Consumer.............................................. 0.04 Data Processing....................................... 0.45 Electric Components................................... 0.50 Electronics........................................... 0.56 Energy................................................ 0.70 Financial Services.................................... 0.68 Food & House Products................................. 0.54 Forest Products....................................... 0.06% Health: Drugs........................................ 0.09 Health: Non-Drugs.................................... 1.07 Industrial Components................................. 0.20 Insurance............................................. 0.81 Leisure & Tourism..................................... 0.09 Machinery & Engineering............................... 0.32 Merchandising......................................... 0.16 Metals-Non Ferrous.................................... 0.13 Metals-Steel.......................................... 0.07 Multi-Industry........................................ 0.02 Non-Durables.......................................... 0.01 Real Estate........................................... 0.21 Recreation............................................ 0.16 Telecommunications.................................... 1.74 Transportation........................................ 0.44 Utilities............................................. 0.72 Wholesale & International Trade....................... 0.04 ----- Total Global (Ex-U.S.) Equities.................. 14.51 EMERGING MARKETS EQUITIES.................................. 3.39 ----- TOTAL EQUITIES............................................. 54.62 U.S. BONDS U.S. Corporate Bonds Airlines.............................................. 0.05 Banks................................................. 0.85 Building Materials.................................... 0.08 Chemicals............................................. 0.04 Consumer.............................................. 0.20 Construction.......................................... 0.03 Energy................................................ 1.50 Financial............................................. 0.79 Services/Miscellaneous................................ 0.30 Technology............................................ 0.16 Telecommunications.................................... 0.42 ----- Total U.S. Corporate Bonds....................... 4.42 International Dollar Bonds Foreign Banks......................................... 0.34 Foreign Energy........................................ 0.15 ----- Total International Dollar Bonds................. 0.49 Asset-Backed............................................... 0.35 Corporate Mortgage-Backed Securities....................... 1.64 U.S. Government Agencies................................... 1.58 U.S. Government Mortgage-Backed Securities................. 1.89 U.S. Government Obligations................................ 14.83 ----- Total U.S. Bonds................................. 25.20* HIGH YIELD BONDS........................................... 5.46 GLOBAL (EX-U.S.) BONDS Foreign Financial Bonds............................... 0.78 Foreign Government Bonds.............................. 10.16 ----- Total Global (Ex-U.S.) Bonds..................... 10.94 EMERGING MARKETS BONDS..................................... 3.84 ----- SHORT-TERM INVESTMENTS..................................... 17.45* TOTAL INVESTMENTS................................ 117.51 LIABILITIES, LESS CASH AND OTHER ASSETS.......................................... (17.51) ----- NET ASSETS................................................. 100.00% ====== ______________________________________________________________________ * -The Fund held a long position in U.S. Treasury futures on June 30, 2000 which increased U.S. Bond exposure from 25.20% to 40.21%.The Fund held a short position in stock index futures on June 30, 2000 which reduced U.S. Equity exposure from 36.72% to 21.58%.These adjustments result in a net increase in the Fund's exposure to Short- Term Investments from 17.45% to 17.58%. ====================================================================== 10 GLOBAL FUND -- SCHEDULE OF INVESTMENTS June 30, 2000 ________________________________________________________________________________
Shares Value -------- ------- Equities -- 54.62% U.S. Equities -- 36.72% Advanced Micro Devices, Inc. (b).................................. 55,200 $ 4,264,200 Allergan, Inc. 40,400 3,009,800 Alza Corp. (b).................................................... 35,200 2,081,200 American Electric Power Co., Inc.................................. 43,560 1,290,465 American General Corp............................................. 14,800 902,800 American Standard Companies, Inc. (b)............................. 27,500 1,127,500 AmSouth Bancorp................................................... 32,087 505,370 Aon Corp.......................................................... 45,047 1,399,272 Associates First Capital Corp., Class A........................... 61,400 1,369,987 Baxter International, Inc......................................... 29,300 2,060,156 Brinson U.S. Small Capitalization Equity Fund (b) 397,192 8,140,053 Burlington Northern Santa Fe Corp................................. 133,700 3,066,744 Cardinal Health, Inc.............................................. 300 22,200 Carnival Corp., Class A........................................... 25,700 501,150 CIGNA Corp........................................................ 22,300 2,085,050 Circuit City Stores-Circuit City Group............................ 17,300 574,144 CMS Energy Corp................................................... 24,600 544,275 CommScope, Inc. (b)............................................... 3,900 159,900 Compaq Computer Corp.............................................. 67,700 1,730,581 Computer Sciences Corp. (b)....................................... 2,900 216,594 Compuware Corp. (b)............................................... 117,800 1,222,175 CVS Corp.......................................................... 13,500 540,000 Delhaize America, Inc............................................. 1 18 Dell Computer Corp. (b)........................................... 15,700 774,206 Eastman Chemical Co............................................... 14,700 701,925 Electronic Data Systems Corp...................................... 61,700 2,545,125 Emerson Electric Co............................................... 33,300 2,010,487 Entergy Corp...................................................... 36,300 986,906 Exxon Mobil Corp.................................................. 16,600 1,303,100 Federated Department Stores, Inc. (b)............................. 20,000 675,000 FedEx Corp. (b)................................................... 84,800 3,222,400 First Data Corp................................................... 35,830 1,778,064 Fleet Boston Financial Corp....................................... 42,515 1,445,510 Fort James Corp................................................... 46,300 1,070,687 Gateway, Inc. (b)................................................. 37,800 2,145,150 GATX Corp......................................................... 10,700 363,800 Genzyme Corp. (b)................................................. 17,600 1,046,100 GreenPoint Financial Corp......................................... 51,300 961,875 Household International, Inc...................................... 27,700 1,151,281 Illinois Tool Works, Inc.......................................... 35,000 1,995,000 IMC Global, Inc................................................... 57,000 741,000 Johnson & Johnson Co.............................................. 18,900 1,925,437 Johnson Controls, Inc............................................. 17,200 882,575 Kimberly-Clark Corp............................................... 22,200 1,273,725 Kroger Co. (b).................................................... 71,600 1,579,675 Lafarge Corp...................................................... 21,300 447,300 Lear Corp. (b).................................................... 38,400 768,000 Lexmark International Group, Inc. (b)............................. 20,500 1,378,625 Lincoln National Corp............................................. 26,900 971,762 Lyondell Chemical Co.............................................. 33,200 556,100 Martin Marietta Materials, Inc.................................... 15,984 646,353 Masco Corp........................................................ 96,300 1,739,419 Mattel, Inc....................................................... 104,300 1,375,456 Mead Corp......................................................... 25,100 633,775 Microsoft Corp. (b)............................................... 16,000 1,280,000 Motorola, Inc..................................................... 23,230 $ 675,122 New York Times Co................................................. 18,600 734,700 Newell Rubbermaid, Inc............................................ 54,300 1,398,225 Nextel Communications, Inc. (b)................................... 29,700 1,817,269 Norfolk Southern Corp............................................. 31,800 473,025 Owens-Illinois, Inc. (b).......................................... 14,500 169,469 Peco Energy Co.................................................... 39,900 1,608,469 Pentair, Inc...................................................... 23,396 830,558 PepsiCo, Inc...................................................... 33,500 1,488,656 PNC Bank Corp..................................................... 21,700 1,017,187 Praxair, Inc...................................................... 28,400 1,063,225 Raytheon Co., Class B............................................. 49,800 958,650 Sara Lee Corp..................................................... 24,900 480,881 SBC Communications, Inc........................................... 44,100 1,907,325 Smurfit-Stone Container Corp. (b)................................. 28,400 365,650 Southdown, Inc.................................................... 18,436 1,064,679 St. Jude Medical, Inc. (b)........................................ 45,400 2,082,725 Tellabs, Inc. (b)................................................. 13,900 951,281 Texas Instruments, Inc............................................ 13,100 899,806 Tyson Foods, Inc., Class A........................................ 33,698 294,858 Ultramar Diamond Shamrock Corp.................................... 27,502 682,393 Unisys Corp. (b).................................................. 29,600 431,050 United Health Group, Inc.......................................... 20,600 1,766,450 USG Corp.......................................................... 12,200 370,575 Viad Corp......................................................... 26,200 713,950 W.W. Grainger, Inc................................................ 19,500 600,844 Wal-Mart Stores, Inc.............................................. 15,100 870,138 Watson Pharmaceutical Co. (b)..................................... 18,800 1,010,500 Wells Fargo and Co................................................ 46,600 1,805,750 Westvaco Corp..................................................... 17,400 431,738 Xerox Corp........................................................ 21,000 435,750 XL Capital Ltd.................................................... 10,400 562,900 York International Corp........................................... 20,100 525,113 ----------- Total U.S. Equities............................................... 107,678,363 ----------- Global (Ex-U.S.) Equities -- 14.51% Australia -- 0.82% Amcor Ltd......................................................... 10,220 35,841 Amp Ltd........................................................... 11,300 115,337 Boral Ltd. (b).................................................... 19,100 24,082 Brambles Industries Ltd........................................... 3,670 113,117 Broken Hill Proprietary Co., Ltd.................................. 13,910 164,943 CSR Ltd........................................................... 11,070 30,839 Howard Smith Ltd.................................................. 9,300 45,563 Lend Lease Corp., Ltd............................................. 7,932 101,476 National Australia Bank Ltd....................................... 20,727 347,176 News Corp., Ltd................................................... 23,489 324,364 News Corp., Ltd., Preferred....................................... 8,936 108,188 Origin Energy Ltd. (b)............................................ 19,100 18,463 Qantas Airways Ltd................................................ 12,937 26,254 QBE Insurance Group Ltd........................................... 21,471 105,347 Rio Tinto Ltd..................................................... 4,645 77,025 Santos Ltd........................................................ 20,490 62,618 Telstra Corp., Ltd................................................ 71,700 291,869 Westpac Banking Corp., Ltd........................................ 36,928 267,167 WMC Ltd........................................................... 10,640 47,739 Woolworth's Ltd................................................... 26,660 98,681 --------- 2,406,089
================================================================================ 11 GLOBAL FUND - SCHEDULE OF INVESTMENTS
June 30, 2000 ____________________________________________________________________________________________________ Shares Values ------ ------ Austria -- 0.01% Austria Tabakwerke AG........................................ 800 $ 29,755 ----------- Belgium -- 0.14%............................................. Electrabel S.A............................................... 740 183,654 Fortis B..................................................... 8,027 234,533 ----------- 418,187 ----------- Canada -- 0.45% Agrium, Inc.................................................. 9,040 77,484 Alcan Aluminum Ltd........................................... 2,520 78,234 Bank of Montreal............................................. 1,020 43,025 Canadian National Railway Co................................ 4,920 143,114 Canadian Pacific Ltd......................................... 5,573 144,431 Hudson's Bay Co.............................................. 10,210 108,185 Imperial Oil Ltd............................................. 2,710 66,118 Magna Entertainment Corp. (b)................................ 412 2,711 Magna International, Inc. Class A............................ 2,060 96,695 Nova Chemicals Corp.......................................... 5,904 123,921 Potash Corporation of Saskatchewan, Inc...................... 1,060 57,947 Royal Bank of Canada......................................... 2,970 151,837 Shaw Communications, Inc., Class B........................... 5,160 127,111 TransCanada Pipelines Ltd.................................... 2,390 18,227 Westcoast Energy, Inc........................................ 4,650 71,553 ----------- 1,310,593 ----------- Denmark -- 0.07% Tele Danmark A/S............................................. 3,120 210,876 ----------- Finland -- 0.28% Metso Oyj.................................................... 2,700 32,611 Nokia Oyj.................................................... 7,340 376,080 Sampo Insurance Co., Ltd., Series A.......................... 6,000 244,443 UPM-Kymmene Corp............................................. 6,270 156,271 ----------- 809,405 ----------- France -- 1.22% Air France (b)............................................... 5,070 87,968 Air Liquide.................................................. 1,656 216,779 Alcatel...................................................... 3,750 246,959 Alcatel S.A. ADR............................................. 3,693 245,585 Axa.......................................................... 866 136,974 Banque Nationale de Paris.................................... 5,809 561,304 Cie de Saint Gobain.......................................... 2,117 287,356 CSF Thomson.................................................. 3,000 118,655 Groupe Danone................................................ 1,460 194,538 L'Oreal S.A.................................................. 130 113,028 Rhone-Poulenc, Class A....................................... 3,074 225,278 Schneider S.A................................................ 1,710 119,662 Societe Generale............................................. 4,420 266,931 Suez Lyonnaise des Eaux S.A.................................. 450 79,156 Total Fina S.A., Class B..................................... 3,522 542,215 Vivendi...................................................... 1,470 130,275 ----------- 3,572,663 ----------- Germany -- 0.71% Allianz AG................................................... 1,430 510,347 Bayer AG..................................................... 9,680 372,097 Bayerische Motoren Werke AG.................................. 4,600 140,665 Continental AG............................................... 6,250 105,446 Linde AG..................................................... 2,800 113,536 SAP AG....................................................... 810 $ 122,992 Siemens AG................................................... 1,750 263,039 Veba AG...................................................... 9,289 449,673 ----------- 2,077,795 ----------- Hong Kong -- 0.06% Henderson Land Development Co., Ltd.......................... 39,000 171,603 ----------- Ireland -- 0.09% Bank of Ireland.............................................. 15,000 94,254 Eircom PLC................................................... 68,700 184,396 ----------- 278,650 ----------- Italy -- 0.45% Assicurazioni Generali....................................... 3,800 130,772 ENI Spa...................................................... 52,000 301,575 ENI Spa ADR.................................................. 3,070 178,636 La Rinascente Spa............................................ 10,740 61,154 San Paolo-imi Spa............................................ 10,511 187,309 Telecom Italia Mobile Spa.................................... 29,000 297,453 Telecom Italia Spa........................................... 12,000 165,646 ----------- 1,322,545 ----------- Japan -- 5.12% Acom Co., Ltd................................................ 2,900 244,488 Asahi Bank Ltd............................................... 23,000 96,952 Bank of Tokyo-Mitsubushi Ltd................................. 31,000 375,323 Benesse Corp................................................. 1,400 97,254 Bridgestone Corp............................................. 8,000 169,746 Canon, Inc................................................... 12,000 598,837 Dai Nippon Printing Co., Ltd................................. 8,000 141,317 Dai-Ichi Kangyo Bank......................................... 14,000 106,517 Daikin Industries Ltd........................................ 5,000 116,488 Denso Corp................................................... 7,000 170,691 East Japan Railway Co........................................ 43 250,347 Fanuc........................................................ 2,300 234,554 Fuji Bank Ltd................................................ 22,000 167,591 Fuji Photo Film Co., Ltd..................................... 5,000 205,094 Fujitsu...................................................... 21,000 728,415 Hitachi Ltd.................................................. 20,000 289,211 Honda Motor Co............................................... 13,000 443,552 Hoya Corp.................................................... 2,000 179,576 Ito Yokado Co., Ltd.......................................... 2,000 120,599 Kamigumi Co., Ltd............................................ 24,000 126,799 Kao Corp..................................................... 10,000 306,224 Kirin Brewery Co., Ltd....................................... 10,000 125,230 Kuraray Co., Ltd............................................. 18,000 206,871 Kyocera Corp................................................. 400 68,012 Matsushita Electric Industrial Co............................ 18,000 467,842 Mitsubishi Corp.............................................. 12,000 108,766 Mitsubishi Estate Co., Ltd................................... 28,000 330,268 Mitsubishi Trusts and Banking Corp........................... 9,000 70,006 Murata Manufacturing Co., Inc................................ 1,000 143,850 NEC Corp..................................................... 22,000 692,406 NGK Insulators............................................... 15,000 186,286 Nintendo Corp., Ltd.......................................... 2,700 472,605 Nippon Steel Co.............................................. 02,000 214,980 Nippon Telegraph & Telephone Corp............................ 77 1,026,133 Nissin Food Products Co...................................... 5,300 135,249 Nomura Securities Co., Ltd................................... 23,000 564,104 Omron Corp................................................... 3,000 81,660 Orix Corp.................................................... 2,100 310,619
=============================================================================== 12 Global Fund -- Schedule of Investments June 30, 2000 ________________________________________________________________________________
Shares Value ----------- ------------- Rohm Co............................................. 400 $ 117,197 Sankyo Co., Ltd..................................... 11,000 248,996 Santen Pharmaceutical Co., Ltd...................... 6,000 145,173 Secom Co., Ltd...................................... 4,000 292,992 Shin-Etsu Chemical Co., Ltd......................... 3,000 152,545 Softbank Corp....................................... 1,200 163,319 Sony Corp........................................... 6,800 636,265 Sumitomo Bank....................................... 22,000 270,309 Sumitomo Chemical Co................................ 39,000 235,168 Sumitomo Electric Industries........................ 8,000 137,460 Takeda Chemical Industries.......................... 6,000 394,688 Takefuji Corp....................................... 1,200 145,286 TDK Corp............................................ 3,000 432,116 Tokio Marine & Fire Insurance Co.................... 14,000 161,958 Tokyo Electric Power................................ 6,000 146,590 Tokyo Gas Co., Ltd.................................. 60,000 168,990 Toyoda Automatic Loom Works......................... 2,000 43,382 Toyota Motor Corp................................... 11,000 502,150 Yamanouchi Pharmaceutical Co., Ltd.................. 2,000 109,447 Yamato Transport Co., Ltd........................... 6,000 149,426 ------------ 15,027,919 ------------ Netherlands -- 0.68% ABN-AMRO Holdings NV................................ 6,594 162,197 Aegon NV............................................ 5,554 198,428 Elsevier NV......................................... 24,970 303,750 Heineken NV......................................... 7,700 470,552 ING Groep NV........................................ 4,108 278,805 Koninklijke Philips Electronics NV.................. 2,600 123,122 Royal KPN NV........................................ 600 26,946 TNT Post Group NV................................... 4,242 114,875 Wolters Kluwer NV................................... 12,213 326,635 ------------ 2,005,310 ------------ New Zealand -- 0.05% Auckland International Airport Ltd.................. 17,350 20,584 Carter Holt Harvey Ltd.............................. 26,940 23,464 Lion Nathan Ltd..................................... 20,220 45,218 Telecom Corp. of New Zealand Ltd.................... 16,410 57,558 ------------ 146,824 ------------ Portugal -- 0.19% Brisa-Auto Estradas de Portugal S.A....................................... 14,800 127,969 Electricidade de Portugal S.A....................... 6,900 125,804 Portugal Telecom.................................... 26,000 293,101 ------------ 546,874 ------------ Singapore -- 0.10% DBS Group Holdings Ltd.............................. 6,000 77,039 SIA Engineering Co., Ltd. (b)....................... 15,000 16,830 Singapore Airport Terminal Services Ltd. (b)........ 5,000 6,073 United Overseas Bank Ltd............................ 30,116 196,825 ------------ 296,767 ------------ Spain -- 0.25% Banco Popular Espanol S.A........................... 3,643 113,147 Banco Santander Central Hispano S.A................. 17,843 189,002 Endesa S.A.......................................... 5,757 111,973 Tabacalera S.A...................................... 20,200 311,562 ------------ 725,684 ------------ Sweden -- 0.41% Electrolux AB, B Shares............................. 11,510 $ 179,126 Ericsson, B Shares.................................. 23,290 463,357 Investor AB, B Shares............................... 10,100 138,758 Nordic Baltic Holdings AB........................... 38,636 292,931 Swedish Match AB.................................... 36,780 114,060 ------------ 1,188,232 ------------ Switzerland -- 0.42% Givaudan (b)........................................ 24 7,328 Nestle S.A. (Reg.).................................. 155 311,220 New ABB Ltd......................................... 1,274 152,972 Novartis AG (Reg.).................................. 240 381,379 Roche Holding AG (Gen.)............................. 21 205,080 Swisscom AG (Reg.).................................. 470 163,305 ------------ 1,221,284 ------------ United Kingdom -- 2.99% Allied Zurich PLC................................... 13,052 154,419 AstraZeneca PLC..................................... 4,002 186,907 BP Amoco PLC........................................ 65,946 632,954 British Airways PLC................................. 25,000 143,820 British Telecommunications PLC...................... 37,000 478,359 Charter PLC......................................... 28,676 165,401 De Vere Group PLC................................... 8,899 41,494 Diageo PLC.......................................... 28,209 253,243 FKI PLC............................................. 33,040 117,545 Glaxo Wellcome PLC.................................. 32,260 941,110 House of Fraser PLC................................. 30,780 22,460 HSBC Holdings PLC................................... 10,500 120,093 Kelda Group PLC..................................... 35,080 171,536 Lloyds TSB Group PLC................................ 41,969 396,467 Marconi PLC......................................... 41,360 538,485 Marks & Spencer PLC................................. 33,060 116,239 National Power PLC.................................. 31,500 200,765 Nycomed Amersham PLC................................ 22,844 226,866 Peninsular & Oriental Steam Navigation Co........... 12,040 103,166 Powergen PLC........................................ 18,000 153,963 Prudential Corp. PLC................................ 17,040 249,712 Reckitt & Benckiser PLC............................. 10,500 117,629 Reed International PLC.............................. 26,010 226,414 RJB Mining PLC...................................... 26,590 22,542 Royal & Sun Alliance Insurance Group PLC............ 49,884 323,976 Royal Bank of Scotland Group PLC.................... 23,000 385,103 Scottish & Newcastle PLC............................ 20,000 163,349 Scottish & Southern Energy PLC...................... 26,380 242,015 Shell Transport & Trading Co........................ 27,000 225,426 SmithKline Beecham PLC.............................. 11,000 144,047 Tesco PLC........................................... 66,190 205,920 Thames Water PLC.................................... 8,497 109,983 Trinity Mirror PLC.................................. 15,815 141,977 Unilever PLC........................................ 40,000 242,222 United News & Media PLC............................. 19,990 287,495 Vodafone Group PLC.................................. 129,957 525,297 ------------ 8,778,399 ------------ Total Global (Ex-U.S.) Equities..................... 42,545,454 ------------ Emerging Markets Equities -- 3.39% Brinson Emerging Markets Equity Fund (b)............ 925,032 9,943,169 ------------ Total Equities (Cost $159,505,128).................. 160,166,986 ------------
================================================================================ 13 Global Fund -- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Face Amount Value ------------ ----------- Bonds -- 45.44% U.S. Bonds -- 25.20% U.S. Corporate Bonds -- 4.42% Avon Products, Inc., 7.150%, due 11/15/09............ $ 85,000 $ 81,401 Bank of America Corp., 7.800%, due 02/15/10............................... 500,000 497,355 Bombardier Capital, Inc. MTN, 144A, 7.300%, due 12/15/02............................... 565,000 555,651 Burlington Resources, 7.375%, due 03/01/29....................................... 300,000 279,225 Capital One Bank, BKNT, 8.250%, due 06/15/05............................... 150,000 149,703 Cendant Corp., 7.750%, due 12/01/03.................. 640,000 618,070 Centaur Funding Corp., Class B, 144A, 9.080%, due 04/21/20 (b)........................... 250 248,203 Centaur Funding Corp., Class C, 144A, 0.000%, due 04/21/20 (b)........................... 1,430 220,756 Centex Corp., 9.750%, due 06/15/05................... 85,000 84,540 Key Bank, NA, 6.675%, due 07/23/01................... 2,000,000 2,001,070 Lowe's Cos., Inc., 8.250%, due 06/01/10.............. 220,000 224,794 Morgan Stanley Dean Witter, 7.750%, due 06/15/05....................................... 300,000 301,564 Newcourt Credit Group, Inc., 6.875%, due 02/16/05....................................... 600,000 574,524 PanAmSat Corp. 6.000%, due 01/15/03............................... 225,000 213,930 6.375%, due 01/15/08............................... 500,000 445,399 Petroleum Geo-Services, 7.425%, due 03/20/02....................................... 3,500,000 3,495,604 Pharmacia Corp., 6.600%, due 12/01/28................ 545,000 480,560 Sempra Energy, 7.950%, due 03/01/10.................. 510,000 514,321 Service Corp., International, 6.000%, due 12/15/05............................... 500,000 270,000 Time Warner Cos., Inc., 7.570%, due 02/01/24............................... 540,000 510,493 U.S. Airways, Inc., 1999 1A EETC, 8.360%, due 07/20/20............................... 160,000 158,533 Valero Energy, 8.375%, due 06/15/05.................. 150,000 152,341 Verizon Communications, 8.000%, due 10/15/29............................... 78,000 78,092 Washington Mutual Financial Corp., 8.250%, due 06/15/05............................... 275,000 277,544 WorldCom, Inc., 8.250%, due 05/15/10................. 500,000 511,778 ---------- 12,945,451 ---------- Asset-Backed Securities -- 0.35% First Bank Corporate Card Master Trust, 97-1, Class A, 6.400%, due 02/15/03................ 1,055,000 1,040,852 ---------- Corporate Mortgage- Backed Securities -- 1.64% Asset Securitization Corp., 96-D, Class A1B, 7.210%, due 10/13/26............................... 1,000,000 993,140 DLJ Commercial Mortgage Corp., 99-CG2, Class A1B, 7.300%, due 06/10/32.................... 485,000 477,697 Norwest Asset Securities Corp., 96-2, Class A9, 7.000%, due 09/25/11..................... 435,000 420,058 Prudential Home Mortgage Securities, 94-3, Class A10, 6.500%, due 02/25/24.................... 730,000 703,450 Residential Asset Securitization Trust 96-A3, Class A11, 7.500%, due 07/25/11............. $ 592,550 $ 589,966 97-A10, Class A5, 7.250%, due 12/25/27............. 1,080,000 1,036,605 97-A7, Class A1, 7.500%, due 09/25/27.............. 73,220 72,956 97-A11, Class A2, 7.000%, due 01/25/28............. 2,253 2,243 Structured Asset Securities Corp., 98-RF1, Class A, 8.713%, due 04/15/27...................... 465,205 472,183 Thrift Financing Corp., Class A4 11.250%, due 01/01/16.............................. 45,036 46,211 ---------- 4,814,509 ---------- International Dollar Bonds -- 0.49% Banco Santiago S.A., 7.000%, due 07/18/07....................................... 650,000 578,640 Ras Laffan Liquified Natural Gas Co., Ltd., 144A, 8.294%, due 03/15/14......................... 500,000 461,875 Royal Bank of Scotland, 8.817%, due 03/31/05....................................... 385,000 396,610 ---------- 1,437,125 ---------- U.S. Government Mortgage- Backed Securities -- 1.89% Fannie Mae Whole Loan, 95-W3, Class A, 9.000%, due 04/25/25...................... 16,375 16,860 Federal Home Loan Mortgage Corp., Gold 5.500%, due 02/01/07............................... 612,268 573,835 8.000%, due 11/01/22............................... 60,818 61,474 9.000%, due 07/01/30, TBA.......................... 425,000 438,414 Federal Home Loan Mortgage Corp. 194, Class PO, due 04/01/28........................ 680,468 429,263 Federal National Mortgage Association 8.000%, due 02/01/13............................... 433,496 438,003 8.000%, due 07/01/30, TBA.......................... 600,000 602,250 Government National Mortgage Association 6.500%, due 01/15/29............................... 2,141,194 2,031,927 7.000%, due 06/15/27............................... 486,467 473,129 8.000%, due 08/15/22............................... 264,092 268,221 8.000%, due 11/15/22............................... 191,581 194,655 9.000%, due 11/15/04............................... 8,445 8,762 10.000%, due 05/15/01.............................. 423 449 ---------- 5,537,242 ---------- U.S. Government Agencies -- 1.58% Federal Home Loan Mortgage Corp. 5.750%, due 03/15/09............................... 2,500,000 2,269,865 Federal National Mortgage Association 5.250%, due 01/15/09............................... 60,000 52,653 6.000%, due 10/01/14............................... 1,006,020 951,674 6.500%, due 03/01/19............................... 270,506 258,518 7.000%, due 10/01/28............................... 905,496 874,162 7.000%, due 03/01/29............................... 246,315 237,890 ---------- 4,644,762 ----------
================================================================================ 14 Global Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------
Face Amount Value ------------ ------------ U.S. Government Obligations -- 14.83% U.S. Treasury Bond, 8.000%, due 11/15/21........... $ 1,160,000 $ 1,399,975 U.S. Treasury Inflation Indexed Note 3.625%, due 04/15/28............................. 13,325,000 13,451,798 3.875%, due 04/15/29............................. 24,270,000 25,203,220 U.S. Treasury Note 5.625%, due 05/15/08............................. 2,260,000 2,179,488 5.750%, due 08/15/03............................. 560,000 550,375 6.625%, due 02/15/27............................. 80,000 84,825 7.000%, due 07/15/06............................. 580,000 600,844 ------------ 43,470,525 ------------ Total U.S. Bonds................................... 73,890,466 ------------ Shares ------------ High Yield Bonds -- 5.46% Brinson High Yield Fund (b)........................ 1,175,251 16,003,393 ------------ Face Amount ------------ Global (Ex-U.S.) Bonds --10.94% Australia -- 0.43% Queensland Treasury Corp., Global Notes 6.500%, due 06/14/05..........................AUD 1,500,000 904,374 8.000%, due 09/14/07............................. 530,000 347,274 ------------ 1,251,648 ------------ Canada -- 1.12% Government of Canada, Real Return Bond 4.250%, due 12/01/21..........................CAD 2,650,000 2,174,978 Government of Canada 6.000%, due 06/01/08............................. 550,000 373,066 7.000%, due 12/01/06............................. 1,050,000 747,040 ------------ 3,295,084 ------------ Denmark -- 0.99% Depfa Pfandbrief Bank, 5.750%, due 03/04/09..........................DKK 930,000 888,553 Kingdom of Denmark 7.000%, due 12/15/04............................. 5,480,000 736,384 7.000%, due 11/10/24............................. 2,350,000 346,563 8.000%, due 03/15/06............................. 3,000,000 425,307 9.000%, due 11/15/00............................. 3,800,000 493,056 ------------ 2,889,863 ------------ France -- 1.62% Government of France (OAT) 4.000%, due 10/25/09..........................EUR 2,285,000 1,976,866 5.500%, due 04/25/29............................. 330,000 311,814 8.500%, due 12/26/12............................. 800,000 977,003 9.500%, due 01/25/01............................. 1,500,000 1,473,090 ------------ 4,738,773 ------------ Germany -- 0.80% Bundesrepublik Deutschland 6.250%, due 04/26/06............................. 625,000 630,555 6.250%, due 01/04/24............................. 320,000 334,477 8.375%, due 05/21/01............................. 1,185,000 1,168,791 DePfa Deutsche Pfandbriefbank AG, 4.750%, due 03/20/03............................. 240,000 226,647 ------------ 2,360,470 ------------ Israel -- 0.17% State of Israel, 7.750%, due 03/15/10...........ILS 500,000 $ 493,671 ------------ Italy -- 1.23% Buoni Poliennali Del Tes 3.250%, due 04/15/04..........................EUR 1,100,000 981,223 5.000%, due 05/01/08............................. 920,000 853,710 6.750%, due 07/01/07............................. 1,250,000 1,273,780 12.000%, due 09/01/02............................ 470,000 511,308 ------------ 3,620,021 ------------ Japan -- 2.03% Government of Japan 2.500%, due 03/20/20..........................JPY 18,000,000 180,718 3.000%, due 09/20/05............................. 178,500,000 1,844,300 3.100%, due 03/20/06............................. 175,800,000 1,829,257 4.600%, due 03/21/05............................. 189,900,000 2,087,236 ------------ 5,941,511 ------------ Netherlands -- 0.43% Government of Netherlands 5.500%, due 07/15/10..........................EUR 900,000 871,241 7.750%, due 03/01/05............................. 380,000 401,226 ------------ 1,272,467 ------------ Spain -- 0.76% Government of Spain 3.250%, due 01/31/05............................. 2,070,000 1,820,653 6.150%, due 01/31/13............................. 400,001 400,200 ------------ 2,220,853 ------------ Sweden -- 0.51% Government of Sweden 6.750%, due 05/05/14..........................SEK 4,400,000 571,873 10.250%, due 05/05/03............................ 7,200,000 926,987 ------------ 1,498,860 ------------ United Kingdom -- 0.85% Halifax PLC, Series EMTN, 8.750%, due 07/10/06..................................GBP 720,000 1,175,834 U.K. Treasury, 5.750%, due 12/07/09................ 840,000 1,324,569 ------------ 2,500,403 ------------ Total Global (Ex-U.S.) Bonds....................... 32,083,624 ------------ Shares ----------- Emerging Markets Bonds -- 3.84% Brinson Emerging Markets Debt Fund (b)............. 444,026 11,243,315 ------------ Total Bonds (Cost $130,749,445).................... 133,220,798 ------------ Short-Term Investments -- 17.45% Investment Companies -- 0.63% Brinson Supplementary Trust U.S. Cash Management Prime Fund............................ 1,830,859 1,830,859 ------------
=============================================================================== 16 Global Fund -- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Face Amount Value ------------ ------------ U.S. Corporate Bonds -- 9.57% Centex Corp., Series B, MTN, 6.840%, due 04/02/01............................. $ 5,000,000 $ 4,997,755 Dominion Resources, Inc. 7.026%, due 01/26/01............................. 2,100,000 2,099,937 GATX Capital Corp., 6.500%, due 11/01/00........... 1,500,000 1,495,236 GATX Capital Corp., Series F, MTN 7.4175%, due 04/25/01............................ 1,000,000 1,000,425 Hertz Corp., 6.625%, due 07/15/00.................. 2,500,000 2,499,557 Kroger Co., 7.661%, due 10/01/00................... 5,000,000 4,999,000 NorAm Energy Corp., 7.500%, due 08/01/00........... 2,000,000 2,000,228 Raytheon Co., 6.300%, due 08/15/00................. 3,000,000 2,996,625 Safeway, Inc., 5.750%, due 11/15/00................ 4,000,000 3,980,204 Supervalue Stores, Inc., Series A, MTN 6.500%, due 10/06/00............................. 2,000,000 1,995,026 ------------ 28,063,993 ------------ U.S. Government Obligations -- 1.08% U.S. Treasury Bill, due 08/17/00................... 3,200,000 3,177,520 ------------ Commercial Paper -- 6.17% Boston Scientific Corp., 7.350%, due 07/05/00............................. 2,500,000 2,497,958 Case Credit Corp. 7.250%, due 07/19/00............................. 2,000,000 1,992,750 7.400%, due 07/03/00............................. 3,900,000 3,898,397 Crown Cork & Seal, 7.150%, due 07/20/00............ 2,438,000 2,428,800 FMC Corp., 7.330%, due 07/03/00.................... 2,500,000 2,498,982 Phillips Petroleum, 7.150%, due 07/05/00........... 2,500,000 2,498,014 Southern Industries, 7.200%, due 07/06/00.......... 2,280,000 2,277,720 ------------ 18,092,621 ------------ Total Short-Term Investments (Cost $51,163,762)............................... 51,164,993 ------------ Total Investments (Cost $341,418,335) -- 117.51% (a)............... 344,552,777 Liabilities, less cash and other assets -- (17.51%)......................... (51,338,578) ------------ Net Assets -- 100%................................. $293,214,199 ============
See accompanying notes to schedule of investments. ================================================================================ 16 Global Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $345,071,906; and net unrealized depreciation consisted of: Gross unrealized appreciation......................... $ 22,527,796 Gross unrealized depreciation......................... (23,046,925) ------------ Net unrealized depreciation..................... $ (519,129) ============ (b) Non-income producing security FRN: Floating Rate Note -- The rate disclosed is that in effect at June 30, 2000. MTN: Medium Term Note TBA: Security is subject to delayed delivery. 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 June 30, 2000, the value of these securities amounted to $1,486,485 or 0.51% of net assets. Resettable Perpetual Preferred: A bond with either no maturity date or a maturity date that is so far in the future that the bond will pay interest indefinitely. The issuer generally retains the right to call such a bond. FORWARD FOREIGN CURRENCY CONTRACTS The Global Fund had the following open forward foreign currency contracts as of June 30, 2000:
Settlement Local Current Unrealized Date Currency Value Gain/(Loss) ---------- ------------- ----------- ----------- Forward Foreign Currency Buy Contracts Australian Dollar.......................... 08/08/00 29,200,000 $17,542,911 $(979,839) Euro....................................... 08/08/00 52,600,000 50,546,789 (991,373) Japanese Yen............................... 08/08/00 1,586,000,000 15,098,035 224,980 Swedish Krona.............................. 08/08/00 117,500,000 13,436,895 (112,559) Swiss Franc................................ 08/08/00 4,600,000 2,839,471 315 Forward Foreign Currency Sale Contracts Australian Dollar.......................... 08/08/00 2,700,000 1,622,118 7,332 British Pound.............................. 08/08/00 7,300,000 11,059,601 587,969 Danish Krone............................... 08/08/00 12,000,000 1,544,722 44,725 Euro....................................... 08/08/00 10,700,000 10,282,331 44,511 Japanese Yen............................... 08/08/00 3,370,000,000 32,080,945 157,503 Swedish Krona.............................. 08/08/00 117,500,000 13,436,895 326,561 --------- Total.................................... $(689,875) =========
FUTURES CONTRACTS The Global Fund had the following open futures contracts as of June 30, 2000:
Expiration Cost/ Current Unrealized Date Proceeds Value Gain/Loss ------------- ----------- ----------- ---------- U.S. Interest Rate Futures Buy Contracts 5 year U.S. Treasury Notes, 300 contracts...... September 2000 $29,080,788 $29,704,686 $ 623,898 10 year U.S. Treasury Notes, 88 contracts...... September 2000 8,545,022 8,666,625 121,603 30 year U.S. Treasury Bonds, 58 contracts...... September 2000 5,555,992 5,645,937 89,945 Index Futures Sale Contracts Standard & Poor's 500, 121 contracts........... September 2000 44,388,003 44,410,025 (22,022) --------- Total........................................ $ 813,424 =========
The market value of investments pledged to cover margin requirements for the open futures positions at June 30, 2000 was $3,177,526. ================================================================================ See accompanying notes to financial statements. 17 Global Equity Fund -------------------------------------------------------------------------------- [LOGO] The Brinson Global Equity Fund Class I has provided an annualized return of 10.51% since its inception on January 31, 1994. Over the same period, the annualized return of the benchmark, the MSCI World Equity (Free) Index, has been 14.69%. The Fund's performance was achieved with a volatility of 10.97%, significantly less risk than its benchmark's volatility of 12.96%. Year-to-date, the Fund returned - 2.58%, underperforming the benchmark return of -2.49%. During the second quarter, returns were dominated by "old economy" stocks, and the Fund outperformed the benchmark by a wide margin of 657 basis points. Trends of the last two years show a remarkable divergence between the performance of "new economy" and "old economy" sectors. In contrast to recent bull markets, the current price appreciation has been limited to narrow groups of technology, media and telecommunications (TMT) stocks. This phenomenon is most easily recognizable in the U.S. where it began, but has also proliferated into all developed equity markets. In the first quarter of 2000, the Fund's lag in performance was most directly attributable to security selection in the U.S. market, where we hold significant underweights to TMT sectors. Our strategy began to pay off in the second quarter as investors began to question whether TMT companies can grow and increase earnings fast enough and for long enough to justify their high valuations. While we are skeptical of inflated equity investment expectations, we understand and appreciate the role of new and emerging technology in business. Our analysis is focused on investing in companies with solid fundamentals as well as promising uses for new technologies. Specifically, we see opportunities in some "old economy" sectors such as utilities, diversified financials, and food, beverages and tobacco where some companies are leveraging their skills, assets and competitive positions to take advantage of the Internet. With respect to countries, we continue to overweight Japan and underweight the U.S. However, we have reduced the underweight to the U.S. from -8.95 at the end of the first quarter to -1.98 at the end of the second quarter. We have also reduced our Japanese overweight from 6.09 at the end of the first quarter to 0.52 at the end of the second quarter. The increased weight in the U.S. is allocated to sectors we estimate to be undervalued including materials, transportation and healthcare equipment/services. ================================================================================ 18 Global Equity Fund -------------------------------------------------------------------------------- Total Return
6 months 1 year 3 year 5 years Inception* ended ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 6/30/00 ----------------------------------------------------------------------------------------------------- Brinson Global Equity Fund Class I -2.58% 2.69% 7.22% 13.42% 10.51% ----------------------------------------------------------------------------------------------------- Brinson Global Equity Fund Class N -2.66 2.49 6.90 N/A 6.90 ----------------------------------------------------------------------------------------------------- MSCI World Equity (Free) Index -2.49 12.39 15.13 17.35 14.69 -----------------------------------------------------------------------------------------------------
*Performance inception date of the Brinson Global Equity Fund Class I and MSCI World Equity (Free) Index is 1/31/94 and inception date of Class N is 6/30/97. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $1,000,000 This chart shows the growth in the value of an investment in the Brinson Global Equity Fund Class I and the MSCI World Equity (Free) Index if you had invested $1,000,000 on January 31, 1994, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. The performance of Class N shares will vary based upon the different inception dates and class specific expenses. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. Brinson Global Equity Fund Class I vs. MSCI World Equity (Free) Index Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE]
Label A B C D ----------------------------------------------------------------------------------------------------- Label Brinson Global Equity Fund MSCI World Equity (Free) Index ----------------------------------------------------------------------------------------------------- 1 1/31/94 $1,000,000 $1,000,000 2 2/28/94 $ 978,000 $ 986,865 3 3/31/94 $ 935,000 $ 944,349 4 4/30/94 $ 957,000 $ 974,078 5 5/31/94 $ 964,000 $ 976,963 6 6/30/94 $ 953,025 $ 974,101 7 7/31/94 $ 967,085 $ 992,749 8 8/31/94 $1,008,259 $1,022,751 9 9/30/94 $ 981,144 $ 995,748 10 10/31/94 $ 983,153 $1,024,396 11 11/30/94 $ 957,042 $ 980,245 12 12/31/94 $ 956,520 $ 989,551 13 1/31/95 $ 942,320 $ 975,025 14 2/28/95 $ 957,535 $ 989,499 15 3/31/95 $ 965,650 $1,037,236 16 4/30/95 $ 991,008 $1,073,521 17 5/31/95 $1,004,194 $1,083,208 18 6/30/95 $1,010,802 $1,082,851 19 7/31/95 $1,057,638 $1,137,066 20 8/31/95 $1,075,010 $1,111,688 21 9/30/95 $1,094,426 $1,144,526 22 10/31/95 $1,092,382 $1,126,746 23 11/30/95 $1,131,213 $1,166,018 24 12/31/95 $1,166,324 $1,200,236 25 1/31/96 $1,201,270 $1,222,676 26 2/29/96 $1,206,730 $1,230,112 27 3/31/96 $1,227,479 $1,250,534 28 4/30/96 $1,261,333 $1,279,914 29 5/31/96 $1,264,610 $1,280,939 30 6/30/96 $1,270,202 $1,287,765 31 7/31/96 $1,229,582 $1,242,255 32 8/31/96 $1,251,539 $1,256,945 33 9/30/96 $1,293,257 $1,306,231 34 10/31/96 $1,297,648 $1,315,223 35 11/30/96 $1,363,519 $1,389,368 36 12/31/96 $1,367,688 $1,367,286 37 1/31/97 $1,379,696 $1,384,047 38 2/28/97 $1,398,908 $1,399,822 39 3/31/97 $1,392,904 $1,371,807 40 4/30/97 $1,401,310 $1,416,808 41 5/31/97 $1,484,164 $1,504,478 42 6/30/97 $1,540,253 $1,579,321 43 7/31/97 $1,590,951 $1,652,216 44 8/31/97 $1,517,318 $1,540,396 45 9/30/97 $1,582,501 $1,624,144 46 10/31/97 $1,496,797 $1,538,889 47 11/30/97 $1,495,590 $1,565,803 48 12/31/97 $1,514,304 $1,584,937 49 1/31/98 $1,539,631 $1,629,401 50 2/28/98 $1,634,275 $1,739,612 51 3/31/98 $1,700,926 $1,812,828 52 4/30/98 $1,698,260 $1,830,553 53 5/31/98 $1,692,928 $1,808,342 54 6/30/98 $1,678,772 $1,850,637 55 7/31/98 $1,670,739 $1,847,845 56 8/31/98 $1,487,333 $1,601,540 57 9/30/98 $1,511,430 $1,630,041 58 10/31/98 $1,611,835 $1,777,635 59 11/30/98 $1,673,417 $1,883,507 60 12/31/98 $1,726,828 $1,975,069 61 1/31/99 $1,726,828 $2,018,467 62 2/28/99 $1,676,039 $1,964,831 63 3/31/99 $1,728,200 $2,046,335 64 4/31/99 $1,847,623 $2,127,345 65 5/31/99 $1,780,362 $2,048,976 66 6/30/99 $1,849,022 $2,144,287 67 7/31/99 $1,842,133 $2,137,917 68 8/31/99 $1,813,199 $2,313,954 69 9/30/99 $1,762,220 $2,113,893 70 10/31/99 $1,787,020 $2,223,683 71 11/30/99 $1,831,110 $2,286,144 72 12/31/99 $1,949,056 $2,471,305 73 1/31/2000 $1,816,581 $2,329,907 74 2/29/2000 $1,780,037 $2,335,984 75 3/31/2000 $1,842,467 $2,497,657 76 4/30/2000 $1,822,672 $2,391,940 77 5/31/2000 $1,837,899 $2,331,385 78 6/30/2000 $1,898,807 $2,409,872
Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. 19 Global Equity Fund -------------------------------------------------------------------------------- [LOGO] Market Allocation As of June 30,2000 Current Benchmark Strategy ---------------------------------------------------------------------- U.S. 49.3% 46.8% Australia 1.3 3.2 Austria 0.1 0.0 Belgium 0.4 0.8 Canada 2.6 1.5 Denmark 0.4 0.3 Finland 1.5 1.7 France 5.5 5.5 Germany 4.1 1.5 Hong Kong 1.0 0.6 Ireland 0.2 0.6 Italy 2.1 1.5 Japan 12.9 13.6 Netherlands 2.6 3.6 New Zealand 0.1 0.0 Norway 0.2 0.0 Portugual 0.2 0.2 Singapore 0.5 0.6 Spain 1.3 2.7 Sweden 1.5 2.2 Switzerland 2.8 1.8 United Kingdom 9.4 11.3 Cash Reserves 0.0 0.0 ---------------------------------------------------------------------- 100.0% 100.0% Top Ten U.S. Equity Holdings As of June 30, 2000 Percent of Net Assets ---------------------------------------------------------------------- 1. Microsoft Corp. 2.00% 2. Johnson & Johnson Co. 1.57 3. PepsiCo, Inc. 1.45 4. Alza Corp. 1.38 5. FedEx Corp. 1.34 6. Advanced Micro Devices, Inc. 1.33 7. Texas Instruments, Inc. 1.31 8. CIGNA Corp. 1.29 9. SBC Communications, Inc. 1.25 10. Wells Fargo and Co. 1.23 ---------------------------------------------------------------------- Currency Allocation As of June 30, 2000 Current Benchmark Strategy --------------------------------------------------------------------- U.S. 49.3% 44.3% Australia 1.3 9.2 Canada 2.6 2.6 Denmark 0.4 0.4 Euro 18.0 31.9 Hong Kong 1.0 0.0 Japan 12.9 5.0 New Zealand 0.1 0.2 Norway 0.2 0.2 Singapore 0.5 0.5 Sweden 1.5 1.5 Switzerland 2.8 2.8 United Kingdom 9.4 1.4 --------------------------------------------------------------------- 100.0% 100.0% Top Ten Global (Ex-U.S.) Equity Holdings As of June 30. 2000 Percent of Net Assets --------------------------------------------------------------------- 1. Banque Nationale de Paris 1.21% 2. Canon, Inc. 1.09 3. Bayer AG 1.02 4. Diageo PLC 1.01 5. Heineken NV 1.01 6. Nippon Telegraph & Telephone Corp. 0.95 7. Honda Motor Co. 0.94 8. National Australia Bank Ltd., Preferred 0.90 9. Kao Corp. 0.89 10. Nycomed Amersham PLC 0.85 ---------------------------------------------------------------------- 20 GLOBAL EQUITY FUND [LOGO] Industry Diversification
As a Percent of Net Assets As of June 30, 2000 ------------------------------------------------------------------------------ U.S. EQUITIES Energy........................................................... 1.67% Capital Investment Capital Goods.................................................... 0.40 Electronic Components............................................ 2.23 Technology....................................................... 1.64 ------ Basic Industries Chemicals........................................................ 1.95 Housing/Paper.................................................... 2.22 Metals........................................................... 1.75 ------ Computers Software......................................................... 2.00 Systems.......................................................... 0.69 ------ Consumer Autos/Durables................................................... 0.74 Health: Drugs.................................................... 3.63 Health: Non-Drugs................................................ 3.78 Non-Durables..................................................... 1.45 Retail/Apparel................................................... 2.77 ------ 12.37 Financial Banks............................................................ 2.21 Non-Banks........................................................ 2.41 ------ 4.62 Telecommunications Services....................................... 3.22 Transportation.................................................... 2.55 Services/Misc..................................................... 3.77 Utilities......................................................... 1.59 ------ Total U.S. Equities........................................... 42.67 GLOBAL (EX-U.S.) EQUITIES Aerospace & Military.............................................. 0.44% Appliances & Households........................................... 1.10 Autos/Durables.................................................... 0.94 Banking........................................................... 8.06 Beverages and Tobacco............................................. 3.03 Broadcasting & Publishing......................................... 3.26 Building Materials................................................ 0.17 Business & Public Service......................................... 1.47 Chemicals......................................................... 2.71 Consumer.......................................................... 0.01 Data Processing................................................... 1.09 Electric Components............................................... 2.07 Electronics....................................................... 0.72 Energy............................................................ 1.15 Financial Services................................................ 2.29 Food & House Products............................................. 3.02 Forest Products................................................... 0.67 Health & Personal Care............................................ 3.16 Industrial Components............................................. 0.41 Insurance......................................................... 2.36 Machinery & Engineering........................................... 0.49 Merchandising..................................................... 0.87 Multi-Industry.................................................... 0.28 Non-Ferrous Metals................................................ 0.25 Real Estate....................................................... 1.06 Recreation........................................................ 1.06 Textile & Apparel................................................. 0.21 Telecommunications................................................ 4.98 Transportation.................................................... 0.98 Utilities......................................................... 2.86 ------ Total Global (Ex-U.S.) Equities............................... 51.17 SHORT-TERM INVESTMENTS............................................ 3.56 ------ TOTAL INVESTMENTS............................................. 97.40 CASH AND OTHER ASSETS, LESS LIABILITIES........................... 2.60 ------ NET ASSETS........................................................ 100.00% ======
================================================================================ 21 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS June 30, 2000 --------------------------------------------------------------------------------
Shares Value ---------- ----------- Equities -- 93.84% U.S. Equities -- 42.67% Advanced Micro Devices, Inc. (b).............................. 11,900 $ 919,275 Allergan, Inc................................................. 7,500 558,750 Alza Corp. (b)................................................ 16,100 951,912 American Electric Power Co., Inc.............................. 15,480 458,595 Baxter International, Inc..................................... 7,800 548,437 Bristol-Myers Squibb Co....................................... 7,800 454,350 Burlington Northern Santa Fe Corp............................. 36,300 832,631 CIGNA Corp.................................................... 9,500 888,250 Compaq Computer Corp.......................................... 10,200 260,738 Computer Sciences Corp. (b)................................... 6,900 515,344 Compuware Corp. (b)........................................... 32,300 335,112 CVS Corp...................................................... 8,000 320,000 Dell Computer Corp. (b)....................................... 9,600 473,400 Dominion Resources, Inc....................................... 10,600 454,475 E.I. du Pont de Nemours and Co................................ 4,100 179,375 Electronic Data Systems Corp.................................. 5,200 214,500 Emerson Electric Co........................................... 10,500 633,937 Exxon Mobil Corp.............................................. 8,900 698,650 Federated Department Stores, Inc. (b)......................... 4,200 141,750 FedEx Corp. (b)............................................... 24,300 923,400 First Data Corp............................................... 15,004 744,573 Fort James Corp............................................... 12,500 289,063 Gateway, Inc. (b)............................................. 5,600 317,800 Genzyme Corp. (b)............................................. 6,400 380,400 GreenPoint Financial Corp..................................... 11,700 219,375 Household International, Inc.................................. 11,700 486,281 Illinois Tool Works, Inc...................................... 8,700 495,900 Johnson & Johnson Co.......................................... 10,600 1,079,875 Kimberly-Clark Corp........................................... 10,400 596,700 Lafarge Corp.................................................. 3,900 81,900 Lear Corp. (b)................................................ 11,900 238,000 Lexmark International Group, Inc. (b)......................... 4,100 275,725 Lincoln National Corp......................................... 10,900 393,762 Masco Corp.................................................... 39,200 708,050 Mattel, Inc................................................... 18,600 245,288 Microsoft Corp. (b)........................................... 17,200 1,376,000 Motorola, Inc................................................. 17,715 514,842 New York Times Co............................................. 14,500 572,750 Newell Rubbermaid, Inc........................................ 7,400 190,550 Nextel Communications, Inc. (b)............................... 6,900 422,194 Peco Energy Co................................................ 15,910 641,372 PepsiCo, Inc.................................................. 22,400 995,400 PNC Bank Corp................................................. 5,900 276,563 Praxair, Inc.................................................. 6,600 247,088 Raytheon Co., Class B......................................... 14,700 282,975 Reliaster Financial Corp...................................... 3,400 178,288 SBC Communications, Inc....................................... 19,900 860,675 Smurfit-Stone Container Corp. (b)............................. 24,800 319,300 Southdown, Inc................................................ 4,176 241,164 St. Jude Medical, Inc. (b).................................... 12,900 591,787 Tellabs, Inc. (b)............................................. 6,100 417,469 Texas Instruments, Inc........................................ 13,100 899,806 U.S. Bancorp.................................................. 9,263 178,313 Unisys Corp. (b).............................................. 19,000 276,688 W.W. Grainger, Inc............................................ 8,900 274,231 Wal-Mart Stores, Inc.......................................... 12,700 731,837 Watson Pharmaceutical Co. (b)................................. 9,900 532,125 Wells Fargo and Co............................................ 21,900 848,625 XL Capital Ltd................................................ 3,700 200,263 ------------ Total U.S. Equities........................................... 29,385,878 ------------ Global (Ex-U.S.) Equities -- 51.17% Australia -- 3.14% Broken Hill Proprietary Co., Ltd.............................. 27,650 327,870 Lend Lease Corp., Ltd......................................... 11,294 144,487 National Australia Bank Ltd., Preferred....................... 21,900 620,044 News Corp., Ltd............................................... 22,540 311,259 QBE Insurance Group Ltd....................................... 25,789 126,533 Rio Tinto Ltd................................................. 10,263 170,185 Westpac Banking Corp., Ltd.................................... 64,145 464,076 ------------ 2,164,454 ------------ Belgium -- 0.79% Electrabel S.A................................................ 1,530 379,717 Fortis B...................................................... 5,542 161,927 ------------ 541,644 ------------ Canada -- 1.45% Canadian National Railway Co.................................. 13,300 386,873 NOVA Chemicals Corp........................................... 14,200 298,050 Shaw Communications, Inc., Class B............................ 12,700 312,850 ------------ 997,773 ------------ Denmark -- 0.28% Tele Danmark A/S............................................... 2,900 196,006 ------------ Finland -- 1.36% Metso Oyj..................................................... 22,300 269,347 Nokia Oyj..................................................... 4,000 204,948 UPM-Kymmene Corp.............................................. 18,500 461,086 ------------ 935,381 ------------ France -- 5.35% Air Liquide................................................... 3,676 481,352 Banque Nationale de Paris..................................... 8,602 831,183 Cie de Saint Gobain........................................... 876 118,906 CSF Thomson................................................... 7,465 295,254 Groupe Danone................................................. 1,860 247,836 Rhone-Poulenc, Class A........................................ 6,390 468,290 Schneider S.A................................................. 6,150 430,362 Total Fina S.A., Class B...................................... 3,029 466,317 Vivendi....................................................... 3,899 345,539 ------------ 3,685,039 ------------ Germany -- 1.43% Bayer AG...................................................... 18,190 699,220 Continental AG................................................ 16,850 284,282 ------------ 983,502 ------------ Hong Kong -- 0.59% Cheung Kong Holdings, Ltd..................................... 20,000 221,287 Guoco Group Ltd............................................... 93,000 186,709 ------------ 407,996 ------------ Ireland -- 0.55% Bank of Ireland............................................... 41,200 258,884 Eircom PLC.................................................... 45,100 121,052 ------------ 379,936 ------------
================================================================================ 22 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS June 30, 2000 --------------------------------------------------------------------------------
Shares Value ---------- ----------- Italy -- 1.45% San Paolo-imi Spa............................................ 19,811 $ 353,039 Telecom Italia Mobile Spa.................................... 43,800 449,257 Telecom Italia Spa........................................... 14,000 193,253 ----------- 995,549 ----------- Japan -- 13.08% Acom Co., Ltd................................................ 3,300 278,210 Bank of Tokyo-Mitsubushi Ltd................................. 42,000 508,501 Benesse Corp................................................. 3,600 250,083 Canon, Inc................................................... 15,000 748,547 Dai-Ichi Kangyo Bank......................................... 38,000 289,117 Fuji Photo Film Co., Ltd..................................... 11,000 451,207 Honda Motor Co............................................... 19,000 648,268 Hoya Corp.................................................... 2,000 179,576 Kao Corp..................................................... 20,000 612,447 Mitsubishi Chemical Corp..................................... 94,000 386,466 Mitsubishi Estate Co., Ltd................................... 31,000 365,654 NEC Corp..................................................... 6,000 188,838 Nintendo Corp., Ltd.......................................... 1,600 280,062 Nippon Telegraph & Telephone Corp............................ 49 652,994 Nissin Food Products Co...................................... 21,500 548,651 Nomura Securities Co., Ltd................................... 20,000 490,525 Orix Corp.................................................... 2,900 428,949 Secom Co., Ltd............................................... 2,000 146,496 Sony Corp.................................................... 5,500 514,626 Takeda Chemical Industries................................... 6,000 394,688 TDK Corp..................................................... 2,000 288,077 Toyoda Automatic Loom Works.................................. 3,000 65,073 West Japan Railway Co........................................ 71 288,550 ----------- 9,005,605 ----------- Netherlands -- 3.49% Aegon NV..................................................... 6,760 241,514 Heineken NV.................................................. 17,700 692,261 ING Groep NV................................................. 5,612 380,879 Philips Electronics NV....................................... 11,100 525,638 TNT Post Group NV............................................ 10,089 273,214 Wolters Kluwer NV............................................ 10,689 285,876 ----------- 2,399,382 ----------- Portugal -- 0.23% Electricidade de Portugal S.A................................ 8,700 158,623 ----------- Singapore -- 0.55% Singapore Press Holdings Ltd................................. 13,046 203,726 United Overseas Bank Ltd..................................... 26,512 173,271 ----------- 376,997 ----------- Spain -- 2.55% Banco Popular Espanol S.A.................................... 15,203 472,184 Banco Santander Central Hispano S.A.......................... 24,155 255,862 Endesa S.A................................................... 7,814 151,982 Tabacalera S.A............................................... 33,726 520,184 Telefonica S.A. (b).......................................... 16,532 356,570 ----------- 1,756,782 ----------- Sweden -- 2.16% Electrolux AB, B Shares...................................... 14,950 $ 232,662 Ericsson, B Shares........................................... 21,560 428,939 Investor AB, B Shares........................................ 14,170 194,674 Nordbanken Holding AB........................................ 60,100 455,666 Swedish Match AB............................................. 57,700 178,935 ----------- 1,490,876 ----------- Switzerland -- 1.72% Givaudan (b)................................................. 14 4,275 Nestle S.A. (Reg.)........................................... 145 291,141 Novartis AG (Reg.)........................................... 212 336,885 Roche Holding AG (Gen.)...................................... 13 126,954 Swiss Reinsurance Co. (Reg.)................................. 207 423,267 ----------- 1,182,522 ----------- United Kingdom -- 11.00% Allied Zurich PLC............................................ 31,975 378,298 AstraZeneca PLC.............................................. 5,639 263,361 British Telecommunications PLC............................... 23,000 297,358 Diageo PLC................................................... 77,630 696,913 FKI PLC...................................................... 86,405 307,398 HSBC Holdings PLC............................................ 25,000 285,936 Lloyds TSB Group PLC......................................... 42,220 398,838 National Power PLC........................................... 50,500 321,861 Nycomed Amersham PLC......................................... 59,000 585,936 Pentokil Initial PLC......................................... 63,800 144,880 Powergen PLC................................................. 59,000 504,655 Prudential Corp. PLC......................................... 20,000 293,089 Reckitt & Colman PLC......................................... 13,000 145,636 Reed International PLC....................................... 67,000 583,226 Scottish & Southern Energy PLC............................... 49,650 455,498 Tesco PLC.................................................... 80,250 249,661 The Great Universal Stores PLC............................... 54,000 347,438 Trinity Mirror PLC........................................... 21,175 190,096 Unilever PLC................................................. 39,000 236,167 United News & Media PLC...................................... 25,000 359,549 Vodafone Group PLC........................................... 131,188 530,273 ----------- 7,576,067 ----------- Total Global (Ex-U.S.) Equities.............................. 35,234,134 ----------- Total Equities (Cost $56,332,868)............................ 64,620,012 ----------- Short-Term Investments -- 3.56% Investment Companies -- 3.56% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $2,453,941)...................... 2,453,941 2,453,941 ----------- Total Investments (Cost $58,786,809) -- 97.40% (a)........... 67,073,953 Cash and other assets, less liabilities -- 2.60%............. 1,789,330 ----------- Net Assets -- 100%........................................... $68,863,283 ===========
See accompanying notes to schedule of investments. ================================================================================ 23 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS June 30, 2000 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $59,974,004; and net unrealized appreciation consisted of: Gross unrealized appreciation........................................................... $ 12,365,192 Gross unrealized depreciation........................................................... (5,265,243) ------------ Net unrealized appreciation........................................................ $ 7,099,949 ============
(b) Non-income producing security FORWARD FOREIGN CURRENCY CONTRACTS The Global Equity Fund had the following open forward foreign currency contracts as of June 30, 2000:
Settlement Local Currency Unrealized Date Current Value Gain/(Loss) ---------- ------- -------- ---------- Forward Foreign Currency Buy Contracts Australian Dollar................................. 12/01/00 7,600,000 $ 4,577,458 $ 230,258 British Pound..................................... 12/01/00 900,000 1,366,929 5,439 Canadian Dollar................................... 12/01/00 800,000 542,160 (4,774) Euro.............................................. 12/01/00 12,540,000 12,134,114 358,406 Singapore Dollar.................................. 12/01/00 700,000 412,014 (2,678) Swiss Francs...................................... 12/01/00 1,000,000 623,729 19,864 Forward Foreign Currency Sale Contracts British Pound..................................... 12/01/00 5,300,000 8,049,695 (156,935) Euro.............................................. 12/01/00 2,000,000 1,935,265 2,135 Hong Kong Dollar.................................. 12/01/00 2,300,000 295,233 (345) Japanese Yen...................................... 12/01/00 628,000,000 6,107,814 (25,372) Singapore Dollar.................................. 12/01/00 700,000 412,014 (1,216) Swedish Krona..................................... 12/01/00 3,500,000 403,291 (11,169) --------- Total........................................ $ 413,613 =========
================================================================================ See accompanying notes to financial statements. 24 Global Technology Fund [LOGO] After a serious correction lasting about eight weeks, technology stocks staged a rapid two-week recovery beginning in the last week of May. During the remainder of the month of June there was mostly steady recovery, with a few very significant gains. Computer hardware and software were the best industry groups in June, rising about 20%. Semiconductors and optoelectronics were also strong, while technology services declined. The serious April-May correction reminded investors that it can be difficult to invest in the long-term growth opportunity of technology stocks. While a decline in value is always painful, we have maintained our perspective and kept our eyes on the strong growth opportunities available to our Fund's companies. The April-May slump and the relatively slow continuing recovery have enabled the Fund to selectively accumulate positions at very favorable discounts from previously higher prices. We see many very attractively undervalued technology stocks, especially among the less well known names, as well as continued strength in the global demand for technology products and services. We expect better investment results going forward, particularly in the second half of the year, a traditionally strong season for technology stocks. Significant changes in the competitive structure of the computer and communications industries will occur over the next year as new technological solutions meet the seemingly infinite demand for Internet access devices and communications bandwidth. We are particularly excited about the opportunities for the smaller telecom services providers, who are in a good position to deliver broadband Internet access to a wide range of business and consumer markets. ================================================================================ 25 Global Technology Fund [LOGO] Top Ten Equity Holdings As of June 30, 2000 Percent of Net Assets ----------------------------------------------------------- 1. Micron Technology, Inc. 4.57% 2. Nortel Networks Corp. 4.13 3. EMC Corp. 3.99 4. Yahoo!, Inc. 3.21 5. STMicroelectronics N.V. 3.06 6. Oracle Corp. 2.91 7. International Business Machines Corp. 2.84 8. Compaq Computer Corp. 2.65 9. SAP AG 2.43 10. Texas Instruments, Inc. 2.37 ----------------------------------------------------------- Industry Diversification As a Percent of Net Assets As of June 30, 2000 ----------------------------------------------- U.S. EQUITIES Computers Services............................. 6.15% Software............................. 8.94 Systems.............................. 16.87 ------ 31.96 Electronic Components................. 23.51 Internet Services..................... 6.74 Telecommunications Equipment............................ 11.24 Services............................. 6.41 ------ 17.65 ------ Total U.S. Equities................. 79.86 GLOBAL (EX-U.S.) EQUITIES Computers Software............................. 2.44% Systems.............................. 0.63 ------ 3.07 Electronic Components................. 5.70 Telecommunications Equipment............................. 3.54 Services............................. 0.68 ------ 4.22 ------ Total Global (Ex-U.S.) Equities...... 12.99 SHORT-TERM INVESTMENTS................ 1.55 TOTAL INVESTMENTS............... 94.40 CASH AND OTHER ASSETS, LESS LIABILITIES.................... 5.60 ------ NET ASSETS............................ 100.00% ====== ================================================================================ 26 Global Technology Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value ------ ----- Equities -- 92.85% U.S. Equities -- 79.86% Advanced Micro Devices, Inc. (b)........................ 100 $ 7,725 Agilent Technologies, Inc (b)........................... 19 1,401 Amazon.com, Inc. (b).................................... 150 5,447 America On-Line, Inc. (b)............................... 200 10,550 Amkor Technologies, Inc. (b)............................ 200 7,062 Applied Material, Inc. (b).............................. 150 13,594 Atmel Corp. (b)......................................... 200 7,375 Broadcom Corp. (b)...................................... 50 10,947 Cisco Systems, Inc. (b)................................. 200 12,713 Comdisco, Inc........................................... 200 4,463 Compaq Computer Corp.................................... 600 15,337 Computer Associates International, Inc.................. 200 10,237 Computer Sciences Corp. (b)............................. 150 11,203 Covad Communications Group, Inc. (b).................... 200 3,225 Electronic Data Systems Corp............................ 150 6,188 EMC Corp. (b)........................................... 300 23,081 Emcore Corp. (b)........................................ 100 12,000 eMerge Interactive, Inc. (b)............................ 200 3,588 Flextronics International Ltd........................... 50 3,435 Gateway, Inc. (b)....................................... 50 2,838 Hewlett-Packard Co...................................... 50 6,244 Inprise Corp. (b)....................................... 400 2,450 Intel Corp.............................................. 50 6,684 International Business Machines Corp.................... 150 16,434 Intuit, Inc. (b)........................................ 300 12,412 Jabil Circuit, Inc. (b)................................. 100 4,963 JDA Software Group, Inc. (b)............................ 100 1,919 JDS Uniphase Corp. (b).................................. 100 11,987 KLA-Tencor Corp. (b).................................... 150 8,784 Leap Wireless International, Inc. (b)................... 100 4,700 Linear Technology Corp.................................. 150 9,591 Lucent Technologies, Inc................................ 200 11,850 Micron Technology, Inc. (b)............................. 300 26,419 Motorola, Inc........................................... 450 13,078 Network Plus Corp. (b).................................. 650 9,222 Oracle Corp. (b)........................................ 200 16,812 PeopleSoft, Inc. (b).................................... 650 10,887 Phone.com, Inc. (b)..................................... 100 6,513 QUALCOMM, Inc. (b)...................................... 200 12,000 Red Hat, Inc. (b)....................................... 50 1,353 Safeguard Scientifics, Inc. (b)......................... 50 1,603 Sipex Corp. (b)......................................... 50 1,384 Solectron Corp. (b)..................................... 100 4,188 Sun Microsystems, Inc. (b).............................. 150 13,641 Sykes Enterprises, Inc. (b).............................. 200 $ 2,575 Texas Instruments, Inc................................... 200 13,738 Titan Corp. (b).......................................... 150 6,712 Uniroyal Technology Corp. (b)............................ 100 1,106 VerticalNet, Inc. (b).................................... 100 3,694 Winstar Communications, Inc. (b)......................... 250 8,469 Worldcom, Inc. (b)....................................... 250 11,469 Xilinx, Inc. (b)......................................... 100 8,256 Yahoo!, Inc. (b)......................................... 150 18,581 -------- Total U.S. Equities...................................... 462,127 -------- Global (Ex-U.S.) Equities -- 12.99% Bermuda -- 0.68% Global Crossing Ltd. (b)................................. 150 3,947 -------- Canada -- 4.13% Nortel Networks Corp..................................... 350 23,887 -------- France -- 3.06% STMicroelectronics N.V................................... 276 17,716 -------- Germany -- 4.49% Infineon Technologies AG (b)............................. 150 11,888 SAP AG................................................... 300 14,081 -------- 25,969 -------- Switzerland -- 0.63% Logitech International SA (b)............................ 50 3,650 -------- Total Global (Ex-U.S.) Equities.......................... 75,169 -------- Total Equities (Cost $490,560)........................... 537,296 -------- Short-Term Investments -- 1.55% Investment Companies -- 1.55% Vista U.S. Government Money Market Fund (Cost $8,983)............................... 8,983 8,983 -------- Total Investments (Cost $499,543) -- 94.40% (a).......... 546,279 Cash and other assets, less liabilities -- 5.60%......... 32,381 -------- Net Assets -- 100%....................................... $578,660 ======== NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $500,976; and net unrealized appreciation consisted of: Gross unrealized appreciation............................. $ 59,362 Gross unrealized depreciation............................. (14,059) -------- Net unrealized appreciation........................... $ 45,303 ======== (b) Non-income producing security ================================================================================ 27 See accompanying notes to financial statements. GLOBAL BIOTECH FUND -------------------------------------------------------------------------------- [LOGO] Volatility initiated in March in the biotech sector continued into the second quarter of 2000, with the biotech indices bottoming in May followed by a substantial rally in June. The NASDAQ Biotech Index increased 11% during the second quarter. Biotech performance was in line with the pharmaceutical sector, but continued to outperform the general market and the small capitalization market. The biotech rally became more selective in the second quarter. Only 41% of 351 publicly traded stocks had positive returns, whereas in the first quarter of 2000 and the fourth quarter of 1999 the positive returns were 84% and 70%, respectively. Biotech investors flocked to larger companies in the second quarter, with 77% of the stocks enjoying positive returns, versus only 31% for small cap biotechs. In 2000, the biotech industry will continue to move into a more mature stage as an increasing number of companies generate sales and reach profitability. With more than 800 products in clinical trial development, we expect several research breakthroughs in the next few years, particularly in the treatment of diabetes, asthma, allergies, psoriasis, cancer, heart and vessel disease, and autoimmune diseases. If we extend our horizon to the next five to ten years, we are firmly convinced that the human genome sequence map(s) will be another strong growth driver for this industry. In the interim, we expect continued consolidation in this industry. Pharmaceutical companies will probably continue to buy biotech companies and large biotechs will keep buying smaller biotechs. Momentum players will come and go in this sector and contribute to short-term volatility, but they will have little impact on the promising long-term picture that is developing in this area. We remain focused on identifying promising new companies with strong drug pipelines that will produce handsome long-term returns for patient investors. ================================================================================ 28 GLOBAL BIOTECH FUND -------------------------------------------------------------------------------- [LOGO] Top Ten Equity Holdings As of June 30, 2000 Percent of Net Assets --------------------------------------------------------- 1. Amgen, Inc................................ 4.18% 2. Human Genome Sciences, Inc................ 3.97 3. Protein Design Labs, Inc.................. 3.93 4. COR Therapeutics, Inc..................... 3.55 5. Celgene Corp.............................. 3.50 6. Millennium Pharmaceuticals, Inc........... 3.33 7. QLT, Inc.................................. 3.22 8. Vertex Pharmaceuticals, Inc............... 3.13 9. Genentech, Inc............................ 3.07 10. CV Therapeutics, Inc...................... 2.89 --------------------------------------------------------- Industry Diversification As a Percent of Net Assets As of June 30, 2000 ----------------------------------------------------- U.S. EQUITIES Biomedical................................. 15.79% Gene....................................... 4.97 Health: Drugs.............................. 17.62 Medical Products........................... 4.10 Therapeutics............................... 14.35 Research and Development................... 17.16 ----- Total U.S. Equities.................. 73.99 GLOBAL (Ex-U.S.) EQUITIES Gene....................................... 2.01% Health: Drugs.............................. 4.24 Therapeutics............................... 3.22 ---- Total Global (Ex-U.S.) Equities............. 9.47 SHORT-TERM INVESTMENTS...................... 4.39 ----- TOTAL INVESTMENTS.................... 87.85 CASH AND OTHER ASSETS, LESS LIABILITIES..... 12.15 ------ NET ASSETS.................................. 100.00% ====== ================================================================================ 29 Global Biotech Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value ------ ----- Equities - 83.46% U.S. Equities - 73.99% Abgenix, Inc. (b)........................................ 150 $ 17,979 Affymetrix, Inc. (b)..................................... 50 8,256 Alkermes, Inc. (b)....................................... 150 7,069 American Home Products Corp.............................. 100 5,875 Amgen, Inc. (b).......................................... 500 35,125 Aurora Biosciences Corp. (b)............................. 150 10,228 Biogen, Inc. (b)......................................... 100 6,450 Celgene Corp. (b)........................................ 500 29,437 Cephalon, Inc. (b)....................................... 300 17,962 Chiron Corp. (b)......................................... 500 23,750 COR Therapeutics, Inc. (b)............................... 350 29,859 CV Therapeutics, Inc. (b)................................ 350 24,259 Enzon, Inc. (b).......................................... 200 8,500 Geltex Pharmaceuticals, Inc. (b)......................... 350 7,153 Genentech, Inc. (b)...................................... 150 25,800 Genzyme Corp. (b)........................................ 300 17,831 Gilead Sciences, Inc. (b)................................ 150 10,669 Guilford Pharmaceuticals, Inc. (b)....................... 250 3,766 Human Genome Sciences, Inc. (b).......................... 250 33,344 Idec Pharmaceuticals Corp. (b)........................... 200 23,462 Immunex Corp. (b)........................................ 450 22,247 Inhale Therapeutic Systems, Inc. (b)..................... 100 10,147 Johnson & Johnson Co..................................... 100 10,188 Luminex Corp. (b)........................................ 50 2,081 Maxim Pharmaceuticals, Inc. (b).......................... 250 12,844 Medarex, Inc. (b)........................................ 200 16,900 Medimmune, Inc. (b)...................................... 300 22,200 Millennium Pharmaceuticals, Inc. (b)..................... 250 27,969 Myriad Genetics, Inc. (b)................................ 100 14,808 PE Corp. -- Biosystems Group............................. 150 9,881 PE Corp. -- Celera Genomics Group (b).................... 200 18,700 Pfizer, Inc.............................................. 150 7,200 Protein Design Labs, Inc. (b)............................ 200 32,991 Sangstat Medical Corp. (b)............................... 250 7,219 Schering Plough Corp..................................... 150 7,575 Tanox, Inc. (b).......................................... 200 9,463 United Therapeutics Corp. (b)............................ 150 16,256 Vertex Pharmaceuticals, Inc. (b)......................... 250 26,344 ------- Total U.S. Equities...................................... 621,787 ------- Shares Value ------ ----- Global (EX-U.S.) Equities -- 9.47% CANADA -- 3.22% QLT, Inc................................................. 350 $ 27,060 --------- Denmark -- 1.02% Novo Nordisk A/S......................................... 50 8,545 --------- France -- 0.41% Genset S.A............................................... 150 3,469 --------- Switzerland -- 1.99% Serono S.A. (b).......................................... 20 16,727 -------- United Kingdom -- 2.83% Cambridge Antibody Technology Group PLC (b).............. 300 13,443 Shire Pharmaceuticals Group PLC (b)...................... 200 10,375 --------- 23,818 --------- Total Global (Ex-U.S.) Equities.......................... 79,619 --------- Total Equities (Cost $601,199)........................... 701,406 --------- Short-Term Investments -- 4.39% Investment Companies -- 4.39% Vista U.S. Government Money Market Fund (Cost $36,889).. 36,889 36,889 --------- Total Investments (Cost $638,088) -- 87.85% (a).......... 738,295 Cash and other assets, less liabilities -- 12.15%....... 102,143 --------- Net Assets -- 100%....................................... $ 840,438 ========= NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $638,743; and net unrealized appreciation consisted of: Gross unrealized appreciation............................................ $ 103,644 Gross unrealized depreciation............................................ (4,092) --------- Net unrealized appreciation......................................... $ 99,552 ========= (b) Non-income producing security
================================================================================ 30 See accompanying notes to financial statements. Global Bond Fund -------------------------------------------------------------------------------- [LOGO] Since its inception on July 31, 1993, the Brinson Global Bond Fund Class I has recorded an annualized return of 4.98%, versus the 5.58% return of its benchmark, the Salomon Smith Barney World Government Bond Index. This performance record was achieved with less risk or volatility than the benchmark; 5.12% versus 5.86%, respectively. Year- to-date, the Fund returned -0.44%, underperforming the benchmark return of 0.03%. During the second quarter, the Fund outperformed the benchmark by 71 basis points. In preemptive moves to combat inflation, most of the world's major central banks raised interest rates during the first quarter of 2000. The rate increases pushed up yields at the short end of the yield curve, while benign long-term inflationary expectations and government supply concerns pulled down long bond yields. This outlook was largely the same as it was in the last quarter of 1999, and during the first quarter bond yields in most markets fell to levels lower than at the beginning of the year. Our most significant strategy move in the first quarter was to reduce our overweight to Australia by half, after taking advantage of an Australian 10-year government yield decline of almost 100 basis points. With the proceeds, we moderately reduced our underweight to Japan. Despite some periods of volatility, long-term bond yields in most major markets finished the second quarter at levels similar to those at the end of March. Market sentiment was dominated by shifting expectations over the pace of economic growth and by the implications this had for the interest rate policies of central banks. The largest factor leading to Fund outperformance in the second quarter came from currency allocation, with the biggest contributions coming from our overweight to the euro and underweights to the British pound and the Japanese yen. In Australia, which was the strongest performing bond market during the period, we benefited from our overweight to government bonds. ================================================================================ 31 Global Bond Fund --------------------------------------------------------------------------------
Total Return 6 months 1 year 3 years 5 years Inception* ended ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 6/30/00 ----------------------------------------------------------------------------------------------------------------- Brinson Global Bond Fund Class I -0.44% -0.34% 1.81% 4.85% 4.98% ----------------------------------------------------------------------------------------------------------------- Brinson Global Bond Fund Class N -0.66 -0.66 1.52 N/A 1.52 ----------------------------------------------------------------------------------------------------------------- Salomon Smith Barney World Gov't Bond Index 0.03 3.16 3.87 3.16 5.58 -----------------------------------------------------------------------------------------------------------------
*Performance inception date of the Brinson Global Bond Fund Class I and the Salomon Smith Barney World Government Bond Index is 7/31/93, and inception date of Class N is 6/30/97. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $1,000,000 This chart shows the growth in the value of an investment in the Brinson Global Bond Fund Class I and the Salomon Smith Barney World Government Bond Index if you had invested $1,000,000 on July 31, 1993, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. The performance of Class N shares will vary based upon the different inception dates and class specific expenses. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. Brinson Global Bond Fund Class I vs. Salomon Smith Barney World Gov't Bond Index Wealth Value with Dividends Reinvested [CHART APPEARS HERE]
Brinson Global Bond Fund Class I Solomon Smith Barney World Gov't Bond Index 7/31/93 1000000 1000000 8/31/93 1019000 1030100 9/30/93 1022010 1042358 10/31/93 1032059 1040586 11/30/93 1023015 1033198 12/31/93 1038591 1041929 1/31/94 1045818 1050264 2/28/94 1021040 1043437 3/31/94 $1,007,619 $1,041,976 4/30/94 $1,002,457 $1,043,123 5/31/94 $994,198 $1,003,943 6/30/94 $992,146 $1,048,832 7/31/94 $999,419 $1,057,223 8/31/94 $1,000,457 $1,053,522 9/30/94 $1,001,496 $1,061,108 10/31/94 $1,005,652 $1,078,085 10/30/94 $1,003,574 $1,063,208 12/31/94 $1,002,396 $1,066,185 1/31/95 $1,012,827 $1,088,575 2/28/95 $1,030,559 $1,116,442 3/31/95 $1,044,119 $1,182,759 4/30/95 $1,069,153 $1,204,640 5/31/95 $1,069,704 $1,238,611 6/30/95 $1,104,638 $1,245,919 7/31/95 $1,122,712 $1,248,909 8/31/95 $1,134,406 $1,205,946 9/30/95 $1,148,228 $1,232,839 10/31/95 $1,167,365 $1,241,962 11/30/95 $1,190,755 $1,255,996 12/31/95 $1,206,119 $1,269,184 1/31/96 $1,212,149 $1,253,573 2/29/96 $1,200,088 $1,247,180 3/31/96 $1,204,913 $1,245,434 4/30/96 $1,216,974 $1,240,452 5/31/96 $1,220,592 $1,240,700 6/30/96 $1,231,653 $1,250,502 7/31/96 $1,243,921 $1,274,511 8/31/96 $1,253,735 $1,279,482 9/30/96 $1,274,590 $1,284,728 10/31/96 $1,301,578 $1,308,752 11/30/96 $1,326,113 $1,326,028 12/31/96 $1,318,299 $1,315,287 1/31/97 $1,297,658 $1,280,169 2/28/97 $1,299,034 $1,270,567 3/31/97 $1,279,768 $1,260,911 4/30/97 $1,272,888 $1,249,815 5/31/97 $1,310,043 $1,283,810 6/30/97 $1,326,556 $1,299,088 7/31/97 $1,321,051 $1,288,955 8/31/97 $1,316,923 $1,288,181 9/30/97 $1,343,069 $1,315,619 10/31/97 $1,360,958 $1,342,984 11/30/97 $1,343,069 $1,322,437 12/31/97 $1,339,835 $1,318,469 1/31/98 $1,351,311 $1,331,259 2/28/98 $1,359,918 $1,342,042 3/31/98 $1,345,573 $1,328,756 4/30/98 $1,362,787 $1,350,016 5/31/98 $1,362,787 $1,353,121 6/30/98 $1,362,306 $1,355,150 7/31/98 $1,362,306 $1,356,912 8/31/98 $1,378,231 $1,393,820 9/30/98 $1,444,826 $1,467,971 10/31/98 $1,476,676 $1,511,423 11/30/98 $1,466,542 $1,490,112 12/31/98 $1,500,412 $1,520,063 1/31/99 $1,500,412 $1,506,079 2/28/99 $1,451,914 $1,457,734 3/31/99 $1,450,398 $1,461,378 4/30/99 $1,453,429 $1,460,793 5/31/99 $1,427,665 $1,436,252 6/30/99 $1,404,902 $1,411,118 7/31/99 $1,430,918 $1,445,690 8/31/99 $1,424,797 $1,452,340 9/30/99 $1,438,570 $1,474,997 10/31/99 $1,430,918 $1,474 259 11/30/99 $1,409,493 $1,458,780 12/31/99 $1,406,271 $1,455,279 1/31/2000 $1,370,532 $1,424,281 2/29/2000 $1,362,762 $1,414,026 3/31/2000 $1,329,286 $1,457,861 4/30/2000 $1,342,562 $1,410,189 5/31/2000 $1,350,331 $1,421,188 6/30/2000 $1,400,056 $1,455,723
Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ================================================================================ 32 Global Bond Fund -------------------------------------------------------------------------------- Asset Allocation As of June 30, 2000 Current Benchmark Strategy ------------------------------------------------------------ U.S. 26.94% 29.94% Australia 0.58 2.58 Austria 1.03 0.00 Belgium 2.36 0.00 Canada 2.78 4.92 Denmark 1.16 4.16 Finland 0.66 0.00 France 7.77 12.95 Germany 8.03 5.69 Greece 0.74 0.00 Ireland 0.29 0.00 Italy 8.45 9.60 Japan 25.87 9.37 Netherlands 2.46 3.33 Portugal 0.50 0.00 Spain 3.09 6.01 Sweden 1.09 2.79 Switzerland 0.46 0.00 TIPS 0.00 1.75 U.K. 5.74 2.74 Euro 0.00 4.17 ------------------------------------------------------------ 100.0% 100.0% Currency Allocation As of June 30, 2000 Current Benchmark Strategy ------------------------------------------------------------ U.S. 26.9% 22.9% Australia 0.6 8.6 Canada 2.8 2.8 Denmark 1.2 1.2 Euro 35.3 47.2 Japan 25.9 15.9 Sweden 1.1 1.1 Switzerland 0.5 0.5 U.K. 5.7 -0.2 ------------------------------------------------------------ 100.0% 100.0% Industry Diversification As a Percent of Net Assets As of June 30, 2000 ------------------------------------------------------------ U.S. BONDS Corporate Bonds Construction...................................... 0.10% Consumer.......................................... 0.97 Energy............................................ 0.22 Financial Services................................ 2.59 Food and Housing Products......................... 0.54 Publishing........................................ 0.29 Services/Miscellaneous............................ 1.03 ------ Total U.S. Corporate Bonds................... 5.74 International Dollar Bonds.......................... 1.12 Asset-Backed........................................ 2.47 Corporate Mortgage-Backed Securities................ 7.39 U.S. Government Agencies............................ 2.39 U.S. Government Mortgage-Backed Securities.......... 6.01 U.S. Government Obligations......................... 6.89 ------ Total U.S. Bonds............................. 32.01 GLOBAL (EX-U.S.) BONDS Foreign Financial Bonds............................. 7.65 Foreign Government Bonds............................ 54.87 ------ Total Global (Ex-U.S.) Bonds................. 62.52 SHORT-TERM INVESTMENTS.............................. 11.89 ------ TOTAL INVESTMENTS............................ 106.42 LIABILITIES, LESS CASH AND OTHER ASSETS................................... (6.42) ------ NET ASSETS.......................................... 100.00% ====== ================================================================================ 33 Global Bond Fund -- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Face Amount Value --------- --------- Bonds -- 94.53% U.S. Bonds -- 32.01% U.S. Corporate Bonds -- 5.74% Capital One Bank, BKNT, 8.250%, due 06/15/05........................................ $ 70,000 $ 69,861 Cendant Corp., 7.750%, due 12/01/03................... 200,000 193,147 Centaur Funding Corp., Class B, 144A, 9.080%, due 04/21/20 (b)............................ 140 138,994 Centaur Funding Corp., Class C, 144A, 0.000%, due 04/21/20 (b)............................ 750 115,781 Centex Corp., 9.750%, due 06/15/05.................... 45,000 44,756 Countrywide Capital, Inc., 8.000%, due 12/15/26........................................ 250,000 206,795 Fidelity Investments, 144A, 7.570%, due 06/15/29........................................ 450,000 426,496 Lilly Del Mar, 144A, 7.717%, due 08/01/29........................................ 150,000 149,114 News America Holdings, 7.750%, due 12/01/45........................................ 150,000 130,289 PDVSA Finance, 99-F, 8.750%, due 02/15/04........................................ 187,600 184,786 Safeway, Inc., 7.250%, due 09/15/04................... 250,000 247,110 Sempra Energy, 7.950%, due 03/01/10................... 100,000 100,847 Time Warner Cos., Inc., 7.570%, due 02/01/24................................ 310,000 293,061 Washington Mutual Financial Corp., 8.250%, due 06/15/05........................................ 35,000 35,324 Waste Management, 7.000%, due 10/01/04........................................ 300,000 278,245 --------- 2,614,606 --------- Asset-Backed Securities -- 2.47% Chase Manhattan Auto Owner Trust, 96-C, Class A4, 6.150%, due 03/15/02........................................ 76,569 76,283 Comed Transitional Funding Trust, 98-1, Class A7, 5.740%, due 12/25/10...................... 370,000 331,953 First Bank Corporate Card Master Trust, 97-1, Class A, 6.400%, due 02/15/03.................. 240,000 236,782 Vanderbilt Mortgage Finance, 98-B, Class 1A2, 6.120%, due 05/07/09....................... 485,885 480,798 --------- 1,125,816 --------- Corporate Mortgage-Backed Securities -- 7.39% Bear Stearns Mortgage Securities, Inc., 96-7A4, 6.000%, due 01/28/09........................ 200,000 191,686 DLJ Commercial Mortgage Corp., 99-CG2, Class A1B, 7.300%, due 06/10/32..................... 75,000 73,871 First Union Lehman Brothers, 97-C2, Class A2, 6.600%, due 11/18/29...................... 240,000 232,027 GE Capital Mortgage Services, Inc., 93-7F, Class FA3, 6.500%, due 09/25/08..................... 96,382 95,661 Heller Financial Commercial Mortgage Assets, 99-PH1, Class A1, 6.500%, due 05/15/31........................................ 386,237 373,520 PNC Mortgage Securities Corp., 94-3, Class A8, 7.500%, due 07/25/24...................... 190,000 182,045 Prudential Home Mortgage Securities 93-43, Class A9, 6.750%, due 10/25/23............... 196,000 188,360 96-7, Class A4, 6.750%, due 06/25/11................ 150,000 144,350 Residential Accredit Loans, Inc 96-QS4, Class Al10, 7.900%, due 08/25/26............ $ 625,000 $ 623,056 98-QS4, Class AI5, 7.000%, due 03/25/28............. 400,000 376,857 Residential Asset Securitization Trust 97-A10, Class A5, 7.250%, due 12/25/27.............. 335,000 321,540 97-A7, Class A1, 7.500%, due 09/25/27............... 22,529 22,448 97-A11, Class A2, 7.000%, due 01/25/28.............. 3,255 3,240 98-A1, Class A1,7.000%, due 03/25/28................ 60,302 59,909 Structured Asset Securities Corp 98-RF1, Class A, 8.713%, due 04/15/27............... 189,291 192,130 98-RF2, 8.582%, due 07/15/27........................ 288,209 291,091 --------- 3,371,791 --------- International Dollar Bonds -- 1.12% Korea Development Bank, 7.125%, due 09/17/01........................................ 150,000 148,688 Credit Suisse-London, 144A, Step up Callable, 7.900%, due 05/29/49................................ 250,000 231,650 State of Qatar, 144A, 9.750%, due 06/15/30............ 130,000 128,212 --------- 508,550 --------- U.S. Government Agencies -- 2.39% Federal National Mortgage Association 5.250%, due 01/15/09................................ 355,000 311,529 7.250%, due 05/15/30................................ 280,000 285,066 Jordan Aid, 8.750%, due 09/01/19...................... 448,173 494,429 --------- 1,091,024 --------- U.S. Government Mortgage-Backed Securities -- 6.01% Fannie Mae Whole Loan, 95-W3, Class A, 9.000%, due 04/25/25....................... 7,756 7,986 Federal Home Loan Mortgage Corp 5.500%, due 02/01/07................................ 39,822 37,322 7.000%, due 10/15/13................................ 68,215 65,142 Federal Home Loan Mortgage Corp. Gold, 9.000%, due 07/01/30................................ 135,000 139,261 Federal National Mortgage Association 6.000%, due 10/01/14................................ 149,936 141,836 6.000%, due 01/01/29................................ 150,018 137,226 6.500%, due 03/01/19................................ 116,597 111,430 6.500%, due 03/01/29................................ 577,598 544,783 7.000%, due 12/01/24................................ 382,185 368,960 7.000%, due 03/01/29................................ 25,928 25,041 7.500%, due 12/01/23................................ 298,195 294,092 7.890%, due 04/01/26................................ 163,571 167,875 8.000%, due 03/01/11................................ 61,267 61,904 8.000%, due 02/01/13................................ 62,857 63,510 Government National Mortgage Association 7.000%, due 08/15/24................................ 332,267 324,448 7.000%, due 07/15/25................................ 46,828 45,714 7.500%, due 08/15/23................................ 56,602 56,471 7.500%, due 12/15/23................................ 88,097 87,917 7.500%, due 01/15/24................................ 59,507 59,312 --------- 2,740,230 ---------
================================================================================ 34 Global Bond Fund -- Schedule Of Investments June 30, 2000 --------------------------------------------------------------------------------
Face Amount Value ------------ ---------- U.S. Government Obligations -- 6.89% U.S. Treasury Bond 8.000%, due 11/15/21......................... $ 220,000 $ 265,513 8.750%, due 05/15/17......................... 350,000 439,906 U.S. Treasury Inflation Indexed Note 3.625%, due 04/15/28......................... 570,000 575,424 3.875%, due 04/15/29......................... 880,000 913,837 U.S. Treasury Note 5.625%, due 05/15/08......................... 265,000 255,559 6.125%, due 12/31/01......................... 445,000 442,497 6.625%, due 02/15/27......................... 110,000 116,635 7.500%, due 02/15/05......................... 125,000 131,094 ---------- 3,140,465 ---------- Total U.S. Bonds............................... 14,592,482 ---------- Global (Ex-U.S.) Bonds -- 62.52% Australia -- 2.36% International Bank for Reconstruction & Development, 5.500%, due 05/14/03.................................AUD 605,000 355,982 Queensland Treasury Corp., Global Notes 6.000%, due 07/14/09......................... 670,000 393,186 8.000%, due 09/14/07 500,000 327,617 ---------- 1,076,785 ---------- Canada -- 6.50% Government of Canada, Real Return Bond 4.250%, due 12/01/21.........................CAD 1,455,000 1,194,186 Government of Canada 6.000%, due 06/01/08......................... 2,030,000 1,376,953 Province of Ontario, 7.500%, due 01/19/06...... 550,000 393,767 ---------- 2,964,906 ---------- Denmark -- 5.78% City of Copenhagen, 6.250%, due 03/15/01.................................DKK 2,400,000 308,493 Depfa Pfandbrief Bank, 5.750%, due 03/04/09......................... 950,000 909,575 Great Belt, 7.000%, due 09/02/03.............. 3,650,000 479,500 Kingdom of Denmark 7.000%, due 11/15/07......................... 2,500,000 344,792 7.000%, due 11/10/24......................... 2,500,000 368,684 8.000%, due 11/15/01......................... 1,700,000 223,968 ---------- 2,635,012 ---------- France -- 9.50% Government of France (OAT) 7.500%, due 04/25/05.........................EUR 1,530,000 1,614,143 8.500%, due 04/25/23......................... 1,350,000 1,745,794 9.500%, due 01/25/01......................... 990,000 972,239 ---------- 4,332,176 ---------- Germany -- 4.85% Bundesobligation 118, 5.250%, due 02/21/01.........................EUR 390,000 $ 374,844 Bundesrepublik Deutschland 5.625%, due 01/04/28......................... 380,000 368,966 6.000%, due 07/04/07......................... 1,150,000 1,152,326 International Bank for Reconstruction and Development, 7.125%, due 04/12/05............ 306,775 312,910 ---------- 2,209,046 ---------- Italy -- 9.26% Buoni Poliennali Del Tes 3.250%, due 04/15/04......................... 2,500,000 2,230,052 7.750%, due 11/01/06......................... 660,000 704,703 9.000%, due 10/01/03......................... 380,001 403,689 Republic of Italy, 3.750%, due 06/08/05.........................JPY 83,000,000 881,216 ---------- 4,219,660 ---------- Japan -- 9.35% Government of Japan 2.500%, due 03/20/20......................... 28,000,000 281,117 3.100%, due 03/20/06......................... 23,400,000 243,485 4.600%, due 03/21/05......................... 339,800,000 3,734,823 ---------- 4,259,425 ---------- Mexico -- 0.35% United Mexican States, 9.875%, due 02/01/10.........................MXN 160,000 161,600 Netherlands -- 2.55% Government of Netherlands 3.000%, due 02/15/02........................EUR 1,050,000 975,829 5.500%, due 01/15/28......................... 195,000 184,997 ---------- 1,160,826 ---------- Spain -- 4.21% Government of Spain, 3.250%, due 01/31/05......................... 1,400,000 1,231,360 6.000%, due 01/31/08,........................ 700,000 688,110 ---------- 1,919,470 ---------- Sweden -- 2.84% Government of Sweden 6.750%, due 05/05/14........................SEK 4,300,000 558,875 10.250%, due, 05/05/03....................... 5,700,000 733,865 ---------- 1,292,740 ---------- United Kingdom -- 4.97% Abbey National Treasury Service, 6.500%, due 03/05/04........................GBP 190,000 285,720 British Gas PLC, 8.125%, due 03/31/03......... 195,000 302,872 U.K. Treasury 5.750%, due 12/07/09........................... 1,000,000 1,576,868 7.250%, due 12/07/07........................... 60,000 100,392 ---------- 2,265,852 ---------- Total Global (Ex-U.S.) Bonds..................... 28,497,498 ---------- Total Bonds (Cost $45,532,378)................. 43,089,980 ----------
================================================================================ 35 Global Bond Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value --------- ----------- Short-Term Investments -- 11.89% Investment Companies -- 11.89% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $5,419,195).............. 5,419,195 $ 5,419,195 ----------- Total Investments (Cost $50,951,573) -- 106.42% (a) 48,509,175 Liabilities, less cash and other assets -- (6.42%)..... (2,927,951) ----------- Net Assets -- 100%..................................... $45,581,224 =========== NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $51,047,800; and net unrealized depreciation consisted of: Gross unrealized appreciation .......................................................................... $ 304,499 Gross unrealized depreciation........................................................................... (2,843,124) ----------- Net unrealized depreciation........................................................................ $(2,538,625) ===========
(b) Non-income producing security 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 June 30, 2000, the value of these securities amounted to $1,190,247 or 2.61% of net assets. Resettable Perpetual Preferred: A bond with either no maturity date or a maturity date that is so far in the future that the bond will pay interest indefinitely. The issuer generally retains the right to call such a bond. FORWARD FOREIGN CURRENCY CONTRACTS The Global Bond Fund had the following open forward foreign currency contracts as of June 30, 2000:
Settlement Local Current Unrealized Date Currency Value Gain/(Loss) ---------- -------------- ------------ ------------- Forward Foreign Currency Buy Contracts Australian Dollar......................................... 09/01/00 6,050,000 $ 3,636,473 $ (45,851) British Pound............................................. 09/01/00 1,400,000 2,121,984 (28,683) Canadian Dollar........................................... 09/01/00 2,650,000 1,791,296 (4,534) Danish Krone.............................................. 09/01/00 8,100,000 1,043,319 67,138 Euro...................................................... 09/01/00 15,150,000 14,579,925 (759,401) Japanese Yen.............................................. 09/01/00 1,103,500,000 10,550,283 259,794 Swedish Krona............................................. 09/01/00 30,300,000 3,470,965 (43,290) Forward Foreign Currency Sale Contracts Australian Dollar......................................... 09/01/00 1,550,000 931,658 (4,471) British Pound............................................. 09/01/00 2,950,000 4,471,323 272,277 Canadian Dollar........................................... 09/01/00 5,100,000 3,447,437 57,606 Danish Krone.............................................. 09/01/00 18,200,000 2,344,249 128,846 Euro...................................................... 09/01/00 8,600,000 8,276,375 (19,137) Japanese Yen.............................................. 09/01/00 770,000,000 7,361,774 (52,211) Swedish Krona............................................. 09/01/00 36,800,000 4,215,562 117,010 ---------- Total........................................... $ (54,907) ==========
================================================================================ See accompanying notes to financial statements. 36 U.S. Balanced Fund -------------------------------------------------------------------------------- [LOGO] The Brinson U.S. Balanced Fund Class I has produced an annualized return of 9.72% since its performance inception on December 31, 1994, while the return of the U.S. Balanced Mutual Fund Index was 18.35% over this time period. Importantly however, the U.S. Balanced Fund's performance was achieved with an annualized volatility over the life of the Fund of 6.25%, or approximately 40% less than the benchmark's annualized volatility of 9.86%. In the first half of 2000, the U.S. Balanced Fund returned 3.00%, well ahead of the 0.89% return of the Index. While the past few years have seen a market environment that hurt our price/value based approach, we see some compelling signs that the environment is changing. Investors seem to be more cognizant of the risks associated with large equity positions, as some Internet and technology stocks have experienced severe corrections in the recent past. Much of the Fund's year-to-date overperformance relative to the benchmark was due largely to our asset allocation strategy, which paid off in the second quarter. The Fund continues to overweight bonds and underweight equities. Second quarter returns of the two key indices that make up the benchmark for the Fund show that bond markets outperformed equity markets by a wide margin (618 basis points); the Wilshire 5000 Equity Index returned -4.49%, while the Salomon Broad Investment Grade Bond Index returned 1.69%. The second quarter also saw some dramatic changes in equity investor sentiment toward the technology, media and telecommunication (TMT) sectors that have driven the equity market to its highs in the recent past. Investors began to question whether TMT companies can grow and increase earnings fast enough and for long enough to justify their high valuations. Our assessment, as implied by our equity underweight, is that they cannot. Our equity analysis is focused on investing in companies with solid fundamentals as well as promising uses for new technologies. Specifically, we see opportunities in some "old" economy sectors such as basic materials, transportation and healthcare. These sectors represent the largest overweights in the equity portion of the Fund, and contributed to the outperformance of the Fund during the period. These overweights are offset by significant underweight positions to software, hardware and telecommunications sectors. ================================================================================ 37 U.S. Balanced Fund -------------------------------------------------------------------------------- [LOGO] Total Return
6 months 1 year 3 years 5 years Inception* ended ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 6/30/00 -------------------------------------------------------------------------------------------------------------- Brinson U.S. Balanced Fund Class I 3.00% -5.07% 3.71% 7.89% 9.72% -------------------------------------------------------------------------------------------------------------- Brinson U.S. Balanced Fund Class N 2.75 -5.39 3.39 N/A 3.39 -------------------------------------------------------------------------------------------------------------- U.S. Balanced Mutual Fund Index** 0.89 7.99 14.73 16.84 18.35 -------------------------------------------------------------------------------------------------------------- Salomon Smith Barney Broad Investment Grade (BIG) Bond Index 3.92 4.49 6.02 6.23 7.76 -------------------------------------------------------------------------------------------------------------- Wilshire 5000 Index -0.84 9.52 19.06 22.47 24.13 --------------------------------------------------------------------------------------------------------------
* Performance inception date of the Brinson U.S. Balanced Fund Class I and of each of the indices is 12/31/94 and inception date of Class N is 6/30/97. ** An unmanaged index compiled by the Advisor, constructed as follows: 65% Wilshire 5000 Index and 35% Salomon Smith Barney BIG Bond Index. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $1,000,000 This chart shows the growth in the value of an investment in the Brinson U.S. Balanced Fund Class I, the U.S. Balanced Mutual Fund Index, the Salomon Smith Barney BIG Bond Index and the Wilshire 5000 Index if you had invested $1,000,000 on December 31, 1994, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. The performance of Class N shares will vary based upon the different inception dates and class specific expenses. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. Brinson U.S. Balanced Fund Class I vs. U.S. Balanced Mutual Fund Index, Salomon Smith Barney BIG Bond Index and Wilshire 5000 Index Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE]
Label A B C D -------------------------------------------------------------------------------------------------------------------------- Label Brinson U.S. Balanced Fund U.S. Balanced Mutual Fund Wilshire 5000 Index Salomon Smith Barney Class I Index Big Bond Index -------------------------------------------------------------------------------------------------------------------------- 1 12/31/94 1,000,000 1,000,000 1,000,000 1,000,000 2 1/31/95 1,019,000 1,020,459 1,021,610 1,020,700 3 2/28/95 1,050,000 1,054,246 1,062,301 1,044,584 4 3/31/95 1,064,000 1,074,390 1,090,303 1,050,643 5 4/30/95 1,080,000 1,096,416 1,117,397 1,065,037 6 5/31/95 1,120,000 1,133,880 1,155,243 1,107,319 7 6/30/95 1,139,086 1,160,041 1,192,095 1,115,070 8 7/31/95 1,154,301 1,190,257 1,241,150 1,112,840 9 8/31/95 1,170,530 1,202,592 1,253,251 1,125,637 10 9/30/95 1,192,845 1,236,361 1,301,050 1,136,219 11 10/31/95 1,199,945 1,234,092 1,287,988 1,151,444 12 11/30/95 1,236,461 1,274,817 1,342,560 1,169,406 13 12/31/95 1,254,813 1,294,523 1,364,511 1,185,544 14 1/31/96 1,278,797 1,320,146 1,401,066 1,193,606 15 2/29/96 1,273,346 1,327,345 1,425,571 1,173,434 16 3/31/96 1,276,616 1,333,439 1,441,166 1,164,985 17 4/30/96 1,279,887 1,351,402 1,476,778 1,156,364 18 5/31/96 1,284,248 1,375,182 1,517,153 1,155,786 19 6/30/96 1,293,124 1,374,034 1,504,667 1,170,696 20 7/31/96 1,273,247 1,327,149 1,423,490 1,173,857 21 8/31/96 1,287,603 1,354,048 1,469,027 1,172,096 22 9/30/96 1,324,045 1,409,152 1,547,238 1,192,490 23 10/31/96 1,354,965 1,433,054 1,568,869 1,219,321 24 11/30/96 1,405,762 1,503,041 1,672,806 1,239,440 25 12/31/96 1,396,859 1,487,401 1,653,954 1,228,533 26 1/31/97 1,414,616 1,541,133 1,742,490 1,233,201 27 2/28/97 1,419,351 1,541,265 1,741,688 1,234,558 28 3/31/97 1,394,492 1,491,506 1,664,653 1,222,089 29 4/30/97 1,418,167 1,541,250 1,737,249 1,239,565 30 5/31/97 1,459,599 1,617,300 1,860,333 1,251,217 31 6/30/97 1,493,510 1,672,330 1,945,797 1,266,106 32 7/31/97 1,555,541 1,771,761 2,095,390 1,300,418 33 8/31/97 1,530,490 1,723,138 2,016,624 1,289,234 34 9/30/97 1,563,891 1,798,097 2,135,625 1,308,186 35 10/31/97 1,548,383 1,768,165 2,064,487 1,326,893 36 11/30/97 1,559,120 1,808,702 2,132,078 1,333,129 37 12/31/97 1,581,464 1,836,885 2,171,479 1,346,727 38 1/31/98 1,597,411 1,851,662 2,183,270 1,364,100 39 2/28/98 1,638,609 1,938,829 2,342,213 1,363,145 40 3/31/98 1,670,504 2,004,551 2,459,440 1,368,461 41 4/30/98 1,666,517 2,023,665 2,488,634 1,375,577 42 5/31/98 1,670,504 1,995,462 2,422,411 1,388,783 43 6/30/98 1,675,623 2,046,664 2,507,341 1,400,171 44 7/31/98 1,661,933 2,019,021 2,452,405 1,403,111 45 8/31/98 1,614,019 1,825,458 2,070,492 1,424,579 46 9/30/98 1,672,885 1,918,042 2,205,737 1,458,199 47 10/31/98 1,705,740 2,007,777 2,369,843 1,451,637 48 11/30/98 1,726,275 2,093,822 2,519,072 1,459,621 49 12/31/98 1,738,302 2,183,183 2,183,183 1,464,146 50 1/31/99 1,734,600 2,241,002 2,241,002 1,474,981 51 2/28/99 1,693,873 2,174,472 2,174,472 1,449,168 52 3/31/99 1,712,385 2,233,354 2,233,354 1,457,429 53 4/30/99 1,762,368 2,305,512 2,305,512 1,462,238 54 5/31/99 1,753,112 2,265,285 2,265,285 1,448,786 55 6/30/99 1,755,023 2,338,817 2,338,817 1,443,860 56 7/31/99 1,728,828 2,286,804 2,286,804 1,438,084 57 8/31/99 1,702,634 2,272,390 2,272,390 1,437,078 58 9/30/99 1,665,214 2,243,339 2,243,339 1,454,323 59 10/31/99 1,646,503 2,338,427 2,338,427 1,458,686 60 11/30/99 1,646,503 2,389,249 2,389,249 1,458,540 61 12/31/99 1,617,539 2,503,324 2,503,324 1,451,830 62 1/31/2000 1,582,878 2,433,309 2,433,309 1,447,728 63 2/29/2000 1,532,811 2,478,673 2,478,673 1,464,624 64 3/31/2000 1,602,134 2,585,621 2,585,621 1,483,622 65 4/30/2000 1,656,052 2,495,371 2,495,371 1,479,217 66 5/31/2000 1,675,309 2,437,951 2,437,951 1,477,911 67 6/30/2000 1,666,038 2,525,643 2,525,643 1,508,740
Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ================================================================================ 38 U.S. Balanced Fund -------------------------------------------------------------------------------- Industry Diversification As a Percent of Net Assets As of June 30, 2000 ---------------------------------------------------------------------------- U.S. EQUITIES Energy.......................................................... 1.61% Capital Investment Capital Goods................................................. 1.43 Electronic Components......................................... 1.42 Technology.................................................... 5.20 ------ 8.05 Basic Industries Chemicals..................................................... 1.50 Housing/Paper................................................. 3.34 Metals........................................................ 1.83 ------ 6.67 Computers Software...................................................... 0.65 Systems....................................................... 0.40 ------ 1.05 Consumer Autos/Durables................................................ 1.21 Food/House Products........................................... 0.23 Health: Drugs................................................. 2.99 Health: Non-Drugs............................................. 4.47 Leisure/Tourism............................................... 0.25 Non-Durables.................................................. 0.87 Retail/Apparel................................................ 4.11 ------ 14.13 Financial Banks......................................................... 2.81 Non-Banks..................................................... 3.59 ------ 6.40 Telecommunications Equipment..................................................... 0.07% Services...................................................... 2.28 ------ 2.35 Transportation.................................................. 3.54 Services/Misc................................................... 3.73 Utilities....................................................... 1.53 ------ Total U.S. Equities.................................. 49.06* U.S. BONDS Corporate Bonds Industrial Components......................................... 1.86 Health: Drugs................................................. 0.53 Telecommunications--Services.................................. 0.77 Telecommunications--Wireless.................................. 0.29 ------ Total U.S. Corporate Bonds........................... 3.45 International Dollar Bonds...................................... 1.04 Asset-Backed.................................................... 1.60 Corporate Mortgage-Backed Securities............................ 0.70 U.S. Government Agencies........................................ 1.77 U.S. Gov't. Mortgage-Backed Securities.......................... 8.41 U.S. Government Obligations..................................... 26.35 ------ Total U.S. Bonds..................................... 43.32* SHORT-TERM INVESTMENTS.......................................... 7.05* ------ TOTAL INVESTMENTS.................................... 99.43 CASH AND OTHER ASSETS, LESS LIABILITIES......................... 0.57 ------ NET ASSETS...................................................... 100.00% ====== -------------------------------------------------------------------------------- * The Fund held a long position in U.S. Treasury futures on June 30, 2000 which increased U.S. bond exposure from 43.32% to 71.22%. The Fund also held a short position in stock index futures which reduced U.S. Equity exposure from 49.06% to 25.33%. These two adjustments result in a net decrease in the Fund's exposure to Short-Term Investments from 7.05% to 2.88%. Asset Allocation As of June 30, 2000 Current Benchmark Strategy -------------------------------------------------------------------- U.S. Equities 65% 25% U.S. Bonds 35 75 -------------------------------------------------------------------- 100% 100% Top Ten U.S. Equity Holdings As of June 30, 2000 Percent of Net Assets ------------------------------------------------------------------- 1. Advanced Micro Devices, Inc. 2.12% 2. FedEx Corp. 1.60 3. Burlington Northern Santa Fe Corp. 1.52 4. Allergan, Inc. 1.51 5. Electronic Data Systems Corp. 1.27 6. CIGNA Corp. 1.06 7. Gateway, Inc. 1.05 8. St. Jude Medical, Inc. 1.04 9. Baxter International, Inc. 1.02 10. Alza Corp. 1.00 ------------------------------------------------------------------- ================================================================================ 39 U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS June 30, 2000 --------------------------------------------------------------------------------
Shares Value ------ ----- U.S. Equities -- 49.06% Advanced Micro Devices, Inc. (b)................................................. 3,400 $ 262,650 Allergan, Inc.................................................................... 2,500 186,250 Alza Corp. (b)................................................................... 2,100 124,162 American Electric Power Co., Inc................................................. 2,640 78,210 American General Corp............................................................ 900 54,900 American Standard Companies, Inc. (b)............................................ 1,700 69,700 AmSouth Bancorp.................................................................. 1,980 31,185 Aon Corp......................................................................... 2,750 85,422 Associates First Capital Corp., Class A.......................................... 3,700 82,556 Baxter International, Inc........................................................ 1,800 126,562 Burlington Northern Santa Fe Corp................................................ 8,200 188,087 Carnival Corp., Class A.......................................................... 1,600 31,200 CIGNA Corp....................................................................... 1,400 130,900 Circuit City Stores-Circuit City Group........................................... 1,100 36,506 CMS Energy Corp.................................................................. 1,500 33,188 CommScope, Inc. (b).............................................................. 200 8,200 Compaq Computer Corp............................................................. 4,100 104,806 Computer Sciences Corp. (b)...................................................... 200 14,938 Compuware Corp. (b).............................................................. 7,200 74,700 CVS Corp......................................................................... 800 32,000 Dell Computer Corp. (b).......................................................... 1,000 49,312 Eastman Chemical Co.............................................................. 900 42,975 Electronic Data Systems Corp..................................................... 3,800 156,750 Emerson Electric Co.............................................................. 2,000 120,750 Entergy Corp..................................................................... 2,200 59,812 Exxon Mobil Corp................................................................. 1,000 78,500 Federated Department Stores, Inc. (b)............................................ 1,200 40,500 FedEx Corp. (b).................................................................. 5,200 197,600 First Data Corp.................................................................. 2,158 107,091 Fleet Boston Financial Corp...................................................... 2,605 88,570 Fort James Corp.................................................................. 2,800 64,750 Gateway, Inc. (b)................................................................ 2,300 130,525 GATX Corp........................................................................ 700 23,800 Genzyme Corp. (b)................................................................ 1,100 65,381 GreenPoint Financial Corp........................................................ 3,100 58,125 Household International, Inc..................................................... 1,700 70,656 Illinois Tool Works, Inc......................................................... 2,100 119,700 IMC Global, Inc.................................................................. 3,500 45,500 Johnson & Johnson Co............................................................. 1,200 122,250 Johnson Controls, Inc............................................................ 1,100 56,444 Kimberly-Clark Corp.............................................................. 1,400 80,325 Kroger Co. (b)................................................................... 4,400 97,075 Lafarge Corp..................................................................... 1,300 27,300 Lear Corp. (b)................................................................... 2,300 46,000 Lexmark International Group, Inc. (b)............................................ 1,200 80,700 Lincoln National Corp............................................................ 1,600 57,800 Lyondell Chemical Co............................................................. 2,000 33,500 Martin Marietta Materials, Inc................................................... 936 37,850 Masco Corp....................................................................... 5,900 106,569 Mattel, Inc...................................................................... 6,400 84,400 Mead Corp........................................................................ 1,500 37,875 Microsoft Corp. (b).............................................................. 1,000 80,000 Motorola, Inc.................................................................... 1,515 44,030 New York Times Co................................................................ 1,100 43,450 Newell Rubbermaid, Inc........................................................... 3,300 $ 84,975 Nextel Communications, Inc. (b).................................................. 1,800 110,137 Norfolk Southern Corp............................................................ 1,900 28,263 Owens-Illinois, Inc. (b)......................................................... 900 10,519 Peco Energy Co................................................................... 2,400 96,750 Pentair, Inc..................................................................... 1,400 49,700 PepsiCo, Inc..................................................................... 2,000 88,875 PNC Bank Corp.................................................................... 1,300 60,937 Praxair, Inc..................................................................... 1,700 63,644 Raytheon Co., Class B............................................................ 3,000 57,750 Sara Lee Corp.................................................................... 1,500 28,969 SBC Communications, Inc.......................................................... 2,700 116,775 Smurfit-Stone Container Corp. (b)................................................ 1,700 21,888 Southdown, Inc................................................................... 1,116 64,449 St. Jude Medical, Inc. (b)....................................................... 2,800 128,450 Tellabs, Inc. (b)................................................................ 800 54,750 Texas Instruments, Inc........................................................... 800 54,950 Tyson Foods, Inc., Class A....................................................... 2,100 18,375 Ultramar Diamond Shamrock Corp................................................... 1,690 41,933 Unisys Corp. (b)................................................................. 1,800 26,213 UnitedHealth Group, Inc.......................................................... 1,300 111,475 USG Corp......................................................................... 700 21,263 Viad Corp........................................................................ 1,600 43,600 W.W. Grainger, Inc............................................................... 1,200 36,975 Wal-Mart Stores, Inc............................................................. 900 51,862 Watson Pharmaceutical Co. (b).................................................... 1,100 59,125 Wells Fargo and Co............................................................... 2,800 108,500 Westvaco Corp.................................................................... 1,100 27,294 Xerox Corp....................................................................... 1,300 26,975 XL Capital Ltd................................................................... 600 32,475 York International Corp.......................................................... 1,200 31,350 ---------- Total U.S. Equities (Cost $6,145,953)............................................ 6,071,183 ----------
Face Amount ------ Bonds -- 43.32% U.S. Corporate Bonds -- 3.45% Archer Daniels Midland, 6.950%, due 12/15/97..................................... $ 250,000 204,464 Lowe's Cos., Inc., 8.250%, due 06/01/10.......................................... 25,000 25,545 PanAmSat Corp., 6.000%, due 01/15/03............................................. 100,000 95,080 Rite Aid Corp., 144A, 6.125%, due 12/15/08............................................................. 140,000 65,100 WorldCom, Inc., 8.250%, due 05/15/10............................................. 35,000 35,824 ------- 426,013 ------- International Dollar Bonds -- 1.04% Empresa Nacional de Electricidad S.A., 8.125%, due 02/01/97............................................................ 100,000 78,522 United Mexican States, 9.875%, due 02/01/10..................................... 50,000 50,500 ------- 129,022 ------- Asset-Backed Securities -- 1.60% Peco Energy Transition Trust, 6.130%, due 03/01/09.............................. 215,000 198,200 -------
================================================================================ 40 U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS June 30, 2000 --------------------------------------------------------------------------------
Face Amount Value ------ ----- Corporate Mortgage-Backed Securities -- 0.70% LB Commercial Conduit Mortgage Trust, 99-C1, Class A1, 6.410%, due 06/15/31..... $ 86,268 $ 83,168 Residential Asset Securitization Trust, 97-A11, Class A2, 7.000%, due 01/25/28.. 3,505 3,489 --------- 86,657 --------- U.S. Government Mortgage-Backed Securities -- 8.41% Federal Home Loan Mortgage Corp. Gold, 9.000%, due 07/01/30, TBA....................................................... 270,000 278,522 Federal National Mortgage Assoc., 97-72, Class EG 0.000%, due 09/25/22 (b)......................................... 146,578 136,425 Federal National Mortgage Association, 6.500%, due 06/01/14............................................................ 213,486 205,860 Federal National Mortgage Association, Series G94-8, Class G,7.600%, due 06/17/19..................................... 205,867 206,388 Government National Mortgage Association, 7.000%, due 12/15/23............................................................ 121,338 118,515 7.500%, due 10/15/29............................................................ 94,980 94,369 --------- 1,040,079 --------- U.S. Government Agencies -- 1.77% Federal National Mortgage Association, 5.250%, due 01/15/09............................................................ 250,000 219,387 --------- U.S. Government Obligations -- 26.35% U.S. Treasury Bond, 8.000%, due 11/15/21............................................................ 135,000 162,928 8.750%, due 05/15/17............................................................ 100,000 125,688 U.S. Treasury Inflation Indexed Note, 3.875%, due 04/15/29............................................................ 2,540,000 2,637,667 U.S. Treasury Note, 5.625%, due 05/15/08............................................................ 75,000 72,328 7.500%, due 02/15/05............................................................ 250,000 262,187 --------- 3,260,798 --------- Total U.S. Bonds (Cost $5,383,527)............................................... 5,360,156 ---------
Shares Value ------ ----- Short-Term Investments -- 7.05% Investment Companies -- 5.04% Brinson Supplementary Trust U.S. Cash Management Prime Fund..................... 623,691 $ 623,691 ------------
Face Amount ------- U.S. Government Obligations -- 2.01% U.S. Treasury Bill, due 08/17/00................................................. $ 250,000 248,244 ------------ Total Short-Term Investments (Cost $871,855).................................... 871,935 ------------ Total Investments (Cost $12,401,335) -- 99.43% (a).............................. 12,303,274 Cash and other assets, less liabilities -- 0.57%................................ 71,107 ------------ Net Assets -- 100%............................................................... $ 12,374,381 ============
See accompanying notes to schedule of investments. ================================================================================ 41 U.S. Balanced Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $12,665,011; and net unrealized depreciation consisted of: Gross unrealized appreciation ......................................................................... $ 773,580 Gross unrealized depreciation ......................................................................... (1,135,317) ----------- Net unrealized depreciation ..................................................................... $ (361,737) ===========
(b) Non-income producing security TBA: Security is subject to delayed delivery. 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 June 30, 2000, the value of these securities amounted to $65,100 or 0.53% of net assets. FUTURES CONTRACTS The U.S. Balanced Fund had the following open futures contracts as of June 30, 2000:
Expiration Cost/ Current Unrealized Date Proceeds Value Gain -------------- ----------- ----------- ---------- U.S. Interest Rate Futures Buy Contracts 5 Year U.S. Treasury Notes, 23 contracts ............ September 2000 $ 2,225,950 $ 2,277,359 $ 51,409 10 Year U.S. Treasury Notes, 23 contracts ........... September 2000 678,713 689,390 10,677 30 Year U.S. Treasury Notes, 5 contracts ............ September 2000 482,441 486,719 4,278 Index Future Sale Contracts Standard & Poor,s 500, 8 contracts .................. September 2000 2,994,544 2,936,200 58,344 --------- Total .......................................... $ 124,708 =========
The aggregate market value of investments pledged to cover margin requirements for the open future positions at June 30, 2000 was $248,244. ================================================================================ 42 See accompanying notes to financial statements. U.S. Equity Fund -------------------------------------------------------------------------------- [LOGO] Since its performance inception on February 28, 1994, the Brinson U.S. Equity Fund Class I has provided an annualized return of 14.48%, compared to the 20.48% return of its benchmark, the Wilshire 5000 Equity Index. The annualized volatility of the Fund has been 15.13% since its inception, only slightly above the 14.33% volatility for the benchmark. For the first six months of 2000, the Fund's total return of -4.46% trailed the -0.84% return for its benchmark. However, as a more realistic view of some of the risks inherent in the equity markets took root in the second quarter of 2000, the Fund outperformed the benchmark. For the second quarter, the Fund returned 1.45% compared to the benchmark return of -4.49%. The momentum that had been driving prices higher in the technology, media and telecommunications (TMT) sectors subsided in the second quarter. Many so-called "old economy" stocks saw favorable attention from investors, as they began to look for more reasonable stock valuations. Investors have begun to question whether TMT companies can grow and increase earnings fast enough and for long enough to justify their high valuations. Past experience is not encouraging. Studies show that in the past, only 3% of the companies in the S&P 500 Index have sustained growth of 20% for 10 years, and only one (Microsoft) has sustained 20% growth for 15 years. While we are skeptical of inflated investment expectations, we understand and appreciate the role of new and emerging technology in business. Our analysis is focused on investing in companies with solid fundamentals as well as promising uses for new technologies. Specifically, we see opportunities in some "old economy" sectors such as basic materials, transportation and healthcare where some undervalued companies are leveraging their skills, assets and competitive positions to take advantage of technology and the Internet. These sectors represent the largest overweights in the Fund, and are offset by significant underweight positions to software, hardware and telecommunications sectors. ================================================================================ 43 U.S. Equity Fund -------------------------------------------------------------------------------- [LOGO] Total Return
6 months 1 year 3 years 5 years Inception* ended ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 6/30/00 ----------------------------------------------------------------------------------------------------- Brinson U.S. Equity Fund Class I -4.46% -17.00% 5.12% 14.86% 14.48% ----------------------------------------------------------------------------------------------------- Brinson U.S. Equity Fund Class N -4.66 -17.24 4.76 N/A 4.76 ----------------------------------------------------------------------------------------------------- Wilshire 5000 Equity Index -0.84 9.52 19.06 22.47 20.48
* Performance inception date of the Brinson U.S. Equity Fund Class I and the Wilshire 5000 Equity Index is 2/28/94, and inception date of Class N is 6/30/97. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $1,000,000 This chart shows the growth in the value of an investment in the Brinson U.S. Equity Fund Class I and the Wilshire 5000 Equity Index if you had invested $1,000,000 on February 28, 1994, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. The performance of Class N shares will vary based upon the different inception dates and class specific expenses. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. Brinson U.S. Equity Fund Class I vs. Wilshire 5000 Equity Index Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. Label A B --------------------------------------------------------- Label Brinson U.S Equity Fund Wilshire 5000 Class 1 Equity Index --------------------------------------------------------- 1 2/28/94 1,000,000 1,000,000 2 3/31/94 942,943 954,720 3 4/30/94 964,965 963,876 4 5/31/94 984,985 973,322 5 6/30/94 970,003 947,285 6 7/31/94 992,118 975,401 7 8/31/94 1,055,444 1,018,484 8 9/30/94 1,019,258 998,766 9 10/31/94 1,014,232 1,015,076 10 11/30/94 979,050 977,904 11 12/31/94 983,676 991,086 12 1/31/95 1,004,021 1,012,504 13 2/28/95 1,049,797 1,052,832 14 3/31/95 1,076,245 1,080,584 15 4/30/95 1,099,642 1,107,437 16 5/31/95 1,140,332 1,144,946 17 6/30/95 1,178,023 1,818,470 18 7/31/95 1,219,913 1,242,080 19 8/31/95 1,242,391 1,242,080 20 9/30/95 1,289,389 1,289,453 21 10/31/95 1,285,302 1,276,507 22 11/30/95 1,358,865 1,330,593 23 12/31/95 1,382,877 1,352,348 24 1/31/96 1,439,578 1,388,577 25 2/29/96 1,462,678 1,412,864 26 3/31/96 1,489,979 1,428,320 27 4/30/96 1,518,329 1,463,614 28 5/31/96 1,542,480 1,503,629 29 6/30/96 1,538,200 1,491,254 30 7/31/96 1,464,400 1,410,801 31 8/31/96 1,520,277 1,455,933 32 9/30/96 1,588,806 1,533,447 33 10/31/96 1,622,543 1,554,884 34 11/30/96 1,735,351 1,657,895 35 12/31/96 1,737,594 1,639,211 36 1/31/97 1,800,717 1,726,958 37 2/28/97 1,811,046 1,726,163 38 3/31/97 1,751,366 1,649,815 39 4/30/97 1,805,308 1,712,764 40 5/31/97 1,937,291 1,843,751 41 6/30/97 2,028,487 1,928,453 42 7/31/97 2,183,729 2,076,712 43 8/31/97 2,098,633 1,998,648 44 9/30/97 2,192,928 2,116,589 45 10/31/97 2,076,785 2,046,085 46 11/30/97 2,118,182 2,113,074 47 12/31/97 2,167,878 2,152,123 48 1/31/98 2,182,676 2,163,809 49 2/28/98 2,372,581 2,321,335 50 3/31/98 2,509,461 2,437,518 51 4/30/98 2,484,798 2,466,451 52 5/31/98 2,449,037 2,400,819 53 6/30/98 2,464,186 2,484,991 54 7/31/98 2,402,303 2,430,545 55 8/31/98 2,059,471 2,052,036 56 9/30/98 2,209,228 2,186,075 57 10/31/98 2,377,550 2,348,719 58 11/30/98 2,476,563 2,496,618 59 12/31/98 2,570,544 2,656,377 60 1/31/99 2,553,433 2,754,025 61 2/28/99 2,459,983 2,654,192 62 3/31/99 2,540,271 2,756,617 63 4/30/99 2,769,291 2,888,742 64 5/31/99 2,735,069 2,825,507 65 6/30/99 2,839,189 2,971,784 66 7/31/99 2,720,229 2,849,699 67 8/31/99 2,625,060 2,849,699 68 9/30/99 2,434,723 2,775,237 69 10/31/99 2,436,045 2,951,728 70 11/30/99 2,450,585 3,050,581 71 12/31/99 2,463,489 3,282,215 72 1/31/2000 2,300,757 3,145,980 73 2/29/2000 2,113,060 3,216,441 74 3/31/2000 2,322,753 3,407,484 75 4/30/2000 2,415,135 3,229,951 76 5/31/2000 2,435,664 3,117,144 77 6/30/2000 2,354,848 3,254,626 ================================================================================ 44 U.S. Equity Fund -------------------------------------------------------------------------------- [LOGO] Industry Diversification As a Percent of Net Assets As of June 30, 2000 ---------------------------------------------------------------------- U.S. EQUITIES Energy...................................................... 3.27% Capital Investment Capital Goods............................................. 2.43 Electronic Components..................................... 7.70 Technology................................................ 1.81 ------ 11.94 Basic Industries Chemicals................................................. 3.06 Housing/Paper............................................. 6.81 Metals.................................................... 3.73 ------ 13.60 Computers Software.................................................. 2.50 Systems................................................... 4.65 ------ 7.15 Consumer Autos/Durables............................................ 2.25 Food/House Products....................................... 0.48 Health: Drugs............................................. 6.10 Health: Non-Drugs......................................... 8.89 Leisure/Tourism........................................... 0.50 Non-Durables.............................................. 1.97% Retail/Apparel............................................ 7.01 ------ 27.20 Financial Banks..................................................... 5.73 Non-Banks................................................. 7.28 ------ 13.01 Telecommunications Equipment................................................. 0.16 Services.................................................. 5.34 ------ 5.50 Transportation.............................................. 7.15 Services/Misc............................................... 7.59 Utilities................................................... 3.14 ------ Total U.S. Equities.................................... 99.55* SHORT-TERM INVESTMENTS...................................... 0.98* ------ TOTAL INVESTMENTS...................................... 100.53 LIABILITIES, LESS CASH AND OTHER ASSETS.......................................... (0.53) ------ NET ASSETS.................................................. 100.00% ====== ---------------------------------------------------------------------- * The Fund held a long position in stock index futures which increased U.S. Equity exposure from 99.55% to 100.53%. This adjustment results in a net decrease in the Fund's exposure to Short-Term Investments from 0.98% to 0.00%. Top Ten U.S. Equity Holdings As of June 30, 2000 Percent of Net Assets -------------------------------------------------------- 1. Advanced Micro Devices, Inc. 4.26% 2. FedEx Corp. 3.22 3. Burlington Northern Santa Fe Corp. 3.06 4. Allergan, Inc. 3.01 5. Electronic Data Systems Corp. 2.54 6. Gateway, Inc. 2.14 7. CIGNA Corp. 2.08 8. Alza Corp. 2.08 9. St. Jude Medical, Inc. 2.08 10. Baxter International, Inc. 2.05 -------------------------------------------------------- ================================================================================ 45 U.S. Equity Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value ------- ------------ U.S. Equities -- 99.55% Advanced Micro Devices, Inc. (b) 103,500 $ 7,995,375 Allergan, Inc. 75,800 5,647,100 Alza Corp. (b) 66,000 3,902,250 American Electric Power Co., Inc. 81,580 2,416,807 American General Corp. 27,700 1,689,700 American Standard Companies, Inc. (b) 51,500 2,111,500 AmSouth Bancorp. 60,109 946,717 Aon Corp. 84,450 2,623,228 Associates First Capital Corp., Class A 115,000 2,565,937 Baxter International, Inc. 54,800 3,853,125 Burlington Northern Santa Fe Corp. 250,400 5,743,550 Cardinal Health, Inc. 600 44,400 Carnival Corp., Class A 48,400 943,800 CIGNA Corp. 41,750 3,903,625 Circuit City Stores-Circuit City Group 32,400 1,075,275 CMS Energy Corp. 46,250 1,023,281 CommScope, Inc. (b) 7,300 299,300 Compaq Computer Corp. 126,900 3,243,881 Computer Sciences Corp. (b) 6,100 455,594 Compuware Corp. (b) 220,700 2,289,762 CVS Corp. 25,400 1,016,000 Delhaize America, Inc. 1 18 Dell Computer Corp. (b) 29,500 1,454,719 Eastman Chemical Co. 27,550 1,315,513 Electronic Data Systems Corp. 115,500 4,764,375 Emerson Electric Co. 62,400 3,767,400 Entergy Corp. 68,000 1,848,750 Exxon Mobil Corp. 31,000 2,433,500 Federated Department Stores, Inc. (b) 37,400 1,262,250 FedEx Corp. (b) 158,900 6,038,200 First Data Corp. 67,130 3,331,326 Fleet Boston Financial Corp. 79,555 2,704,870 Fort James Corp. 86,700 2,004,937 Gateway, Inc. (b) 70,800 4,017,900 GATX Corp. 20,100 683,400 Genzyme Corp. (b) 33,050 1,964,409 GreenPoint Financial Corp. 96,100 1,801,875 Household International, Inc. 51,900 2,157,094 Illinois Tool Works, Inc. 65,600 3,739,200 IMC Global, Inc. 106,600 1,385,800 Johnson & Johnson Co. 35,400 3,606,375 Johnson Controls, Inc. 32,300 1,657,394 Kimberly-Clark Corp. 41,550 2,383,931 Kroger Co. (b) 134,100 2,958,581 Lafarge Corp. 40,000 840,000 Lear Corp. (b) 71,850 1,437,000 Lexmark International Group, Inc. (b) 38,400 2,582,400 Lincoln National Corp. 50,500 1,824,312 Lyondell Chemical Co. 62,250 1,042,688 Martin Marietta Materials, Inc. 29,907 1,209,364 Masco Corp. 180,400 3,258,475 Mattel, Inc. 195,500 2,578,156 Mead Corp. 47,000 1,186,750 Microsoft Corp. (b) 30,100 2,408,000 Motorola, Inc. 43,423 1,261,981 New York Times Co. 34,900 1,378,550 Newell Rubbermaid, Inc. 101,800 $ 2,621,350 Nextel Communications, Inc. (b) 55,600 3,402,025 Norfolk Southern Corp. 63,600 946,050 Owens-Illinois, Inc. (b) 27,100 316,731 Peco Energy Co. 74,800 3,015,375 Pentair, Inc. 43,800 1,554,900 PepsiCo, Inc. 62,800 2,790,675 PNC Bank Corp. 40,700 1,907,812 Praxair, Inc. 53,300 1,995,419 Raytheon Co., Class B 93,250 1,795,062 Sara Lee Corp. 46,800 903,825 SBC Communications, Inc. 82,600 3,572,450 Smurfit-Stone Container Corp. (b) 53,300 686,238 Southdown, Inc. 34,540 1,994,685 St. Jude Medical, Inc. (b) 85,000 3,899,375 Tellabs, Inc. (b) 26,000 1,779,375 Texas Instruments, Inc. 24,600 1,689,712 Tyson Foods, Inc., Class A 67,250 588,438 Ultramar Diamond Shamrock Corp. 51,618 1,280,772 Unisys Corp. (b) 55,400 806,763 UnitedHealth Group, Inc. 38,500 3,301,375 USG Corp. 22,900 695,588 Viad Corp. 49,150 1,339,338 W.W. Grainger, Inc. 36,400 1,121,575 Wal-Mart Stores, Inc. 28,400 1,636,550 Watson Pharmaceutical Co. (b) 35,200 1,892,000 Wells Fargo and Co. 87,300 3,382,875 Westvaco Corp. 34,800 863,475 Xerox Corp. 39,400 817,550 XL Capital Ltd. 19,500 1,055,438 York International Corp. 37,600 982,300 ------------ Total U.S. Equities (Cost $163,993,543) 186,714,796 ------------ Short-Term Investments -- 0.98% Investment Companies -- 0.45% Brinson Supplementary Trust U.S. Cash Management Prime Fund 849,414 849,414 ------------ Face Amount ------ U.S. Government Obligations -- 0.53% U.S. Treasury Bill, due 08/17/00 $1,000,000 992,975 ------------ Total Short-Term Investments (Cost $1,841,972) 1,842,389 ------------ Total Investments (Cost $165,835,515) -- 100.53% (a) 188,557,185 Liabilities, less cash and other assets -- (0.53%) (993,088) ------------ Net Assets -- 100% $187,564,097 ============ See accompanying notes to schedule of investments. ================================================================================ 46 U.S. Equity Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $173,799,988; and net unrealized appreciation consisted of: Gross unrealized appreciation.............................. $ 41,336,875 Gross unrealized depreciation.............................. (26,579,678) ------------ Net unrealized appreciation................................... $ 14,757,197 ============ (b) Non-income producing security FUTURES CONTRACTS The U.S. Equity Fund had the following open futures contracts as of June 30, 2000:
Expiration Current Unrealized Date Cost Value Loss ---------- ----------- ---------- ------- Index Futures Buy Contracts Standard & Poor's 500, 5 contracts............... September 2000 $ 1,839,547 $1,835,125 $(4,422) =======
The aggregate market value of investments pledged to cover margin requirements for the open futures positions at June 30, 2000 was $992,975. ================================================================================ See accompanying notes to financial statements. 47 U.S. Large Cap Equity Fund -------------------------------------------------------------------------------- [LOGO] Since its performance inception on April 30, 1998, the Brinson U.S. Large Cap Equity Fund Class I has provided an annualized return of - 6.22% compared to the 14.72% return of its benchmark, the S&P 500 Equity Index. Results for the calendar year-to-date period continued to be disappointing, with the Fund returning -7.63% versus the benchmark return of -0.42%. While these results are well below our expectations, we feel the Fund is very well positioned to take advantage of the current market environment--which sees investors focussing more on the so-called "old economy" companies. In the second quarter alone, the Fund made up 456 basis points of performance versus the benchmark, returning 1.90% versus the benchmark return of -2.66%. We see signs that this favorable short-term performance will continue into the future. The momentum that had been driving prices higher in the technology, media and telecommunications (TMT) sectors subsided in the second quarter. Many so-called "old economy" stocks saw favorable attention from investors, as they began to look for more reasonable stock valuations. Investors have begun to question whether TMT companies can grow and increase earnings fast enough and for long enough to justify their high valuations. Past experience is not encouraging. Studies show that in the past, only 3% of the companies in the S&P 500 Index have sustained growth of 20% for 10 years, and only one (Microsoft) has sustained 20% growth for 15 years. While we are skeptical of inflated investment expectations, we understand and appreciate the role of new and emerging technology in business. Our analysis is focused on investing in companies with solid fundamentals as well as promising uses for new technologies. Specifically, we see opportunities in some "old economy" sectors such as basic materials, transportation and healthcare where some undervalued companies are leveraging their skills, assets and competitive positions to take advantage of technology and the Internet. These sectors represent the largest overweights in the Fund, and are offset by significant underweight positions to software, hardware and telecommunications sectors. ================================================================================ 48 U.S. Large Cap Equity Fund -------------------------------------------------------------------------------- [LOGO] Total Return
6 months 1 year Inception* ended ended to 6/30/00 6/30/00 6/30/00 ------------------------------------------------------------------------------- Brinson U.S. Large Cap Equity Fund Class I -7.63% -23.95% -6.22% ------------------------------------------------------------------------------- Brinson U.S. Large Cap Equity Fund Class N -7.84 -24.12 -6.47 ------------------------------------------------------------------------------- S&P 500 Equity Index -0.42 7.25 14.72 ------------------------------------------------------------------------------- * Performance inception date Of the Brinson U.S. Large Cap Equity Fund Class I, Class N and the S&P 500 Equity Index is 4/30/98. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $1,000,000 This chart shows the growth in the value of an investment in the Brinson U.S. Large Cap Equity Fund Class I and the S&P 500 Equity Index if you had invested $1,000,000 on April 30, 1998, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. The performance of Class N shares will vary based upon the different class specific expenses. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. Brinson U.S. Large Cap Equity Fund Class 1 vs. S&P 500 Equity Index Wealth Value with Dividends Reinvested -------------------------------------- Brinson U.S. Large Cap S&P 500 Equity Fund Equity Label Class 1 Index -------------------------------------- 1 4/30/98 1,000,000 1,000,000 -------------------------------------- 2 5/31/98 983,723 982,810 -------------------------------------- 3 6/30/98 998,652 1,022,732 -------------------------------------- 4 7/31/98 980,310 1,011,840 -------------------------------------- 5 8/31/98 850,893 865,548 -------------------------------------- 6 9/30/98 917,130 920,995 -------------------------------------- 7 10/31/98 984,386 995,909 -------------------------------------- 8 11/30/98 1,026,166 1,056,263 -------------------------------------- 9 12/31/98 1,058,703 1,117,132 -------------------------------------- 10 1/31/99 1,065,884 1,163,846 -------------------------------------- 11 2/28/99 1,032,030 1,127,676 -------------------------------------- 12 3/31/99 1,057,677 1,172,792 -------------------------------------- 13 4/30/99 1,147,954 1,218,210 -------------------------------------- 14 5/31/99 1,114,100 1,189,443 -------------------------------------- 15 6/30/99 1,143,860 1,255,453 -------------------------------------- 16 7/31/99 1,092,473 1,216,261 -------------------------------------- 17 8/31/99 1,060,614 1,210,248 -------------------------------------- 18 9/30/99 968,118 1,177,075 -------------------------------------- 19 10/31/99 965,035 1,251,560 -------------------------------------- 20 11/30/99 955,786 1,277,004 -------------------------------------- 21 12/31/99 941,729 1,352,229 -------------------------------------- 22 1/31/2000 872,229 1,284,289 -------------------------------------- 23 2/29/2000 787,670 1,259,976 -------------------------------------- 24 3/31/2000 853,696 1,383,239 -------------------------------------- 25 4/30/2000 884,971 1,341,633 -------------------------------------- 26 5/31/2000 900,029 1,314,110 -------------------------------------- 27 6/30/2000 869,885 1,346,506 --------------------------------------
Fund returns are net of all fees and costs, while the index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ================================================================================ 49 U.S. Large Cap Equity Fund -------------------------------------------------------------------------------- [LOGO] Industry Diversification
As a Percent of Net Assets As of June 30, 2000 -------------------------------------------------------------------------------- U.S. EQUITIES Energy.................................................................. 3.93% Capital Investment Capital Goods.......................................................... 4.49 Electric Components.................................................... 4.41 Technology............................................................. 2.76 ------ 11.66 Basic Industries Chemicals.............................................................. 1.62 Housing/Paper.......................................................... 1.26 Metals................................................................. 2.64 ------ 5.52 Computers Software............................................................... 3.81 Systems................................................................ 7.04 ------ 10.85 Consumer Food/House Products.................................................... 0.62 Health: Drugs.......................................................... 1.22 Health: Non-Drugs...................................................... 8.94 Leisure/Tourism........................................................ 0.75% Non-Durables........................................................... 2.26 Retail/Apparel......................................................... 8.75 ------ 22.54 Financial Banks.................................................................. 6.49 Non-Banks.............................................................. 8.73 ------ 15.22 Telecommunications...................................................... 4.06 Transportation.......................................................... 8.12 Utilities............................................................... 1.50 Services/Miscellaneous.................................................. 8.64 ------ Total U.S. Equities................................................... 92.04% SHORT-TERM INVESTMENTS.................................................. 7.62* ------ TOTAL INVESTMENTS..................................................... 99.66 CASH AND OTHER ASSETS, LESS LIABILITIES................................. 0.34 ------ NET ASSETS.............................................................. 100.00% ====== -------------------------------------------------------------------------------- * The Fund held a long position in stock index futures which increased U.S. Equity exposure from 92.04% to 98.94%. This adjustment results in a net decrease in the Fund's exposure to Short-Term Investments from 7.62% to 0.72%. Top 10 U.S. Equity Holdings As of June 30, 2000 Percent of Net Assets ------------------------------------------------------------------------- 1. Electronic Data Systems Corp. 3.85% 2. FedEx Corp. 3.74 3. Burlington Northern Santa Fe Corp. 3.58 4. Gateway, Inc. 3.24 5. CIGNA Corp. 3.17 6. Baxter International, Inc. 3.13 7. Johnson & Johnson Co. 3.13 8. Illinois Tool Works, Inc. 3.04 9. Emerson Electric Co. 3.03 10. Wells Fargo and Co. 2.75 -------------------------------------------------------------------------
================================================================================ 50 U.S. Large Cap Equity Fund -- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Shares Value --------- ----------- U.S. Equities -- 92.04% American Electric Power Co., Inc. ............................ 10,560 $ 312,840 American General Corp. ....................................... 3,600 219,600 Aon Corp. .................................................... 10,850 337,028 Associates First Capital Corp., Class A....................... 14,800 330,225 Baxter International, Inc. ................................... 7,100 499,219 Burlington Northern Santa Fe Corp. ........................... 24,900 571,144 Cardinal Health, Inc. ........................................ 100 7,400 Carnival Corp., Class A....................................... 6,100 118,950 CIGNA Corp. .................................................. 5,400 504,900 Compaq Computer Corp. ........................................ 16,400 419,225 Computer Sciences Corp. (b)................................... 800 59,750 Compuware Corp. (b)........................................... 28,500 295,687 CVS Corp. .................................................... 3,300 132,000 Dell Computer Corp. (b)....................................... 3,800 187,388 Electronic Data Systems Corp. ................................ 14,900 614,625 Eli Lilly and Co. ............................................ 300 29,963 Emerson Electric Co. ......................................... 8,000 483,000 Entergy Corp. ................................................ 8,800 239,250 Exxon Mobil Corp. ............................................ 4,000 314,000 FedEx Corp. (b)............................................... 15,700 596,600 First Data Corp. ............................................. 8,600 426,775 Fleet Boston Financial Corp. ................................. 10,285 349,690 Gateway, Inc. (b)............................................. 9,100 516,425 Household International, Inc. ................................ 6,700 278,469 Illinois Tool Works, Inc. .................................... 8,500 484,500 Johnson & Johnson Co. ........................................ 4,900 499,187 Kimberly-Clark Corp. ......................................... 3,500 200,813 Kroger Co. (b)................................................ 17,300 381,681 Lexmark International Group, Inc. (b)......................... 5,000 336,250 Masco Corp. .................................................. 23,300 420,856 Mattel, Inc. ................................................. 25,200 332,325 Microsoft Corp. (b)........................................... 3,900 $ 312,000 Newell Rubbermaid, Inc. ...................................... 13,100 337,325 Norfolk Southern Corp. ....................................... 8,600 127,925 PepsiCo, Inc. ................................................ 8,100 359,944 PNC Bank Corp. ............................................... 5,300 248,437 Praxair, Inc. ................................................ 6,900 258,319 Raytheon Co., Class B......................................... 12,000 231,000 Sara Lee Corp. ............................................... 5,100 98,494 SBC Communications, Inc. ..................................... 9,600 415,200 Schering Plough Corp. ........................................ 3,100 156,550 Tellabs, Inc. (b)............................................. 3,400 232,687 Texas Instruments, Inc. ...................................... 3,200 219,800 UnitedHealth Group, Inc. ..................................... 5,000 428,750 Wal-Mart Stores, Inc. ........................................ 3,700 213,212 Wells Fargo and Co. .......................................... 11,300 437,875 Xerox Corp. .................................................. 5,000 103,750 ------------ Total U.S. Equities (Cost $15,674,981)........................ 14,681,033 ------------ Short Term Investments -- 7.62% Investment Companies -- 7.62% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $1,215,982)........................................... 1,215,982 1,215,982 ------------ Total Investments (Cost $16,890,963) -- 99.66% (a)............................. 15,897,015 Cash and other assets, less liabilities -- 0.34%.................................... 53,820 ------------ Net Assets -- 100%............................................ $15,950,835 ============
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $18,155,680; and net unrealized depreciation consisted of: Gross unrealized appreciation.......................... $ 728,386 Gross unrealized depreciation.......................... (2,987,051) ----------- Net unrealized depreciation......................... $(2,258,665) ===========
(b) Non-income producing security FUTURES CONTRACTS The U.S. Large Cap Equity Fund had the following open futures contracts as of June 30, 2000:
Expiration Current Unrealized Date Cost Value Loss -------------- ---------- ---------- ----------- Index Futures Buy Contracts Standard & Poor's 500, 3 contracts.. September 2000 $1,108,971 $1,101,075 $(7,896) =======
The segregated cash pledged to cover margin requirements for the open futures positions at June 30, 2000 was $56,250. ================================================================================ See accompanying notes to financial statements. 51 U.S. Large Cap Growth Fund -------------------------------------------------------------------------------- [LOGO] Since its inception on October 31, 1997, the Brinson U.S. Large Cap Growth Fund Class I has returned 24.46%, compared to a return of 30.40% for the Russell 1000 Growth Index. On a calendar year to date basis, the Fund has returned 4.02% versus the 4.23% return of the benchmark. The Fund outperformed the benchmark by a small margin in the first quarter, but lagged the benchmark somewhat in the second quarter. Performance in the first quarter was strong, mainly due to strong stock selection decisions. Stock selection in the second quarter was weaker, and offset the earlier gains. During the second quarter, we decided to add to our holdings in the technology sector, which has seen a significant correction from its highs in mid March. In spite of this, we continue to be underweight the sector with a 41.4% holding versus the Russell 1000 Growth Index, for which technology exposure now constitutes about 47.8%. Along with the technology underweight, the Fund also holds underweight positions in consumer staples and capital goods, which are offset by overweight positions in the energy, financial and healthcare sectors. ================================================================================ 52 U.S. Large Cap Growth Fund [LOGO] Total Return
6 months 1 year Inception* ended ended to 6/30/00 6/30/00 6/30/00 ------------------------------------------------------------------------------------------------------- Brinson U.S. Large Cap Growth Fund Class I 4.02% 17.52% 24.46% ------------------------------------------------------------------------------------------------------- Brinson U.S. Large Cap Growth Fund Class N 3.90 17.18 23.60 ------------------------------------------------------------------------------------------------------- S&P 500 Equity Index -0.42 7.25 20.64 ------------------------------------------------------------------------------------------------------- Russell 1000 Growth Index** 4.23 25.67 30.40 -------------------------------------------------------------------------------------------------------
* Performance inception date of the Brinson U.S. Large Cap Growth Fund Class I and of both indices is 10/31/97, and inception date of Class N is 12/31/98. ** Advisor has chosen to change the Fund's benchmark index from the S&P 500 Equity Index to the Russell 1000 Growth Index due to the Advisor's determination that the Russell 1000 Growth Index more closely reflects the Fund's investment strategies. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $1,000,000 This chart shows the growth in the value of an investment in the Brinson U.S. Large Cap Growth Fund Class I, the S&P 500 Equity Index and the Russell 1000 Growth Index if you had invested $1,000,000 on October 31, 1997, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. The performance of Class N shares will vary based upon the different inception dates and class specific expenses. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. Brinson U.S. Large Cap Growth Fund Class I vs. S&P 500 Equity Index and Russell 1000 Growth Index Wealth Value with Dividends Reinvested [Graph Appears here] Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. U.S. Large Cap Growth Fund
Brinson U.S. Large Capitalization Growth Russell 1000 Fund Class 1 S&P 500 Equity Index Growth Index -------------------------------------------------------------------------------------------------------------- 1 10/31/97 1,000,000 1,000,000 1,000,000 2 11/30/97 1,018,495 1,046,290 1,042,475 3 12/31/97 1,039/140 1,064,255 1,054,153 4 1/31/98 1,031,495 1,076,025 1,085,675 5 2/28/98 1,091,715 1,153,628 1,167,341 6 3/31/98 1,134,655 1,212,706 1,213,876 7 4/30/98 1,156,858 1,224,906 1,230,674 8 5/31/98 1,131,408 1,203,849 1,195,753 9 6/30/98 1,175,605 1,252,750 1,268,988 10 7/31/98 1,171,311 1,239,408 1,260,588 11 8/31/98 973,788 1,060,214 1,071,404 12 9/30/98 1,026,697 1,128,132 1,153,706 13 10/31/98 1,129,126 1,219,894 1,246,431 14 11/30/98 1,210,713 1,293,822 1,341,241 15 12/31/98 1,297,885 1,368,381 1,462,181 16 1/31/99 1,380,099 1,425,601 1,548,037 17 2/28/99 1,319,808 1,381,297 1,477,318 18 3/31/99 1,384,483 1,436,559 1,555,122 19 4/30/99 1,436,004 1,492,192 1,557,111 20 5/31/99 1,418,465 1,456,988 1,509,257 21 6/30/99 1,524,795 1,537,847 1,614,973 22 7/31/99 1,462,313 1,489,805 1,563,646 23 8/31/99 1,461,216 1,482,439 1,589,196 24 9/30/99 1,411,888 1,441,805 1,555,811 25 10/31/99 1,489,717 1,533,043 1,673,303 26 11/30/99 1,565,354 1,564,209 1,763,584 27 12/31/99 1,722,699 1,656,352 1,947,010 28 1/31/2000 1,655,855 1,573,133 1,855,718 29 2/29/2000 1,732,080 1,543,352 1,946,436 30 3/31/2000 1,845,832 1,694,337 2,085,754 31 4/30/2000 1,795,406 1,643,374 1,986,504 32 5/31/2000 1,725,044 1,609,661 1,886,490 33 6/30/2000 1,792,308 1,649,343 2,029,463 ==============================================================================================================
U.S. Large Cap Growth Fund [LOGO] Industry Diversification As a Percent of Net Assets As of June 30, 2000 ---------------------------------------------------------------------- U.S. EQUITIES Energy............................................. 3.00% Capital Investment Electric Components.............................. 15.94 Technology....................................... 1.47 ------ 17.41 Basic Industries Housing/Paper.................................... 0.94 Computers Software......................................... 7.09 Systems.......................................... 12.11 ------ 19.20 Consumer Autos/Durables................................... 1.41 Health: Drugs.................................... 10.12 Health: Non-Drugs................................ 6.78% Non-Durables..................................... 2.37 Retail/Apparel................................... 8.45 ------ 29.13 Financial Non-Banks........................................ 3.92 Telecommunications................................. 9.21 Services/Misc...................................... 5.79 ------ Total U.S. Equities....................... 88.60* SHORT-TERM INVESTMENTS............................. 7.80* ------ TOTAL INVESTMENTS......................... 96.40 CASH AND OTHER ASSETS, LESS LIABILITIES................................ 3.60 ------ NET ASSETS......................................... 100.00% ====== ---------------------------------------------------------------------- *The Fund held a long position in stock index futures which increased U.S. Equity exposure from 88.60% to 97.02%. This adjustment results in a net decrease in the Fund's exposure to Short-Term Investments from 7.80% to -0.62%. Top 10 U.S. Equity Holdings As of June 30, 2000 Percent of Net Assets ---------------------------------------------------------- 1. Cisco Systems, Inc. 4.47% 2. Intel Corp. 4.09 3. Pfizer, Inc. 3.75 4. Microsoft Corp. 3.24 5. General Electric Co. 3.16 6. Oracle Corp. 3.09 7. Sun Microsystems, Inc. 2.99 8. Texas Instruments, Inc. 2.94 9. Micron Technology, Inc. 2.70 10. Johnson & Johnson Co. 2.57 ---------------------------------------------------------- ====================================================================== 54 U.S. Large Cap Growth Fund -- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Shares Value ------ ----- U.S. Equities -- 88.60% AFLAC, Inc........................................................................... 3,500 $ 160,781 Agilent Technologies, Inc. (b)....................................................... 900 66,375 Alltel Corp........................................................................ 1,700 105,294 America On-Line, Inc. (b).......................................................... 4,300 226,825 American Express Co................................................................ 2,200 114,675 American International Group, Inc.................................................. 1,025 120,438 Amgen, Inc. (b).................................................................... 1,700 119,425 Anheuser-Busch Cos., Inc., Class A................................................. 1,600 119,500 Applied Material, Inc. (b)......................................................... 1,900 172,188 AT&T Corp.- Liberty Media Goup, Inc. (b)........................................... 8,612 208,841 Avon Products, Inc................................................................. 4,100 182,450 BMC Software, Inc. (b)............................................................. 2,700 98,508 Boeing Co.......................................................................... 4,400 183,975 Boston Scientific Corp. (b)........................................................ 5,100 111,881 Bristol-Myers Squibb Co............................................................ 2,500 145,625 Cisco Systems, Inc. (b)............................................................ 9,200 584,775 Citigroup, Inc..................................................................... 2,700 162,675 Compaq Computer Corp............................................................... 6,400 163,600 Dell Computer Corp. (b)............................................................ 2,500 123,281 EMC Corp. (b)...................................................................... 1,600 123,100 Gap, Inc........................................................................... 3,500 109,375 General Electric Co................................................................ 7,800 413,400 Guidant Corp. (b).................................................................. 3,200 158,400 Halliburton Co..................................................................... 3,400 160,438 Immunex Corp. (b).................................................................. 4,200 207,637 Intel Corp......................................................................... 4,000 534,750 International Business Machines Corp............................................... 1,800 197,212 JDS Uniphase Corp. (b)............................................................. 700 83,913 Johnson & Johnson Co............................................................... 3,300 336,187 Lowe's Companies, Inc.............................................................. 3,000 123,188 Lucent Technologies, Inc........................................................... 3,900 231,075 Merck & Co., Inc................................................................... 2,700 206,887 Merrill Lynch & Co................................................................. 1,000 115,000 Micron Technology, Inc. (b)........................................................ 4,000 352,250 Microsoft Corp. (b)................................................................ 5,300 $ 424,000 Motorola, Inc...................................................................... 3,700 107,531 NEXTLINK Communications, Inc....................................................... 1,600 60,700 Nike, Inc.......................................................................... 2,100 83,606 Nortel Networks Corp............................................................... 2,000 136,500 Oracle Corp. (b)................................................................... 4,800 403,500 Pepsi Bottling Group, Inc.......................................................... 6,500 189,719 Pfizer, Inc........................................................................ 10,200 489,600 Pharmacia Corp..................................................................... 2,100 108,544 QUALCOMM, Inc. (b)................................................................. 1,800 108,000 Safeway, Inc. (b).................................................................. 5,400 243,675 Schering Plough Corp............................................................... 5,400 272,700 Schlumberger Ltd................................................................... 3,100 231,337 Solectron Corp. (b)................................................................ 3,800 159,125 Sprint Corp. (b)................................................................... 900 53,550 Sun Microsystems, Inc. (b)......................................................... 4,300 391,031 Target Corp........................................................................ 3,800 220,400 Texas Instruments, Inc............................................................. 5,600 384,650 Time Warner, Inc................................................................... 800 60,800 Tyco International Co.............................................................. 3,300 156,338 Viacom, Inc. (b)................................................................... 2,646 180,424 Wal-Mart Stores, Inc............................................................... 4,600 265,075 Walt Disney Co..................................................................... 3,400 131,963 Worldcom, Inc. (b)................................................................. 4,200 192,675 ----------- Total U.S. Equities (Cost $10,029,797)............................................. 11,579,367 -----------
Short-Term Investments -- 7.80% Investment Companies -- 7.80% Vista U.S. Government Money Market Fund (Cost $1,019,932)........................................................... 1,019,932 1,019,932 ----------- Total Investments (Cost $11,049,729) -- 96.40% (a)................................................. 12,599,299 Cash and other assets, less liabilities -- 3.60%........................................................ 469,968 ----------- Net Assets -- 100%................................................................. $13,069,267 ===========
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $11,090,213; and net unrealized appreciation consisted of: Gross unrealized appreciation..................................... $1,893,400 Gross unrealized depreciation..................................... (384,314) ---------- Net unrealized appreciation................................... $1,509,086 ==========
(b) Non-income producing security FUTURES CONTRACTS The U.S. Large Cap Growth Fund had the following open futures contracts as of June 30, 2000:
Expiration Current Unrealized Date Cost Value Loss ------------ ---------- ----------- ----------- Index Futures Buy Contracts Standard & Poor's 500, 3 contracts....................... September 2000 $1,102,896 $1,101,075 $ (1,821)
The segregated cash pledged to cover margin requirements for the open futures positions at June 30, 2000 was $18,750. ================================================================================ See accompanying notes to financial statements. 55 U.S. Small Cap Growth Fund -------------------------------------------------------------------------------- [LOGO] The Brinson U.S. Small Cap Growth Fund Class I has appreciated 19.39% on an annualized basis since its inception on September 30, 1997. This compares favorably with the return of the Russell 2000 Growth Index, (a commonly cited index of small capitalization U.S. growth stocks) which has returned 11.41% over the same period. Much of that outperformance has come in the last six months with the Fund returning 30.47% while the index returned just 1.23%. During the second quarter, small cap stocks underperformed large caps. The S&P 500 index declined 2.7% in the second quarter, versus a 3.8% decline in the Russell 2000 Index. Year to date, however, small caps have returned a positive 3.0% versus a 0.4% decline for the S&P 500. Small cap growth stocks declined 7.4% in the second quarter and have returned a positive 1.2% year to date. The top performing small cap growth sector in the second quarter was healthcare, up 19.2%, while the worst performing sector was technology, down 19.4%. In the first quarter, the Fund's technology underweight detracted somewhat from performance, as that sector continued to dominate market performance. For the second quarter, however, the Fund benefited from both strong stock and sector selection. Stock selection was particularly strong in the technology sector and was weak in the consumer cyclical sector. Sector selection was helped by the Fund's underweight in both technology as well as the communication services sectors, both of which performed poorly during the quarter. At the end of June, the Fund was overweighted versus the Russell 2000 Growth Index in the energy, healthcare, and transportation sectors. The Fund was underweighted in the capital goods, financials, and technology areas. We have taken advantage of the recent weakness in the technology sector and have increased our exposure over the past several weeks. ================================================================================ 56 U.S. Small Cap Growth Fund -------------------------------------------------------------------------------- [LOGO] Total Return
6 months 1 year Inception* ended ended to 6/30/00 6/30/00 6/30/00 ----------------------------------------------------------------------------------------------- Brinson U.S. Small Cap Growth Fund Class I 30.47% 77.23% 19.39% ----------------------------------------------------------------------------------------------- Brinson U.S. Small Cap Growth Fund Class N 30.43 76.86 50.26 ----------------------------------------------------------------------------------------------- Russell 2000 Index 3.04 14.32 6.10 ----------------------------------------------------------------------------------------------- Russell 2000 Growth Index** 1.23 28.39 11.41 -----------------------------------------------------------------------------------------------
* Inception dates of the Brinson U.S. Small Cap Growth Fund Class I and Class N are 9/30/97 and 12/31/98, respectively. Performance inception date of both indices is 9/30/97. ** The Advisor has chosen to change the Fund's benchmark index from the Russell 2000 Index to the Russell 2000 Growth Index due to the Advisor's determination that the Russell 2000 Growth Index more closely reflects the Fund's investment strategies. 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. Illustration of an Assumed Investment of $1,000,000 This chart shows the growth in the value of an investment in the Brinson U.S. Small Cap Growth Fund Class I, the Russell 2000 Index and the Russell 2000 Growth Index if you had invested $1,000,000 on September 30, 1997, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. The performance of Class N shares will vary based upon the different inception dates and class specific expenses. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. Brinson U.S. Small Cap Growth Fund Class I vs. Russell 2000 Index and Russell 2000 Growth Index Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE]
Label A B C --------------------------------------------------------------------------------------------------------------------------- Label Brinson U.S. Small Capitalization Growth Fund-I Russell 2000 Russell 2000 Growth (Benchmark) --------------------------------------------------------------------------------------------------------------------------- 1 9/30/97 1,000,000.00 1,000,000.00 1,000,000.00 2 10/31/97 953,600.00 956,071.13 939,936.59 3 11/30/97 936,600.00 949,887.41 917,524.60 4 12/31/97 943,800.00 966,513.23 918,041.67 5 1/31/98 932,700.00 951,260.06 905,795.36 6 2/28/98 1,007,600.00 1,021,598.93 985,766.02 7 3/31/98 1,049,900.00 1,063,732.42 1,027,114.90 8 4/30/98 1,047,200.00 1,069,618.47 1,033,414.08 9 5/31/98 990,700.00 1,012,012.01 958,333.52 10 6/30/98 971,100.00 1,014,140.99 968,125.50 11 7/31/98 887,800.00 932,042.32 887,282.65 12 8/31/98 700,200.00 751,058.64 682,459.76 13 9/30/98 739,371.93 809,834.75 751,654.30 14 10/31/98 788,803.48 842,862.68 790,858.26 15 11/30/98 807,515.42 887,022.39 852,208.61 16 12/31/98 880,562.05 941,912.94 929,327.67 17 1/31/99 881,562.69 954,429.95 971,129.75 18 2/28/99 807,515.42 877,126.38 882,294.49 19 3/31/99 825,526.92 890,819.65 913,718.38 20 4/30/99 823,525.64 970,643.69 994,409.92 21 5/31/99 859,548.63 984,821.90 995,985.45 22 6/30/99 918,586.32 1,029,355.08 1,048,449.20 23 7/31/99 926,591,43 1,001,110.37 1,016,028.29 24 8/31/99 906,578.65 964,060.35 978,030.26 25 9/30/99 938,599.09 964,270.90 996,895.10 26 10/31/99 974,622.08 968,176.36 1,022,429.62 27 11/30/99 1,127,719.80 1,025,985.52 1,130,537.69 28 12/31/99 1,247,796.45 1,142,127.05 1,329,797.00 29 1/31/2000 1,212,774.09 1,123,786.02 1,317,421.36 30 2/29/2000 1,405,897.36 1,309,363.50 1,623,938.60 31 3/31/2000 1,526,974.64 1,223,036.24 1,453,236.55 32 4/30/2000 1,472,940,15 1,149,439.75 1,306,509.89 33 5/31/2000 1,377,879.48 1,082,449.00 1,192,107.49 34 6/30/2000 1,628,039.15 1,176,807.00 1,346,104.76
Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ================================================================================ 57 U.S. Small Cap Growth Fund -------------------------------------------------------------------------------- [LOGO] Industry Diversification As a Percent of Net Assets As of June 30, 2000 ---------------------------------------------------------------------- U.S. EQUITIES Energy........................... 3.76% Capital Investment Electrical Components.......... 15.85 Technology..................... 5.62 ------ 21.47 Basic Industries Housing/Paper.................. 1.17 Computers Software....................... 5.43 Systems........................ 1.65 ------ 7.08 Consumer Autos/Durables................. 5.98 Food/House Products............ 2.02 Health: Drugs.................. 5.61 Health: Non-Drugs.............. 12.23 Retail/Apparel................. 8.50 ------ 34.34 Financial Banks.......................... 2.64% Non-Banks...................... 2.70 ------ 5.34 Telecommunications Equipment...................... 0.98 Services....................... 4.46 ------ 5.44 Transportation................... 3.58 Services/Miscellaneous........... 9.18 ------ Total U.S. Equities..... 91.36 SHORT-TERM INVESTMENTS........... 4.58 ------ TOTAL INVESTMENTS......... 95.94 CASH AND OTHER ASSETS, LESS LIABILITIES............... 4.06 ------ NET ASSETS....................... 100.00% ====== ---------------------------------------------------------------------- Top 10 U.S. Equity Holdings As of June 30, 2000 Percent of Net Assets ---------------------------------------------------- 1. Elantec Semiconductor, Inc. 3.15% 2. Tollgrade Communications, Inc. 2.86 3. Waters Corp. 2.67 4. Mercury Interactive Corp. 2.39 5. Investors Financial Services Corp. 2.22 6. Quest Diagnostics, Inc. 2.16 7. Shaw Group, Inc. 2.06 8. Hain Celestial Group, Inc. 2.02 9. Flextronics International Ltd. 1.96 10. C & D Technologies, Inc. 1.84 ---------------------------------------------------- ================================================================================ 58 U.S. Small Cap Growth Fund -- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Shares Value ------ ----- U.S. Equities -- 91.36% 724 Solutions, Inc. (b)......................... 700 $ 30,713 About.com, Inc. (b)............................. 4,900 154,350 ACT Manufacturing, Inc. (b)..................... 15,300 710,494 Anixter International, Inc. (b)................. 17,200 455,800 Aurora Biosciences Corp. (b).................... 9,000 613,687 Bookham Technology ADR (b)...................... 4,200 248,850 BreezeCom Ltd. (b).............................. 4,150 180,525 C & D Technologies, Inc......................... 17,800 1,005,700 C-COR.net Corp. (b)............................. 20,200 545,400 Caldera Systems, Inc. (b)....................... 4,950 64,659 Celeritek, Inc. (b)............................. 13,100 534,644 Charles River Associates, Inc. (b).............. 9,300 163,913 Children's Place Retail Stores, Inc. (b)........ 8,000 164,000 COR Therapeutics, Inc. (b)...................... 5,100 435,094 Cost Plus, Inc. (b)............................. 17,950 514,941 Credence Systems Corp. (b)...................... 15,400 849,887 Cubist Pharmaceuticals, Inc. (b)................ 9,500 467,875 Cytyc Corp. (b)................................. 12,000 640,500 Data Return Corp. (b)........................... 2,100 60,900 Datascope Corp.................................. 10,800 388,800 Dendrite International, Inc. (b)................ 24,350 811,159 Dobson Communications (b)....................... 4,700 90,475 Elantec Semiconductor, Inc. (b)................. 24,700 1,719,737 Emmis Communications Corp. (b).................. 6,900 285,488 Exar Corp. (b).................................. 8,500 741,094 Exfo Electro Optical Engineering, Inc. (b)...... 2,100 92,138 Expeditors International of Washington, Inc..... 16,700 793,250 Flextronics International Ltd. (b).............. 15,613 1,072,418 Forward Air Corp. (b)........................... 22,500 900,000 Graco, Inc...................................... 15,700 510,250 Greater Bay Bancorp............................. 9,400 439,450 Hain Celestial Group, Inc. (b).................. 30,090 1,103,927 Haverty Furniture Cos., Inc..................... 15,700 133,450 Helix Technology Corp........................... 15,700 612,300 Hooper Holmes, Inc.............................. 32,900 263,200 Inamed Corp. (b)................................ 13,000 476,125 Insight Enterprises, Inc. (b)................... 16,300 966,794 Insituform Technologies, Inc. (b)............... 23,400 634,725 Intersil Holding Corp. (b)...................... 4,000 216,250 Investors Financial Services Corp............... 30,600 1,214,437 Jack in the Box, Inc. (b)....................... 22,900 563,912 Jakks Pacific, Inc. (b)......................... 18,100 266,975 Kenneth Cole Productions, Inc. (b).............. 21,900 876,000 Kent Electronics Corp. (b)...................... 23,900 712,519 King Pharmaceuticals, Inc. (b).................. 18,300 802,912 Littlefuse, Inc. (b)............................ 8,300 406,700 Loudeye Technologies, Inc. (b).................. 4,900 85,444 Marvell Technology Group Ltd. (b)............... 2,100 119,700 Matrixone, Inc. (b)............................. 1,050 42,656 Maverick Tube Corp. (b)......................... 24,000 $ 699,000 Meade Instruments Corp. (b)..................... 17,400 437,175 Mediaplex, Inc. (b)............................. 5,000 96,563 MedQuist, Inc. (b).............................. 12,800 435,200 Mercury Interactive Corp. (b)................... 13,500 1,306,125 Metasolv Software, Inc. (b)..................... 2,100 92,400 Myriad Genetics, Inc. (b)....................... 6,000 888,469 Niku Corp. (b).................................. 3,000 101,250 North Fork Bancorporation, Inc.................. 28,200 426,525 Pacific Sunwear of California, Inc. (b)......... 17,950 336,562 Parlex Corp. (b)................................ 14,800 623,450 Parthus Technologies ADR (b).................... 2,100 59,850 Patterson Dental Co. (b)........................ 18,100 923,100 Patterson Energy, Inc. (b)...................... 26,100 743,850 Peregrine Systems, Inc. (b)..................... 20,300 704,156 QRS Corp. (b)................................... 4,150 101,934 Quest Diagnostics, Inc. (b)..................... 16,500 1,180,781 Rainbow Technologies, Inc. (b).................. 14,600 709,925 Register.com (b)................................ 3,000 91,688 ResMed, Inc. (b)................................ 22,800 609,900 Richmond County Financial Corp.................. 30,100 575,662 Roper Industries, Inc........................... 5,900 151,188 Rudolph Technologies, Inc. (b).................. 1,600 62,000 Saba Software, Inc. (b)......................... 3,150 66,150 Sangstat Medical Corp. (b)...................... 9,900 285,863 Selectica, Inc. (b)............................. 2,000 140,125 Shaw Group, Inc. (b)............................ 23,900 1,126,287 Silicon Laboratories, Inc. (b).................. 700 37,188 Spanish Broadcasting System (b)................. 14,500 298,156 Stone Energy Corp. (b).......................... 12,000 717,000 StorageNetworks, Inc............................ 2,100 189,525 Stratos Lightwave, Inc. (b)..................... 2,100 58,538 Swift Transportation Co., Inc. (b).............. 18,800 263,200 Talbots, Inc.................................... 13,400 736,162 Telcom Semiconductor, Inc. (b).................. 21,400 864,025 TMP Worldwide, Inc. (b)......................... 8,900 656,931 Tollgrade Communications, Inc. (b).............. 11,800 1,563,500 Tower Automotive, Inc. (b)...................... 19,300 241,250 Triton PCS Holdings, Inc. (b)................... 7,800 450,450 United Therapeutics Corp. (b)................... 7,800 845,325 Universal Access, Inc. (b)...................... 1,800 44,100 Utstarcom, Inc. (b)............................. 2,000 60,750 Vertex Pharmaceuticals, Inc. (b)................ 6,300 663,862 Vicinity Corp. (b).............................. 15,400 302,225 Vintage Petroleum, Inc.......................... 28,300 638,519 Waters Corp. (b)................................ 11,700 1,460,306 Whitehall Jewellers, Inc. (b)................... 25,550 475,869 Zebra Technologies Corp., Class A (b)........... 11,200 496,300 Zoll Medical Corp. (b).......................... 14,400 705,600 ----------- Total U.S. Equities (Cost $33,685,619).......... 49,928,176 -----------
================================================================================ 59 U.S. Small Cap Growth Fund--Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Shares Value --------- ------------ Short-Term Investments -- 4.58% Investment Companies -- 4.58% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $2,503,641)...................... 2,503,641 $ 2,503,641 ------------ Total Investments (Cost $36,189,260) -- 95.94% (a)....... 52,431,817 Cash and other assets, less liabilities -- 4.06%.............. 2,216,357 ------------ Net Assets -- 100%....................... $ 54,648,174 ============
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $36,311,146; and net unrealized appreciation consisted of: Gross unrealized appreciation................ $17,978,411 Gross unrealized depreciation................ (1,857,740) ----------- Net unrealized appreciation............... $16,120,671 =========== (b) Non-income producing security ================================================================================ 60 See accompanying notes to financial statements. U.S. Bond Fund -------------------------------------------------------------------------------- [LOGO] Since its inception on August 31, 1995, the Brinson U.S. Bond Fund Class I has returned 6.03%, while its benchmark, the Salomon Smith Barney Broad Investment Grade (BIG) Bond Index has returned 6.25%. Over the same period the Fund's annualized volatility or risk of 3.87% was comparable to the benchmark volatility of 3.40%. For the calendar year-to-date period, the Fund has returned 3.36% while the benchmark has returned 3.92%. Sector strategies hurt the Fund in the first quarter, as we were overweight corporate bonds (and underweight Treasuries) in a period during which Treasury securities showed the strongest relative returns. The negative sector contribution was offset to a large extent by strong security selection decisions and positive duration positioning. Early in the second quarter, we diversified our overweight to those sectors with greater credit risk (non-Treasury) by increasing our positions in agencies and mortgages and selling corporate bonds. This also served to slightly upgrade the credit exposure of the Fund. For the second quarter, the strongest contributor to performance was our sector exposure as the move to agency and mortgage securities paid off. However, returns were hurt by issue selection and our positioning on the yield curve during this period of high volatility in interest rates. The Federal Reserve raised rates twice in the first quarter by 25 basis points each time, and then surprised the market with a 50 basis point increase in the federal funds rate in May. Rates were not increased at the June 28 Federal Open Market Committee meeting, but since the beginning of January, the fed funds rate has gone from 5.5% to 6.5%. Large fluctuations in economic forecasts in the second quarter contributed to interest rate volatility. Though rates fluctuated over the quarter, they finished close to first quarter levels by the end of June. ================================================================================ 61 U.S. Bond Fund -------------------------------------------------------------------------------- [LOGO] Total Return
6 months 1 year 3 years Inception* ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 ------------------------------------------------------------------------------------------------------- Brinson U.S. Bond Fund Class I 3.36% 3.74% 5.71% 6.03% ------------------------------------------------------------------------------------------------------- Brinson U.S. Bond Fund Class N 3.14 3.29 5.43 5.43 ------------------------------------------------------------------------------------------------------- Salomon Smith Barney Broad Investment Grade (BIG) Bond Index 3.92 4.49 6.02 6.25 -------------------------------------------------------------------------------------------------------
* Inception dates of the Brinson U.S. Bond Fund Class I and Class N are 8/31/95 and 6/30/97, respectively. Performance inception date of the Salomon Smith Barney BIG Bond Index is 8/31/95. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $1,000,000 This chart shows the growth in the value of an investment in the Brinson U.S. Bond Fund Class I and the Salomon Smith Barney BIG Bond Index if you had invested $1,000,000 on August 31, 1995, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. The performance of Class N shares will vary based upon the different inception dates and class specific expenses. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. Brinson U.S. Bond Fund Class I vs. Salomon Smith Barney BIG Bond Index Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] Label Label A B ------------------------------------------------------------------- Brinson U.S. Bond Fund Salomon Smith Barney Class I Big Bond Index ------------------------------------------------------------------- 1 8/31/95 1,000,000 1,000,000 2 9/30/95 1,009,000 1,009,400 3 10/31/95 1,024,000 1,022,926 4 11/30/95 1,040,000 1,038,884 5 12/31/95 1,054,932 1,053,220 6 1/31/96 1,061,071 1,060,382 7 2/29/96 1,038,561 1,042,462 8 3/31/96 1,031,398 1,034,956 9 4/30/96 1,023,213 1,027,297 10 5/31/96 1,020,143 1,026,784 11 6/30/96 1,035,997 1,040,026 12 7/31/96 1,039,127 1,042,837 13 8/31/96 1,032,867 1,041,273 14 9/30/96 1,054,776 1,059,391 15 10/31/96 1,081,902 1,083,227 16 11/30/96 1,109,028 1,101,101 17 12/31/96 1,092,169 1,091,411 18 1/31/97 1,094,339 1,095,558 19 2/28/97 1,096,507 1,096,763 20 3/31/97 1,081,323 1,085,688 21 4/30/97 1,098,676 1,101,211 22 5/31/97 1,109,522 1,111,563 23 6/30/97 1,123,558 1,124,790 24 7/31/97 1,158,669 1,155,272 25 8/31/97 1,148,794 1,145,337 26 9/30/97 1,164,156 1,162,173 27 10/31/97 1,180,614 1,178,792 28 11/30/97 1,183,906 1,184,333 29 12/31/97 1,197,458 1,196,413 30 1/31/98 1,211,341 1,211,847 31 2/28/98 1,211,341 1,210,998 32 3/31/98 1,214,812 1,215,721 33 4/30/98 1,220,597 1,222,043 34 5/31/98 1,232,167 1,233,775 35 6/30/98 1,242,614 1,243,892 36 7/31/98 1,243,789 1,246,504 37 8/31/98 1,264,930 1,265,575 38 9/30/98 1,287,245 1,295,443 39 10/31/98 1,282,547 1,289,613 40 11/30/98 1,291,943 1,296,706 41 12/31/98 1,297,674 1,300,726 42 1/31/99 1,308,672 1,301,351 43 2/28/99 1,286,677 1,287,420 44 3/31/99 1,295,231 1,294,759 45 4/30/99 1,298,896 1,299,031 46 5/31/99 1,285,455 1,287,080 47 6/30/99 1,279,528 1,282,704 48 7/31/99 1,273,304 1,277,573 49 8/31/99 1,269,570 1,276,679 50 9/30/99 1,285,751 1,291,999 51 10/31/99 1,286,996 1,295,875 52 11/30/99 1,289,485 1,295,746 53 12/31/99 1,284,169 1,289,785 54 1/31/2000 1,278,906.27 1,286,140.18 55 2/29/2000 1,293,379.49 1,301,150.75 56 3/31/2000 1,309,168.45 1,318,027.91 57 4/30/2000 1,301,273.97 1,314,114.75 58 5/31/2000 1,296,010.98 1,312,954.29 59 6/30/2000 1,327,337.36 1,340,342.54 Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ================================================================================ 62 U.S. Bond Fund ------------------------------------------------------------------------------- [LOGO] Industry Diversification As a Percent of Net Assets As of June 30, 2000 ---------------------------------------------------------------------- U.S. BONDS Corporate Bonds Consumer........................................ 2.13% Construction.................................... 0.25 Energy.......................................... 1.23 Financial Services.............................. 3.84 Food & House Products........................... 0.77 Health.......................................... 0.67 Publishing...................................... 0.50 Services/Miscellaneous.......................... 3.92 Technology...................................... 0.79 Telecommunications.............................. 3.21 Utilities....................................... 2.10 ------ Total U.S. Corporate Bonds................... 19.41 Asset-Backed..................................... 9.71 Corporate Mortgage-Backed Securities............. 21.12 International Dollar Bonds....................... 4.89 U.S. Government Agencies......................... 8.97 U.S. Government Mortgage-Backed Securities....... 19.36 U.S. Government Obligations...................... 13.88 ------ Total U.S. Bonds............................. 97.34 SHORT-TERM INVESTMENTS........................... 0.35 ------ TOTAL INVESTMENTS............................ 97.69 CASH AND OTHER ASSETS, LESS LIABILITIES.......................... 2.31 ------ NET ASSETS....................................... 100.00% ====== ---------------------------------------------------------------------- ====================================================================== 63 U.S. Bond Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------
Face Amount Value -------- ------- Bonds -- 97.34% U.S. Corporate Bonds -- 19.41% AT&T, 9.800%, due 02/01/12....................... $ 950,000 $ 1,090,243 Capital One Bank, BKNT, 8.250%, due 06/15/05........................... 250,000 249,505 Cendant Corp., 7.750%, due 12/01/03........................................ 1,060,000 1,023,679 Centaur Funding Corp., Class B, 144A, 9.080%, due 04/21/20 (b)....................... 715 709,861 Centaur Funding Corp., Class C, 144A, 0.000%, due 04/21/20 (b)......................... 1,355 209,178 Centex Corp., 9.750%, due 06/15/05............... 155,000 154,160 Fidelity Investments, 144A, 7.570%, due 06/15/29........................... 550,000 521,272 Ford Motor Credit Co., 6.700%, due 07/16/04........................... 310,000 299,251 GMAC, 9.625%, due 12/15/01....................... 294,000 303,146 Kroger Co., 8.000%, due 09/15/29................. 500,000 476,020 Lilly Del Mar, 144A, FRN, 7.717%, due 08/01/29.......................... 1,000,000 994,090 MBNA Global Capital Securities FRN, 7.191%, due 02/01/27............................ 90,000 75,391 News America Holdings, 7.750%, due 12/01/45............................ 358,000 310,957 PanAmSat Corp., 6.000%, due 01/15/03........................... 375,000 356,550 6.375%, due 01/15/08........................... 500,000 445,399 Pharmacia Corp., 6.600%, due 12/01/28............ 550,000 484,969 Public Service Co. of Colorado, 6.875%, due 07/15/09........................... 940,000 881,389 Rite Aid Corp., 144A, 6.125%, due 12/15/08........................... 890,000 413,850 Sempra Energy, 7.950%, due 03/01/10.............. 750,000 756,354 Service Corp. International, 6.000%, due 12/15/05........................... 750,000 405,000 Texas Utilities Holding, 5.940%, due 10/15/11........................... 420,000 412,071 Time Warner Cos., Inc., 7.570%, due 02/01/24........................... 340,000 321,421 Verizon Communications, 8.000%, due 10/15/29........................... 87,000 87,102 Viacom, 8.625%, due 08/01/12..................... 575,000 610,180 Waste Management, 6.500%, due 12/15/02............................ 400,000 376,502 ----------- 11,967,540 ----------- Asset-Backed Securities -- 9.71% First Bank Corporate Card Master Trust, 97-1, Class A, 6.400% due 02/15/03............. $ 980,000 $ 966,858 GE Capital Mortgage Services, Inc., 97-HE4 A7, 6.735%, due 12/25/28................ 410,000 398,725 Green Tree Financial Corp., 6.160%, due 02/01/31........................... 1,000,000 927,230 Green Tree Financial Corp., 94-5, Class A5, 8.300%, due 11/15/19................. 320,000 319,469 Peco Energy Transition Trust, 6.130%, due 03/01/09........................... 1,135,000 1,046,311 Pemex Finance Ltd., 8.450%, due 02/15/07........................... 940,000 924,123 PP&L Transition Bond Company LLC, 6.960%, due 12/26/07........................... 200,000 198,446 Premier Auto Trust, 96-4A, Class A4, 6.400%, due 10/06/01........................... 38,811 38,803 Sears Credit Account Master Trust, 99-3, Class A, 6.450%, due 11/17/09............ 1,200,000 1,164,660 ----------- 5,984,625 ----------- Corporate Mortgage-Backed Securities -- 21.12% ABN AMRO Mortgage Corp., 99-2 Class IA2, 6.300%, due 04/25/29........................... 2,100,000 1,982,190 ABN AMRO Mortgage Corp., 99-3, Class A2, 6.300%, due 05/25/29........................... 1,000,000 942,930 Bank One Mortgage, 2000-2, Class 6A, 6.761%, due 03/15/30........................... 97,337 97,629 Chemical Mortgage Securities Inc., 93-1, Class A5, 7.450%, due 02/25/23........... 165,534 164,951 Citicorp Mortgage Securities, Inc., 94-9, Class A8, 5.750%, due 06/25/09................. 1,072,002 996,340 Heller Financial Commercial Mortgage Assets, 99-PH1, Class A1, 6.500%, due 05/15/31........................... 1,163,364 1,125,060 LB Commercial Conduit Mortgage Trust, 99-C1, Class A1, 6.410%, due 06/15/31.......... 675,762 651,479 Nomura Asset Securities Corp., 7.120%, due 04/13/36........................... 1,200,000 1,181,134 PNC Mortgage Securities Corp., 94-3, Class A8, 7.500%, due 07/25/24................. 375,000 359,299 Prudential Home Mortgage Securities, 93-43, Class A9, 6.750%, due 10/25/23.......... 261,333 251,146 Prudential Home Mortgage Securities, 94-3, Class A10, 6.500%, due 02/25/24......... 170,000 163,817
=============================================================================== 64 U.S. Bond Fund -- Schedule of Investments June 30, 2000 ------------------------------------------------------------------------------ Residential Accredit Loans, Inc., 96-QS4, Class Al10, 7.900%, due 08/25/26............................. $ 275,000 $ 274,145 Residential Accredit Loans, Inc., 98-QS4, Class AI5, 7.000%, due 03/25/28............................. 2,850,000 2,685,107 Residential Asset Securitization Trust, 97-A10, Class A1, 7.250%, due 12/25/27........... 126,380 125,909 Residential Funding Mortgage, 95-S6, Class A7, 7.500%, due 11/25/25............ 943,020 933,420 Structured Asset Securities Corp., 98-RF1, Class A, 8.712%, due 04/15/27............ 352,914 358,208 Structured Asset Securities Corp., 98-RF2, 8.582%, due 07/15/27..................... 125,456 126,710 Thrift Financial Corp., Class A4 11.250%, due 01/01/16............................ 25,660 26,329 Vendee Mortgage Trust, 92-1, Class 2Z, 7.750%, due 05/15/22................... 575,120 571,807 ------------ 13,017,610 ------------ International Dollar Bonds -- 4.89% Banco Santiago S.A., 7.000%, due 07/18/07............................. 380,000 338,282 Empresa Nacional de Electricidad S.A., 8.125%, due 02/01/97............................. 335,000 263,048 Interamer Development Bank, 6.800%, due 10/15/25............................. 100,000 94,693 Korea Development Bank, 7.125%, due 09/17/01............................. 500,000 495,628 Petroliam Nasional Berhad, 144A, 7.625%, due 10/15/26............................. 430,000 363,591 Ras Laffan Liquified Natural Gas Co., Ltd., 144A, 8.294%, due 03/15/14....................... 450,000 415,687 State of Qatar, 144A, 9.750%, due 06/15/30......... 250,000 246,563 Tyco International Group S.A., 7.000%, due 06/15/28............................. 500,000 433,359 United Mexican States, 9.875%, due 02/01/10............................. 360,000 363,600 ---------- 3,014,451 ---------- U.S. Government Mortgage-Backed Securities -- 19.36% Fannie Mae Whole Loan, 95-W3, Class A, 9.000%, due 04/25/25.................... $ 100,832 $ 103,818 Federal Home Loan Mortgage Corp., 1595, Class D, 7.000%, due 10/15/13.............. 492,125 469,960 Federal Home Loan Mortgage Corp. Gold, 8.000%, due 08/01/08............................. 474,009 479,085 8.000%, due 11/01/22............................. 80,657 81,528 9.000%, due 07/01/30, TBA........................ 145,000 149,577 Federal National Mortgage Assoc., 97-72, Class EG, 0.000%, due 09/25/22............ 191,413 178,154 Federal National Mortgage Association, 6.000%, due 10/01/14............................. 236,995 224,192 6.000%, due 03/01/28............................. 615,771 564,384 6.000%, due 08/01/28............................. 1,393,813 1,274,961 6.500%, due 03/01/19............................. 461,725 441,262 6.500%, due 06/01/28............................. 676,070 637,942 6.500%, due 09/01/28............................. 226,071 213,321 6.500%, due 03/01/29............................. 484,437 456,915 7.000%, due 12/01/24............................. 538,990 520,339 7.000%, due 03/01/29............................. 43,213 41,735 7.500%, due 12/01/23............................. 447,293 441,138 7.500%, due 01/01/28............................. 248,835 246,263 8.000%, due 02/01/13............................. 147,389 148,921 Government National Mortgage Association, 6.500%, due 10/15/24............................. 4,206,370 4,018,337 7.000%, due 07/15/25............................. 79,883 77,983 7.500%, due 12/15/22............................. 193,849 193,492 7.500%, due 12/15/23............................. 807,080 805,433 7.500%, due 01/15/24............................. 51,829 51,660 7.500%, due 06/15/25............................. 67,140 66,989 8.000%, due 08/15/22............................. 39,536 40,154 9.000%, due 11/15/04............................. 7,447 7,726 10.000%, due 05/15/01............................ 372 395 ---------- 11,935,664 ---------- U.S. Government Agencies -- 8.97% Aid-Israel, 10-Z, 0.000%, due 02/15/03............................. 805,000 679,314 Federal Home Loan Mortgage Corp., 5.750%, due 03/15/09............................. 230,000 208,828 7.000%, due 02/15/03............................. 2,190,000 2,191,320 Federal National Mortgage Association, 7.250%, due 05/15/30............................. 950,000 967,188 Jordan Aid, 8.750%, due 09/01/19................... 1,344,519 1,483,287 ---------- 5,529,937 ----------
=============================================================================== 65 U.S. Bond Fund -- Schedule of Investments June 30, 2000 ------------------------------------------------------------------------------
Face Amount Value ------ ----- U.S. Government Obligations -- 13.88% U.S. Treasury Bond, 8.000%, due 11/15/21................................ $ 510,000 $615,506 8.750%, due 05/15/17................................ 770,000 967,794 U.S. Treasury Inflation Indexed Note, 3.625%, due 04/15/28................................ 1,770,000 1,786,843 3.875%, due 04/15/29................................ 60,000 62,307 U.S. Treasury Note, 5.625%, due 05/15/08................................ 475,000 458,078 5.750%, due 08/15/03................................ 1,455,000 1,429,993 6.125%, due 12/31/01................................ 1,000,000 994,375 6.625%, due 05/15/07................................ 1,215,000 1,240,060 7.500%, due 02/15/05................................ 955,000 1,001,556 ---------- 8,556,512 ---------- Total Bonds (Cost $62,291,605)........................ 60,006,339 ---------- Shares Value Short-Term Investments -- 0.35% Investment Companies -- 0.35% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $217,046)..................................... 217,046 $ 217,046 ----------- Total Investments (Cost $62,508,651) -- 97.69% (a).................... 60,223,385 Cash and other assets, less liabilities -- 2.31%........................... 1,424,454 ----------- Net Assets -- 100%.................................... $61,647,839 ===========
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $62,522,716; and net unrealized depreciation consisted of: Gross unrealized appreciation........................ $ 350,762 Gross unrealized depreciation........................ (2,650,093) ------------ Net unrealized depreciation....................... $(2,299,331) =========== (b) Non-income producing security FRN: Floating rate note -- The rate disclosed is that in effect at June 30, 2000. TBA: Security is subject to delayed delivery. 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 June 30, 2000, the value of these securities amounted to $3,874,092 or 6.28% of net assets. ================================================================================ 66 See accompanying notes to financial statements. HIGH YIELD FUND -------------------------------------------------------------------------------- [LOGO] The Brinson U.S. High Yield Fund Class I has earned an annualized return of 4.71% since inception on September 30, 1997 versus 2.40% for its benchmark, the Merrill Lynch High Yield Master Index. This performance was achieved with an annualized volatility of 6.13% versus 4.82% for the benchmark. The Fund's total return for the calendar year-to-date through June 30, 2000 was -1.84% versus -1.19% for the benchmark. High yield fixed income has been one of the worst performing asset classes so far in 2000, but we remain optimistic about the medium term future of the high yield asset class. Continued uncertainty about the direction of the economy has kept the perceived risks of high yield investing at a higher-than-normal level thus far in 2000. Currently, the yield spread of high yield bonds over "risk free" U.S. Treasuries stands at about 6.0%. That 6.0% spread can be thought of as the extra compensation investors require for taking on the credit risk of the underlying companies. That spread has continued to widen throughout 2000, while interestingly, default rates on high yield bonds seem to be trending downward. When we look at data of investors' expectations for defaults, the prices of high yield bonds are much lower than those default rates should imply. Continued near-term economic uncertainty and generally rising interest rates may continue to stall the high yield market, but we think that on a fundamental basis, the medium to longer-term outlook for the asset class is very attractive. During the most recent quarter, the environmental services, publishing, gaming and textile sectors performed well relative to the index, while the retail, financial services and steel sectors underperformed. We are positive about industries that we think will benefit from de-leveraging, growth or M&A activity, including telecommunications, cable and gaming. We hold overweight positions in these sectors. ================================================================================ 67 High Yield Fund -------------------------------------------------------------------------------- [LOGO] Total Return 6 months 1 year Inception* ended ended to 6/30/00 6/30/00 6/30/00 ---------------------------------------------------------------------- Brinson High Yield Fund Class I -1.84% 0.02% 4.71% ---------------------------------------------------------------------- Brinson High Yield Fund Class N -1.87 -0.13 1.71 ---------------------------------------------------------------------- Merrill Lynch High Yield Master Index -1.19 -1.37 2.40 ---------------------------------------------------------------------- * Inception dates of the Brinson High Yield Fund Class I and Class N are 9/30/97 and 12/31/98, respectively. Performance inception date of the Merrill Lynch High Yield Master Index is 9/30/97. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $1,000,000 This chart shows the growth in the value of an investment in the Brinson High Yield Fund Class I and the Merrill Lynch High Yield Master Index if you had invested $1,000,000 on September 30, 1997, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. The performance of Class N shares will vary based upon the different inception dates and class specific expenses. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. Brinson High Yield Fund Class I vs. Merrill Lynch High Yield Master Index Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] ------------------------------------------------------------ Label A B ------------------------------------------------------------ Label Date Brinson High Yield Merrill Lynch High ------------------------------------------------------------ 1 9/30/97 1,000,000 1,000,000 2 10/31/97 995,405 1,006,640 3 11/30/97 1,005,534 1,016,173 4 12/31/97 1,023,434 1,025,816 5 1/31/98 1,047,259 1,041,091 6 2/28/98 1,054,152 1,045,391 7 3/31/98 1,066,777 1,054,402 8 4/30/98 1,068,387 1,059,410 9 5/31/98 1,070,928 1,066,784 10 6/30/98 1,081,780 1,072,064 11 7/31/98 1,098,343 1,078,175 12 8/31/98 1,042,275 1,031,652 13 9/30/98 1,057,065 1,033,715 14 10/31/98 1,049,791 1,016,742 15 11/30/98 1,109,624 1,063,035 16 12/31/98 1,102,713 1,063,388 17 1/31/99 1,129,231 1,073,905 18 2/28/99 1,134,755 1,065,711 19 3/31/99 1,146,909 1,074,897 20 4/30/99 1,163,483 1,091,709 21 5/31/99 1,140,280 1,084,132 22 6/30/99 1,134,755 1,082,094 23 7/31/99 1,133,616 1,083,685 24 8/31/99 1,127,919 1,082,685 25 9/30/99 1,124,501 1,068,566 26 10/31/99 1,124,501 1,062,315 27 11/30/99 1,147,288 1,074,468 28 12/31/99 1,156,238 1,080,109 29 1/31/2000 1,141,800.25 1,074,751.71 30 2/29/2000 1,138,190.77 1,075,676.00 31 3/31/2000 1,111,721.22 1,060,637.93 32 4/30/2000 1,118,940.18 1,061,009.26 33 5/31/2000 1,115,330.70 1,049,327.44 34 6/30/2000 1,134,974.08 1,067,292.01 Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ================================================================================ 68 HIGH YIELD FUND -------------------------------------------------------------------------------- [LOGO] Industry Diversification As a Percent of Net Assets As of June 30, 2000 ---------------------------------------------------------------------- U.S. BONDS Corporate Bonds Aerospace................................................ 0.94% Appliances & Household Durables......................... 0.44 Autos/Durables.......................................... 3.53 Cable Television........................................ 2.99 Chemicals............................................... 2.15 Computer Software....................................... 0.96 Computer Systems........................................ 0.31 Construction............................................ 2.39 Consumer................................................ 2.08 Electronics and Electric Components..................... 0.98 Energy.................................................. 2.43 Financial Services...................................... 1.73 Food & House Products................................... 3.47 Health.................................................. 2.76 Housing/Paper........................................... 0.50 Non-Durables............................................ 1.13 Publishing.............................................. 0.90 Radio Broadcasting...................................... 2.27 Real Estate............................................. 0.32 Recreation.............................................. 7.90 Retail.................................................. 3.01% Services/Miscellaneous.................................. 9.18 Technology.............................................. 1.00 Telecommunications - Services........................... 7.84 Telecommunications - Equipment.......................... 1.65 Telecommunications - Wireless........................... 8.72 Television Broadcasting................................. 8.60 Transportation.......................................... 0.36 ------ Total U.S. Corporate Bonds........................... 80.54 International Dollar Bonds................................ 6.78 ------ Total U.S. Bonds..................................... 87.32 Warrants.................................................. 0.01 SHORT-TERM INVESTMENTS.................................... 19.21 ------ TOTAL INVESTMENTS......................................... 106.54 LIABILITIES, LESS CASH AND OTHER ASSETS....................................... (6.54) ------ NET ASSETS................................................ 100.00% ====== Top Ten U.S. Bond Holdings As of June 30, 2000 Percent of Net Assets ---------------------------------------------------------------------- 1. Dobson Sygnet Communications, Inc., 12.250%, due 12/15/08............................... 1.61% 2. Paxson Communications Corp., 12.500%, due 10/31/06............................... 1.60 3. Triton PCS, Inc., 0.000%, due 05/01/08................................ 1.54 4. Liberty Group Operating, 9.375%, due 02/01/08................................ 1.31 5. Lyondell Chemical Co., Series B, 9.875%, due 05/01/07................................ 1.21 6. Perry Ellis International, Inc., 12.250%, due 04/01/06............................... 1.16 7. Newpark Resources, Inc., Series B, 8.625%, due 12/15/07................................ 1.15 8. Pegasus Communications Corp., Class B, 12.500%, due 08/01/07............................... 1.10 9. NTL Communications Corp., Series B, 0.000%, due 10/01/08................................ 1.08 10. Mohegan Tribal Gaming Authority, 8.750%, due 01/01/09................................ 1.08 ====================================================================== 69 High Yield Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Face Amount Value ---------- --------- U.S. Bonds -- 87.32% U.S. Corporate Bonds -- 80.54% Ackerley Group, Inc., Class B, 9.000%, due 01/15/09................................... $ 100,000 $ 91,750 Adelphia Communications Corp., 9.375%, due 11/15/09................................... 500,000 462,500 Allbritton Communications Co., 9.750%, due 11/30/07................................... 250,000 240,000 American Mobile Satellite Corp., 12.250%, due 04/01/08.................................. 182,000 141,960 American Restaurant Group, Inc., Class B, 11.500%, due 02/15/03.................................. 150,000 115,125 Atrium Cos., Inc., 10.500%, due 05/01/09................ 125,000 105,313 Aztar Corp., 8.875%, due 05/15/07....................... 250,000 235,625 Bally Total Fitness Corp., Class B, 9.875%, due 10/15/07................................... 400,000 362,000 Big City Radio, Inc., (c) 0.000%, due 03/15/05................................... 500,000 281,250 Building Materials Corp., 7.750%, due 07/15/05................................... 350,000 287,875 Capstar Broadcasting Partners, Inc., (c) 0.000%, due 02/01/09................................... 525,000 483,000 Carmike Cinemas, Inc., 9.375%, due 02/01/09................................... 200,000 120,000 CB Richard Ellis Services, Inc., 8.875%, due 06/01/06................................... 200,000 170,000 Centennial Cellular, 10.750%, due 12/15/08.................................. 500,000 485,625 Century Communications Corp., 0.000%, due 01/15/08................................... 425,000 174,250 8.375%, due 11/15/17................................... 300,000 234,750 Charter Communications Holdings, 10.000%, due 04/01/09.................................. 400,000 386,000 Classic Cable, Inc., 10.500%, due 03/01/10.................................. 250,000 230,625 Coast Hotels and Casinos, Inc., 9.500%, due 04/01/09................................... 370,000 351,500 Collins & Alkman Corp., 11.500%, due 04/15/06.................................. 250,000 240,625 Crown Castle International Corp., 0.000%, due 05/15/11 (c)............................... 630,000 385,087 9.000%, due 05/15/11................................... 150,000 138,375 CSC Holdings, Inc., 7.625%, due 07/15/18................................... 600,000 538,141 Cumulus Media, Inc., 10.375%, due 07/01/08.................................. 155,000 130,975 Dayton Superior Corp., 144A, 13.000%, due 06/15/09.................................. 225 221,625 Delco Remy International, Inc., 8.625%, due 12/15/07................................... $ 150,000 $ 139,500 Diamond Triumph Auto Glass, Inc., 9.250%, due 04/01/08................................... 250,000 195,000 Dobson Communications Corp., 144A, 10.875%, due 07/01/10.................................. 400,000 402,000 Dobson Sygnet Communications, Inc., 12.250%, due 12/15/08.................................. 800,000 852,000 Eagle Family Foods, Class B, 8.750%, due 01/15/08................................... 750,000 442,500 Echostar Dbs Corp., 9.375%, due 02/01/09................................... 500,000 480,000 Exodus Communications, Inc., 11.250%, due 07/01/08.................................. 500,000 495,000 Exodus Communications, Inc., 144A, 11.625%, due 07/15/10.................................. 150,000 150,375 FairPoint Communications, Inc., 144A, 12.500%, due 05/01/10.................................. 200,000 202,000 Fedders North America, 9.375%, due 08/15/07................................... 250,000 234,687 Federal-Mogul Corp., 7.500%, due 01/15/09................................... 250,000 171,463 Finova Capital Corp., 7.250%, due 11/08/04................................... 250,000 220,217 Fox/Liberty Networks, (c) 0.000%, due 08/15/07................................... 500,000 405,000 Global Imaging Systems, Inc., 10.750%, due 02/15/07.................................. 325,000 276,250 Globix Corp., 12.500%, due 02/01/10..................... 200,000 164,000 Golden Sky DBS, Inc., (c) 0.000%, due 03/01/07................................... 375,000 253,125 Gothic Production Corp., Class B, 11.125%, due 05/01/05.................................. 500,000 466,250 Granite Broadcasting Corp., 10.375%, due 05/15/05.................................. 200,000 190,000 Hayes Lemmerz International, Inc., 8.250%, due 12/15/08................................... 220,000 185,900 HMH Properties, Class B, 7.875%, due 08/01/08................................... 300,000 269,250 Hollinger International Publishing Corp., 9.250%, due 02/01/06................................... 250,000 246,562 Hollywood Park, Inc., 9.500%, due 08/01/07................................... 140,000 139,300 Horseshoe Gaming Holdings, 8.625%, due 05/15/09................................... 142,000 133,835 Horseshoe Gaming LLC, Class B, 9.375%, due 06/15/07................................... 150,000 147,750 Huntsman Corp., 144A, 9.500%, due 07/01/07................................... 200,000 182,000 ================================================================================ 70 High Yield Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Face Amount Value ---------- --------- Huntsman Packaging Corp., 144A, 13.000%, due 06/01/10.................................. $ 160,000 $ 164,800 ICN Pharmaceuticals, Inc., 9.250%, due 08/15/05................................... 400,000 396,000 Integrated Electrical Services, Inc., 9.375%, due 02/01/09................................... 550,000 445,500 Interep National Radio Sales, Class B, 10.000%, due 07/01/08.................................. 455,000 402,675 Iron Mountain, Inc., 8.750%, due 09/30/09................................... 500,000 460,000 ISP Holdings Inc., Class B, 9.000%, due 10/15/03................................... 295,000 274,719 J.H. Heafner Co., 10.000%, due 05/15/08.................................. 350,000 255,500 Jackson Products, Inc., Class B, 9.500%, due 04/15/05................................... 550,000 495,000 Level 3 Communications, Inc., 0.000%, due 12/01/08 (c)............................... 850,000 516,375 9.125%, due 05/01/08................................... 200,000 179,500 Liberty Group Operating, 9.375%, due 02/01/08................................... 850,000 697,000 Lifepoint Hospital, 10.750%, due 05/15/09.................................. 250,000 257,500 LIN Holdings Corp., (c) 0.000%, due 03/01/08................................... 200,000 131,500 Loral Space & Communications Ltd., 9.500%, due 01/15/06................................... 200,000 145,000 Luigino's, Inc., 10.000%, due 02/01/06.................. 210,000 168,000 Lyondell Chemical Co., Class B, 9.875%, due 05/01/07................................... 650,000 641,875 Mail Well Corp., 8.750%, due 12/15/08................... 500,000 420,000 Majestic Star Casino LLC, Class B, 10.875%, due 07/01/06.................................. 175,000 142,625 McLeod USA, Inc., 9.250%, due 07/15/07................................... 250,000 241,250 Merrill Corp., Class B, 12.000%, due 05/01/09.................................. 325,000 234,000 Metromedia Fiber Network, 10.000%, due 12/15/09.................................. 540,000 531,900 MGM Grand, Inc., 9.750%, due 06/01/07................... 350,000 356,125 Mohegan Tribal Gaming Authority, 8.750%, due 01/01/09................................... 600,000 570,000 Motors & Gears, Inc., Class B, 10.750%, due 11/15/06.................................. 250,000 240,625 MTS, Inc., 9.375%, due 05/01/05......................... 575,000 247,250 New World Pasta Co., 9.250%, due 02/15/09................................... 200,000 119,000 Newpark Resources, Inc., Class B, 8.625%, due 12/15/07................................... 700,000 610,750 Nextel Communications, Inc., 0.000%, due 09/15/07 (c)............................... $ 200,000 $ 157,000 9.375%, due 11/15/09................................... 420,000 401,100 Nextel Partners, Inc., 144A, 11.000%, due 03/15/10.................................. 200,000 199,000 Nextlink Communications, 144A, 0.000%, due 12/01/09 (c)............................... 712,000 409,400 10.500%, due 12/01/09.................................. 175,000 170,625 Nortex, Inc., 9.875%, due 03/01/04...................... 450,000 427,500 NTL Communications Corp., Class B, (c) 0.000%, due 10/01/08................................... 900,000 571,500 NTL, Inc., Class A, (c) 12.750%, due 04/15/05.................................. 150,000 152,625 Nuevo Energy Co., 9.500%, due 06/01/08................................... 150,000 148,125 Pacifica Papers, Inc., 10.000%, due 03/15/09.................................. 270,000 265,275 Packaging Corp. of America, 9.625%, due 04/01/09................................... 500,000 496,250 Pantry, Inc., 10.250%, due 10/15/07.................................. 200,000 189,000 Paxson Communications Corp., 11.625%, due 10/01/02.................................. 450,000 460,125 12.500%, due 10/31/06 (b).............................. 847 846,685 Pegasus Communications Corp., Class B, 9.750%, due 12/01/06................................... 150,000 144,375 12.500%, due 08/01/07.................................. 550,000 585,750 Perry Ellis International, Inc., 12.250%, due 04/01/06.................................. 650,000 617,500 Phillips Van-Heusen, 9.500%, due 05/01/08................................... 250,000 227,500 Phoenix Color, Inc., 10.375%, due 02/01/09.................................. 300,000 270,000 Pillowtex Corp., 10.000%, due 11/15/06.................. 188,000 65,800 Pioneer Natural Resources Co., 9.625%, due 04/01/10................................... 360,000 371,746 Plains Resources, Inc., Class B, 10.250%, due 03/15/06.................................. 300,000 302,250 Premier Parks, Inc., (c) 0.000%, due 04/01/08................................... 425,000 288,469 Protection One Alarm, Inc., 7.375%, due 08/15/05................................... 365,000 271,925 PSINet, Inc., 10.500%, due 12/01/06.................................. 150,000 138,000 11.000%, due 08/01/09.................................. 86,000 79,550 11.500%, due 11/01/08.................................. 300,000 282,000 Qwest Communications International, Inc., (c) 0.000%, due 10/15/07................................... 500,000 420,006 R. H. Donnelley, Inc., 9.125%, due 06/01/08................................... 190,000 178,838 ================================================================================ 71 High Yield Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Face Amount Value ----------- ---------- RailWorks Corp., 11.500%, due 04/15/09.................. $ 200,000 $ 188,000 Rayovac Corp., Class B, 10.250%, due 11/01/06.................................. 300,000 307,500 RCN Corp., 10.000%, due 10/15/07........................ 300,000 254,250 Samsonite Corp., 10.750%, due 06/15/08.................................. 250,000 208,750 SBA Communications Corp., (c) 0.000%, due 03/01/08................................... 390,000 274,950 Sbarro, Inc., 11.000%, due 09/15/09..................... 250,000 255,625 Scotts Co., 144A, 8.625%, due 01/15/09................................... 285,000 273,600 Sequa Corp., 9.000%, due 08/01/09....................... 520,000 499,200 Simmons Co., 10.250%, due 03/15/09...................... 200,000 177,500 Sinclair Broadcast Group, 10.000%, due 09/30/05.................................. 400,000 382,000 Sleepmaster, 11.000%, due 05/15/09...................... 250,000 236,250 Spectrasite Holdings, Inc., 0.000%, due 07/15/08 (c)............................... 440,000 305,800 0.000%, due 03/15/10, 144A (c)......................... 190,000 103,550 10.750%, due 03/15/10, 144A............................ 95,000 94,763 Speedway Motorsports, Inc., 8.500%, due 08/15/07................................... 600,000 558,000 Station Casinos,Inc., 8.875%, due 12/01/08................................... 67,000 63,818 9.875%, due 07/01/10, 144A............................. 450,000 451,125 Sterling Chemicals, Inc., Class B, 12.375%, due 07/15/06.................................. 160,000 162,400 Stone Container Corp., 10.750%, due 10/01/02.................................. 250,000 253,437 T/SF Communications Corp., Class B, 10.375%, due 11/01/07.................................. 250,000 232,500 TeleCorp PCS, Inc., 0.000%, due 04/15/09 (c)............................... 700,000 456,750 Tenet Healthcare Corp., 144A, 9.250%, due 09/01/10................................... 350,000 352,625 Trans-Resources, Inc., Class B, (c) 0.000%, due 03/15/08................................... 650,000 58,500 Triad Hospitals Holdings, Inc., 11.000%, due 05/15/09.................................. 229,000 234,153 Tritel PCS, Inc. (c), 0.000%, due 05/15/09................................... 450,000 298,125 Triton PCS, Inc., (c) 0.000%, due 05/01/08................................... 1,125,000 815,625 United Rentals, Inc., Class B, 9.250%, due 01/15/09................................... 70,000 63,175 US Unwired, Inc., (c) 0.000%, due 11/01/09................................... 800,000 434,000 Verio, Inc., 13.500%, due 06/15/04...................... 450,000 507,937 Voicestream Wireless Corp., 10.375%, due 11/15/09.................................. $ 550,000 $ 569,250 Weirton Steel Corp., 11.375%, due 07/01/04.................................. 200,000 188,000 Westpoint Stevens, Inc., 7.875%, due 06/15/05................................... 220,000 183,700 Williams Communications Group, Inc., 10.875%, due 10/01/09.................................. 550,000 537,625 Winsloew Furniture, Inc., Class B, 12.750%, due 08/15/07.................................. 25,000 23,000 Winstar Communications, Inc., 144A, 12.750%, due 04/15/10.................................. 200,000 186,500 WMX Technologies, Inc., 6.250%, due 10/15/00................................... 365,000 362,055 ----------- 42,694,366 ----------- International Dollar Bonds -- 6.78% Callahan Nordrhein-Westfalen, 144A, 14.000%, due 07/15/10.................................. 160,000 160,000 Clearnet Communications, (c) 0.000%, due 12/15/05................................... 500,000 516,250 0.000%, due 05/01/09................................... 250,000 150,000 Energis PLC, 9.750%, due 06/15/09....................... 250,000 245,000 Global Crossing Holding Ltd., 9.500%, due 11/15/09................................... 400,000 386,000 Imax, Corp., 7.875%, due 12/01/05....................... 250,000 226,250 Microcell Telecommunications, Inc., Class B, (c) 0.000%, due 06/01/06................................... 500,000 461,250 Norampac, Inc., 9.500%, due 02/01/08.................... 140,000 135,100 Rogers Communications, Inc., 9.125%, due 01/15/06................................... 250,000 245,000 TeleWest Communications PLC, 0.000%, due 10/01/07 (c)............................... 500,000 473,750 0.000%, due 04/15/09 (c)............................... 500,000 270,000 United Pan-Europe Communications NV, 11.500%, due 02/01/10.................................. 225,000 200,250 United Pan-Europe Communications NV, Class B, 0.000%, due 02/01/10 (c)............................... 25,000 11,750 11.250%, due 02/01/10.................................. 125,000 111,250 ----------- 3,591,850 ----------- Total U.S. Bonds (Cost $49,816,312)..................... 46,286,216 ----------- ================================================================================ 72 High Yield Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value ----------- ----------- Warrants -- 0.01% Merrill Corp., 144A, Expires 05/01/09 (b)................................. 325 $ 3 Motient Corp., 144A, Expires 04/01/08 (b)................................. 182 7,280 Winsloew Furniture, Inc., 144A, Expires 07/01/00 (b)................................. 25 125 ----------- Total Warrants (Cost $8,314).......................... 7,408 ----------- Short-Term Investments -- 19.21% Investment Companies -- 19.21% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $10,185,196).................................. 10,185,196 $10,185,196 ----------- Total Investments (Cost $60,009,822) -- 106.54% (a)................... 56,478,820 Liabilities, less cash and other assets -- (6.54%)......................... (3,469,306) ----------- Net Assets -- 100%.................................... $53,009,514 =========== NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $60,022,205; and net unrealized depreciation consisted of: Gross unrealized appreciation.................. $ 341,964 Gross unrealized depreciation.................. (3,885,349) ----------- Net unrealized depreciation.............. $(3,543,385) =========== (b) Non-income producing security (c) Step bonds - coupon rate increases in increments to maturity. Rate disclosed is as of June 30, 2000. Maturity date disclosed is the ultimate maturity date. 144A: Security exempt from registration under Rue 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers. At June 30, 2000, the value of these securities amounted to $3,731,396 or 7.04% of net assets. ================================================================================ See accompanying note to financial statements. 73 Global (Ex-U.S.) Equity Fund -------------------------------------------------------------------------------- [LOGO] The Brinson Global (Ex-U.S.) Equity Fund Class I has provided an annualized return of 8.61% since its inception on August 31, 1993. Over the same period, its benchmark, the MSCI World Ex USA (Free) Index, has produced a return of 9.93%. The Fund's performance was achieved with a volatility or risk of 12.92%, considerably below the 14.38% volatility of the benchmark. Calendar year-to-date, the Fund returned -3.90%, underperforming the benchmark return of -2.99%. During the second quarter, returns were dominated by "old economy" stocks, and the Fund outperformed the benchmark by 387 basis points. Trends of the last two years show a remarkable divergence between the performance of "new economy" and "old economy" sectors. In contrast to recent bull markets, the current price appreciation has been limited to narrow groups of technology, media and telecommunications (TMT) stocks. This phenomenon, while originally most prevalent in the U.S. where it began, has proliferated into all developed equity markets. As such, we hold significant underweights to TMT sectors. This strategy began to pay off in the second quarter as investors began to question whether TMT companies can grow and increase earnings fast enough and for long enough to justify their high valuations. While we are skeptical of inflated equity investment expectations, we understand and appreciate the role of new and emerging technology in business. Our analysis is focused on investing in companies with solid fundamentals as well as promising uses for new technologies. Specifically, we see opportunities in some "old economy" sectors such as utilities, diversified financials, and food, beverages and tobacco where some companies are leveraging their skills, assets and competitive positions to take advantage of the Internet. With respect to countries, we increased our underweights to Canada, Europe (ex-UK) and the EMU region during the quarter where our analysis indicates overvaluation. After a few periods of outperformance in Japan, we sold some Japanese holdings and employed the proceeds in the UK market. We still maintain a modest overweight to Japan to capture opportunities that are coming from the ongoing restructuring of the corporate sector in the region. The restructuring trend is breaking old business molds and bringing much needed efficiencies to many companies. The Fund's regional weightings added modestly to returns during the quarter. ====================================================================== 74 Global (Ex-U.S.) Equity Fund -------------------------------------------------------------------------------- [LOGO] Total Return
6 months 1 year 3 years 5 years Inception* ended ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 6/30/00 ------------------------------------------------------------------------------------------------------- Brinson Global (Ex-U.S.) Equity Fund Class I -3.90% 11.76% 6.66% 12.52% 8.61% ------------------------------------------------------------------------------------------------------- Brinson Global (Ex-U.S.) Equity Fund Class N -3.96 11.51 6.37 N/A 6.37 ------------------------------------------------------------------------------------------------------- MSCI World Ex USA (Free) Index -2.99 18.78 10.52 11.75 9.93 -------------------------------------------------------------------------------------------------------
* Performance inception date of the Brinson Global (Ex-U.S.) Equity Fund Class I and the MSCI World Ex USA (Free) Index is 8/31/93, and inception date of Class N is 6/30/97. Performance is net of withholding taxes on dividends. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns Illustration of an Assumed Investment of $1,000,000/ This chart shows the growth in the value of an investment in the Brinson Global (Ex-U.S.) Equity Fund Class I and the MSCI World Ex USA (Free) Index if you had invested $1,000,000 on August 31, 1993, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. The performance of Class N shares will vary based upon the different inception dates and class specific expenses. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. Brinson Global (Ex-U.S.) Equity Fund Class I vs. MSCI World Ex USA (Free) Index Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] ---------------------------------------------- Label A B ---------------------------------------------- Label ---------------------------------------------- 1 8/31/93 $1,000,000 $1,000,000 ---------------------------------------------- 2 9/30/93 $972,000 $976,801 ---------------------------------------------- 3 10/31/93 $997,000 $1,009,608 ---------------------------------------------- 4 11/30/93 $929,000 $923,179 ---------------------------------------------- 5 12/31/93 $965,000 $988,754 ---------------------------------------------- 6 1/31/94 $1,033,606 $1,070,906 ---------------------------------------------- 7 2/28/94 $1,002,558 $1,065,670 ---------------------------------------------- 8 3/31/94 $957,488 $1,019,802 ---------------------------------------------- 9 4/30/94 $984,530 $1,061,899 ---------------------------------------------- 10 5/31/94 $985,531 $1,056,878 ---------------------------------------------- 11 6/30/94 $975,547 $1,068,786 ---------------------------------------------- 12 7/31/94 $990,648 $1,080,676 ---------------------------------------------- 13 8/31/94 $1,019,844 $1,107,766 ---------------------------------------------- 14 9/30/94 $990,648 $1,075,157 ---------------------------------------------- 15 10/31/94 $1,007,763 $1,109,504 ---------------------------------------------- 16 11/30/94 $974,540 $1,055,989 ---------------------------------------------- 17 12/31/94 $974,540 $1,062,774 ---------------------------------------------- 18 1/31/95 $940,310 $1,021,304 ---------------------------------------------- 19 2/28/95 $936,283 $1,020,965 ---------------------------------------------- 20 3/31/95 $952,391 $1,083,956 ---------------------------------------------- 21 4/30/95 $983,601 $1,124,094 ---------------------------------------------- 22 5/31/95 $984,608 $1,113,640 ---------------------------------------------- 23 6/30/95 $974,540 $1,095,525 ---------------------------------------------- 24 7/31/95 $1,032,932 $1,161,851 ---------------------------------------------- 25 8/31/95 $1,049,040 $1,119,130 ---------------------------------------------- 26 9/30/95 $1,066,155 $1,140,633 ---------------------------------------------- 27 10/31/95 $1,056,087 $1,111,131 ---------------------------------------------- 28 11/30/95 $1,082,263 $1,142,655 ---------------------------------------------- 29 12/31/95 $1,126,103 $1,187,456 ---------------------------------------------- 30 1/31/96 $1,148,603 $1,195,638 ---------------------------------------------- 31 2/29/96 $1,144,317 $1,199,070 ---------------------------------------------- 32 3/31/96 $1,159,318 $1,224,309 ---------------------------------------------- 33 4/30/96 $1,202,176 $1,260,387 ---------------------------------------------- 34 5/31/96 $1,196,819 $1,238,760 ---------------------------------------------- 35 6/30/96 $1,204,891 $1,244,668 ---------------------------------------------- 36 7/31/96 $1,171,452 $1,208,125 ---------------------------------------------- 37 8/31/96 $1,176,845 $1,213,344 ---------------------------------------------- 38 9/30/96 $1,212,442 $1,246,309 ---------------------------------------------- 39 10/31/96 $1,209,206 $1,237,797 ---------------------------------------------- 40 11/30/96 $1,270,691 $1,289,539 ---------------------------------------------- 41 12/31/96 $1,269,637 $1,271,887 ---------------------------------------------- 42 1/31/97 $1,262,768 $1,232,998 ---------------------------------------------- 43 2/28/97 $1,283,375 $1,251,330 ---------------------------------------------- 44 3/31/97 $1,291,389 $1,251,910 ---------------------------------------------- 45 4/30/97 $1,300,548 $1,259,870 ---------------------------------------------- 46 5/31/97 $1,385,267 $1,343,159 ---------------------------------------------- 47 6/30/97 $1,449,115 $1,414,422 ---------------------------------------------- 48 7/31/97 $1,475,588 $1,440,682 ---------------------------------------------- 49 8/31/97 $1,371,998 $1,332,372 ---------------------------------------------- 50 9/30/97 $1,449,115 $1,407,165 ---------------------------------------------- 51 10/31/97 $1,358,186 $1,301,262 ---------------------------------------------- 52 11/30/97 $1,335,166 $1,285,972 ---------------------------------------------- 53 12/31/97 $1,342,509 $1,298,199 ---------------------------------------------- 54 1/31/98 $1,387,259 $1,353,933 ---------------------------------------------- 55 2/28/98 $1,460,600 $1,441,984 ---------------------------------------------- 56 3/31/98 $1,516,538 $1,488,747 ---------------------------------------------- 57 4/30/98 $1,528,968 $1,500,225 ---------------------------------------------- 58 5/31/98 $1,528,968 $1,493,504 ---------------------------------------------- 59 6/30/98 $1,518,353 $1,499,791 ---------------------------------------------- 60 7/31/98 $1,533,349 $1,509,693 ---------------------------------------------- 61 8/31/98 $1,343,399 $1,316,941 ---------------------------------------------- 62 9/30/98 $1,310,908 $1,279,306 ---------------------------------------------- 63 10/31/98 $1,412,131 $1,412,768 ---------------------------------------------- 64 11/30/98 $1,484,612 $1,484,565 ---------------------------------------------- 65 12/31/98 $1,535,729 $1,540,540 ---------------------------------------------- 66 1/31/99 $1,531,928 $1,540,310 ---------------------------------------------- 67 2/28/99 $1,482,511 $1,501,564 ---------------------------------------------- 68 3/31/99 $1,525,592 $1,563,641 ---------------------------------------------- 69 4/30/99 $1,596,550 $1,631,168 ---------------------------------------------- 70 5/31/99 $1,512,921 $1,547,714 ---------------------------------------------- 71 6/30/99 $1,573,726 $1,607,444 ---------------------------------------------- 72 7/31/99 $1,619,637 $1,653,940 ---------------------------------------------- 73 8/31/99 $1,610,710 $1,658,379 ---------------------------------------------- 74 9/30/99 $1,603,058 $1,676,897 ---------------------------------------------- 75 10/31/99 $1,641,317 $1,741,712 ---------------------------------------------- 76 11/30/99 $1,680,851 $1,802,394 ---------------------------------------------- 77 12/31/99 $1,830,034 $1,968,326 ---------------------------------------------- 78 1/31/2000 $1,691,356 $1,848,755 ---------------------------------------------- 79 2/29/2000 $1,696,540 $1,900,648 ---------------------------------------------- 80 3/31/2000 $1,752,270 $1,978,709 ---------------------------------------------- 81 4/30/2000 $1,683,579 $1,875,811 ---------------------------------------------- 82 5/31/2000 $1,666,731 $1,830,374 ---------------------------------------------- 83 6/30/2000 $1,758,751 $1,909,385 ---------------------------------------------- Funds returns are net of all fees and costs, while the index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ====================================================================== 75 Global (Ex-U.S.) Equity Fund -------------------------------------------------------------------------------- [LOGO] Industry Diversification As a Percent of Net Assets As of June 30, 2000 ---------------------------------------------------------------------- GLOBAL (EX-U.S.) EQUITIES Aerospace & Military............................. 0.36% Airlines......................................... 0.78 Appliances & Households.......................... 2.46 Autos/Durables................................... 2.19 Banking.......................................... 11.42 Beverages & Tobacco.............................. 3.66 Broadcasting & Publishing........................ 4.78 Building Materials............................... 0.50 Business & Public Service........................ 1.71 Chemicals........................................ 3.15 Computer Software................................ 0.59 Consumer......................................... 0.39 Data Processing.................................. 2.36 Electric Components.............................. 2.07 Electronics...................................... 4.84 Energy........................................... 5.03 Financial Services............................... 4.27 Food & House Products............................ 3.89 Forest Products.................................. 0.48 Health & Personal Care........................... 7.82 Industrial Components............................ 0.76 Insurance........................................ 5.83 Leisure & Tourism................................ 0.48 Machinery & Engineering.......................... 1.81 Merchandising.................................... 1.00 Metals-Steel..................................... 0.38 Multi-Industry................................... 0.20 Non-Ferrous Metals............................... 0.76 Non-Durables..................................... 0.06 Real Estate...................................... 1.10 Recreation....................................... 0.67 Services/Miscellaneous........................... 0.02 Telecommunications............................... 13.33 Transportation................................... 2.25 Utilities........................................ 5.18 Wholesale & International Trade.................. 0.20 ------ Total Global (Ex-U.S.) Equities.................. 96.78 CONVERTIBLE BONDS................................ 0.03 WARRANTS......................................... 0.04 SHORT-TERM INVESTMENTS........................... 1.23 ------ TOTAL INVESTMENTS................................ 98.08 CASH AND OTHER ASSETS, LESS LIABILITIES................................. 1.92 ------ NET ASSETS....................................... 100.00% ====== Market and Currency Strategy As of June 30, 2000 Fund Benchmark ------------------- --------------------- Market Currency Market Currency Strategy Strategy Strategy Strategy -------------------------------------------------------------- Australia 4.49% 10.49% 2.61% 2.61% Austria 0.08 0.00 0.19 0.00 Belgium 1.17 0.00 0.73 0.00 Canada 3.53 5.13 5.13 5.13 Denmark 0.58 0.74 0.74 0.74 Euro 0.00 47.42 0.00 35.44 Finland 2.37 0.00 2.96 0.00 France 9.96 0.00 10.80 0.00 Germany 5.31 0.00 8.12 0.00 Hong Kong 0.39 0.00 1.97 1.97 Ireland 0.76 0.00 0.34 0.00 Italy 4.10 0.00 4.19 0.00 Japan 27.50 15.50 25.50 25.50 Netherlands 6.34 0.00 5.16 0.00 New Zealand 0.25 0.25 0.14 0.14 Norway 0.00 0.35 0.35 0.35 Portugal 1.52 0.00 0.44 0.00 Singapore 0.71 0.92 0.92 0.92 Spain 1.91 0.00 2.51 0.00 Sweden 3.41 3.18 3.18 3.18 Switzerland 3.60 5.49 5.49 5.49 U.K. 22.02 10.53 18.53 18.53 -------------------------------------------------------------- 100.00% 100.00% 100.00% 100.00% Top Ten Global (Ex-U.S.) Equity Holdings As of June 30, 2000 Percent of Net Assets -------------------------------------------------------------- 1. Glaxo Wellcome PLC 2.02% 2. Nippon Telegraph & Telephone Corp. 1.86 3. BP Amoco PLC 1.61 4. Total Fina S.A., Class B 1.50 5. Heineken NV 1.47 6. Fujitsu 1.32 7. Allianz AG 1.27 8. Marconi PLC 1.26 9. NEC Corp. 1.25 10. Ericsson, B Shares 1.25 -------------------------------------------------------------- ================================================================================ 76 Global (Ex-U.S.) Equity Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value --------- ------------ Global (Ex-U.S.) Equities -- 96.78% Australia -- 4.40% Amcor Ltd........................................... 76,940 $ 269,823 Amp Ltd............................................. 82,400 841,038 Boral Ltd........................................... 138,300 174,374 Brambles Industries Ltd............................. 27,140 836,511 Broken Hill Proprietary Co., Ltd.................... 105,320 1,248,871 CSR Ltd............................................. 82,190 228,969 Howard Smith Ltd.................................... 64,800 317,472 Lend Lease Corp., Ltd............................... 69,396 887,803 National Australia Bank Ltd......................... 101,748 1,704,271 National Australia Bank Ltd., Preferred............. 29,800 843,712 News Corp., Ltd..................................... 183,588 2,535,198 News Corp., Ltd., Preferred......................... 80,079 969,520 Origin Energy Ltd. (b).............................. 158,600 153,309 Qantas Airways Ltd.................................. 106,438 216,000 QBE Insurance Group Ltd............................. 160,688 788,409 Rio Tinto Ltd....................................... 45,960 762,128 Santos Ltd.......................................... 139,861 427,419 Telstra Corp., Ltd.................................. 519,710 2,115,585 Westpac Banking Corp., Ltd.......................... 276,541 2,000,720 WMC Ltd............................................. 79,870 358,359 Woolworth's Ltd..................................... 188,760 698,687 ------------ 18,378,178 ------------ Austria -- 0.10% Austria Tabakwerke AG............................... 11,280 419,544 ------------ Belgium -- 1.19% Electrabel S.A...................................... 8,820 2,188,957 Fortis B............................................ 95,867 2,801,049 ------------ 4,990,006 ------------ Canada -- 2.45% Agrium, Inc......................................... 71,480 612,672 Alcan Aluminum Ltd.................................. 19,140 594,209 Bank of Montreal.................................... 7,510 316,782 Canadian National Railway Co........................ 37,380 1,087,317 Canadian Pacific Ltd................................ 44,414 1,151,041 Hudson's Bay Co..................................... 82,220 871,198 Imperial Oil Ltd.................................... 21,460 523,574 Magna International, Inc., Class A.................. 16,560 777,315 NOVA Chemicals Corp................................. 45,321 951,261 Potash Corporation of Saskatchewan, Inc............. 8,760 478,882 Royal Bank of Canada................................ 23,420 1,197,317 Shaw Communications, Inc., Class B.................. 40,260 991,760 TransCanada Pipelines Ltd........................... 18,976 144,718 Westcoast Energy, Inc............................... 35,520 546,572 ------------ 10,244,618 ------------ Denmark -- 0.60% Tele Danmark A/S.................................... 36,750 2,483,874 ------------ Finland -- 2.36% Metso Oyj........................................... 55,191 666,615 Nokia Oyj........................................... 86,792 4,446,968 Sampo Insurance Co., Ltd., Series A................. 70,692 2,880,022 UPM-Kymmene Corp.................................... 74,989 1,868,992 ------------ 9,862,597 ------------ France -- 9.89% Air France (b)...................................... 65,770 $ 1,141,151 Air Liquide......................................... 20,315 2,660,138 Alcatel............................................. 46,755 3,079,083 Alcatel S.A. ADR.................................... 37,673 2,505,255 Aventis S.A. Class A................................ 39,162 2,869,980 Axa................................................. 4,401 696,100 Banque Nationale de Paris........................... 45,847 4,430,044 Cie de Saint Gobain................................. 12,488 1,695,090 CSF Thomson......................................... 37,581 1,486,395 France Telecom S.A.................................. 22,831 3,204,074 Groupe Danone....................................... 17,792 2,370,698 L'Oreal S.A......................................... 1,773 1,541,532 Schneider Electric S.A.............................. 22,268 1,558,263 Societe Generale.................................... 55,160 3,331,205 Suez Lyonnaise des Eaux S.A......................... 6,066 1,067,026 Total Fina S.A., Class B............................ 40,799 6,281,041 Vivendi............................................. 15,932 1,411,932 ------------ 41,329,007 ------------ Germany -- 4.64% Allianz AG.......................................... 14,878 5,309,751 Bayer AG............................................ 98,866 3,800,388 Bayerische Motoren Werke AG......................... 50,110 1,532,328 Continental AG...................................... 51,890 875,453 E.on AG............................................. 75,928 3,675,614 SAP AG.............................................. 9,420 1,430,351 Siemens AG.......................................... 17,850 2,683,001 Volkswagen AG....................................... 1,800 69,537 ------------ 19,376,423 ------------ Hong Kong -- 0.32% Henderson Land Development Co., Ltd................. 307,000 1,350,827 ------------ Ireland -- 0.76% Bank of Ireland..................................... 195,955 1,231,305 Eircom PLC.......................................... 719,030 1,929,930 ------------ 3,161,235 ------------ Italy -- 3.63% Assicurazioni Generali.............................. 61,446 2,114,583 ENI Spa............................................. 666,000 3,862,479 ENI Spa ADR......................................... 10,352 602,357 Rinascente Spa...................................... 129,140 735,333 San Paolo-imi Spa................................... 165,610 2,951,226 Telecom Italia Mobile Spa........................... 266,000 2,728,362 Telecom Italia Spa.................................. 156,000 2,153,395 ------------ 15,147,735 ------------ Japan -- 26.23% Acom Co., Ltd....................................... 22,200 1,871,594 Asahi Bank Ltd...................................... 153,000 644,941 Bank of Tokyo-Mitsubushi Ltd........................ 236,000 2,857,294 Benesse Corp........................................ 9,900 687,727 Bridgestone Corp.................................... 53,000 1,124,569 Canon, Inc.......................................... 87,000 4,341,572 Dai Nippon Printing Co., Ltd........................ 61,000 1,077,539 Dai-Ichi Kangyo Bank................................ 92,000 699,967 Daikin Industries Ltd............................... 39,000 908,605 Denso Corp.......................................... 48,000 1,170,455 East Japan Railway Co............................... 294 1,711,677 Fanuc............................................... 22,200 2,263,957 ================================================================================ 77 Global (Ex-U.S.) Equity Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value --------- ------------ Fuji Bank Ltd....................................... 149,000 $ 1,135,050 Fuji Photo Film Co., Ltd............................ 37,000 1,517,698 Fujitsu............................................. 159,000 5,515,146 Hitachi Ltd......................................... 142,000 2,053,400 Honda Motor Co...................................... 87,000 2,968,385 Hoya Corp........................................... 18,000 1,616,181 Ito Yokado Co., Ltd................................. 18,000 1,085,393 Kamigumi Co., Ltd................................... 176,000 929,861 Kao Corp............................................ 71,000 2,174,188 Kirin Brewery Co., Ltd.............................. 79,000 989,320 Kuraray Co., Ltd.................................... 139,000 1,597,505 Kyocera Corp........................................ 2,700 459,080 Matsushita Electric Industrial Co................... 135,000 3,508,813 Mitsubishi Corp..................................... 91,000 824,810 Mitsubishi Estate Co., Ltd.......................... 201,000 2,370,852 Mitsubishi Trust and Banking Corp................... 67,000 521,157 Murata Manufacturing Co., Inc....................... 8,000 1,150,796 NEC Corp............................................ 166,000 5,224,517 NGK Insulators...................................... 119,000 1,477,870 Nintendo Corp., Ltd................................. 16,100 2,818,128 Nippon Steel Co..................................... 757,000 1,595,492 Nippon Telegraph & Telephone Corp................... 584 7,782,619 Nissin Food Products Co............................. 35,500 905,912 Nomura Securities Co., Ltd.......................... 166,000 4,071,358 Omron Corp.......................................... 25,000 680,497 Orix Corp........................................... 13,200 1,952,460 Rohm Co............................................. 2,600 761,779 Sankyo Pharm Co., Ltd............................... 77,000 1,742,970 Santen Pharmaceutical Co., Ltd...................... 45,000 1,088,795 Secom Co., Ltd...................................... 29,000 2,124,191 Shin-Etsu Chemical Co., Ltd......................... 25,000 1,271,206 Softbank Corp....................................... 7,600 1,034,356 Sony Corp........................................... 50,000 4,678,418 Sumitomo Bank....................................... 147,000 1,806,153 Sumitomo Chemical Co................................ 295,000 1,778,838 Sumitomo Electric Industries........................ 62,000 1,065,318 Taiheiyo Cement Corp................................ 600 1,259 Takeda Chemical Industries.......................... 45,000 2,960,163 Takefuji Corp....................................... 8,500 1,029,110 TDK Corp............................................ 20,000 2,880,771 Tokio Marine & Fire Insurance Co.................... 104,000 1,203,119 Tokyo Electric Power................................ 13,600 332,272 Tokyo Gas Co., Ltd.................................. 434,000 1,222,362 Toyoda Automatic Loom Works......................... 18,000 390,435 Toyota Motor Corp................................... 83,000 3,788,951 Yamanouchi Pharmaceutical Co., Ltd.................. 18,000 985,020 Yamato Transport Co., Ltd........................... 46,000 1,145,598 ------------ 109,577,469 ------------ Netherlands -- 6.42% ABN AMRO Holdings NV................................ 85,487 2,102,777 Aegon NV............................................ 101,708 3,633,717 Elsevier NV......................................... 320,850 3,903,015 Heineken NV......................................... 100,500 6,141,619 ING Groep NV........................................ 52,923 3,591,818 Philips Electronics NV.............................. 34,900 1,652,681 TNT Post Group NV................................... 55,421 1,500,823 Wolters Kluwer NV................................... 160,799 4,300,551 ------------ 26,827,001 ------------ New Zealand -- 0.21% Auckland International Airport Ltd.................. 104,810 $ 124,349 Carter Holt Harvey Ltd.............................. 163,140 142,092 Lion Nathan Ltd..................................... 122,170 273,209 Telecom Corp. of New Zealand Ltd.................... 97,890 343,346 ------------ 882,996 ------------ Portugal -- 1.56% Brisa-Auto Estradas de Portugal S.A................. 176,007 1,521,854 Electricidade de Portugal S.A....................... 81,894 1,493,135 Portugal Telecom.................................... 309,345 3,487,282 ------------ 6,502,271 ------------ Singapore -- 0.74% DBS Group Holdings Ltd.............................. 58,000 744,708 SIA Engineering Co., Ltd. (b)....................... 188,000 210,943 Singapore Airport Terminal Services Ltd. (b)........ 67,000 81,376 Singapore Press Holdings Ltd........................ 27,975 436,857 United Overseas Bank Ltd............................ 250,360 1,636,245 ------------ 3,110,129 ------------ Spain -- 2.95% Altadis S.A......................................... 182,292 2,811,643 Banco Popular Espanol S.A........................... 85,452 2,654,018 Banco Santander Central Hispano S.A................. 216,733 2,295,746 Endesa S.A.......................................... 69,958 1,360,680 Telefonica S.A. (b)................................. 148,026 3,192,693 ------------ 12,314,780 ------------ Sweden -- 3.33% Electrolux AB, B Shares............................. 135,090 2,102,358 Ericsson, B Shares.................................. 262,560 5,223,660 Investor AB, B Shares............................... 128,160 1,760,720 Nordic Baltic Holdings AB........................... 435,550 3,302,255 Swedish Match AB.................................... 496,670 1,540,238 ------------ 13,929,231 ------------ Switzerland -- 3.75% Givaudan (b)........................................ 269 82,134 Nestle S.A. (Reg.).................................. 1,976 3,967,554 New ABB Ltd......................................... 16,203 1,945,536 Novartis AG (Reg.).................................. 3,039 4,829,209 Roche Holding AG (Gen.)............................. 269 2,626,973 Swisscom AG (Reg.).................................. 6,343 2,203,920 ------------ 15,655,326 ------------ United Kingdom -- 21.25% Allied Zurich PLC................................... 140,194 1,658,642 AstraZeneca PLC..................................... 41,094 1,919,234 BP Amoco PLC........................................ 701,884 6,736,726 British Airways PLC................................. 291,879 1,679,116 British Telecommunications PLC...................... 360,551 4,661,427 Charter PLC......................................... 320,907 1,850,966 De Vere Group PLC................................... 80,888 377,163 Diageo PLC.......................................... 302,322 2,714,056 FKI PLC............................................. 332,763 1,183,851 Glaxo Wellcome PLC.................................. 288,962 8,429,790 House of Fraser PLC................................. 357,685 261,001 HSBC Holdings PLC................................... 139,884 1,599,915 Invensys PLC........................................ 133,000 499,341 Kelda Group PLC..................................... 383,011 1,872,872 ================================================================================ 78 Global (Ex-U.S.) Equity Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value --------- ------------ Lloyds TSB Group PLC.............................. 539,725 $ 5,098,606 Marconi PLC....................................... 405,269 5,276,381 Marks & Spencer PLC............................... 356,624 1,253,893 National Power PLC................................ 383,314 2,443,043 Nycomed Amersham PLC.............................. 227,876 2,263,063 Peninsular & Oriental Steam Navigation Co......... 108,517 929,841 Powergen PLC...................................... 201,812 1,726,194 Prudential Corp. PLC.............................. 160,964 2,358,840 Reckitt & Benckiser PLC........................... 102,497 1,148,252 Reed International PLC............................ 307,307 2,675,067 RJB Mining PLC.................................... 262,602 222,628 Royal & Sun Alliance Insurance Group PLC.......... 442,733 2,875,368 Royal Bank of Scotland Group PLC.................. 197,168 3,301,307 Scottish & Newcastle PLC.......................... 50,000 408,372 Scottish & Southern Energy PLC.................... 305,875 2,806,150 Shell Transport & Trading Co...................... 289,404 2,416,264 SmithKline Beecham PLC............................ 105,000 1,374,991 Tesco PLC......................................... 782,592 2,434,678 Thames Water PLC.................................. 94,744 1,226,343 Trinity Mirror PLC................................ 177,566 1,594,075 Unilever PLC...................................... 413,082 2,501,443 United News & Media PLC........................... 177,609 2,554,365 Vodafone Group PLC................................ 1,105,309 4,467,754 ------------ 88,801,018 ------------ Total Global (Ex-U.S.) Equities (Cost $310,362,667)............................. 404,344,265 ------------ Face Amount Value -------- ------- Convertible Bonds -- 0.03% Australia -- 0.03% Burns Philp Food North America, Inc., 7.500%, due 08/15/03 (Cost $65,332)..............................AUD 1,228,664 $ 132,046 ------------ Shares -------- Warrants -- 0.04% Australia -- 0.04% Burns, Philip & Co., Ltd. (b) (Cost $82,131).............................. 1,228,664 165,980 ------------ Short-Term Investments -- 1.23% Investment Companies -- 1.23% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $5,129,357)........................... 5,129,357 5,129,357 ------------ Total Investments (Cost $315,639,487) -- 98.08% (a)........... 409,771,648 ------------ Cash and other assets, less liabilities -- 1.92%..................... 8,032,897 ------------ Net Assets -- 100%............................ $417,804,545 ============ See accompanying notes to schedule of investments. ================================================================================ 79 Global (Ex-U.S.) Equity Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $320,511,470; and net unrealized appreciation consisted of: Gross unrealized appreciation......................... $107,013,078 Gross unrealized depreciation......................... (17,752,900) ------------ Net unrealized appreciation..................... $ 89,260,178 ============ (b) Non-income producing security FORWARD FOREIGN CURRENCY CONTRACTS The Global (Ex-U.S.) Equity Fund had the following open forward foreign currency contracts as of June 30, 2000:
Settlement Local Current Unrealized Date Currency Value Gain/(Loss) ---------- -------- ------- ----------- Forward Foreign Currency Buy Contracts Australian Dollar.................................. 08/08/00 41,200,000 $ 24,752,327 $ (797,456) British Pound...................................... 08/08/00 12,350,000 18,710,420 5,189 Canadian Dollar.................................... 08/08/00 13,800,000 9,322,435 (200,752) Euro............................................... 08/08/00 90,900,000 87,351,771 (1,985,349) Japanese Yen....................................... 08/08/00 2,320,000,000 22,085,399 (2,988) Swedish Krona...................................... 08/08/00 120,000,000 13,722,786 (361,721) Swiss Franc........................................ 08/08/00 14,000,000 8,641,869 (126,216) Forward Foreign Currency Sale Contracts British Pound...................................... 08/08/00 40,850,000 61,888,313 2,500,938 Canadian Dollar.................................... 08/08/00 3,900,000 2,634,601 (4,087) Euro............................................... 08/08/00 29,200,000 28,060,195 (436,190) Japanese Yen....................................... 08/08/00 7,670,000,000 73,015,089 (271,531) Swedish Krona...................................... 08/08/00 120,000,000 13,722,786 192,113 Swiss Franc........................................ 08/08/00 4,500,000 2,777,743 (94,860) ------------ Total........................................... $ (1,582,910) ============
================================================================================ 80 See accompanying notes to financial statements. This page intentionally left blank 81 THE BRINSON FUNDS -- FINANCIAL STATEMENTS
-------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES June 30, 2000 Global Global Equity Global Global Fund Fund Technology Biotech Global Bond Fund Fund Fund -------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at cost: Unaffiliated issuers............. $ 301,007,938 $ 56,332,868 $ 499,543 $ 638,088 $ 45,532,378 Affiliated issuers............... 40,410,397 2,453,941 -- -- 5,419,195 Foreign currency, at cost......... 231,280 66,558 -- -- 133,064 --------------- --------------- ------------- ----------- ------------- $ 341,649,615 $ 58,853,367 $ 499,543 $ 638,088 $ 51,084,637 =============== =============== ============= =========== ============= Investments, at value: Unaffiliated issuers............. $ 297,391,988 $ 64,620,012 $ 546,279 $ 738,295 $ 43,089,980 Affiliated issuers............... 47,160,789 2,453,941 -- -- 5,419,195 Foreign currency, at value........ 231,198 67,086 -- -- 135,332 Cash.............................. -- -- -- -- 995 Receivables: Investment securities sold...... 1,770,059 1,841,960 21,621 17,575 5,678,145 Due from Advisor................. -- 4,090 3,257 -- Dividends........................ 193,493 107,552 46 -- -- Interest......................... 1,356,426 1,236 177 317 675,892 Fund shares sold................. 2,069,859 31,893 27,791 101,961 301,765 Variation margin................. -- -- -- -- -- Other assets...................... 2,184 1,383 -- -- -- Net unrealized appreciation on forward foreign currency contracts...... -- 413,613 -- -- -- --------------- --------------- ------------- ----------- -------------- TOTAL ASSETS...................... 350,175,996 69,538,676 600,004 861,405 55,301,304 LIABILITIES:....................... --------------- --------------- ------------- ----------- -------------- Payables: Securities loaned................ 51,691,365 -- -- -- -- Investment securities purchased.. 2,309,632 201,585 18,310 10,188 213,960 Investment advisory fees......... 194,797 40,447 -- -- 22,948 Fund shares redeemed............. 1,661,002 359,432 -- -- 9,370,003 Variation margin................. 272,146 -- -- -- -- Due to custodian bank............ -- -- -- 8,854 -- Accrued expenses................. 142,980 73,929 3,034 1,925 58,262 Net unrealized depreciation on forward foreign currency contracts....... 689,875 -- -- -- 54,907 --------------- --------------- ------------- ----------- -------------- TOTAL LIABILITIES............... 56,961,797 675,393 21,344 20,967 9,720,080 --------------- --------------- ------------- ----------- -------------- NET ASSETS......................... $ 293,214,199 $ 68,863,283 $ 578,660 $ 840,438 $ 45,581,224 =============== =============== ============= =========== ============= NET ASSETS CONSIST OF: Paid in capital................... $ 287,633,867 $ 55,848,764 $ 530,572 $ 732,490 $ 55,033,793 Accumulated undistributed net investment income................. -- -- -- -- 335,909 Accumulated net realized gain (loss)....................... 2,362,694 4,303,083 1,352 7,741 (7,333,042) Net unrealized appreciation (depreciation).................... 3,217,638 8,711,436 46,736 100,207 (2,455,436) --------------- --------------- ------------- ----------- -------------- NET ASSETS...................... $ 293,214,199 $ 68,863,283 $ 578,660 $ 840,438 $ 45,581,224 =============== =============== ============= =========== ============= BRINSON CLASS I Net assets........................ $ 284,228,604 $ 40,538,328 $ 223,553 $ 691,460 $ 43,466,600 =============== =============== ============= =========== ============= Shares outstanding................ 25,255,651 3,249,678 19,786 57,263 4,825,867 =============== =============== ============= =========== ============= Net asset value, offering and redemption price per share................... $ 11.25 $ 12.47 $ 11.30 $ 12.08 9.01 BRINSON CLASS N:................... =============== =============== ============= =========== ============= Net assets........................ $ 202,037 $ 224,292 $ 1,130 $ 1,207 $ 782 --------------- --------------- ------------- ----------- ------------- Shares outstanding................ 18,035 18,033 100 100 86 =============== =============== ============= =========== ============= Net asset value, offering and redemption Price per share................. $ 11.20 $ 12.44 $ 11.30 $ 12.07 $ 9.09 =============== =============== ============= =========== ============= UBS INVESTMENT FUNDS CLASS: Net assets........................ $ 8,783,558 $ 28,100,663 $ 353,977 $ 147,771 $ 2,113,842 =============== =============== ============= =========== ============= Shares outstanding................. 786,388 2,264,523 31,355 12,240 235,559 =============== =============== ============= =========== ============= Net asset value, offering and redemption price per share.................. $ 11.17 $ 12.41 $ 11.29 $ 12.07 $ 8.97 =============== =============== ============== =========== =============
================================================================================ 82 See accompanying notes to financial statements. THE BRINSON FUNDS -- FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES U.S. U.S. June 30, 2000 U.S. Balanced U.S. Equity Large Cap Large Cap Fund Fund Equity Fund Growth Fund ------------------------------------------------------------------------------------- ASSETS: Investments, at cost: Unaffiliated issuers $ 11,777,644 $164,986,101 $ 15,674,981 $ 11,049,729 Affiliated issuers 623,691 849,414 1,215,982 -- Foreign currency, at cost -- -- -- -- ------------ ------------ ------------ ------------ $ 12,401,335 $165,835,515 $ 16,890,963 $ 11,049,729 ============ ============ ============ ============ Investments, at value: Unaffiliated issuers $ 11,679,583 $187,707,771 $ 14,681,033 $ 12,599,299 Affiliated issuers 623,691 849,414 1,215,982 -- Foreign currency, at value -- -- -- -- Cash 74,669 -- 56,250 18,750 Receivables: Investment securities sold 425,781 1,637,443 222,055 -- Due from Advisor -- -- 5,193 2,191 Dividends 6,282 212,488 20,888 4,431 Interest 59,354 27,281 730 3,189 Fund shares sold 9,979 160,436 24,481 1,250,964 Variation margin -- 12,625 7,575 -- Other assets -- -- -- -- -Net unrealized appreciation on forward foreign currency contracts -- -- -- -- ------------ ------------ ------------ ------------ TOTAL ASSETS 12,879,339 190,607,458 16,234,187 13,878,824 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Securities loaned -- -- -- -- Investment securities purchased 419,328 1,301,715 170,722 708,750 Investment advisory fees 7,460 66,878 -- -- Fund shares redeemed 5,810 1,585,937 81,864 14,023 Variation margin 17,745 -- -- 953 Due to custodian bank -- -- -- -- Accrued expenses 54,615 88,831 30,766 85,831 -Net unrealized depreciation on forward foreign currency contracts -- -- -- -- ------------ ------------ ------------ ------------ TOTAL LIABILITIES 504,958 3,043,361 283,352 809,557 ------------ ------------ ------------ ------------ NET ASSETS $ 12,374,381 $187,564,097 $ 15,950,835 $ 13,069,267 ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid in capital $ 14,375,291 $166,431,820 $ 23,039,476 $ 10,447,588 -Accumulated undistributed net investment income 178,497 4,239,650 -- -- -Accumulated net realized gain (loss) (2,206,054) (5,824,621) (6,086,797) 1,073,930 Net unrealized appreciation (depreciation) 26,647 22,717,248 (1,001,844) 1,547,749 ------------ ------------ ------------ ------------ NET ASSETS $ 12,374,381 $187,564,097 $ 15,950,835 $ 13,069,267 ============ ============ ============ ============ BRINSON CLASS I Net assets $ 11,136,032 $167,870,183 $ 15,758,324 $ 5,885,011 ============ ============ ============ ============ Shares outstanding 1,296,639 10,448,418 2,106,508 385,178 ============ ============ ============ ============ -Net asset value, offering and redemption price per share $ 8.59 $ 16.07 $ 7.48 $ 15.28 ============ ============ ============ ============ BRINSON CLASS N: Net assets $ 1,106 $ 7,191,363 $ 35,006 $ 1,368 ============ ============ ============ ============ Shares outstanding 129 450,175 4,662 90 ============ ============ ============ ============ -Net asset value, offering and redemption price per share $ 8.57 $ 15.97 $ 7.51 $ 15.20 ============ ============ ============ ============ UBS INVESTMENT FUNDS CLASS: Net assets $ 1,237,243 $ 12,502,551 $ 157,505 $ 7,182,888 ============ ============ ============ ============ Shares outstanding 145,236 783,650 21,200 476,113 ============ ============ ============ ============ -Net asset value, offering and redemption price per share $ 8.52 $ 15.95 $ 7.43 $ 15.09 ============ ============ ============ ============ U.S. Global June 30, 2000 Small Cap U.S. Bond High Yield (Ex-U.S.) Growth Fund Fund Fund Equity Fund ASSETS: Investments, at cost: Unaffiliated issuers $ 33,685,619 $ 62,291,605 $ 49,824,626 $310,510,130 Affiliated issuers 2,503,641 217,046 10,185,196 5,129,357 Foreign currency, at cost -- -- -- 1,590,185 ------------ ------------ ------------ ------------ $ 36,189,260 $ 62,508,651 $ 60,009,822 $317,229,672 ============ ============ ============ ============ Investments, at value: Unaffiliated issuers $ 49,928,176 $ 60,006,339 $ 46,293,624 $404,642,291 Affiliated issuers 2,503,641 217,046 10,185,196 5,129,357 Foreign currency, at value -- -- -- 1,587,725 Cash -- -- -- -- Receivables: Investment securities sold 837,682 760,531 -- 2,539,311 Due from Advisor -- -- -- -- Dividends 2,259 -- -- 740,368 Interest 2,400 727,982 980,928 34,963 Fund shares sold 2,057,388 2,144,030 146,988 8,306,076 Variation margin -- -- -- -- Other assets -- 451 -- -- -Net unrealized appreciation on forward foreign currency contracts -- -- -- -- ------------ ------------ ------------ ------------ TOTAL ASSETS 55,331,546 63,856,379 57,606,736 422,980,091 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Securities loaned -- -- -- -- Investment securities purchased 391,228 1,105,361 1,016,965 1,141,416 Investment advisory fees 35,597 4,380 17,752 280,841 Fund shares redeemed 215,243 1,064,617 3,523,751 2,052,645 Variation margin -- -- -- -- Due to custodian bank -- 1,709 -- -- Accrued expenses 41,304 32,473 38,754 117,734 -Net unrealized depreciation on forward foreign currency contracts -- -- -- 1,582,910 ------------ ------------ ------------ ------------ TOTAL LIABILITIES 683,372 2,208,540 4,597,222 5,175,546 ------------ ------------ ------------ ------------ NET ASSETS $ 54,648,174 $ 61,647,839 $ 53,009,514 $417,804,545 ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid in capital $ 30,141,261 $ 66,462,617 $ 58,700,942 $312,288,833 -Accumulated undistributed net investment income -- 1,417,249 1,495,285 -- -Accumulated net realized gain (loss) 8,264,356 (3,946,761) (3,655,711) 12,982,737 Net unrealized appreciation (depreciation) 16,242,557 (2,285,266) (3,531,002) 92,532,975 ------------ ------------ ------------ ------------ NET ASSETS $ 54,648,174 $ 61,647,839 $ 53,009,514 $417,804,545 ============ ============ ============ ============ BRINSON CLASS I Net assets $ 50,974,940 $ 58,121,065 $ 50,844,798 $411,984,628 ============ ============ ============ ============ Shares outstanding 3,132,204 5,813,445 5,529,623 30,355,206 ============ ============ ============ ============ -Net asset value, offering and redemption price per share $ 16.27 $ 10.00 $ 9.19 $ 13.57 ============ ============ ============ ============ BRINSON CLASS N: Net assets $ 1,847 $ 1,169 $ 1,028 $ 1,208 ============ ============ ============ ============ Shares outstanding 114 117 112 89 ============ ============ ============ ============ -Net asset value, offering and redemption price per share $ 16.20 $ 9.99 $ 9.18 $ 13.57 ============ ============ ============ ============ UBS INVESTMENT FUNDS CLASS: Net assets $ 3,671,387 $ 3,525,605 $ 2,163,688 $ 5,818,709 ============ ============ ============ ============ Shares outstanding 228,312 354,856 236,022 435,360 ============ ============ ============ ============ -Net asset value, offering and redemption price per share $ 16.08 $ 9.94 $ 9.17 $ 13.37 ============ ============ ============ ============
================================================================================ 83 THE BRINSON FUNDS -- FINANCIAL STATEMENTS
--------------------------------------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED Global* Global* JUNE 30, 2000 Global Global Equity Technology Biotech Global Bond Fund Fund Fund Fund Fund ----------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends.......................... $ 2,749,313 $ 1,261,596 $ 46 $ -- $ 43,183 Interest........................... 8,012,042 79,263 358 317 4,268,523 Securities lending-net............. 239,626 -- -- -- -- Foreign tax withheld............... (208,685) (90,155) -- -- (18,681) ------------ ------------ ----------- -------- ----------- TOTAL INCOME...................... 10,792,296 1,250,704 404 317 4,293,025 ------------ ------------ ----------- -------- ----------- EXPENSES: Advisory........................... 2,899,741 639,859 549 480 597,228 Administration..................... 250,979 -- -- -- -- Professional....................... 145,844 49,112 2,556 2,059 48,296 Printing........................... 123,158 83,429 504 406 55,840 Distribution....................... 103,485 288,672 256 7 17,645 Custodian.......................... 69,831 36,245 13 14 28,308 Registration....................... 34,880 29,350 1,188 957 53,690 Other.............................. 71,705 22,654 441 366 55,557 ------------ ------------ ----------- -------- ----------- TOTAL EXPENSES.................... 3,699,623 1,149,321 5,507 4,289 856,564 ------------ ------------ ----------- -------- ----------- Expenses waived by Advisor........................... -- (54,359) (4,639) (3,737) (91,069) Earnings credits.................. (2,276) (6,515) -- -- (428) ------------ ------------ ----------- -------- ----------- NET EXPENSES...................... 3,697,347 1,088,447 868 552 765,067 ------------ ------------ ----------- -------- ----------- NET INVESTMENT INCOME LOSS)..................... 7,094,949 162,257 (464) (235) 3,527,958 ------------ ------------ ----------- -------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments........................ 18,961,366 9,939,571 1,624 9,364 (2,820,354) Futures contracts.................. (3,937,165) (36,304) -- -- -- Foreign currency transactions...................... (6,047,250) (1,428,985) -- (1,388) (5,716,144) ------------ ------------ ----------- -------- ----------- Net realized gain (loss)........................... 8,976,951 8,474,282 1,624 7,976 (8,536,498) ------------ ------------ ----------- -------- ----------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency.......................... (22,852,102) (7,942,884) 46,736 100,207 2,567,911 Futures contracts.................. 3,453,796 -- -- -- -- Forward contracts.................. (2,097,895) 282,864 -- -- 1,270,002 Translation of other assets and liabilities denominated in foreign currency.......................... 51,494 13,066 -- -- 86,792 ------------ ------------ ----------- -------- ----------- Change in net unrealized appreciation or depreciation..... (21,444,707) (7,646,954) 46,736 100,207 3,924,705 ------------ ------------ ----------- -------- ----------- Net realized and unrealized gain (loss).............. (12,467,756) 827,328 48,360 108,183 (4,611,793) ------------ ------------ ----------- -------- ----------- Net increase (decrease) in net assets resulting from operations..................... $ (5,372,807) $ 989,585 $ 47,896 $107,948 $(1,083,835) ============ ============ =========== ======== =========== * Commencement of investment operations was May 26, 2000 ** Commencement of investment operations was June 2, 2000
================================================================================ See accompanying notes to financial statements. 84 THE BRINSON FUNDS -- FINANCIAL STATEMENTS
STATEMENTS OF OPERATIONS For the period Ended JUNE 30, 2000 U.S. U.S. U.S. U.S. Balanced U.S. Equity Large Cap Large Cap Small Cap Fund Fund Equity Fund Growth Fund Growth Fund ----------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 219,595 $ 7,423,217 $ 404,074 $ 67,519 $ 122,738 Interest 865,703 907,483 53,714 23,453 120,571 Securities lending-net -- -- -- -- -- Foreign tax withheld -- -- -- -- -- ----------- ------------ ------------- ----------- ----------- TOTAL INCOME 1,085,298 8,330,700 457,788 90,972 243,309 ----------- ------------ ------------- ----------- ----------- EXPENSES: Advisory 199,072 3,376,519 163,052 71,140 445,220 Administration -- 29,949 -- -- -- Professional 28,500 197,716 37,014 32,278 39,299 Printing 9,211 234,243 38,830 22,085 25,990 Distribution 7,529 221,543 3,407 50,192 13,614 Custodian 718 12,587 2,597 6,767 1,229 Registration 34,546 54,881 42,214 32,432 36,281 Other 16,771 119,773 10,474 24,809 34,449 ----------- ------------ ------------- ----------- ----------- TOTAL EXPENSES 296,347 4,247,211 297,588 239,703 596,082 ----------- ------------ ------------- ----------- ----------- Expenses waived by Advisor (57,436) (160,099) (108,284) (101,585) (69,313) Earnings credits (7) (528) (15) (6,513) (69) ----------- ------------ ------------- ----------- ----------- NET EXPENSES 238,904 4,086,584 189,289 131,605 526,700 ----------- ------------ ------------- ----------- ----------- NET INVESTMENT INCOME (LOSS) 846,394 4,244,116 268,499 (40,633) (283,391) ----------- ------------ ------------- ----------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments (1,183,394) 12,361,736 (4,203,112) 1,333,599 14,184,229 Futures contracts (819,701) (1,065,527) 33,037 (26,358) -- Foreign currency transactions -- -- -- -- -- ----------- ------------ ------------- ----------- ----------- Net realized gain (loss) (2,003,095) 11,296,209 (4,170,075) 1,307,241 14,184,229 ----------- ------------ ------------- ----------- ----------- -Change in net unrealized appreciation or depreciation on: Investments and foreign currency (2,957,865) (145,728,152) (3,189,824) 497,407 12,102,689 Futures contracts 661,078 (4,422) (7,896) (1,821) -- Forward contracts -- -- -- -- -- -Translation of other assets and liabilities denominated in foreign currency -- -- -- -- -- ----------- ------------ ------------- ----------- ----------- -Change in net unrealized appreciation or depreciation (2,296,787) (145,732,574) (3,197,720) 495,586 12,102,689 ----------- ------------ ------------- ----------- ----------- Net realized and unrealized gain (loss) (4,299,882) (134,436,365) (7,367,795) 1,802,827 26,286,918 ----------- ------------ ------------- ----------- ----------- -Net increase (decrease) in net assets resulting from operations $(3,453,488) $(130,192,249) $(7,099,296) $ 1,762,194 $26,003,527 =========== ============= ============= =========== =========== Global U.S. Bond High Yield (Ex-U.S) Fund Fund Equity Fund ---------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 79,168 $ -- $ 8,949,581 Interest 6,069,432 5,703,173 735,552 Securities lending-net -- -- 147,942 Foreign tax withheld -- -- (807,226) ------------ ------------ ------------ TOTAL INCOME 6,148,600 5,703,173 9,025,849 ------------ ------------ ------------ EXPENSES: Advisory 452,989 336,440 3,822,993 Administration -- -- 358,405 Professional 41,267 36,805 125,346 Printing 46,542 28,651 59,963 Distribution 23,917 36,379 55,727 Custodian 3,924 3,158 253,105 Registration 39,484 38,132 34,858 Other 21,988 38,648 107,368 ------------ ------------ ------------ TOTAL EXPENSES 630,111 518,213 4,817,765 ------------ ------------ ------------ Expenses waived by Advisor (60,829) (87,728) -- Earnings credits (1,659) (1,756) -- ------------ ------------ ------------ NET EXPENSES 567,623 428,729 4,817,765 ------------ ------------ ------------ NET INVESTMENT INCOME (LOSS) 5,580,977 5,274,444 4,208,084 ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments (2,898,299) (3,589,002) 48,286,353 Futures contracts -- -- (477) Foreign currency transactions -- -- (6,868,873) ------------ ------------ ------------ Net realized gain (loss) (2,898,299) (3,589,002) 41,417,003 ------------ ------------ ------------ -Change in net unrealized appreciation or depreciation on: Investments and foreign currency 218,149 (1,386,533) 16,453,119 Futures contracts -- -- -- Forward contracts -- -- (1,101,620) -Translation of other assets and liabilities denominated in foreign currency -- -- 19,644 ------------ ------------ ------------ -Change in net unrealized appreciation or depreciation 218,149 (1,386,533) 15,371,143 ------------ ------------ ------------ Net realized and unrealized gain (loss) (2,680,150) (4,975,535) 56,788,146 ------------ ------------ ------------ -Net increase (decrease) in net assets resulting from $ 2,900,827 $ 298,909 $ 60,996,230 ============ =========== ============
=============================================================================== 85 THE BRINSON FUNDS -- FINANCIAL STATEMENTS -------------------------------------------------------------------------------- STATEMENT OF CASH FLOWS FOR THE YEAR ENDED June 30, 2000
Global Fund ----------- CASH FLOWS FROM OPERATING ACTIVITIES: Net decrease in net assets resulting from operations.................................. $ (5,372,807) Adjustments to reconcile net decrease in net assets resulting from operations to net cash used for operating activities: Net realized and unrealized loss on investments...................................... 12,467,756 Decrease in receivable for investment securities sold................................ 7,123,722 Decrease in dividends and interest receivable........................................ 1,684,342 Increase in other assets............................................................. (2,184) Decrease in payable for securities purchased......................................... (22,903,530) Decrease in payable for investment advisory fee...................................... (126,514) Decrease in accrued expenses......................................................... (62,552) Decrease in variation margin......................................................... (252,979) Net amortization of premium.......................................................... 523,499 -------------- Net cash used for operating activities.............................................. (6,921,247) -------------- CASH FLOWS FROM INVESTING ACTIVITIES: Purchases of investments.............................................................. (759,492,570) Proceeds from sales of investments.................................................... 1,010,245,660 Net realized loss on futures contracts................................................ (3,937,165) Net realized loss on foreign currency transactions.................................... (6,047,250) Change in net unrealized appreciaton or depreciation on futures contracts............. 3,453,796 Change in net unrealized appreciation or depreciation on other assets and liabilities. 51,494 Net decrease in foreign currency...................................................... 2,144,534 -------------- Net cash provided by investing activities........................................... 246,418,499 -------------- CASH FLOWS FROM FINANCING ACTIVITIES: Net capital shares transactions....................................................... (193,609,810) Net decrease from securities lending.................................................. (45,782,809) Dividends and capital gain distributions paid......................................... (1,895,986) -------------- Net cash used for financing activities.............................................. (241,288,605) -------------- Net decrease in cash................................................................... (1,791,353) CASH AT BEGINNING OF YEAR.............................................................. 1,791,353 -------------- CASH AT END OF YEAR.................................................................... $ -- ==============
================================================================================ See accompanying notes to financial statements. 86 This page intentionally left blank. THE BRINSON FUNDS - FINANCIAL STATEMENTS ________________________________________________________________________________ STATEMENTS OF CHANGES IN NET ASSETS
Global Fund Global Equity Fund ---------------------------- ---------------------------- Year Ended June 30, Year Ended June 30, 2000 1999 2000 1999 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net investment income (loss)...................................... $ 7,094,949 $ 12,109,444 $ 162,257 $ 497,109 Net realized gain (loss).......................................... 8,976,951 44,693,620 8,474,282 5,596,677 Change in net unrealized appreciation or depreciation............. (21,444,707) (37,993,047) (7,646,954) 1,132,303 ------------- ------------- ------------ ------------ Net increase (decrease) in net assets from operations............. (5,372,807) 18,810,017 989,585 7,226,089 ------------- ------------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Brinson Class I: Distributions from net investment income........................ (4,971,880) (17,500,696) (229,745) (384,423) Distributions from net realized gains........................... (14,468,448) (31,201,392) (3,607,561) (352,100) ------------- ------------- ------------ ------------ Total Class I distributions....................................... (19,440,328) (48,702,088) (3,837,306) (736,523) ------------- ------------- ------------ ------------ Brinson Class N: Distributions from net investment income........................ (18,729) (52,645) (986) (2,181) Distributions from net realized gains........................... (59,854) (97,443) (19,859) (2,950) ------------- ------------- ------------ ------------ Total Class N distributions....................................... (78,583) (150,088) (20,845) (5,131) ------------- ------------- ------------ ------------ UBS Investment Funds Class: Distributions from net investment income........................ (181,202) (753,377) (77,666) (219,326) Distributions from net realized gains........................... (720,519) (1,710,286) (3,756,176) (713,059) ------------- ------------- ------------ ------------ Total UBS Investment Funds Class distributions.................... (901,721) (2,463,663) (3,833,842) (932,385) ------------- ------------- ------------ ------------ Decrease in net assets from distributions......................... (20,420,632) (51,315,839) (7,691,993) (1,674,039) ------------- ------------- ------------ ------------ CAPITAL SHARE TRANSACTIONS BY CLASS: Brinson Class I: Shares sold..................................................... 378,057,007 404,497,836 31,965,448 30,206,170 Shares issued on reinvestment of distributions.................. 17,592,753 45,438,730 3,143,195 661,376 Shares redeemed................................................. (556,236,057) (617,784,220) (33,431,209) (14,484,716) ------------- ------------- ------------ ------------ Total Brinson Class I transactions................................ (160,586,297) (167,847,654) 1,677,434 16,382,830 ------------- ------------- ------------ ------------ Brinson Class N: Shares sold..................................................... 85,811 401,372 __ 200,000 Shares issued on reinvestment of distributions.................. 68,059 148,599 20,844 5,130 Shares redeemed................................................. (1,405,050) (53,226) (1,198) __ ------------- ------------- ------------ ------------ Total Brinson Class N transactions................................ (1,251,180) 496,745 19,646 205,130 ------------- ------------- ------------ ------------ UBS Investment Funds Class: Shares sold..................................................... 385,340 5,622,287 3,098,087 4,402,461 Shares issued on reinvestment of distributions.................. 863,834 2,326,850 3,281,750 795,940 Shares redeemed................................................. (13,120,314) (14,718,874) (18,879,433) (22,842,212) ------------- ------------- ------------ ------------ Total UBS Investment Funds Class transactions..................... (11,871,140) (6,769,737) (12,499,596) (17,643,811) ------------- ------------- ------------ ------------ Net increase (decrease) in net assets resulting from capital share transactions...................................... (173,708,617) (174,120,646) (10,802,516) (1,055,851) ------------- ------------- ------------ ------------ Increase (Decrease) in Net Assets................................. (199,502,056) (206,626,468) (17,504,924) 4,496,199 Net Assets, Beginning of Period................................... 492,716,255 699,342,723 86,368,207 81,872,008 ------------- ------------- ------------ ------------ Net Assets, End of Period......................................... $ 293,214,199 $ 492,716,255 $ 68,863,283 $ 86,368,207 ------------- ------------- ------------ ------------ Net assets include accumulated undistributed net investment income........................................... $ __ $ 753,116 $ __ $ 302,311 ============= ============= ============ ============ Share Transactions: Brinson Class I: Shares sold..................................................... 33,602,761 33,634,272 2,577,643 2,413,314 Shares issued on reinvestment of distributions.................. 1,590,665 3,914,936 257,009 54,126 Shares redeemed................................................. (48,975,929) (50,809,625) (2,721,479) (1,142,595) ------------- ------------- ------------ ------------ Total Brinson Class I transactions................................ (13,782,503) (13,260,417) 113,173 1,324,845 ------------- ------------- ------------ ------------ Brinson Class N: 7,386 31,878 __ 15,911 Shares issued on reinvestment of distributions.................. 6,165 12,826 1,707 426 Shares redeemed................................................. (127,026) (4,388) (98) __ ------------- ------------- ------------ ------------ Total Brinson Class N transactions................................ (113,475) 40,316 1,609 16,337 ------------- ------------- ------------ ------------ UBS Investment Funds Class: Shares sold..................................................... 33,492 469,115 243,526 352,164 Shares issued on reinvestment of distributions.................. 78,388 201,293 268,566 66,261 Shares redeemed................................................. (1,170,744) (1,220,493) (1,533,100) (1,860,700) ------------- ------------- ------------ ------------ Total UBS Investment Funds Class transactions..................... (1,058,864) (550,085) (1,021,008) (1,442,275) ------------- ------------- ------------ ------------
* Commencement of investment operations ________________________________________________________________________________ 88 See accompanying notes to financial statements. The Brinson Funds -- Financial Statements -----------------------------------------------------------------------------
Global Global Technology Fund Biotech Fund Global Bond Fund U.S. Balanced Fund --------------- -------------- -------------------------------- ------------------------------- May 26, 2000* June 2, 2000* Through Through Year Ended June 30, Year Ended June 30, June 30, 2000 June 30, 2000 2000 1999 2000 1999 ---------------------------------------------------------------------------------------------------------------------- $ (464) $ (235) $ 3,527,958 $ 5,139,936 $ 846,394 $ 1,558,422 1,624 7,976 (8,536,498) 1,499,627 (2,003,095) 4,257,213 46,736 100,207 3,924,705 (6,052,418) (2,296,787) (5,162,345) --------- --------- ------------- ------------- ------------ ------------ 47,896 107,948 (1,083,835) 587,145 (3,453,488) 653,290 --------- --------- ------------- ------------- ------------ ------------ -- -- (1,118,342) (5,705,972) (815,029) (2,554,055) -- -- (82,557) (925,451) (225,248) (9,074,452) --------- --------- ------------- ------------- ------------ ------------ -- -- (1,200,899) (6,631,423) (1,040,277) (11,628,507) --------- --------- ------------- ------------- ------------ ------------ -- -- -- (13,166) (31) (68) -- -- (1) (811) (7) (243) --------- --------- ------------- ------------- ------------ ------------ -- -- (1) (13,977) (38) (311) --------- --------- ------------- ------------- ------------ ------------ -- -- (43,991) (180,397) (37,261) (123,921) -- -- (4,026) (35,005) (10,418) (483,100) --------- --------- ------------- ------------- ------------ ------------ -- -- (48,017) (215,402) (47,679) (607,021) --------- --------- ------------- ------------- ------------ ------------ -- -- (1,248,917) (6,860,802) (1,087,994) (12,235,839) --------- --------- ------------- ------------- ------------ ------------ 208,013 87,520 25,700,559 110,539,879 11,292,015 12,704,822 -- -- 1,040,704 4,679,150 1,016,548 11,512,192 -- -- (73,843,125) (107,591,860) (34,385,369) (56,107,946) --------- --------- ------------- ------------- ------------ ------------ 208,013 87,520 (47,101,862) 7,627,169 (22,076,806) (31,890,932) --------- --------- ------------- ------------- ------------ ------------ -- -- 1,912 1,120,104 -- 15,306 -- -- 1 5,581 38 311 -- -- (1,106,396) (871) (96) (15,210) --------- --------- ------------- ------------- ------------ ------------ -- -- (1,104,483) 1,124,814 (58) 407 --------- --------- ------------- ------------- ------------ ------------ 320,741 144,960 366,668 4,222,107 147,189 1,464,212 -- -- 38,350 187,579 41,422 523,561 -- -- (2,630,429) (4,202,489) (588,978) (1,558,776) --------- --------- ------------- ------------- ------------ ------------ 320,741 144,960 (2,225,411) 207,197 (400,367) 428,997 --------- --------- ------------- ------------- ------------ ------------ 528,754 232,480 (50,431,756) 8,959,180 (22,477,231) (31,461,528) --------- --------- ------------- ------------- ------------ ------------ 576,650 340,428 (52,764,508) 2,685,523 (27,018,713) (43,044,077) 2,010 500,010 98,345,732 95,660,209 39,393,094 82,437,171 --------- --------- ------------- ------------- ------------ ------------ $ 578,660 $ 840,438 $ 45,581,224 $ 98,345,732 $ 12,374,381 $ 39,393,094 ========= ========= ============= ============= ============ ============ $ -- $ -- $ 335,909 $ 1,161,994 $ 178,497 $ 200,223 ========= ========= ============= ============= ============ ============ 19,785 7,462 2,835,427 11,338,295 1,279,917 1,174,303 -- -- 113,243 484,490 119,214 1,235,079 -- -- (8,240,771) (11,403,020) (4,112,896) (4,977,791) --------- --------- ------------- ------------- ------------ ------------ 19,785 7,462 (5,292,101) 419,765 (2,713,765) (2,568,409) --------- --------- ------------- ------------- ------------ ------------ -- -- 210 117,021 -- 1,652 -- -- -- 579 4 33 -- -- (118,588) (90) (10) (1,641) --------- --------- ------------- ------------- ------------ ------------ -- -- (118,378) 117,510 (6) 44 --------- --------- ------------- ------------- ------------ ------------ 31,255 12,140 40,841 432,357 16,973 135,474 -- -- 4,177 19,366 4,883 56,474 -- -- (292,883) (434,492) (68,563) (154,266) --------- --------- ------------- ------------- ------------ ------------ 31,255 12,140 (247,865) 17,231 (46,707) 37,682 --------- --------- ------------- ------------- ------------ ------------
================================================================================ 89 The Brinson Funds -- Financial Statements -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
U.S Large Cap U.S Equity Fund Equity Fund --------------------------- ---------------------- Year Ended June 30, Year Ended June 30, 2000 1999 2000 1999 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net investment income (loss)..................................... $ 4,244,116 $ 5,562,471 $ 268,499 $ 185,687 Net realized gain (loss)......................................... 11,296,209 53,949,031 (4,170,075) 339,283 Change in net unrealized appreciation or depreciation........... (145,732,574) 51,667,938 (3,197,720) 2,374,562 ------------- ------------- ------------ ------------ Net increase (decrease) in net assets from operations............ (130,192,249) 111,179,440 (7,099,296) 2,899,532 ------------- ------------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Brinson Class I: Distributions from net investment income...................... (1,354,937) (5,223,351) (260,485) (87,626) Distributions from net realized gains......................... (46,078,258) (36,404,562) (2,112,124) -- ------------- ------------- ------------ ------------ Total Brinson Class I distributions.............................. (47,433,195) (41,627,913) (2,372,609) (87,626) ------------- ------------- ------------ ------------ Brinson Class N: Distributions from net investment income...................... (12,687) (28,171) (3,358) (69,880) Distributions from net realized gains......................... (773,650) (234,496) (67,254) -- ------------- ------------- ------------ ------------ Total Brinson Class N distributions.............................. (786,337) (262,667) (70,612) (69,880) ------------- ------------- ------------ ------------ UBS Investment Funds Class: Distributions from net investment income....................... -- (190,578) (854) (12) Distributions from net realized gains.......................... (5,191,383) (3,937,537) (6,269) -- ------------- ------------- ------------ ------------ Total UBS Investment Funds Class distributions................... (5,191,383) (4,128,115) (7,123) (12) ------------- ------------- ------------ ------------ Decrease in net assets from distributions........................ (53,410,915) (46,018,695) (2,450,344) (157,518) ------------- ------------- ------------ ------------ CAPITAL SHARE TRANSACTIONS BY CLASS: Brinson Class I: Shares sold.................................................... 122,681,959 272,587,287 20,498,512 24,164,112 Shares issued on reinvestment of distributions................. 46,438,462 40,726,871 1,882,863 77,433 Shares redeemed............................................... (549,708,344) (265,910,621) (20,540,523) (3,862,037) ------------- ------------- ------------ ------------ Total Brinson Class I transactions............................... (380,587,923) 47,403,537 1,840,852 20,379,508 ------------- ------------- ------------ ------------ Brinson Class N: Shares sold.................................................... 6,190,218 8,022,220 23,427 684,700 Shares issued on reinvestment of distributions................. 39,033 239,980 70,611 69,880 Shares redeemed................................................ (4,286,205) (1,768,705) (3,038,230) (13,638,399) ------------- ------------- ------------ ------------ Total Brinson Class N transactions............................... 1,943,046 6,493,495 (2,944,192) (12,883,819) ------------- ------------- ------------ ------------ UBS Investment Funds Class: Shares sold................................................... 885,348 26,390,598 184,571 4,617 Shares issued on reinvestment of distributions................ 1,938,596 1,678,518 7,113 11 Shares redeemed............................................... (43,062,328) (18,175,221) (17,573) -- ------------- ------------- ------------ ------------ Total UBS Investment Funds Class transactions.................... (40,238,384) 9,893,895 174,111 4,628 ------------- ------------- ------------ ------------ Net increase (decrease) in net assets resulting from capital share transactions...................................... (418,883,261) 63,790,927 (929,229) 7,500,317 ------------- ------------- ------------ ------------ Increase (Decrease) in Net Assets................................ (602,486,425) 128,951,672 (10,478,869) 10,242,331 Net Assets, Beginning of Period.................................. 790,050,522 661,098,850 26,429,704 16,187,373 ------------- ------------- ------------ ------------ Net Assets, End of Period........................................ $ 187,564,097 $ 790,050,522 $ 15,950,835 $ 26,429,704 ============ ============= ============ ============ Net assets include accumulated undistributed net investment income........................................... $ 4,239,650 $ 1,363,158 $ -- $ 81,256 ============= ============= ============ ============ Share Transactions: Brinson Class I: Shares sold.................................................... 7,021,481 14,157,093 2,464,710 2,384,176 Shares issued on reinvestment of distributions................. 2,790,780 2,164,601 231,926 7,506 Shares redeemed............................................... (32,569,089) (13,543,224) (2,626,652) (370,824) ------------- ------------- ------------ ------------ Total Brinson Class I transactions............................... (22,756,828) 2,778,470 69,984 2,020,858 ------------- ------------- ------------ ------------ Brinson Class N: Shares sold.................................................... 355,231 417,980 952 61,091 Shares issued on reinvestment of distributions................. 2,356 12,904 8,644 7,094 Shares redeemed................................................ (260,962) (90,831) (342,514) (1,369,240) ------------- ------------- ------------ ------------ Total Brinson Class N transactions............................... 96,625 340,053 (332,918) (1,301,055) ------------- ------------- ------------ ------------ UBS Investment Funds Class: Shares sold.................................................... 44,999 1,317,474 22,263 427 Shares issued on reinvestment of distributions................. 116,996 89,839 884 1 Shares redeemed............................................... (2,612,305) (950,265) (2,479) -- ------------- ------------- ------------ ------------ Total UBS Investment Funds Class transactions.................... (2,450,310) 457,048 20,668 428 ------------- ------------- ------------ ------------
*Reflects the Fund's change in fiscal year end from December 31 to June 30 ================================================================================ 90 See accompanying notes to financial statements The Brinson Funds -- Financial Statements --------------------------------------------------------------------------------
U.S. Large Cap U.S. Large Cap Growth Fund Growth Fund U.S. Bond Fund --------------------------------- ---------------------------------- -------------------------- Year Ended Six Months Ended* Year Ended Six Months Ended* Year Ended June 30, June 30, 2000 June 30, 1999 June 30, 2000 June 30, 1999 2000 1999 ---------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income (loss) $ (40,633) $ (123) $ (283,391) $ (68,177) $ 5,580,977 $ 4,517,147 Net realized gain (loss) 1,307,241 408,525 14,184,229 (633,451) (2,898,299) (338,906) Change in net unrealized appreciation or depreciation 495,586 463,877 12,102,689 1,970,811 218,149 (3,036,340) ------------ ----------- ------------ ------------ ------------- ------------- Net increase (decrease) in net assets from operations 1,762,194 872,279 26,003,527 1,269,183 2,900,827 1,141,901 ------------ ----------- ------------ ------------ ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Brinson Class I: Distributions from net investment income -- -- -- -- (4,678,165) (3,583,162) Distributions from net realized gains. (226,909) -- -- -- -- (1,038,553) ------------ ----------- ------------ ------------ ------------- ------------- Total Brinson Class I distributions (226,909) -- -- -- (4,678,165) (4,621,715) ------------ ----------- ------------ ------------ ------------- ------------- Brinson Class N: Distributions from net investment income -- -- -- -- (71) (46) Distributions from net realized gains (80) -- -- -- -- (16) ------------ ----------- ------------ ------------ ------------- ------------- Total Brinson Class N distributions (80) -- -- -- (71) (62) ------------ ----------- ------------ ------------ ------------- ------------- UBS Investment Funds Class: Distributions from net investment income -- -- -- -- (374,662) (229,168) Distributions from net realized gains (376,172) -- -- -- -- (68,968) ------------ ----------- ------------ ------------ ------------- ------------- Total UBS Investment Funds Class distributions (376,172) -- -- -- (374,662) (298,136) ------------ ----------- ------------ ------------ ------------- ------------- Decrease in net assets from distributions (603,161) -- -- -- (5,052,898) (4,919,913) ------------ ----------- ------------ ------------ ------------- ------------- CAPITAL SHARE TRANSACTIONS BY CLASS: Brinson Class I: Shares sold 4,048,482 451,776 29,765,229 22,702,120 70,180,980 165,316,122 Shares issued on reinvestment of distributions 217,384 -- -- -- 4,552,534 4,042,561 Shares redeemed (1,701,110) (2,143,629) (38,928,066) (11,346,801) (106,749,956) (112,692,202) ------------ ----------- ------------ ------------ ------------- ------------- Total Brinson Class I transactions 2,564,756 (1,691,853) (9,162,837) 11,355,319 (32,016,442) 56,666,481 ------------ ----------- ------------ ------------ ------------- ------------- Brinson Class N: Shares sold -- -- -- -- -- 25,964 Shares issued on reinvestment of distributions 80 -- -- -- 71 62 Shares redeemed -- -- -- -- -- (25,905) ------------ ----------- ------------ ------------ ------------- ------------- Total Brinson Class N transactions 80 -- -- -- 71 121 ------------ ----------- ------------ ------------ ------------- ------------- UBS Investment Funds Class: Shares sold 5,084,906 4,781,902 2,415,418 858,153 1,492,544 6,222,123 Shares issued on reinvestment of distributions 376,172 -- -- -- 310,529 229,364 Shares redeemed (4,200,579) (26,217) (459,900) (240,000) (4,032,375) (2,612,918) ------------ ----------- ------------ ------------ ------------- ------------- Total UBS Investment Funds Class transactions 1,260,499 4,755,685 1,955,518 618,153 (2,229,302) 3,838,569 ------------ ----------- ------------ ------------ ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions 3,825,335 3,063,832 (7,207,319) 11,973,472 (34,245,673) 60,505,171 ------------ ----------- ------------ ------------ ------------- ------------- Increase (Decrease) in Net Assets 4,984,368 3,936,111 18,796,208 13,242,655 (36,397,744) 56,727,159 Net Assets, Beginning of Period 8,084,899 4,148,788 35,851,966 22,609,311 98,045,583 41,318,424 ------------ ----------- ------------ ------------ ------------- ------------- Net Assets, End of Period $ 13,069,267 $ 8,084,899 $ 54,648,174 $ 35,851,966 $ 61,647,839 $ 98,045,583 ============ =========== ============ ============ ============= ============= Net assets include accumulated undistributed net investment income $ -- $ -- $ -- $ -- $ 1,417,249 $ 961,121 ============ =========== ============ ============ ============= ============= Share Transactions: Brinson Class I: Shares sold 276,574 35,111 2,526,985 2,641,837 6,936,124 15,463,879 Shares issued on reinvestment of distributions 15,996 -- -- -- 461,106 386,462 Shares redeemed (119,266) (173,449) (3,231,011) (1,375,470) (10,539,673) (10,568,875) ------------ ----------- ------------ ------------ ------------- ------------- Total Brinson Class I transactions 173,304 (138,338) (704,026) 1,266,367 (3,142,443) 5,281,466 ------------ ----------- ------------ ------------ ------------- ------------- Brinson Class N: Shares sold -- -- -- -- -- 2,379 Shares issued on reinvestment of distributions 6 -- -- -- 7 6 Shares redeemed -- -- -- -- -- (2,379) ------------ ----------- ------------ ------------ ------------- ------------- Total Brinson Class N transactions 6 -- -- -- 7 6 ------------ ----------- ------------ ------------ ------------- ------------- UBS Investment Funds Class: Shares sold 363,462 372,727 193,136 99,579 146,887 582,475 Shares issued on reinvestment of distributions 27,906 -- -- -- 31,628 22,041 Shares redeemed (286,213) (1,853) (34,814) (29,703) (411,376) (248,522) ------------ ----------- ------------ ------------ ------------- ------------- Total UBS Investment Funds Class transactions 105,155 370,874 158,322 69,876 (232,861) 355,994 ------------ ----------- ------------ ------------ ------------- -------------
================================================================================ 91 The Brinson Funds -- Financial Statements -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
Global (Ex-U.S.) Equity High Yield Fund Fund -------------------------------- ---------------------------------- Year Ended Six Months Ended* Year Ended June 30, June 30, 2000 June 30, 1999 2000 1999 ------------- ------------- ---- ---- OPERATIONS: Net investment income.............................. $ 5,274,444 $ 2,487,185 $ 4,208,084 $ 6,208,221 Net realized gain (loss)........................... (3,589,002) 420,129 41,417,003 (1,916,922) Change in net unrealized appreciation or depreciation................................... (1,386,533) (1,916,114) 15,371,143 19,559,006 ------------ ------------ --------------- ------------- Net increase in net assets from operations......... 298,909 991,200 60,996,230 23,850,305 ------------ ------------ --------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Brinson Class I: Distributions from net investment income......... (3,997,434) (1,845,754) (2,727,974) (4,564,403) Distributions from net realized gains............ (384,243) -- (5,283,152) (4,498,729) ------------ ------------ --------------- ------------- Total Brinson Class I distributions................ (4,381,677) (1,845,754) (8,011,126) (9,063,132) ------------ ------------ --------------- ------------- Brinson Class N: Distributions from net investment income......... (74) (30) -- (121) Distributions from net realized gains............ (7) -- (13) (126) ------------ ------------ --------------- ------------- Total Brinson Class N distributions................ (81) (30) (13) (247) ------------ ------------ --------------- ------------- UBS Investment Funds Class: Distributions from net investment income......... (315,019) (167,575) (9,831) (23,356) Distributions from net realized gains............ (40,374) -- (74,353) (52,439) ------------ ------------ --------------- ------------- Total UBS Investment Funds Class distributions..... (355,393) (167,575) (84,184) (75,795) ------------ ------------ --------------- ------------- Decrease in net assets from distributions........ (4,737,151) (2,013,359) (8,095,323) (9,139,174) ------------ ------------ --------------- ------------- CAPITAL SHARE TRANSACTIONS BY CLASS: Brinson Class I: Shares sold...................................... 75,679,660 46,327,741 1,049,008,547 857,199,838 Shares issued on reinvestment of distributions... 3,943,554 1,658,538 7,708,071 8,514,975 Shares redeemed.................................. (84,709,596) (22,018,291) (1,187,345,955) (829,422,705) ------------ ------------ --------------- ------------- Total Brinson Class I transactions................. (5,086,382) 25,967,988 (130,629,337) 36,292,108 ------------ ------------ --------------- ------------- Brinson Class N: Shares sold...................................... -- -- 373 4,263 Shares issued on reinvestment of distributions... 81 30 13 247 Shares redeemed.................................. -- -- (14,890) (487) ------------ ------------ --------------- ------------- Total Brinson Class N transactions................. 81 30 (14,504) 4,023 ------------ ------------ --------------- ------------- UBS Investment Funds Class: Shares sold...................................... 484,592 6,368,108 1,895,728 6,909,236 Shares issued on reinvestment of distributions... 274,449 139,258 81,724 68,163 Shares redeemed.................................. (4,562,131) (18,000) (3,506,844) (5,556,938) ------------ ------------ --------------- ------------- Total UBS Investment Funds Class transactions...... (3,803,090) 6,489,366 (1,529,392) 1,420,461 ------------ ------------ --------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions................... (8,889,391) 32,457,384 (132,173,233) 37,716,592 ------------ ------------ --------------- ------------- Increase (Decrease) in Net Assets.................. (13,327,633) 31,435,225 (79,272,326) 52,427,723 Net Assets, Beginning of Period.................... 66,337,147 34,901,922 497,076,871 444,649,148 ------------ ------------ --------------- ------------- Net Assets, End of Period.......................... $ 53,009,514 $ 66,337,147 $ 417,804,545 $ 497,076,871 ============ =========== =============== ============= Net assets include accumulated undistributed net investment income................................. $ 1,495,285 $ 611,744 $ -- $ 2,738,174 ============ ============ =============== ============= SHARE TRANSACTIONS: Brinson Class I: Shares sold...................................... 8,072,340 4,509,034 80,245,905 72,650,740 Shares issued on reinvestment of distributions... 416,227 166,520 575,659 726,832 Shares redeemed.................................. (8,988,112) (2,144,630) (90,203,629) (69,803,887) ------------ ------------ --------------- ------------- Total Brinson Class I transactions................. (499,545) 2,530,924 (9,382,065) 3,573,685 ------------ ------------ --------------- ------------- Brinson Class N: Shares sold...................................... -- -- 30 365 Shares issued on reinvestment of distributions... 9 3 1 21 Shares redeemed.................................. -- -- (1,174) (41) ------------ ------------ --------------- ------------- Total Brinson Class N transactions................. 9 3 (1,143) 345 ------------ ------------ --------------- ------------- UBS Investment Funds Class: Shares sold...................................... 50,427 620,093 146,606 587,229 Shares issued on reinvestment of distributions... 28,713 13,996 6,167 5,917 Shares redeemed.................................. (475,553) (1,754) (269,636) (481,376) ------------ ------------ --------------- ------------- Total UBS Investment Funds Class transactions...... (396,413) 632,335 (116,863) 111,770 ------------ ------------ --------------- -------------
*Reflects the Fund's change in fiscal year end from December 31 to June 30 ================================================================================ 92 See accompanying notes to financial statements. Global Fund -- Financial Highlights
----------------------------------------------------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented. Year Ended June 30, --------------------------------------------------------- Brinson Class I 2000 1999 1998 1997 1996 ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period............................. $ 12.02 $ 12.77 $ 13.13 $ 12.22 $ 11.35 --------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income....................................... 0.23* 0.30 0.37 0.38 0.44 Net realized and unrealized gain (loss)..................... (0.30) 0.25 0.62 1.79 1.37 --------- -------- -------- -------- -------- Total income (loss) from investment operations......... (0.07) 0.55 0.99 2.17 1.81 --------- -------- -------- -------- -------- Less distributions: Distributions from net investment income.................... (0.18) (0.46) (0.65) (0.61) (0.62) Distributions from net realized gains....................... (0.52) (0.84) (0.70) (0.65) (0.32) --------- -------- -------- -------- -------- Total distributions.................................... (0.70) (1.30) (1.35) (1.26) (0.94) --------- -------- -------- -------- -------- Net asset value, end of period................................... $ 11.25 $ 12.02 $ 12.77 $ 13.13 $ 12.22 ========= ======== ======== ======== ======== Total return..................................................... (0.48)% 4.76% 8.28% 18.79% 16.38% Ratios/Supplemental data: Net assets, end of period (in 000s)......................... $ 284,229 $469,080 $667,745 $586,667 $457,933 Ratio of total expenses to average net assets............... 0.99% 0.96% 0.94% 0.99% 1.04% Ratio of net investment income to average net assets........ 1.99% 2.23% 2.70% 3.03% 3.69% Portfolio turnover rate..................................... 98% 105% 88% 150% 142% ----------------------------------------------------------------------------------------------------------------------------- Year Ended June 30, --------------------------------------- Brinson Class N 2000 1999 1998 ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period.......................................... $ 11.99 $ 12.75 $ 13.13 --------- -------- -------- Income (loss) from investment operations: Net investment income...................................................... 0.19* 0.27 0.63 Net realized and unrealized gain (loss).................................... (0.30) 0.25 0.32 --------- -------- -------- Total income (loss) from investment operations....................... (0.11) 0.52 0.95 --------- -------- -------- Less distributions: Distributions from net investment income................................... (0.16) (0.44) (0.63) Distributions from net realized gains...................................... (0.52) (0.84) (0.70) --------- -------- -------- Total distributions.................................................. (0.68) (1.28) (1.33) --------- -------- -------- Net asset value, end of period................................................ $ 11.20 $ 11.99 $ 12.75 ========= ======== ======== Total return.................................................................. (0.80)% 4.47% 7.90% Ratios/Supplemental data: Net assets, end of period (in 000s)........................................ $ 202 $ 1,576 $ 1,163 Ratio of total expenses to average net assets.............................. 1.24% 1.21% 1.19% Ratio of net investment income to average net assets....................... 1.74% 1.98% 2.45% Portfolio turnover rate.................................................... 98% 105% 88% -----------------------------------------------------------------------------------------------------------------------------
* The net investment income per share data was determined by using average shares outstanding throughout the period. ================================================================================ See accompanying notes to financial statements. 93 Global Equity Fund -- Financial Highlights
----------------------------------------------------------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented. Year Ended June 30, ------------------------------------------------------------ Brinson Class I 2000 1999 1998 1997 1996 ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period.............................. $ 13.42 $ 12.54 $ 12.76 $ 11.57 $ 9.93 --------- ---------- --------- -------- ------- Income from investment operations: Net investment income.......................................... 0.07* 0.14* 0.22 0.16 0.18 Net realized and unrealized gain............................... 0.27 1.09 0.78 2.14 2.29 --------- ---------- --------- -------- ------- Total income from investment operations.................. 0.34 1.23 1.00 2.30 2.47 --------- ---------- --------- -------- ------- Less distributions: Distributions from net investment income....................... (0.08) (0.17) (0.17) (0.12) (0.14) Distributions from net realized gains.......................... (1.21) (0.18) (1.05) (0.99) (0.69) --------- ---------- --------- -------- ------- Total distributions...................................... (1.29) (0.35) (1.22) (1.11) (0.83) --------- ---------- --------- -------- ------- Net asset value, end of period.................................... $ 12.47 $ 13.42 $ 12.54 $ 12.76 $ 11.57 ========= ========== ========= ======== ======= Total return...................................................... 2.69% 10.14% 8.99% 21.26% 25.66% Ratios/Supplemental data: Net assets, end of period (in 000s)............................ $ 40,538 $ 42,106 $ 22,724 $ 48,054 27,126 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits.......... 1.08% 1.05% 1.02% 1.25% 1.77% After expense reimbursement and earnings credits........... 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.......... 0.48% 1.05% 1.29% 1.35% 0.57% After expense reimbursement and earnings credits........... 0.56% 1.10% 1.31% 1.60% 1.34% Portfolio turnover rate........................................ 111% 86% 46% 32% 74% ----------------------------------------------------------------------------------------------------------------------------------- Year Ended June 30, ------------------------------------ Brinson Class N 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period.................................. $ 13.40 $ 12.53 $ 12.76 -------- -------- ------- Income from investment operations: Net investment income.............................................. 0.04* 0.10* 0.13 Net realized and unrealized gain................................... 0.27 1.09 0.82 -------- -------- ------- Total income from investment operations...................... 0.31 1.19 0.95 -------- -------- ------- Less distributions: Distributions from net investment income........................... (0.06) (0.14) (0.13) Distributions from net realized gains.............................. (1.21) (0.18) (1.05) -------- -------- ------- Total distributions.......................................... (1.27) (0.32) (1.18) -------- -------- ------- Net asset value, end of period........................................ $ 12.44 $ 13.40 $ 12.53 ======== ======== ======= Total return Ratios/Supplemental data:............................................. 2.49% 9.80% 8.60% Net assets, end of period (in 000s)................................ $ 224 $ 220 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits.............. 1.33% 1.30% 1.27% After expense reimbursement and earnings credits............... 1.25% 1.25% 1.25% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits.............. 0.23% 0.80% 1.04% After expense reimbursement and earnings credits............... 0.31% 0.85% 1.06% Portfolio turnover rate............................................ 111% 86% 46% ------------------------------------------------------------------------------------------------------------------------
* The net investment income per share data was determined by using average shares outstanding throughout the period. =============================================================================== 94 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 the period presented.
Period Ended Brinson Class I June 30, 2000* -------------------------------------------------------------------------------------------------------- Net asset value, beginning of period................................................. $ 10.00 Income from investment operations: Net investment income............................................................. -- Net realized and unrealized gain.................................................. 1.30 --------- Total income from investment operations..................................... 1.30 --------- Less distributions: Distributions from net investment income.......................................... -- Distributions from net realized gains............................................. -- --------- Total distributions......................................................... -- --------- Net asset value, end of period....................................................... $ 11.30 ========= Total return (non-annualized)........................................................ 13.00% Ratios/Supplemental data: Net assets, end of period (in 000s)............................................... $ 224 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits............................... 13.28%** After expense reimbursement and earnings credits................................ 1.55%** Ratio of net investment loss to average net assets: Before expense reimbursement and earnings credits............................... (12.26)%** After expense reimbursement and earnings credits................................ (0.53)%** Portfolio turnover rate........................................................... 14% -------------------------------------------------------------------------------------------------------- Period Ended Brinson Class N June 30, 2000* -------------------------------------------------------------------------------------------------------- Net asset value, beginning of period................................................. $ 10.00 --------- Income from investment operations: Net investment income............................................................. -- Net realized and unrealized gain.................................................. 1.30 --------- Total income from investment operations..................................... 1.30 --------- Less distributions: Distributions from net investment income.......................................... -- Distributions from net realized gains............................................. -- --------- Total distributions......................................................... -- --------- Net asset value, end of period....................................................... $ 11.30 ========= Total return (non-annualized)........................................................ 13.00% Ratios/Supplemental data: Net assets, end of period (in 000s)............................................... $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits............................... 13.53%** After expense reimbursement and earnings credits................................ 1.80%** Ratio of net investment loss to average net assets: Before expense reimbursement and earnings credits............................... (12.51)%** After expense reimbursement and earnings credits................................ (0.78)%** Portfolio turnover rate........................................................... 14% --------------------------------------------------------------------------------------------------------
* Commencement of investment operations was May 26, 2000 ** Annualized ================================================================================ See accompanying notes to financial statements. 95 Global Technology Fund -- Financial Highlights -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
Period Ended Brinson Class I June 30, 2000* -------------------------------------------------------------------------------------------------------- Net asset value, beginning of period................................................. $ 10.00 --------- Income from investment operations: Net investment income............................................................. --** Net realized and unrealized gain.................................................. 2.08 --------- Total income from investment operations..................................... 2.08 --------- Less distributions: Distributions from net investment income.......................................... -- Distributions from net realized gains............................................. -- --------- Total distributions......................................................... -- --------- Net asset value, end of period....................................................... $ 12.08 ========= Total return (non-annualized)........................................................ 20.80% Ratios/Supplemental data: Net assets, end of period (in 000s)............................................... $ 691 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits............................... 10.10%*** After expense reimbursement and earnings credits................................ 1.30%*** Ratio of net investment loss to average net assets: Before expense reimbursement and earnings credits............................... (9.29)%*** After expense reimbursement and earnings credits................................ (0.49)%*** Portfolio turnover rate........................................................... 19% -------------------------------------------------------------------------------------------------------- Period Ended Brinson Class N June 30, 2000* -------------------------------------------------------------------------------------------------------- Net asset value, beginning of period................................................. $ 10.00 --------- Income from investment operations: Net investment loss............................................................... (0.01)** Net realized and unrealized gain.................................................. 2.08 --------- Total income from investment operations..................................... 2.07 --------- Less distributions: Distributions from net investment income.......................................... -- Distributions from net realized gains............................................. -- --------- Total distributions......................................................... -- --------- Net asset value, end of period....................................................... $ 12.07 ========= Total return (non-annualized)........................................................ 20.70% Ratios/Supplemental data: Net assets, end of period (in 000s)............................................... $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits............................... 10.35%*** After expense reimbursement and earnings credits................................ 1.55%*** Ratio of net investment loss to average net assets: Before expense reimbursement and earnings credits............................... (9.54)%*** After expense reimbursement and earnings credits................................ (0.74)%*** Portfolio turnover rate........................................................... 19% --------------------------------------------------------------------------------------------------------
* Commencement of investment operations was June 2, 2000 ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized ================================================================================ See accompanying notes to financial statements. 96 Global Bond Fund --- Financial Highlights -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
Year Ended June 30, --------------------------------------------------------------------- Brinson Class I 2000 1999 1998 1997 1996 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period........................ $ 9.18 $ 9.41 $ 9.64 $ 10.04 $ 10.39 ------- ------- ------- ------- ------- Income (loss) from investment operations: Net investment income.................................... 0.40* 0.39* 0.43* 0.67 0.84 Net realized and unrealized gain (loss).................. (0.43) (0.07) (0.18) 0.08 0.31 ------- ------- ------- ------- ------- Total income (loss) from investment operations..... (0.03) 0.32 0.25 0.75 1.15 ------- ------- ------- ------- ------- Less distributions: Distributions from net investment income................. (0.13) (0.47) (0.31) (0.96) (1.40) Distributions from net realized gains.................... (0.01) (0.08) (0.17) (0.19) (0.10) ------- ------- ------- ------- ------- Total distributions................................ (0.14) (0.55) (0.48) (1.15) (1.50) ------- ------- ------- ------- ------- Net asset value, end of period.............................. $ 9.01 $ 9.18 $ 9.41 $ 9.64 $ 10.04 ======= ======= ======= ======= ======= Total return................................................ (0.34)% 3.13% 2.69% 7.71% 11.50% Ratios/Supplemental data: Net assets, end of period (in 000s)...................... $43,467 $92,832 $ 91,274 $54,157 $41,066 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits..... 1.05% 0.90% 0.96% 1.32% 1.65% After expense reimbursement and earnings credits...... 0.94%** N/A 0.90% 0.90% 0.90% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits..... 4.34% 4.05% 4.47% 4.90% 4.98% After expense reimbursement and earnings credits...... 4.45% N/A 4.53% 5.32% 5.73% Portfolio turnover rate.................................. 87% 138% 151% 235% 184% ------------------------------------------------------------------------------------------------------------------------------ Year Ended June 30, ----------------------------------- Brinson Class N 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period.................................................. $ 9.16 $ 9.40 $ 9.64 ------- ------- ------- Income (loss) from investment operations: Net investment income.............................................................. 0.37* 0.37* 0.42* Net realized and unrealized gain (loss)............................................ (0.43) (0.07) (0.20) ------- ------- ------- Total income (loss) from investment operations............................... (0.06) 0.30 0.22 ------- ------- ------- Less distributions: Distributions from net investment income........................................... -- (0.46) (0.29) Distributions from net realized gains.............................................. (0.01) (0.08) (0.17) ------- ------- ------- Total distributions.......................................................... (0.01) (0.54) (0.46) ------- ------- ------- Net asset value, end of period........................................................ $ 9.09 $ 9.16 $ 9.40 ======= ======= ======= Total return.......................................................................... (0.66)% 2.89% 2.37% Ratios/Supplemental data: Net assets, end of period (in 000s)................................................ $ 1 $ 1,085 $ 9 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits............................... 1.30% 1.15% 1.21% After expense reimbursement and earnings credits................................ 1.19%** N/A 1.15% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits............................... 4.09% 3.80% 4.22% After expense reimbursement and earnings credits................................ 4.20% N/A 4.28% Portfolio turnover rate............................................................ 87% 138% 151% ------------------------------------------------------------------------------------------------------------------------------------
* The net investment income per share data was determined by using average shares outstanding throughout the period. ** The ratio of net operating expenses to average net assets for Class I and Class N was 0.90% and 1.15%, respectively. N/A = Not Applicable ================================================================================ See accompanying notes to financial statements. 97 U.S. Balanced Fund --- Financial Highlights -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
Year Ended June 30, --------------------------------------------------------------------- Brinson Class I 2000 1999 1998 1997 1996 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period........................ $ 9.38 $ 12.24 $ 12.53 $ 11.71 $ 11.23 ------- ------- ------- ------- ------- Income (loss) from investment operations: Net investment income.................................... 0.26* 0.34* 0.49* 0.47 0.44 Net realized and unrealized gain (loss).................. (0.74) 0.18 0.93 1.29 1.04 ------- ------- ------- ------- ------- Total income (loss) from investment operations..... (0.48) 0.52 1.42 1.76 1.48 ------- ------- ------- ------- ------- Less distributions: Distributions from net investment income................. (0.25) (0.73) (0.77) (0.40) (0.43) Distributions from net realized gains.................... (0.06) (2.65) (0.94) (0.54) (0.57) ------- ------- ------- ------- ------- Total distributions................................ (0.13) (3.38) (1.71) (0.94) (1.00) ------- ------- ------- ------- ------- Net asset value, end of period.............................. $ 8.59 $ 9.38 $ 12.24 $ 12.53 $ 11.71 ======= ======= ======= ======= ======= Total return................................................ (5.07)% 4.74% 12.19% 15.50% 13.52% Ratios/Supplemental data: Net assets, end of period (in 000s)...................... $11,136 $37,603 $ 80,556 $282,860 $227,829 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits..... 1.01% 0.96% 0.81% 0.88% 1.01% After expense reimbursement and earnings credits...... 0.81%** 0.80% 0.80% 0.80% 0.80% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits..... 2.80% 3.00% 3.88% 3.78% 3.76% After expense reimbursement and earnings credits...... 3.00% 3.16% 3.89% 3.86% 3.97% Portfolio turnover rate.................................. 96% 113% 194% 329% 240% ------------------------------------------------------------------------------------------------------------------------------ Year Ended June 30, ----------------------------------- Brinson Class N 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period.................................................. $ 9.38 $ 12.27 $ 12.53 ------- ------- ------- Income (loss) from investment operations: Net investment income.............................................................. 0.23* 0.29* 0.47* Net realized and unrealized gain (loss)............................................ (0.74) (0.18) 0.94 ------- ------- ------- Total income (loss) from investment operations............................... (0.51) 0.47 1.41 ------- ------- ------- Less distributions: Distributions from net investment income........................................... (0.24) (0.71) (0.73) Distributions from net realized gains.............................................. (0.06) (2.65) (0.94) ------- ------- ------- Total distributions.......................................................... (0.30) (3.36) (1.67) ------- ------- ------- Net asset value, end of period........................................................ $ 8.57 $ 9.38 $ 12.27 ======= ======= ======= Total return.......................................................................... (5.39)% 4.17% 12.15% Ratios/Supplemental data: Net assets, end of period (in 000s)................................................ $ 1 $ 1 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits............................... 1.26% 1.21% 1.06% After expense reimbursement and earnings credits................................ 1.06%** 1.05% 1.05% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits............................... 2.55% 2.75% 3.63% After expense reimbursement and earnings credits................................ 2.75% 2.91% 3.64% Portfolio turnover rate............................................................ 96% 113% 194% ------------------------------------------------------------------------------------------------------------------------------------
* The net investment income per share data was determined by using average shares outstanding throughout the period. ** The ratio of net operating expenses to average net assets for Class I and Class N was 0.80% and 1.05%, respectively. ================================================================================ 98 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.
Year Ended June 30, ------------------------------------------------------------ Brinson Class I 2000 1999 1998 1997 1996 -------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period.............................. $ 21.48 $ 19.91 $ 17.64 $ 14.59 $ 11.53 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income.......................................... 0.16* 0.17* 0.19 0.15 0.17 Net realized and unrealized gain (loss)........................ (3.75) 2.67 3.39 4.27 3.31 -------- -------- -------- -------- -------- Total income (loss) from investment operations........... (3.59) 2.84 3.58 4.42 3.48 -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income....................... (0.05) (0.15) (0.18) (0.14) (0.17) Distributions from net realized gains.......................... (1.77) (1.12) (1.13) (1.23) (0.25) -------- -------- -------- -------- -------- Total distributions...................................... (1.82) (1.27) (1.31) (1.37) (0.42) -------- -------- -------- -------- -------- Net asset value, end of period.................................... $ 16.07 $ 21.48 $ 19.91 $ 17.64 $ 14.59 ======== ======== ======== ======== ======== Total return...................................................... (17.00)% 15.22% 21.48% 31.87% 30.57% Ratios/Supplemental data: Net assets, end of period (in 000s)............................ $167,870 $713,321 $605,768 $337,949 $126,342 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits........... 0.84% 0.80% 0.80% 0.89% 1.14% After expense reimbursement and earnings credits............ 0.80% N/A N/A 0.80% 0.80% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits........... 0.89% 0.82% 1.12% 1.06% 1.13% After expense reimbursement and earnings credits............ 0.93% N/A N/A 1.15% 1.47% Portfolio turnover rate........................................ 55% 48% 42% 43% 36% -------------------------------------------------------------------------------------------------------------------------------- Year Ended June 30, -------------------------------- Brinson Class N 2000 1999 1998 -------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period......................................................... $ 21.39 $ 19.88 $ 17.64 -------- ------- ------- Income (loss) from investment operations: Net investment income..................................................................... 0.13* 0.08* 0.15 Net realized and unrealized gain (loss)................................................... (3.75) 2.67 3.37 -------- ------- ------- Total income (loss) from investment operations...................................... (3.62) 2.75 3.52 -------- ------- ------- Less distributions: Distributions from net investment income.................................................. (0.03) (0.12) (0.15) Distributions from net realized gains..................................................... (1.77) (1.12) (1.13) -------- ------- ------- Total distributions................................................................. (1.80) (1.24) (1.28) -------- ------- ------- Net asset value, end of period............................................................... $ 15.97 $ 21.39 $ 19.88 ======== ======= ======= Total return................................................................................. (17.24)% 14.75% 21.10% Ratios/Supplemental data: Net assets, end of period (in 000s)....................................................... $ 7,191 $ 7,563 $ 268 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits...................................... 1.09% 1.05% 1.05% After expense reimbursement and earnings credits....................................... 1.05% N/A N/A Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits...................................... 0.64% 0.57% 0.87% After expense reimbursement and earnings credits....................................... 0.68% N/A N/A Portfolio turnover rate................................................................... 55% 48% 42% --------------------------------------------------------------------------------------------------------------------------------
*The net investment income per share data was determined by using average shares outstanding throughout the period. N/A = Not Applicable ================================================================================ See accompanying notes to financial statements. 99 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.
April 6, 1998* Year Ended June 30, Through June 30, ------------------------------------------------ Brinson Class I 2000 1999 1998 -------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period............................. $ 11.13 $ 9.80 $ 10.00 --------- ------- -------- Income (loss) from investment operations: Net investment income......................................... 0.09** 0.11** 0.02 Net realized and unrealized gain (loss)....................... (2.68) 1.31 (0.20) --------- ------- -------- Total income (loss) from investment operations.......... (2.59) 1.42 (0.18) --------- ------- -------- Less distributions: Distributions from net investment income...................... (0.11) (0.09) (0.02) Distributions from net realized gains......................... (0.95) -- -- --------- ------- -------- Total distributions........................................ (1.06) (0.09) (0.02) --------- ------- -------- Net asset value, end of period.................................. $ 7.48 $ 11.13 $ 9.80 ========= ======= ======== Total return (non-annualized)................................... (23.95)% 14.54% (1.83)% Ratios/Supplemental data: Net assets, end of period (in 000s)........................... $ 15,758 $22,668 $ 154 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits........... 1.27% 1.29% 1.59%*** After expense reimbursement and earnings credits............ 0.80% 0.80% 0.80%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits........... 0.70% 0.57% 0.52%*** After expense reimbursement and earnings credits............ 1.17% 1.06% 1.31%*** Portfolio turnover rate....................................... 174% 88% 12% -------------------------------------------------------------------------------------------------------------------- April 6, 1998* Year Ended June 30, Through June 30, ------------------------------------------------ Brinson Class N 2000 1999 1998 -------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period............................ $ 11.13 $ 9.78 $ 10.00 --------- ------- -------- Income (loss) from investment operations: Net investment income......................................... 0.07** 0.09** 0.02 Net realized and unrealized gain (loss)....................... (2.68) 1.31 (0.23) --------- ------- -------- Total income (loss) from investment operations.......... (2.61) 1.40 (0.21) --------- ------- -------- Less distributions: Distributions from net investment income...................... (0.06) (0.05) (0.01) Distributions from net realized gains......................... (0.95) -- -- --------- ------- -------- Total distributions..................................... (1.01) (0.05) (0.01) --------- ------- -------- Net asset value, end of period................................... $ 7.51 $ 11.13 $ 9.78 ========= ======= ======== Total return (non-annualized).................................... (24.12)% 14.40% (2.02)% Ratios/Supplemental data: Net assets, end of period (in 000s)........................... $ 35 $ 3,756 $ 16,033 Ratio of expenses to average net assets Before expense reimbursement and earnings credits.......... 1.52% 1.54% 1.84%*** After expense reimbursement and earnings credits........... 1.05% 1.05% 1.05%*** Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits.......... 0.45% 0.32% 0.27%*** After expense reimbursement and earnings credits........... 0.92% 0.81% 1.06%*** Portfolio turnover rate....................................... 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 ================================================================================ 100 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. Six Months October 14, 1997/1/ Year Ended Ended/3/ Year Ended Through Brinson Class I June 30, 2000 June 30, 1999 December 31, 1998/2/ December 31, 1997 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period......................... $ 13.91 $ 11.84 $ 9.92 $ 10.00 -------- -------- -------- -------- Income (loss) from investment operations: Net investment income..................................... 0.03/4/ 0.02 0.06 0.02 Net realized and unrealized gain (loss)................... 2.29 2.05 2.38 (0.08) -------- -------- -------- -------- Total income (loss) from investment operations...... 2.32 2.07 2.44 (0.06) -------- -------- -------- -------- Less distributions: Distributions from net investment income.................. -- -- (0.06) (0.02) Distributions from net realized gains..................... (0.95) -- (0.46) -- -------- -------- -------- -------- Total distributions................................. (0.95) -- (0.52) (0.02) -------- -------- -------- -------- Net asset value, end of period............................... $ 15.28 $ 13.91 $ 11.84 $ 9.92 ======== ======== ======== ======== Total return (non-annualized)................................ 17.52% 17.48% 24.90% (0.55)% Ratios/Supplemental data: Net assets, end of period (in 000s)........................ $ 5,885 $ 2,947 $ 4,147 $ 4,137 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits........ 1.86% 2.38%/5/ 2.76% 8.54%/5/ After expense reimbursement and earnings credits......... 0.80% 0.80%/5/ 0.99% 1.00%/5/ Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits........ (0.97)% (1.26)%/5/ (1.40)% (6.19)%/5/ After expense reimbursement and earnings credits......... 0.09% 0.32%/5/ 0.37% 1.35%/5/ Portfolio turnover rate.................................... 86% 51% N/A N/A ------------------------------------------------------------------------------------------------------------------------------------ Six Months Year Ended Ended Brinson Class N June 30, 2000 June 30, 1999/6/ ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period....................................................... $ 13.88 $ 11.84 -------- -------- Income from investment operations: Net investment loss..................................................................... (0.02)/4/ (0.01) Net realized and unrealized gain........................................................ 2.29 2.05 -------- -------- Total income from investment operations........................................... 2.27 2.04 -------- -------- Less distributions: Distributions from net realized gains................................................... (0.95) -- -------- -------- Total distributions............................................................... (0.95) -- -------- -------- Net asset value, end of period............................................................. $ 15.20 $ 13.88 ======== ======== Total return (non-annualized).............................................................. 17.18% 17.23% Ratios/Supplemental data: Net assets, end of period (in 000s)..................................................... $ 1 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits................................. 2.11% 2.63%/5/ After expense reimbursement and earnings credits.................................. 1.05% 1.05%/5/ Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits................................. (1.22)% (1.51)%/5/ After expense reimbursement and earnings credits.................................. (0.16)% 0.07%/5/ Portfolio turnover rate................................................................. 86% 51% ------------------------------------------------------------------------------------------------------------------------------------
1 Commencement of investment operations 2 Reflects 10 for 1 share split effective December 9, 1998 3 Reflects the Fund's change in fiscal year end from December 31 to June 30 4 The net investment income per share data was determined by using average shares outstanding throughout the period. 5 Annualized 6 Commencement of Brinson Class N was December 31, 1998 N/A = Information is not available for periods prior to reorganization, as described in notes to financial statements ================================================================================ See accompanying notes to financial statements. 101 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. Six Months September 30, 1997/1/ Year Ended Ended/3/ Year Ended Through Brinson Class I June 30, 2000 June 30, 1999 December 31, 1998/2/ December 31, 1997 ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period......................... $ 9.18 $ 8.80 $ 9.44 $ 10.00 -------- -------- -------- -------- Income (loss) from investment operations: Net investment income..................................... (0.03)/4/ (0.02) (0.02) -- Net realized and unrealized gain (loss)................... 7.12 0.40 (0.57) (0.56) -------- -------- -------- -------- Total income (loss) from investment operations...... 7.09 0.38 0.59 (0.56) -------- -------- -------- -------- Less distributions: Distributions from net investment income.................. -- -- (0.05) -- -------- -------- -------- -------- Total distributions................................. -- -- (0.05) -- -------- -------- -------- -------- Net asset value, end of period............................... $ 16.27 $ 9.18 $ 8.80 $ 9.44 ======== ======== ======== ======== Total return (non-annualized)................................ 77.23% 74.32% (6.70)% (5.62)% Ratios/Supplemental data: Net assets, end of period (in 000s)........................ $ 50,975 $ 35,211 $ 22,607 $ 11,954 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits........ 1.31% 1.32%/5/ 1.69% 3.63%/5/ After expense reimbursement and earnings credits......... 1.15% 1.15%/5/ 1.20% 1.20%/5/ Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits........ (0.76)% (0.62)%/5/ (0.76)% (2.53)%/5/ After expense reimbursement and earnings credits......... (0.60)% (0.45)%/5/ (0.27)% (0.10)%/5/ Portfolio turnover rate.................................... 104% 71% N/A N/A ------------------------------------------------------------------------------------------------------------------------------------ Six Months Year Ended Ended Brinson Class N June 30, 2000 June 30, 1999/6/ ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period....................................................... $ 9.16 $ 8.80 -------- -------- Income from investment operations: Net investment loss..................................................................... (0.08)/4/ (0.04) Net realized and unrealized gain........................................................ 7.12 0.40 -------- -------- Total income from investment operations........................................... 7.04 0.36 -------- -------- Net asset value, end of period............................................................. $ 16.20 $ 9.16 ======== ======== Total return (non-annualized).............................................................. 76.86% 4.09% Ratios/Supplemental data: Net assets, end of period (in 000s)..................................................... $ 2 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits................................. 1.56% 1.57%/5/ After expense reimbursement and earnings credits.................................. 1.40% 1.40%/5/ Ratio of net investment income (loss) to average net assets: Before expense reimbursement and earnings credits................................. (1.01)% (0.87)%/5/ After expense reimbursement and earnings credits.................................. (0.85)% (0.70)%/5/ Portfolio turnover rate................................................................. 104% 71% ------------------------------------------------------------------------------------------------------------------------------------
1 Commencement of investment operations 2 Reflects 10 for 1 share split effective December 9, 1998 3 Reflects the Fund's change in fiscal year end from December 31 to June 30 4 The net investment income per share data was determined by using average shares outstanding throughout the period. 5 Annualized 6 Commencement of Brinson Class N was December 31, 1998 N/A Information is not available for periods prior to reorganization, as described in notes to financial statements ================================================================================ 102 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.
August 31, 1995* Year Ended June 30, Through June 30, ------------------------------------------------------------------- Brinson Class I 2000 1999 1998 1997 1996 --------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period.................... $ 10.28 $ 10.58 $ 10.24 $ 9.93 $ 10.00 --------- --------- --------- -------- --------- Income from investment operations: Net investment income................................ 0.62** 0.58** 0.53 0.51** 0.50 Net realized and unrealized gain (loss).............. (0.25) (0.26) 0.53 0.32 (0.14) --------- --------- --------- -------- --------- Total income from investment operations........ 0.37 0.32 1.06 0.83 0.36 --------- --------- --------- -------- --------- Less distributions: Distributions from net investment income............. (0.65) (0.47) (0.58) (0.52) (0.40) Distributions from net realized gains................ -- (0.15) (0.14) -- (0.03) --------- --------- --------- -------- --------- Total distributions............................ (0.65) (0.62) (0.72) (0.52) (0.43) --------- --------- --------- -------- --------- Net asset value, end of period.......................... $ 10.00 $ 10.28 $ 10.58 $ 10.24 $ 9.93 ========= ========= ========= ======== ========= Total return (non-annualized)........................... 3.74% 2.97% 10.60% 8.45% 3.60% Ratios/Supplemental data: Net assets, end of period (in 000s).................. $ 58,121 $ 92,030 $ 38,874 $ 22,421 $ 9,047 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits.. 0.67% 0.61% 0.84% 1.65% 3.63%*** After expense reimbursement and earnings credits... 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.. 6.12% 5.42% 5.61% 5.14% 3.00%*** After expense reimbursement and earnings credits... 6.19% 5.43% 5.85% 6.19% 6.03%*** Portfolio turnover rate.............................. 170% 260% 198% 410% 363% --------------------------------------------------------------------------------------------------------------------------------- Year Ended June 30, -------------------------------------- Brinson Class N 2000 1999 1998 --------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period.................................................... $ 10.30 10.58 $ 10.24 Income from investment operations: Net investment income................................................................ 0.58** 0.57** 0.61 Net realized and unrealized gain (loss).............................................. (0.25) (0.26) 0.42 ---------- ----------- ---------- Total income from investment operations........................................ 0.33 0.31 1.03 ---------- ----------- ---------- Less distributions: Distributions from net investment income............................................. (0.64) (0.44) (0.55) Distributions from net realized gains................................................ -- (0.15) (0.14) ---------- ----------- ---------- Total distributions............................................................ (0.64) (0.59) (0.69) ---------- ----------- ---------- Net asset value, end of period.......................................................... $ 9.99 $ 10.30 $ 10.58 ========== =========== ========== Total return............................................................................ 3.29% 2.88% 10.30% Ratios/Supplemental data: Net assets, end of period (in 000s).................................................. $ 1 $ 1 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits................................. 0.92% 0.86% 1.09% After expense reimbursement and earnings credits.................................. 0.85% 0.85% 0.85% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits................................. 5.87% 5.17% 5.36% After expense reimbursement and earnings credits.................................. 5.94% 5.18% 5.60% Portfolio turnover rate.............................................................. 170% 260% 198% ---------------------------------------------------------------------------------------------------------------------------------
* Commencement of investment operations ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized ================================================================================ See accompanying notes to financial statements. 103 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 September 30, 1997/1/ Year Ended Ended/3/ Year Ended Through Brinson Class I June 30, 2000 June 30, 1999 December 31, 1998/2/ December 31, 1997 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period................... $ 9.96 $ 9.98 $ 10.05 $ 10.00 --------- --------- --------- ----------- Income from investment operations: Net investment income............................... 0.91/4/ (0.44)/4/ 7.30 0.18 Net realized and unrealized gain (loss)............. (0.90) (0.15) 0.02 0.05 --------- --------- --------- ----------- Total income from investment operations....... 0.01 0.29 7.32 0.23 --------- --------- --------- ----------- Less distributions: Distributions from net investment income............ (0.71) (0.31) (7.33) (0.18) Distributions from net realized gains............... (0.07) -- (0.06) -- --------- --------- --------- ----------- Total distributions........................... (0.78) (0.31) (7.39) (0.18) --------- --------- --------- ----------- Net asset value, end of period......................... $ 9.19 $ 9.96 $ 9.98 $ 10.05 ========= ========= ========= =========== Total return (non-annualized).......................... 0.02% 2.91% 7.75% 2.34% Ratios/Supplemental data: Net assets, end of period (in 000s) $ 50,845 $ 60,044 $ 34,900 $ 7,861 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits.. 0.86% 0.83%/5/ 1.59% 4.98%/5/ After expense reimbursement and earnings credits... 0.70% 0.70%/5/ 0.89% 0.90%/5/ Ratio of net investment income to average net assets Before expense reimbursement and earnings credits.. 9.31% 8.54%/5/ 7.38% 3.15%/5/ After expense reimbursement and earnings credits... 9.47% 8.67%/5/ 8.08% 7.23%/5/ Portfolio turnover rate.............................. 73% 77% N/A N/A ------------------------------------------------------------------------------------------------------------------------------------ Six Months Year Ended Ended Brinson Class N June 30, 2000 June 30, 1999/6/ ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period......................................................... $ 9.95 $ 9.98 --------- ----------- Income from investment operations: Net investment income..................................................................... 0.90/4/ 0.42/4/ Net realized and unrealized gain (loss)................................................... (0.90) (0.15) --------- ----------- Total income from investment operations............................................. -- 0.27 --------- ----------- Less distributions: Distributions from net investment income.................................................. (0.70) (0.30) Distributions from net realized gains..................................................... (0.07) -- --------- ----------- Total distributions................................................................. (0.77) (0.30) --------- ----------- Net asset value, end of period............................................................... $ 9.18 $ 9.95 ========= =========== Total return (non-annualized)............................................................... (0.13)% 2.71% Ratios/Supplemental data: Net assets, end of period (in 000s)....................................................... $ 1 $ 1 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits........................................ 1.11% 1.08%/5/ After expense reimbursement and earnings credits......................................... 0.95% 0.95%/5/ Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits........................................ 9.06% 8.29%/5/ After expense reimbursement and earnings credits......................................... 9.22% 8.42%/5/ Portfolio turnover rate................................................................... 73% 77% ------------------------------------------------------------------------------------------------------------------------------------
1 Commencement of investment operations 2 Reflects 10 for 1 share split effective December 9, 1998 3 Reflects the Fund's change in fiscal year end from December 31 to June 30 4 The net investment income per share data was determined by using average shares outstanding throughout the period. 5 Annualized 6 Commencement of Brinson Class N was December 31, 1998 N/A Information is not available for periods prior to reorganization, as described in notes to financial statements ================================================================================ 104 See accompanying notes to financial statements. Global (Ex-U.S.) Equity Fund -- Financial Highlights -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
Year Ended June 30, ---------------------------------------------------------------- Brinson Class I 2000 1999 1998 1997 1996 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period............................. $ 12.34 $ 12.15 $ 12.59 $ 11.17 $ 9.68 -------- -------- -------- -------- -------- Income from investment operations: Net investment income......................................... 0.11* 0.16 0.18 0.18 0.18 Net realized and unrealized gain.............................. 1.33 0.27 0.30 1.97 2.05 -------- -------- -------- -------- -------- Total income from investment operations................. 1.44 0.43 0.48 2.15 2.23 -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income...................... (0.07) (0.12) (0.18) (0.17) (0.18) Distributions from net realized gains......................... (0.14) (0.12) (0.74) (0.56) (0.56) -------- -------- -------- -------- -------- Total distributions..................................... (0.21) (0.24) (0.92) (0.73) (0.74) -------- -------- -------- -------- -------- Net asset value, end of period................................... $ 13.57 $ 12.34 $ 12.15 $ 12.59 $ 11.17 ======== ======== ======== ======== ======== Total return..................................................... 11.76% 3.65% 4.78% 20.27% 23.64% Ratios/Supplemental data: Net assets, end of period (in 000s)........................... $411,985 $490,322 $439,329 $420,855 $212,366 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits........... 1.00%** 0.99% 1.00% 1.00% 1.20% After expense reimbursement and earnings credits............ N/A N/A N/A N/A 1.00% Ratio of net investment income to average net assets: Before expense reimbursement and earnings credits........... 0.89% 1.35% 1.52% 1.83% 1.67% After expense reimbursement and earnings credits............ N/A N/A N/A N/A 1.87% Portfolio turnover rate....................................... 59% 74% 49% 25% 20% ------------------------------------------------------------------------------------------------------------------------------------
Year Ended June 30, ----------------------------------- Brinson Class N 2000 1999 1998 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period......................................................... $ 12.30 $ 12.14 $ 12.59 -------- -------- -------- Income from investment operations: Net investment income..................................................................... 0.08* 0.12 0.16 Net realized and unrealized gain.......................................................... 1.33 0.27 0.29 -------- -------- -------- Total income from investment operations............................................. 1.41 0.39 0.45 -------- -------- -------- Less distributions: Distributions from net investment income.................................................. -- (0.11) (0.16) Distributions from net realized gains..................................................... (0.14) (0.12) (0.74) -------- -------- -------- Total distributions................................................................. (0.14) (0.23) (0.90) -------- -------- -------- Net asset value, end of period............................................................... $ 13.57 $ 12.30 $ 12.14 ======== ======== ======== Total return................................................................................. 11.51% 3.30% 4.51% Ratios/Supplemental data: Net assets, end of period (in 000s)....................................................... $ 1 $ 15 $ 11 Ratio of total expenses to average net assets:............................................ 1.25%** 1.24% 1.25% Ratio of net investment income to average net assets:..................................... 0.64% 1.10% 1.27% Portfolio turnover rate................................................................... 59% 74% 49% ------------------------------------------------------------------------------------------------------------------------------------
* The net investment income per share data was determined by using average shares outstanding throughout the period. ** The ratio of net operating expenses to average net assets for Class I and Class N was 0.99% and 1.24%, respectively N/A = Not Applicable ================================================================================ See accompanying notes to financial statements. 105 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 thirteen series: 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 (formerly, U.S. Large Capitalization Equity Fund), U.S. Large Cap Growth Fund (formerly, U.S. Large Capitalization Growth Fund), U.S. Small Cap Growth Fund (formerly, U.S. Small Capitalization Growth Fund), U.S. Bond Fund, High Yield Fund and Global (Ex-U.S.) Equity Fund (each a "Fund" and collectively, the "Funds"). Each Fund has three classes of shares outstanding, Brinson Class I, Brinson Class N and UBS Investment Funds Class. 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 financial highlights of the UBS Investment Funds Class are presented in a separate report. 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 statement 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 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 year ended June 30, 2000, therefore, no federal income tax provision was required. At June 30, 2000, the following Funds had capital loss carryforwards for Federal income tax purposes available to offset future net capital gains through the indicated expiration dates:
Fund Expiration Date Amount ---- --------------- ------ Global Bond Fund................... June 30, 2008 $1,109,176 U.S. Bond Fund..................... June 30, 2008 1,664,910 High Yield Fund.................... June 30, 2008 861,570
================================================================================ 106 The Brinson Funds -- Notes To Financial Statements -------------------------------------------------------------------------------- F. Distribution to Shareholders: It is the policy of the Funds to distribute their respective net investment income on a semi-annual basis and net capital gains, if any, annually. 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 generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions. Differences in dividends per share between the classes are due to distribution expenses. The percentage of dividends paid that qualify for the dividends received deduction available to corporate shareholders for the year ended June 30, 2000, were as follows:
Dividends Received ------------------ Fund Deduction ---- --------- Global Fund............................................... 16.77% Global Equity Fund........................................ 32.26 U. S. Balanced............................................ 23.37 U. S. Equity.............................................. 100.00 U. S. Large Cap Equity.................................... 31.75 U. S. Large Cap Growth.................................... 10.18 U. S. Bond................................................ 0.11
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, except that the Brinson Class I will not incur any of the distribution expenses of the Brinson Class N nor the UBS Investment Funds Class. 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 generally accepted accounting principles 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. 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 June 30, 2000. Investment advisory fees and other transactions for the year ended June 30, 2000, were as follows:
UBS Brinson Investment Advisory Brinson Class I Class N Funds Class Advisory Fees Fee Expense Cap Expense Cap Expense Cap Fees Waived -------- --------------- ----------- ----------- ----------- -------- Global Fund................................. 0.80% 1.10% 1.35% 1.75% $ 2,899,741 $ -- Global Equity Fund.......................... 0.80 1.00 1.25 1.76 639,859 54,359 Global Technology Fund...................... 1.40 1.55 1.80 2.55 549 4,639 Global Biotech Fund......................... 1.15 1.30 1.55 2.30 480 3,737 Global Bond Fund............................ 0.75 0.90 1.15 1.39 597,228 91,069 U.S. Balanced Fund.......................... 0.70 0.80 1.05 1.30 199,072 57,436 U.S. Equity Fund............................ 0.70 0.80 1.05 1.32 3,376,519 160,099 U.S. Large Cap Equity Fund.................. 0.70 0.80 1.05 1.32 163,052 108,284 U.S. Large Cap Growth Fund.................. 0.70 0.80 1.05 1.57 71,140 101,585 U.S. Small Cap Growth Fund.................. 1.00 1.15 1.40 1.92 445,220 69,313 U.S. Bond Fund.............................. 0.50 0.60 0.85 1.07 452,989 60,829 High Yield Fund............................. 0.60 0.70 0.95 1.55 336,440 87,728 Global (Ex-U.S.) Equity Fund................ 0.80 1.00 1.25 1.84 3,822,993 --
================================================================================ 107 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 year ended June 30, 2000, were as follows:
Fees Paid --------- Global Fund............................................. $ 8,272 Global Equity Fund...................................... 4,414 Global Technology Fund.................................. 360 Global Biotech Fund..................................... 290 Global Bond Fund........................................ 4,392 U.S. Balanced Fund...................................... 4,246 U.S. Equity Fund........................................ 15,374 U.S. Large Cap Equity Fund.............................. 4,246 U.S. Large Cap Growth Fund.............................. 3,649 U.S. Small Cap Growth Fund.............................. 4,117 U.S. Bond Fund.......................................... 4,370 High Yield Fund......................................... 4,365 Global (Ex-U.S.) Equity Fund............................ 8,264
The Global Fund invests in shares of certain affiliated investment companies also sponsored by the Advisor. These investments represented 16.08% of the Fund's net assets at June 30, 2000. Amounts relating to those investments at June 30, 2000 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 U.S. Small Capitalization Equity Fund....... $ -- $ -- $ -- $ 479,608 $ 8,140,053 Brinson High Yield Fund............................. 9,500,000 8,000,000 1,240,415 (958,356) 16,003,393 Brinson Emerging Markets Equity Fund................ -- 10,509,950 (472,848) 3,382,681 9,943,169 Brinson Emerging Markets Debt Fund.................. -- 18,100,000 4,035,383 594,382 11,243,315 Brinson Supplementary Trust U.S. Cash Management Prime Fund............................. 452,709,674 482,973,495 -- -- 1,830,859
108 The following Funds invest in shares of the Brinson Supplementary Trust U.S. Cash Management Prime Fund ("Supplementary Trust"). The Supplementary Trust is an investment company 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 statement of operations. Amounts relating to those investments at June 30, 2000 and for the year then ended June 30, 2000, were as follows:
% of Sales Interest Net Fund Purchases Proceeds Income Value Assets ---- ------------- ----------- ------------- -------------- ------- Global Fund................................... $ 452,709,674 $ 482,973,494 $ 732,300 $ 1,830,859 0.63% Global Equity Fund............................ 51,279,587 49,847,833 77,639 2,453,941 3.56 Global Technology Fund........................ -- -- -- -- -- Global Biotech Fund........................... -- -- -- -- -- Global Bond Fund.............................. 46,252,518 46,972,556 91,982 5,419,195 11.89 U.S. Balanced Fund............................ 23,615,731 23,228,119 36,392 623,691 5.04 U.S. Equity Fund.............................. 324,163,891 360,999,461 885,159 849,414 0.45 U.S. Large Cap Equity Fund.................... 42,642,990 42,960,013 53,714 1,215,982 7.62 U.S. Large Cap Growth Fund.................... -- -- -- -- -- U.S. Small Cap Growth Fund.................... 43,005,104 42,635,680 120,511 2,503,641 4.58 U.S. Bond Fund................................ 87,525,697 92,813,027 273,586 217,046 0.35 High Yield Fund............................... 85,172,972 77,233,925 194,207 10,185,196 19.21 Global (Ex-U.S.) Equity Fund.................. 807,825,648 806,997,127 708,393 5,129,357 1.23
================================================================================ 108 The Brinson Funds--Notes To Financial Statements ________________________________________________________________________________ 3. INVESTMENT TRANSACTIONS Investment transactions for the year ended June 30, 2000, excluding short-term investments, were as follows: Proceeds Fund Purchases From Sales ---- --------- ---------- Global Fund..................................... $340,289,160 $510,377,106 Global Equity Fund.............................. 86,434,670 109,260,719 Global Technology Fund.......................... 547,609 58,675 Global Biotech Fund............................. 704,861 113,026 Global Bond Fund................................ 66,489,929 129,362,852 U.S. Balanced Fund.............................. 26,024,597 47,524,289 U.S. Equity Fund................................ 254,397,613 714,232,204 U.S. Large Cap Equity Fund...................... 37,900,184 40,675,202 U.S. Large Cap Growth Fund...................... 10,468,677 8,415,371 U.S. Small Cap Growth Fund...................... 43,729,341 52,864,256 U.S. Bond Fund.................................. 141,682,053 167,767,766 High Yield Fund................................. 37,576,913 50,920,592 Global (Ex-U.S.) Equity Fund.................... 274,569,893 410,021,861 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 statement of operations reflects net realized and net unrealized gains and losses on these contracts. The counterparty to all forward foreign currency contracts during the year ended June 30, 2000, was the Funds' custodian. 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. 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 statement of operations reflects net realized and net unrealized gains and losses on these contracts. ================================================================================ 109 The Brinson Funds--Notes To Financial Statements ________________________________________________________________________________ 6. SECURITY LENDING The Global Fund and Global (Ex-U.S.) 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 interest income in the statements of operations. The Global Fund receives cash as collateral against the loaned securities. The cash is then generally invested in interest-bearing securities which are included in the schedule of investments. The Global (Ex- U.S.) Equity Fund receives securities, which are not reflected in the statement of assets and liabilities, as collateral against the loaned securities. 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 June 30, 2000, were as follows: Value of Loaned Value of Securities Collateral --------------- ----------- Global Fund.................................. $50,587,586 $51,691,365 Global (Ex-U.S.) Equity Fund................. 15,980,918 16,163,433 7. DISTRIBUTION PLANS The Trust has adopted distribution plans (the "Plans") pursuant to Rule 12b-1 under the Investment Company Act of 1940, as amended, for the Brinson Class N and the UBS Investment Funds Class. Each Plan governs payments made for the expenses incurred in the promotion and distribution of the Brinson Class N and the UBS Investment Funds Class. Annual fees under the Brinson Class N Plan shall not exceed 0.25% of the average daily net assets of the Brinson Class N of each of the Funds. Annual fees under the UBS Investment Funds Plan, which include a 0.25% service fee, are as follows as a percentage of the average daily net assets of the UBS Investment Funds Class of each of the Funds: % of Fund Net Assets ---- ---------- Global Fund....................................................... 0.65% Global Equity Fund................................................ 0.76 Global Technology Fund............................................ 1.00 Global Biotech Fund............................................... 1.00 Global Bond Fund.................................................. 0.49 U.S. Balanced Fund................................................ 0.50 U.S. Equity Fund.................................................. 0.52 U.S. Large Cap Equity Fund........................................ 0.52 U.S. Large Cap Growth Fund........................................ 0.77 U.S. Small Cap Growth Fund........................................ 0.77 U.S. Bond Fund.................................................... 0.47 High Yield Fund................................................... 0.85 Global (Ex-U.S.) Equity Fund...................................... 0.84 ================================================================================ 110 The Brinson Funds--Notes To Financial Statements ________________________________________________________________________________ 8. LINE OF CREDIT The Trust has entered into an agreement with Chase Manhattan Bank to provide a 364-day $100 million committed line of credit to the Funds. Borrowings will be made for temporary purposes. Interest on amounts borrowed is calculated based on the Federal Funds Rate plus 0.50%. The Funds pay an annual commitment fee of 0.10% (prior to April 14, 2000 the commitment fee was 0.08%) of the average daily balance of the line of credit not utilized. The average borrowings under the agreement for the year then ended June 30, 2000, were as follows: Average Number of Days Fund Borrowings Outstanding ---- ------------ -------------- Global Fund................................... $ 4,750,000 2 Global Bond Fund.............................. 18,940,000 10 U.S. Balanced Fund............................ 2,925,000 8 U.S. Equity Fund.............................. 7,442,857 7 Global (Ex-U.S.) Equity Fund.................. 16,050,000 14 ================================================================================ 111 Report of Independent Auditors -------------------------------------------------------------------------------- The Board of Trustees and Shareholders The Brinson Funds We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of The Brinson Funds--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, and Global (Ex-U.S.) Equity Fund as of June 30, 2000, and the related statements of operations, cash flows (Global Fund only), changes in net assets and financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2000, by correspondence with the custodian. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of The Brinson Funds--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, and Global (Ex-U.S.) Equity Fund at June 30, 2000 and the results of their operations, cash flows (Global Fund only), changes in their net assets and the financial highlights for the periods indicated therein in conformity with accounting principles generally accepted in the United States. Ernst & Young LLP Chicago, Illinois August 11, 2000 ================================================================================ 112 [LOGO] The Brinson Funds ------------------------------------------------------------------------- [LOGO]UBS Investment Funds 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 Global (Ex-U.S.) Equity Fund Annual Report June 30, 2000 Trustees and Officers -------------------------------------------------------------------------------- [LOGO] UBS Investment Funds Trustees Walter E. Auch Frank K. Reilly, CFA Edward M. Roob Officers Frank K. Reilly, CFA Chairman of the Board Thomas J. Digenan, CFA, CPA President Carolyn M. Burke, CPA Secretary and Treasurer David E. Floyd, CPA Assistant Secretary Mark F. Kemper Assistant Secretary Alanna N. Palmer Assistant Secretary ======================================================= 1 The Funds' Advisor-- Brinson Partners, Inc. -------------------------------------------------------------------------------- [LOGO] UBS Since the founding of our organization nearly twenty Investment Funds years ago, we have focused our collective energy on two goals: creating meaningful value-added investment performance; and providing our clients with individualized client relationships of the highest quality. Now in 2000, nearly 500 focused investment specialists, located in all of the world's major financial centers, continue to deliver investment strategies that meet our clients' needs. With an unrelenting focus on our goals, we have grown into one of the world's premier investment management organizations, and a recognized leader in our industry. In North America, we make our investment capabilities available to institutions and individual investors through the Brinson Family of Funds. The Brinson Funds are institutionally priced mutual funds that provide investors convenient access to our global investment expertise and capabilities. We select portfolio investments for all of The Brinson Funds by focusing on long-term investment fundamentals within a framework of integrated capital markets. Investment performance for our clients is maximized within and across asset classes through a comprehensive understanding of global investment markets and their interrelationships. We apply a systematic, disciplined approach to valuing investments and combine the seasoned judgment of our global investment teams to construct optimal portfolios--balancing considerations for both risk and return. Brinson Partners, Inc. is a member of UBS Asset Management, the asset management division of UBS AG. ======================================================= 2 Table of Contents -------------------------------------------------------------------------------- [LOGO] UBS Investment Funds To Our Shareholders ...................................................... 4 Global Economic and Market Highlights .................................... 5 U.S. Economic and Market Highlights ...................................... 6 Portfolio Managers' Commentary and Schedule of Investments Global Fund ......................................................... 7 Global Equity Fund .................................................. 18 Global Technology Fund .............................................. 25 Global Biotech Fund ................................................. 28 Global Bond Fund .................................................... 31 U.S. Balanced Fund .................................................. 37 U.S. Equity Fund .................................................... 43 U.S. Large Cap Equity Fund .......................................... 48 U.S. Large Cap Growth Fund .......................................... 52 U.S. Small Cap Growth Fund .......................................... 56 U.S. Bond Fund ...................................................... 61 High Yield Fund ..................................................... 67 Global (Ex-U.S.) Equity Fund ........................................ 74 Statements of Assets and Liabilities ..................................... 82 Statements of Operations ................................................. 84 Statement of Cash Flows .................................................. 86 Statements of Changes in Net Assets ...................................... 88 Financial Highlights ..................................................... 93 Notes to Financial Statements ............................................ 106 Report of Independent Auditors ........................................... 112
======================================================= 3 Shareholder Letter -------------------------------------------------------------------------------- [LOGO] UBS August 28, 2000 Investment Funds Dear Shareholder: The first half of 2000 was characterized by turbulence in both equity and bond markets as uncertainty about interest rates, inflation and economic growth came to the fore. While investor sentiment showed continued adoration of the so-called "new economy" in the first quarter, trends reversed sharply in the second quarter. Investors began to heed the warning signs of increasing volatility in most major equity markets, and of swelling share prices in the technology, media and telecommunications (TMT) sectors. Investor attention shifted to searching for investment value among "old economy" stocks. Investors have also begun to look at dot-com companies more skeptically. Many of the new dot-com companies that have sprung up in the past few years are starting to see increasing pressures to solidify their bottom lines. The days of free (or almost free) capital are, if not ending, certainly beginning to slow. More than 120 dot-com companies laid off workers in the past eight months, and 24 of them have subsequently gone out of business. There are still many opportunities to invest in strong, growing companies and undervalued out-of-favor stocks, but active security selection is increasingly important in the current environment. While we understand and appreciate the role of new and emerging technology in business, our analysis is focused on investing in companies with solid fundamentals that are using the Internet to strengthen and leverage their existing businesses. Furthermore, as we identify investment opportunities in other specialized areas, we will continue to broaden our selection of offerings within the UBS Investment Funds. In view of this, we launched two new Funds in the second quarter of 2000: the Global Technology Fund and the Global Biotech Fund. For more information about these or any of the UBS Investment Funds, please feel free to contact us at 1-800-794-7753. We look forward to continuing our relationship with you, and to helping you meet your long-term investment objectives. Thank you for investing in the UBS Investment Funds. We appreciate the confidence you have placed in us. Sincerely, /s/ Hanspeter A. Walder /s/ Raymond Simon Hanspeter A. Walder Raymond Simon Executive Director Managing Director Private Banking Private Banking ======================================================= 4 Global Economic and Market Highlights -------------------------------------------------------------------------------- [LOGO] UBS The tentative recovery in Japan continues. Real GDP Investment Funds growth was 0.7% year-on-year in the first quarter but on figures which were not adjusted for the leap year. Consensus Forecasts predicts year-on-year GDP growth to be flat in the second quarter but to pick up strongly in H2 2000. Recently, industrial production has strengthened on the back of demand for IT goods. The big news to affect the Japanese economy is the removal of the zero interest rate policy. The overnight call rate was raised to 0.25%. This represents the first tightening of monetary policy in Japan in 10 years. The consensus view is that this is premature with the economy still suffering from deflation and the recovery still green. In Euroland, sentiment continues to be upbeat. The Euroland real GDP grew by 3.4% year-on-year in the first quarter. Consensus Forecasts predict 3.3% growth in 2000. Inflation is rising, from 1.9% at the start of the year, to 2.4% in July. The Euro continues to languish, reaching new lows against the Dollar earlier this month. The weak Euro is bolstering the recovery in industrial production and export growth. This, coupled with the pick up in domestic demand, means that there are upside risks for inflation. It is likely that the European Central Bank (ECB) will raise rates again. The ECB measure of M3 growth slowed again in June, down 40 basis points to 5.4% year-on-year increase. The United Kingdom position is finely balanced. At the recent meeting of the Monetary Policy Committee, interest rates were not changed but the minutes show that there is a big split within the committee as to the size of risks to the economy. The Governor used his casting vote. There has been a weakening in some areas of the economy. Earnings growth have weakened as has the housing market. But with the labor market tightening further and the Bank of England forecasting that inflation is likely to beach its 2.5% target in two years time, a further increase in interest rates seems possible. Global Environment
6 months 1 year 3 years 5 years Major Markets ended ended ended ended Total Return in U.S. Dollars 6/30/00 6/30/00 6/30/00 6/30/00 ---------------------------------------------------------------------------------------------- U.S. Equity -0.84% 9.52% 19.06% 22.47% Global (Ex-U.S.) Equities (currency unhedged) -2.99 18.78 10.52 11.75 Global (Ex-U.S.) Equities (currency hedged) 2.69 23.11 16.45 20.48 U.S. Bonds 3.92 4.49 6.02 6.23 Global (Ex-U.S.) Bonds (currency unhedged) -1.95 2.40 2.70 1.70 Global (Ex-U.S.) Bonds (currency hedged) 4.02 5.75 8.20 9.81 U.S. Cash Equivalents 3.13 6.08 5.82 5.83 ---------------------------------------------------------------------------------------------- 6 months 1 year 3 years 5 years Major Currencies ended ended ended ended Percent Change Relative to U.S. Dollars 6/30/00 6/30/00 6/30/00 6/30/00 ---------------------------------------------------------------------------------------------- Yen -3.26% 14.40% 2.65% -4.31% Pound -6.07 -3.96 -3.11 -0.99 Euro -4.37 -7.05 -5.16 -6.94 Canadian Dollar -2.05 -0.11 -2.35 -1.50 ----------------------------------------------------------------------------------------------
All total returns in excess of 1 year are average annualized returns. ======================================================= 5 U.S. Economic and Market Highlights -------------------------------------------------------------------------------- [LOGO] UBS The slowdown in the economy seems less evident than a Investment Funds few months ago. The annualized growth rate in real GDP rose from 5.4% in the first quarter of this year to 6% in the second quarter. Federal government spending and business investment were strong contributors but personal consumption growth weakened in the second quarter. Consensus Forecasts estimate that activity will slow by the end of the year. Growth is forecast to be 5% in 2000, falling sharply to 3.4% in 2001. The oil price has risen by nearly 50 percent in the year to July and had an impact on consumer price inflation. From lows of around 1.5% year-on-year increase in late 1998, the rate of price inflation has surged to 3.7% in July 2000. Core inflation, which excludes energy and food, was 2.4% in July, up from 1.9% at the beginning of this year. Thanks to recent productivity gains and the expected unwinding of the The oil price has risen by nearly 50 percent in the year to July and had an impact on consumer price inflation. From lows of around 1.5% year-on-year increase in late 1998, the rate of price inflation has surged to 3.7% in July 2000. Core inflation, which excludes energy and food, was 2.4% in July, up from 1.9% at the beginning of this year. Thanks to recent productivity gains and the expected unwinding of the oil price effect, the CPI rate is expected to stabilize in the coming months. Evidence is emerging that the U.S. economy has undergone a structural change. Productivity, measured by workers' output per hour, has recorded its fastest increase in 17 years. The figures provide some evidence that the economy is utilizing "information-technology enhanced production processes." In the year to June, non-farm productivity grew by 5.1% and the annualized increase in the second quarter was 5.3%. The labor market continues to tighten with the unemployment rate falling to 4% but the increases in productivity seem to be keeping a lid on inflationary pressures as unit labor costs are falling. The outlook for short-term interest rates seems to be fairly benign. The consensus opinion is that interest rates have peaked. The combination of a slowing economy, increases in productivity and the prospect of lower energy costs all seem to point to the effective Fed Funds rate being held at 6.5%. The current account deficit poses a risk. Should foreign capital inflows slow, the dollar would fall and raise inflationary pressures. U.S. Environment Major Markets Year to Date June 30, 2000 [GRAPH] 4.90 4.49 9.52 U.S. Cash U.S. U.S. Equivalents Bonds Equities Top Ten Industry Returns Relative to S&P 5000 Year to Date June 30, 2000 [GRAPH] Salomon U.S. Treasury Benchmark Returns Year to Date June 30, 2000 [GRAPH] 5.10 4.00 3.64 3.44 4.31 1 2 5 10 30 Maturity (Years) Bottom Ten Industry Returns Relative to S&P 5000 Year to Date June 30, 2000 [GRAPH] ======================================================= 6 Global Fund -------------------------------------------------------------------------------- [LOGO] UBS Since its inception on July 31, 1995, the UBS Investment Funds Investment Fund - Global has provided an annualized return of 8.31% versus the 13.44% return of its index, the Global Securities Markets Mutual Fund Index. The annualized volatility or risk of the Fund over this period was 7.54%, or about 25% less than the 10.06% volatility of the benchmark. The Fund's return of 0.45% for the first six months of 2000 is 86 basis points higher than the benchmark return of -0.41%. Most of this performance advantage came in the second quarter of the year when the Fund returned 1.64%, greatly outperforming the -2.56% return of the benchmark. Market turbulence that began early this year, particularly in equities, continued into the second quarter. Aggregate equity indices generally fell by moderate amounts. In recent quarters, industry selection has been critical. In the latest quarter, there were significant setbacks in technology, media and telecommunications stocks, with so-called "old economy" stocks generally outperforming. The Fund's focus on these "old economy" stocks greatly contributed to the Fund's performance advantage in the quarter and for the year-to-date period. In the current market environment, our analyses show that bond valuations are more attractive than equities. The risk premium on equities versus government inflation-linked bonds is only about 1%. This clearly does not compensate investors for the added risk of holding large equity positions. Our strategies therefore include a general overweight to bonds offset by underweights to equities. Notably this quarter, widening credit spreads prompted us to increase holdings in U.S. high-yield bonds, which was offset by reducing our large overweight position in U.S. Treasury Inflation Protected Securities (TIPS). We reduced our Japanese equity overweight and redistributed the proceeds to U.S. and U.K. equities. This move came after earlier outperformance that allowed us to take profits on some highly valued Japanese technology shares. In U.S. and U.K. equity markets, we see opportunities in the "old economy" sectors where some undervalued companies are making progress in leveraging their skills, assets and competitive positions to take advantage of technology and the Internet. ======================================================= 7 Global Fund [LOGO] UBS Investment Funds Total Return
6 months 1 year 3 years Inception* ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 UBS Investment Fund - Global 0.45% -1.00% 3.44% 8.31% --------------------------------------------------------------------------------------------- GSMI Mutual Fund Index** -0.41 9.96 11.85 13.44 --------------------------------------------------------------------------------------------- MSCI World Equity (Free) Index -2.49 12.39 15.13 16.51 --------------------------------------------------------------------------------------------- Salomon Smith Barney World Gov't. Bond Index 0.03 3.16 3.87 3.17 ---------------------------------------------------------------------------------------------
* Inception date of the UBS Investment Fund - Global is 7/31/95. ** 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 Non-U.S. Government Bond Index (unhedged); 2% JP Morgan EMBI+; 3% MSCI Emerging Markets Free Index; and 3% Merrill Lynch High Yield Master Index. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $10,000 This chart shows the growth in the value of an investment in the UBS Investment Fund - Global, the GSMI Mutual Fund Index, the MSCI World Equity (Free) Index and the Salomon Smith Barney World Government Bond Index if you had invested $10,000 on July 31, 1995, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. UBS Investment Fund - Global vs. GSMI Mutual Fund Index, MSCI World Equity (Free) Index and Salomon Smith Barney World Gov't. Bond Index Wealth Value with Dividends Reinvested [GRAPH]
Label A B C D ------------------------------------------------------------------------------------------ Label Date UBS Global Fund GSMI Mutual Fun MSCI World Equi Solomon Smith ------------------------------------------------------------------------------------------ 1 7/31/95 10,000 10,000 10,000 10,000 ------------------------------------------------------------------------------------------ 2 8/31/95 10,129 9,965 9,777 9,656 ------------------------------------------------------------------------------------------ 3 9/30/95 10,293 10,232 10,066 9,871 ------------------------------------------------------------------------------------------ 4 10/31/95 10,362 10,167 9,909 9,944 ------------------------------------------------------------------------------------------ 5 11/30/95 10,655 10,472 10,255 10,057 ------------------------------------------------------------------------------------------ 6 12/31/95 10,861 10,665 10,556 10,162 ------------------------------------------------------------------------------------------ 7 1/31/96 11,063 10,839 10,753 10,037 ------------------------------------------------------------------------------------------ 8 2/29/96 11,008 10,870 10,818 9,986 ------------------------------------------------------------------------------------------ 9 3/31/96 11,091 10,963 10,998 9,972 ------------------------------------------------------------------------------------------ 10 4/30/96 11,229 11,152 11,256 9,932 ------------------------------------------------------------------------------------------ 11 5/31/96 11,266 11,234 11,265 9,934 ------------------------------------------------------------------------------------------ 12 6/30/96 11,324 11,257 11,325 10,013 ------------------------------------------------------------------------------------------ 13 7/31/96 11,157 10,961 10,925 10,205 ------------------------------------------------------------------------------------------ 14 8/31/96 11,334 11,138 11,054 10,245 ------------------------------------------------------------------------------------------ 15 9/30/96 11,687 11,505 11,488 10,287 ------------------------------------------------------------------------------------------ 16 10/31/96 11,873 11,620 11,567 10,479 ------------------------------------------------------------------------------------------ 17 11/30/96 12,329 12,109 12,219 10,617 ------------------------------------------------------------------------------------------ 18 12/31/96 12,332 12,001 12,025 10,531 ------------------------------------------------------------------------------------------ 19 1/31/97 12,475 12,177 12,172 10,250 ------------------------------------------------------------------------------------------ 20 2/28/97 12,567 12,234 12,311 10,173 ------------------------------------------------------------------------------------------ 21 3/31/97 12,373 11,965 12,064 10,096 ------------------------------------------------------------------------------------------ 22 4/30/97 12,506 12,207 12,460 10,007 ------------------------------------------------------------------------------------------ 23 5/31/97 13,008 12,824 13,231 10,279 ------------------------------------------------------------------------------------------ 24 6/30/97 13,377 13,283 13,889 10,402 ------------------------------------------------------------------------------------------ 25 7/31/97 13,797 13,812 14,531 10,321 ------------------------------------------------------------------------------------------ 26 8/31/97 13,428 13,306 13,547 10,314 ------------------------------------------------------------------------------------------ 27 9/30/97 13,838 13,882 14,284 10,534 ------------------------------------------------------------------------------------------ 28 10/31/97 13,428 13,434 13,534 10,753 ------------------------------------------------------------------------------------------ 29 11/30/97 13,449 13,554 13,771 10,589 ------------------------------------------------------------------------------------------ 30 12/31/97 13,589 13,717 13,939 10,557 ------------------------------------------------------------------------------------------ 31 1/31/98 13,735 13,902 14,330 10,659 ------------------------------------------------------------------------------------------ 32 2/28/98 14,230 14,575 15,299 10,746 ------------------------------------------------------------------------------------------ 33 3/31/98 14,556 14,988 15,943 10,639 ------------------------------------------------------------------------------------------ 34 4/30/98 14,568 15,135 16,099 10,810 ------------------------------------------------------------------------------------------ 35 5/31/98 14,478 14,922 15,904 10,834 ------------------------------------------------------------------------------------------ 36 6/30/98 14,394 15,111 16,276 10,851 ------------------------------------------------------------------------------------------ 37 7/31/98 14,349 15,032 16,251 10,865 ------------------------------------------------------------------------------------------ 38 8/31/98 13,193 13,512 14,085 11,160 ------------------------------------------------------------------------------------------ 39 9/30/98 13,601 13,978 14,335 11,754 ------------------------------------------------------------------------------------------ 40 10/31/98 14,088 14,813 15,634 12,102 ------------------------------------------------------------------------------------------ 41 11/30/98 14,473 15,418 16,565 11,931 ------------------------------------------------------------------------------------------ 42 12/31/98 14,622 15,974 17,370 12,171 ------------------------------------------------------------------------------------------ 43 1/31/99 14,647 16,196 17,752 12,059 ------------------------------------------------------------------------------------------ 44 2/28/99 14,274 15,766 17,280 11,672 ------------------------------------------------------------------------------------------ 45 3/31/99 14,498 16,264 17,997 11,701 ------------------------------------------------------------------------------------------ 46 4/30/99 15,083 16,830 18,709 11,697 ------------------------------------------------------------------------------------------ 47 5/31/99 14,796 16,404 18,020 11,500 ------------------------------------------------------------------------------------------ 48 6/30/99 14,958 16,906 18,858 11,299 ------------------------------------------------------------------------------------------ 49 7/31/99 14,921 16,815 18,802 11,576 ------------------------------------------------------------------------------------------ 50 8/31/99 14,683 16,769 18,767 11,629 ------------------------------------------------------------------------------------------ 51 9/30/99 14,458 16,698 18,591 11,810 ------------------------------------------------------------------------------------------ 52 10/31/99 14,433 17,294 19,556 11,804 ------------------------------------------------------------------------------------------ 53 11/30/99 14,483 17,699 20,106 11,680 ------------------------------------------------------------------------------------------ 54 12/31/99 14,743 18,666 21,734 11,652 ------------------------------------------------------------------------------------------ 55 1/31/00 14,292 18,038 20,491 11,404 ------------------------------------------------------------------------------------------ 56 2/29/00 14,093 18,360 20,544 11,322 ------------------------------------------------------------------------------------------ 57 3/31/98 14,570 19,077 21,966 11,673 ------------------------------------------------------------------------------------------ 58 4/30/00 14,557 18,313 21,036 11,291 ------------------------------------------------------------------------------------------ 59 5/31/00 14,584 17,934 20,504 11,379 ------------------------------------------------------------------------------------------ 60 6/30/00 14,809 18,589 21,194 11,656 ------------------------------------------------------------------------------------------
Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ======================================================= 8 Global Funds -------------------------------------------------------------------------------- [LOGO] UBS Asset Allocation Investment Funds As of June 30, 2000
Current Benchmark Strategy --------------------------------------------------------------- U.S. Equities 40.0% 22.5% Global (Ex-U.S.) Equities 22.0 14.5 Emerging Markets Equities 3.0 3.0 Dollar Bonds 21.0 40.0 High Yield Bonds 3.0 5.5 Global (Ex-U.S.) Bonds 9.0 11.0 Emerging Markets Debt 2.0 3.5 Cash Equivalents 0.0 0.0 --------------------------------------------------------------- 100.0% 100.0%
Top Ten Equity Holdings As of June 30, 2000
Percent of Net Assets --------------------------------------------------------------- 1. Advanced Micro Devices, Inc. 1.45% 2. FedEx Corp. 1.10 3. Burlington Northern Santa Fe Corp 1.05 4. Allergan, Inc. 1.03 5. Electronic Data Systems Corp. 0.87 6. Gateway, Inc. 0.73 7. CIGNA Corp. 0.71 8. St. Jude Medical, Inc. 0.71 9. Alza Corp. 0.71 10. Baxter International, Inc. 0.70 ---------------------------------------------------------------
Currency Allocation As of June 30, 2000
Current Benchmark Strategy --------------------------------------------------------------- U.S. 66.0% 62.4% Japan 9.0 1.0 U.K 5.0 0.0 Euro 12.0 23.0 Other Europe 2.5 2.5 Canada 1.3 1.3 Emerging Markets 3.0 3.0 Asia (Ex-Japan) 0.6 0.2 Australia/New Zealand 0.6 6.6 --------------------------------------------------------------- 100.0% 100.0%
Top Ten Fixed Income Holdings As of June 30, 2000
Percent of Net Assets --------------------------------------------------------------- 1. U.S. Treasury Inflation Indexed Note, 3.875%, due 04/15/29 8.60% 2. U.S. Treasury Inflation Indexed Note, 3.625%, due 04/15/28 4.59 3. Petroleum Geo-Services, 7.425%, due 03/20/02 1.19 4. Federal Home Loan Mortgage Corp., 5.750%, due 03/15/09 0.77 5. U.S. Treasury Note, 5.625%, due 05/15/08 0.74 6. Government of Canada, 4.250%, due 12/01/21 0.74 7. Government of Japan, 4.600%, due 03/21/05 0.71 8. Government National Mortgage Association, 6.500%, due 01/15/29 0.69 9. Key Bank, NA, 6.675%, due 07/23/01 0.68 10. Government of France (OAT), 4.000%, due 10/25/09 0.67 ---------------------------------------------------------------
================================================== 9 Global Fund -------------------------------------------------------------------------------- [LOGO] UBS Industry Diversification Investment Funds As a Percent of Net Assets As of June 30, 2000 -------------------------------------------------- U.S. EQUITIES Energy......................................... 1.12% Capital Investment Capital Goods.......................... 1.51 Electronic Components.................. 2.63 Technology............................. 0.62 ------ 4.76 Basic Industries Chemicals.............................. 1.04 Housing/Paper.......................... 2.31 Metals................................. 0.59 ------ 3.94 Computers Software............................... 0.85 Systems................................ 1.59 ------ 2.44 Consumer Autos/Durables......................... 0.77 Food/House Products.................... 0.16 Health: Drugs.......................... 2.08 Health: Non-Drugs...................... 3.04 Leisure/Tourism........................ 0.17 Retail/Apparel......................... 2.39 Non-Durables........................... 0.67 ------ 9.28 Financial Banks.................................. 1.96 Non-Banks.............................. 2.49 ------ 4.45 Telecommunications Equipment.............................. 0.05 Services............................... 1.82 ------ 1.87 Transportation................................. 2.43 Services/Misc.................................. 2.58 U.S. Small Capitalization Equity............... 2.78 Utilities...................................... 1.07 ------ Total U.S. Equities............. 36.72* GLOBAL (EX-U.S.) EQUITIES Aerospace and Military................. 0.04 Airlines............................... 0.09 Appliances & Household................. 0.44 Autos/Durables......................... 0.40 Banking................................ 1.65 Beverages & Tobacco.................... 0.52 Broadcasting & Publishing.............. 0.63 Building Materials..................... 0.12 Business & Public Service.............. 0.26 Chemicals.............................. 0.45 Computer Software...................... 0.10 Consumer............................... 0.04 Data Processing........................ 0.45 Electric Components.................... 0.50 Electronics............................ 0.56 Energy................................. 0.70 Financial Services..................... 0.68 Food & House Products.................. 0.54 Forest Products........................ 0.06% Health: Drugs.......................... 0.09 Health: Non-Drugs...................... 1.07 Industrial Components.................. 0.20 Insurance.............................. 0.81 Leisure & Tourism...................... 0.09 Machinery & Engineering................ 0.32 Merchandising.......................... 0.16 Metals-Non Ferrous..................... 0.13 Metals-Steel........................... 0.07 Multi-Industry......................... 0.02 Non-Durables........................... 0.01 Real Estate............................ 0.21 Recreation............................. 0.16 Telecommunications..................... 1.74 Transportation......................... 0.44 Utilities.............................. 0.72 Wholesale & International Trade........ 0.04 ------ Total Global (Ex-U.S.) Equities. 14.51 EMERGING MARKETS EQUITIES...................... 3.39 ------ TOTAL EQUITIES................................. 54.62 U.S. BONDS U.S. Corporate Bonds Airlines............................... 0.05 Banks.................................. 0.85 Building Materials..................... 0.08 Chemicals.............................. 0.04 Consumer............................... 0.20 Construction........................... 0.03 Energy................................. 1.50 Financial.............................. 0.79 Services/Miscellaneous................. 0.30 Technology............................. 0.16 Telecommunications..................... 0.42 ------ Total U.S. Corporate Bonds....... 4.42 International Dollar Bonds Foreign Banks.......................... 0.34 Foreign Energy......................... 0.15 ------ Total International Dollar Bonds. 0.49 Asset-Backed................................... 0.35 Corporate Mortgage-Backed Securities........... 1.64 U.S. Government Agencies....................... 1.58 U.S. Government Mortgage-Backed Securities..... 1.89 U.S. Government Obligations.................... 14.83 ------ Total U.S. Bonds................. 25.20* HIGH YIELD BONDS............................... 5.46 GLOBAL (EX-U.S.) BONDS Foreign Financial Bonds................ 0.78 Foreign Government Bonds............... 10.16 ------ Total Global (Ex-U.S.) Bonds..... 10.94 EMERGING MARKETS BONDS......................... 3.84 SHORT-TERM INVESTMENTS......................... 17.45* ------ TOTAL INVESTMENTS................ 117.51 LIABILITIES, LESS CASH AND OTHER ASSETS........................... (17.51) ------ NET ASSETS..................................... 100.00% ======
-------------------------------------------------- * The Fund held a long position in U.S. Treasury futures on June 30, 2000 which increased U.S. Bond exposure from 25.20% to 40.21%. The Fund held a short position in stock index futures on June 30, 2000 which reduced U.S. Equity exposure from 36.72% to 21.58%. These adjustments result in a net increase in the Fund's exposure to Short-Term Investments from 17.45% to 17.58%. ================================================== 10 Global Fund -- Schedule of Investments June 30, 2000 ------------------------------------------------------------------------------- Shares Value -------- ------------ Equities -- 54.62% U.S. Equities -- 36.72% Advanced Micro Devices, Inc. (b)................ 55,200 $ 4,264,200 Allergan, Inc................................... 40,400 3,009,800 Alza Corp. (b).................................. 35,200 2,081,200 American Electric Power Co., Inc................ 43,560 1,290,465 American General Corp........................... 14,800 902,800 American Standard Companies, Inc. (b)........... 27,500 1,127,500 AmSouth Bancorp................................. 32,087 505,370 Aon Corp........................................ 45,047 1,399,272 Associates First Capital Corp., Class A......... 61,400 1,369,987 Baxter International, Inc....................... 29,300 2,060,156 Brinson U.S. Small Capitalization Equity Fund (b)................................ 397,192 8,140,053 Burlington Northern Santa Fe Corp............... 133,700 3,066,744 Cardinal Health, Inc............................ 300 22,200 Carnival Corp., Class A......................... 25,700 501,150 CIGNA Corp...................................... 22,300 2,085,050 Circuit City Stores-Circuit City Group.......... 17,300 574,144 CMS Energy Corp................................. 24,600 544,275 CommScope, Inc. (b)............................. 3,900 159,900 Compaq Computer Corp............................ 67,700 1,730,581 Computer Sciences Corp. (b)..................... 2,900 216,594 Compuware Corp. (b)............................. 117,800 1,222,175 CVS Corp........................................ 13,500 540,000 Delhaize America, Inc........................... 1 18 Dell Computer Corp. (b)......................... 15,700 774,206 Eastman Chemical Co............................. 14,700 701,925 Electronic Data Systems Corp.................... 61,700 2,545,125 Emerson Electric Co............................. 33,300 2,010,487 Entergy Corp.................................... 36,300 986,906 Exxon Mobil Corp................................ 16,600 1,303,100 Federated Department Stores, Inc. (b)........... 20,000 675,000 FedEx Corp. (b)................................. 84,800 3,222,400 First Data Corp................................. 35,830 1,778,064 Fleet Boston Financial Corp..................... 42,515 1,445,510 Fort James Corp................................. 46,300 1,070,687 Gateway, Inc. (b)............................... 37,800 2,145,150 GATX Corp....................................... 10,700 363,800 Genzyme Corp. (b)............................... 17,600 1,046,100 GreenPoint Financial Corp....................... 51,300 961,875 Household International, Inc.................... 27,700 1,151,281 Illinois Tool Works, Inc........................ 35,000 1,995,000 IMC Global, Inc................................. 57,000 741,000 Johnson & Johnson Co............................ 18,900 1,925,437 Johnson Controls, Inc........................... 17,200 882,575 Kimberly-Clark Corp............................. 22,200 1,273,725 Kroger Co. (b).................................. 71,600 1,579,675 Lafarge Corp.................................... 21,300 447,300 Lear Corp. (b).................................. 38,400 768,000 Lexmark International Group, Inc. (b)........... 20,500 1,378,625 Lincoln National Corp........................... 26,900 971,762 Lyondell Chemical Co............................ 33,200 556,100 Martin Marietta Materials, Inc.................. 15,984 646,353 Masco Corp...................................... 96,300 1,739,419 Mattel, Inc..................................... 104,300 1,375,456 Mead Corp....................................... 25,100 633,775 Microsoft Corp. (b)............................. 16,000 1,280,000 Motorola, Inc................................... 23,230 $ 675,122 New York Times Co............................... 18,600 734,700 Newell Rubbermaid, Inc.......................... 54,300 1,398,225 Nextel Communications, Inc. (b)................. 29,700 1,817,269 Norfolk Southern Corp........................... 31,800 473,025 Owens-Illinois, Inc. (b)........................ 14,500 169,469 Peco Energy Co.................................. 39,900 1,608,469 Pentair, Inc.................................... 23,396 830,558 PepsiCo, Inc.................................... 33,500 1,488,656 PNC Bank Corp................................... 21,700 1,017,187 Praxair, Inc.................................... 28,400 1,063,225 Raytheon Co., Class B........................... 49,800 958,650 Sara Lee Corp................................... 24,900 480,881 SBC Communications, Inc......................... 44,100 1,907,325 Smurfit-Stone Container Corp. (b)............... 28,400 365,650 Southdown, Inc.................................. 18,436 1,064,679 St. Jude Medical, Inc. (b)...................... 45,400 2,082,725 Tellabs, Inc. (b)............................... 13,900 951,281 Texas Instruments, Inc.......................... 13,100 899,806 Tyson Foods, Inc., Class A...................... 33,698 294,858 Ultramar Diamond Shamrock Corp.................. 27,502 682,393 Unisys Corp. (b)................................ 29,600 431,050 United Health Group, Inc........................ 20,600 1,766,450 USG Corp........................................ 12,200 370,575 Viad Corp....................................... 26,200 713,950 W.W. Grainger, Inc.............................. 19,500 600,844 Wal-Mart Stores, Inc............................ 15,100 870,138 Watson Pharmaceutical Co. (b)................... 18,800 1,010,500 Wells Fargo and Co.............................. 46,600 1,805,750 Westvaco Corp................................... 17,400 431,738 Xerox Corp...................................... 21,000 435,750 XL Capital Ltd.................................. 10,400 562,900 York International Corp......................... 20,100 525,113 ------------ Total U.S. Equities............................. 107,678,363 ------------ Global (Ex-U.S.) Equities -- 14.51% Australia -- 0.82% Amcor Ltd....................................... 10,220 35,841 Amp Ltd......................................... 11,300 115,337 Boral Ltd. (b).................................. 19,100 24,082 Brambles Industries Ltd......................... 3,670 113,117 Broken Hill Proprietary Co., Ltd................ 13,910 164,943 CSR Ltd......................................... 11,070 30,839 Howard Smith Ltd................................ 9,300 45,563 Lend Lease Corp., Ltd........................... 7,932 101,476 National Australia Bank Ltd..................... 20,727 347,176 News Corp., Ltd................................. 23,489 324,364 News Corp., Ltd., Preferred..................... 8,936 108,188 Origin Energy Ltd. (b).......................... 19,100 18,463 Qantas Airways Ltd.............................. 12,937 26,254 QBE Insurance Group Ltd......................... 21,471 105,347 Rio Tinto Ltd................................... 4,645 77,025 Santos Ltd...................................... 20,490 62,618 Telstra Corp., Ltd.............................. 71,700 291,869 Westpac Banking Corp., Ltd...................... 36,928 267,167 WMC Ltd......................................... 10,640 47,739 Woolworth's Ltd................................. 26,660 98,681 ------------ 2,406,089 ------------ ================================================================================ 11 Global Fund -- Schedule of Investments June 30, 2000 ------------------------------------------------------------------------------- Shares Value -------- ------------ Austria -- 0.01% Austria Tabakwerke AG........................... 800 $ 29,755 ------------ Belgium -- 0.14% Electrabel S.A.................................. 740 183,654 Fortis B........................................ 8,027 234,533 ------------ 418,187 ------------ Canada -- 0.45% Agrium, Inc..................................... 9,040 77,484 Alcan Aluminum Ltd.............................. 2,520 78,234 Bank of Montreal................................ 1,020 43,025 Canadian National Railway Co.................... 4,920 143,114 Canadian Pacific Ltd............................ 5,573 144,431 Hudson's Bay Co................................. 10,210 108,185 Imperial Oil Ltd................................ 2,710 66,118 Magna Entertainment Corp. (b)................... 412 2,711 Magna International, Inc., Class A.............. 2,060 96,695 Nova Chemicals Corp............................. 5,904 123,921 Potash Corporation of Saskatchewan, Inc......... 1,060 57,947 Royal Bank of Canada............................ 2,970 151,837 Shaw Communications, Inc., Class B.............. 5,160 127,111 TransCanada Pipelines Ltd....................... 2,390 18,227 Westcoast Energy, Inc........................... 4,650 71,553 ------------ 1,310,593 ------------ Denmark -- 0.07% Tele Danmark A/S................................ 3,120 210,876 ------------ Finland-- 0.28% Metso Oyj....................................... 2,700 32,611 Nokia Oyj....................................... 7,340 376,080 Sampo Insurance Co., Ltd., Series A............. 6,000 244,443 UPM-Kymmene Corp................................ 6,270 156,271 ------------ 809,405 ------------ France -- 1.22% Air France (b).................................. 5,070 87,968 Air Liquide..................................... 1,656 216,779 Alcatel......................................... 3,750 246,959 Alcatel S.A. ADR................................ 3,693 245,585 Axa............................................. 866 136,974 Banque Nationale de Paris....................... 5,809 561,304 Cie de Saint Gobain............................. 2,117 287,356 CSF Thomson..................................... 3,000 118,655 Groupe Danone................................... 1,460 194,538 L'Oreal S.A..................................... 130 113,028 Rhone-Poulenc, Class A.......................... 3,074 225,278 Schneider S.A................................... 1,710 119,662 Societe Generale................................ 4,420 266,931 Suez Lyonnaise des Eaux S.A..................... 450 79,156 Total Fina S.A., Class B........................ 3,522 542,215 Vivendi......................................... 1,470 130,275 ------------ 3,572,663 ------------ Germany -- 0.71% Allianz AG...................................... 1,430 510,347 Bayer AG........................................ 9,680 372,097 Bayerische Motoren Werke AG..................... 4,600 140,665 Continental AG.................................. 6,250 105,446 Linde AG........................................ 2,800 113,536 Shares Value -------- ------------ SAP AG.......................................... 810 $ 122,992 Siemens AG...................................... 1,750 263,039 Veba AG......................................... 9,289 449,673 ------------ 2,077,795 ------------ Hong Kong-- 0.06% Henderson Land Development Co., Ltd............. 39,000 171,603 ------------ Ireland-- 0.09% Bank of Ireland................................. 15,000 94,254 Eircom PLC...................................... 68,700 184,396 ------------ 278,650 ------------ Italy-- 0.45% Assicurazioni Generali.......................... 3,800 130,772 ENI Spa......................................... 52,000 301,575 ENI Spa ADR..................................... 3,070 178,636 La Rinascente Spa............................... 10,740 61,154 San Paolo-imi Spa............................... 10,511 187,309 Telecom Italia Mobile Spa....................... 29,000 297,453 Telecom Italia Spa.............................. 12,000 165,646 ------------ 1,322,545 ------------ Japan-- 5.12% Acom Co., Ltd................................... 2,900 244,488 Asahi Bank Ltd.................................. 23,000 96,952 Bank of Tokyo-Mitsubushi Ltd.................... 31,000 375,323 Benesse Corp.................................... 1,400 97,254 Bridgestone Corp................................ 8,000 169,746 Canon, Inc...................................... 12,000 598,837 Dai Nippon Printing Co., Ltd.................... 8,000 141,317 Dai-Ichi Kangyo Bank............................ 14,000 106,517 Daikin Industries Ltd........................... 5,000 116,488 Denso Corp...................................... 7,000 170,691 East Japan Railway Co........................... 43 250,347 Fanuc........................................... 2,300 234,554 Fuji Bank Ltd................................... 22,000 167,591 Fuji Photo Film Co., Ltd........................ 5,000 205,094 Fujitsu......................................... 21,000 728,415 Hitachi Ltd..................................... 20,000 289,211 Honda Motor Co.................................. 13,000 443,552 Hoya Corp....................................... 2,000 179,576 Ito Yokado Co., Ltd............................. 2,000 120,599 Kamigumi Co., Ltd............................... 24,000 126,799 Kao Corp........................................ 10,000 306,224 Kirin Brewery Co., Ltd.......................... 10,000 125,230 Kuraray Co., Ltd................................ 18,000 206,871 Kyocera Corp.................................... 400 68,012 Matsushita Electric Industrial Co............... 18,000 467,842 Mitsubishi Corp................................. 12,000 108,766 Mitsubishi Estate Co., Ltd...................... 28,000 330,268 Mitsubishi Trust and Banking Corp............... 9,000 70,006 Murata Manufacturing Co., Inc................... 1,000 143,850 NEC Corp........................................ 22,000 692,406 NGK Insulators.................................. 15,000 186,286 Nintendo Corp., Ltd............................. 2,700 472,605 Nippon Steel Co................................. 102,000 214,980 Nippon Telegraph & Telephone Corp............... 77 1,026,133 Nissin Food Products Co......................... 5,300 135,249 Nomura Securities Co., Ltd...................... 23,000 564,104 Omron Corp...................................... 3,000 81,660 Orix Corp....................................... 2,100 310,619 -------------------------------------------------------------------------------- 12 Global Fund -- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------- Shares Value ---------- ----------- Rohm Co......................................... 400 $ 117,197 Sankyo Co., Ltd................................. 11,000 248,996 Santen Pharmaceutical Co., Ltd.................. 6,000 145,173 Secom Co., Ltd.................................. 4,000 292,992 Shin-Etsu Chemical Co., Ltd..................... 3,000 152,545 Softbank Corp................................... 1,200 163,319 Sony Corp....................................... 6,800 636,265 Sumitomo Bank................................... 22,000 270,309 Sumitomo Chemical Co............................ 39,000 235,168 Sumitomo Electric Industries.................... 8,000 137,460 Takeda Chemical Industries...................... 6,000 394,688 Takefuji Corp................................... 1,200 145,286 TDK Corp........................................ 3,000 432,116 Tokio Marine & Fire Insurance Co................ 14,000 161,958 Tokyo Electric Power............................ 6,000 146,590 Tokyo Gas Co., Ltd.............................. 60,000 168,990 Toyoda Automatic Loom Works..................... 2,000 43,382 Toyota Motor Corp............................... 11,000 502,150 Yamanouchi Pharmaceutical Co., Ltd.............. 2,000 109,447 Yamato Transport Co., Ltd....................... 6,000 149,426 ----------- 15,027,919 ----------- Netherlands -- 0.68% ABN-AMRO Holdings NV............................ 6,594 162,197 Aegon NV........................................ 5,554 198,428 Elsevier NV..................................... 24,970 303,750 Heineken NV..................................... 7,700 470,552 ING Groep NV.................................... 4,108 278,805 Koninklijke Philips Electronics NV.............. 2,600 123,122 Royal KPN NV.................................... 600 26,946 TNT Post Group NV............................... 4,242 114,875 Wolters Kluwer NV............................... 12,213 326,635 ----------- 2,005,310 ----------- New Zealand -- 0.05% Auckland International Airport Ltd.............. 17,350 20,584 Carter Holt Harvey Ltd.......................... 26,940 23,464 Lion Nathan Ltd................................. 20,220 45,218 Telecom Corp. of New Zealand Ltd................ 16,410 57,558 ----------- 146,824 ----------- Portugal -- 0.19% Brisa-Auto Estradas de Portugal S.A............. 14,800 127,969 Electricidade de Portugal S.A................... 6,900 125,804 Portugal Telecom................................ 26,000 293,101 ----------- 546,874 ----------- Singapore -- 0.10% DBS Group Holdings Ltd.......................... 6,000 77,039 SIA Engineering Co., Ltd. (b)................... 15,000 16,830 Singapore Airport Terminal Services Ltd. (b).... 5,000 6,073 United Overseas Bank Ltd........................ 30,116 196,825 ----------- 296,767 ----------- Spain -- 0.25% Banco Popular Espanol S.A....................... 3,643 113,147 Banco Santander Central Hispano S.A............. 17,843 189,002 Endesa S.A...................................... 5,757 111,973 Tabacalera S.A.................................. 20,200 311,562 ----------- 725,684 ----------- Sweden -- 0.41% Electrolux AB, B Shares......................... 11,510 $ 179,126 Ericsson, B Shares.............................. 23,290 463,357 Investor AB, B Shares........................... 10,100 138,758 Nordic Baltic Holdings AB....................... 38,636 292,931 Swedish Match AB................................ 36,780 114,060 ----------- 1,188,232 ----------- Switzerland -- 0.42% Givaudan (b).................................... 24 7,328 Nestle S.A. (Reg.).............................. 155 311,220 New ABB Ltd..................................... 1,274 152,972 Novartis AG (Reg.).............................. 240 381,379 Roche Holding AG (Gen.)......................... 21 205,080 Swisscom AG (Reg.).............................. 470 163,305 ----------- 1,221,284 ----------- United Kingdom -- 2.99% Allied Zurich PLC............................... 13,052 154,419 AstraZeneca PLC................................. 4,002 186,907 BP Amoco PLC.................................... 65,946 632,954 British Airways PLC............................. 25,000 143,820 British Telecommunications PLC.................. 37,000 478,359 Charter PLC..................................... 28,676 165,401 De Vere Group PLC............................... 8,899 41,494 Diageo PLC...................................... 28,209 253,243 FKI PLC......................................... 33,040 117,545 Glaxo Wellcome PLC.............................. 32,260 941,110 House of Fraser PLC............................. 30,780 22,460 HSBC Holdings PLC............................... 10,500 120,093 Kelda Group PLC................................. 35,080 171,536 Lloyds TSB Group PLC............................ 41,969 396,467 Marconi PLC..................................... 41,360 538,485 Marks & Spencer PLC............................. 33,060 116,239 National Power PLC.............................. 31,500 200,765 Nycomed Amersham PLC............................ 22,844 226,866 Peninsular & Oriental Steam Navigation Co....... 12,040 103,166 Powergen PLC.................................... 18,000 153,963 Prudential Corp. PLC............................ 17,040 249,712 Reckitt & Benckiser PLC......................... 10,500 117,629 Reed International PLC.......................... 26,010 226,414 RJB Mining PLC.................................. 26,590 22,542 Royal & Sun Alliance Insurance Group PLC........ 49,884 323,976 Royal Bank of Scotland Group PLC................ 23,000 385,103 Scottish & Newcastle PLC........................ 20,000 163,349 Scottish & Southern Energy PLC.................. 26,380 242,015 Shell Transport & Trading Co.................... 27,000 225,426 SmithKline Beecham PLC.......................... 11,000 144,047 Tesco PLC....................................... 66,190 205,920 Thames Water PLC................................ 8,497 109,983 Trinity Mirror PLC.............................. 15,815 141,977 Unilever PLC.................................... 40,000 242,222 United News & Media PLC......................... 19,990 287,495 Vodafone Group PLC.............................. 129,957 525,297 ----------- 8,778,399 ----------- Total Global (Ex-U.S.) Equities................. 42,545,454 ----------- Emerging Markets Equities -- 3.39% Brinson Emerging Markets Equity Fund (b)........ 925,032 9,943,169 ----------- Total Equities (Cost $159,505,128).............. 160,166,986 ----------- =========================================================================== 13 Global Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Face Amount Value ---------- ---------- Bonds -- 45.44% U.S. Bonds -- 25.20% U.S. Corporate Bonds -- 4.42% Avon Products, Inc., 7.150%, due 11/15/09......... $ 85,000 $ 81,401 Bank of America Corp., 7.800%, due 02/15/10........................... 500,000 497,355 Bombardier Capital, Inc. MTN, 144A, 7.300%, due 12/15/02........................... 565,000 555,651 Burlington Resources, 7.375%, due 03/01/29................................... 300,000 279,225 Capital One Bank, BKNT, 8.250%, due 06/15/05........................... 150,000 149,703 Cendant Corp., 7.750%, due 12/01/03............... 640,000 618,070 Centaur Funding Corp., Class B, 144A, 9.080%, due 04/21/20 (b)....................... 250 248,203 Centaur Funding Corp., Class C, 144A, 0.000%, due 04/21/20 (b)....................... 1,430 220,756 Centex Corp., 9.750%, due 06/15/05................ 85,000 84,540 Key Bank, NA, 6.675%, due 07/23/01................ 2,000,000 2,001,070 Lowe's Cos., Inc., 8.250%, due 06/01/10........... 220,000 224,794 Morgan Stanley Dean Witter, 7.750%, due 06/15/05................................... 300,000 301,564 Newcourt Credit Group, Inc., 6.875%, due 02/16/05................................... 600,000 574,524 PanAmSat Corp. 6.000%, due 01/15/03........................... 225,000 213,930 6.375%, due 01/15/08........................... 500,000 445,399 Petroleum Geo-Services, 7.425%, due 03/20/02................................... 3,500,000 3,495,604 Pharmacia Corp., 6.600%, due 12/01/28............. 545,000 480,560 Sempra Energy, 7.950%, due 03/01/10............... 510,000 514,321 Service Corp., International, 6.000%, due 12/15/05........................... 500,000 270,000 Time Warner Cos., Inc., 7.570%, due 02/01/24........................... 540,000 510,493 U.S. Airways, Inc., 1999 1A EETC, 8.360%, due 07/20/20........................... 160,000 158,533 Valero Energy, 8.375%, due 06/15/05............... 150,000 152,341 Verizon Communications, 8.000%, due 10/15/29........................... 78,000 78,092 Washington Mutual Financial Corp., 8.250%, due 06/15/05........................... 275,000 277,544 WorldCom, Inc., 8.250%, due 05/15/10.............. 500,000 511,778 ------------- 12,945,451 ------------- Asset-Backed Securities -- 0.35% First Bank Corporate Card Master Trust, 97-1, Class A, 6.400%, due 02/15/03............ 1,055,000 1,040,852 ------------- Corporate Mortgage- Backed Securities -- 1.64% Asset Securitization Corp., 96-D, Class A1B, 7.210%, due 10/13/26........................... 1,000,000 993,140 DLJ Commercial Mortgage Corp., 99-CG2, Class A1B, 7.300%, due 06/10/32................ 485,000 477,697 Norwest Asset Securities Corp., 96-2, Class A9, 7.000%, due 09/25/11................. 435,000 420,058 Prudential Home Mortgage Securities, 94-3, Class A10, 6.500%, due 02/25/24................ 730,000 703,450 Residential Asset Securitization Trust 96-A3, Class A11, 7.500%, due 07/25/11......... $ 592,550 $ 589,966 97-A10, Class A5, 7.250%, due 12/25/27......... 1,080,000 1,036,605 97-A7, Class A1, 7.500%, due 09/25/27.......... 73,220 72,956 97-A11, Class A2, 7.000%, due 01/25/28......... 2,253 2,243 Structured Asset Securities Corp., 98-RF1, Class A, 8.713%, due 04/15/27.................. 465,205 472,183 Thrift Financing Corp., Class A4 11.250%, due 01/01/16.......................... 45,036 46,211 ------------- 4,814,509 ------------- International Dollar Bonds -- 0.49% Banco Santiago S.A., 7.000%, due 07/18/07................................... 650,000 578,640 Ras Laffan Liquified Natural Gas Co., Ltd., 144A, 8.294%, due 03/15/14..................... 500,000 461,875 Royal Bank of Scotland, 8.817%, due 03/31/05................................... 385,000 396,610 ------------- 1,437,125 ------------- U.S. Government Mortgage- Backed Securities -- 1.89% Fannie Mae Whole Loan, 95-W3, Class A, 9.000%, due 04/25/25................... 16,375 16,860 Federal Home Loan Mortgage Corp., Gold 5.500%, due 02/01/07............................ 612,268 573,835 8.000%, due 11/01/22............................ 60,818 61,474 9.000%, due 07/01/30, TBA....................... 425,000 438,414 Federal Home Loan Mortgage Corp. 194, Class PO, due 04/01/28.................... 680,468 429,263 Federal National Mortgage Association 8.000%, due 02/01/13........................... 433,496 438,003 8.000%, due 07/01/30, TBA...................... 600,000 602,250 Government National Mortgage Association 6.500%, due 01/15/29........................... 2,141,194 2,031,927 7.000%, due 06/15/27........................... 486,467 473,129 8.000%, due 08/15/22........................... 264,092 268,221 8.000%, due 11/15/22........................... 191,581 194,655 9.000%, due 11/15/04........................... 8,445 8,762 10.000%, due 05/15/01.......................... 423 449 ------------- 5,537,242 ------------- U.S. Government Agencies -- 1.58% Federal Home Loan Mortgage Corp. 5.750%, due 03/15/09........................... 2,500,000 2,269,865 Federal National Mortgage Association 5.250%, due 01/15/09........................... 60,000 52,653 6.000%, due 10/01/14........................... 1,006,020 951,674 6.500%, due 03/01/19........................... 270,506 258,518 7.000%, due 10/01/28........................... 905,496 874,162 7.000%, due 03/01/29........................... 246,315 237,890 ------------- 4,644,762 ------------- ================================================================================ 14 Global Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Face Amount Value ------------ ------------ U.S. Government Obligations -- 14.83% U.S. Treasury Bond, 8.000%, due 11/15/21 $ 1,160,000 $ 1,399,975 U.S. Treasury Inflation Indexed Note 3.625%, due 04/15/28....................... 13,325,000 13,451,798 3.875%, due 04/15/29....................... 24,270,000 25,203,220 U.S. Treasury Note 5.625%, due 05/15/08....................... 2,260,000 2,179,488 5.750%, due 08/15/03....................... 560,000 550,375 6.625%, due 02/15/27....................... 80,000 84,825 7.000%, due 07/15/06....................... 580,000 600,844 ------------ 43,470,525 ------------ Total U.S. Bonds.............................. 73,890,466 ------------ Shares ---------- High Yield Bonds -- 5.46% Brinson High Yield Fund (b)................... 1,175,251 16,003,393 ------------ Face Amount ---------- Global (Ex-U.S.) Bonds -- 10.94% Australia -- 0.43% Queensland Treasury Corp., Global Notes 6.500%, due 06/14/05....................AUD 1,500,000 904,374 8.000%, due 09/14/07....................... 530,000 347,274 ------------ 1,251,648 ------------ Canada -- 1.12% Government of Canada, Real Return Bond 4.250%, due 12/01/21....................CAD 2,650,000 2,174,978 Government of Canada 6.000%, due 06/01/08....................... 550,000 373,066 7.000%, due 12/01/06....................... 1,050,000 747,040 ------------ 3,295,084 ------------ Denmark -- 0.99% Depfa Pfandbrief Bank, 5.750%, due 03/04/09....................DKK 930,000 888,553 Kingdom of Denmark 7.000%, due 12/15/04....................... 5,480,000 736,384 7.000%, due 11/10/24....................... 2,350,000 346,563 8.000%, due 03/15/06....................... 3,000,000 425,307 9.000%, due 11/15/00....................... 3,800,000 493,056 ------------ 2,889,863 ------------ France -- 1.62% Government of France (OAT) 4.000%, due 10/25/09....................EUR 2,285,000 1,976,866 5.500%, due 04/25/29....................... 330,000 311,814 8.500%, due 12/26/12....................... 800,000 977,003 9.500%, due 01/25/01....................... 1,500,000 1,473,090 ------------ 4,738,773 ------------ Germany -- 0.80% Bundesrepublik Deutschland 6.250%, due 04/26/06....................... 625,000 630,555 6.250%, due 01/04/24....................... 320,000 334,477 8.375%, due 05/21/01....................... 1,185,000 1,168,791 DePfa Deutsche Pfandbriefbank AG, 4.750%, due 03/20/03....................... 240,000 226,647 ------------ 2,360,470 ------------ Israel -- 0.17% State of Israel, 7.750%, due 03/15/10 ILS.... 500,000 $ 493,671 ------------ Italy -- 1.23% Buoni Poliennali Del Tes 3.250%, due 04/15/04....................EUR 1,100,000 981,223 5.000%, due 05/01/08....................... 920,000 853,710 6.750%, due 07/01/07....................... 1,250,000 1,273,780 12.000%, due 09/01/02...................... 470,000 511,308 ------------ 3,620,021 ------------ Japan -- 2.03% Government of Japan 2.500%, due 03/20/20....................JPY 18,000,000 180,718 3.000%, due 09/20/05....................... 178,500,000 1,844,300 3.100%, due 03/20/06....................... 175,800,000 1,829,257 4.600%, due 03/21/05....................... 189,900,000 2,087,236 ------------ 5,941,511 ------------ Netherlands -- 0.43% Government of Netherlands 5.500%, due 07/15/10....................EUR 900,000 871,241 7.750%, due 03/01/05....................... 380,000 401,226 ------------ 1,272,467 ------------ Spain -- 0.76% Government of Spain 3.250%, due 01/31/05....................... 2,070,000 1,820,653 6.150%, due 01/31/13....................... 400,001 400,200 ------------ 2,220,853 ------------ Sweden -- 0.51% Government of Sweden 6.750%, due 05/05/14....................SEK 4,400,000 571,873 10.250%, due 05/05/03...................... 7,200,000 926,987 ------------ 1,498,860 ------------ United Kingdom -- 0.85% Halifax PLC, Series EMTN, 8.750%, due 07/10/06.............................GBP 720,000 1,175,834 U.K. Treasury, 5.750%, due 12/07/09........... 840,000 1,324,569 ------------ 2,500,403 ------------ Total Global (Ex-U.S.) Bonds.................. 32,083,624 ------------ Shares -------- Emerging Markets Bonds -- 3.84% Brinson Emerging Markets Debt Fund (b)........ 444,026 11,243,315 ------------ Total Bonds (Cost $130,749,445)............... 133,220,798 ------------ Short-Term Investments -- 17.45% Investment Companies -- 0.63% Brinson Supplementary Trust U.S. Cash Management Prime Fund....................... 1,830,859 1,830,859 ------------ ================================================================================ 15 Global Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Face Amount Value -------------- ------------- U.S. Corporate Bonds -- 9.57% Centex Corp., Series B, MTN, 6.840%, due 04/02/01....................... $ 5,000,000 $ 4,997,755 Dominion Resources, Inc. 7.026%, due 01/26/01....................... 2,100,000 2,099,937 GATX Capital Corp., 6.500%, due 11/01/00...... 1,500,000 1,495,236 GATX Capital Corp., Series F, MTN 7.4175%, due 04/25/01...................... 1,000,000 1,000,425 Hertz Corp., 6.625%, due 07/15/00............. 2,500,000 2,499,557 Kroger Co., 7.661%, due 10/01/00.............. 5,000,000 4,999,000 NorAm Energy Corp., 7.500%, due 08/01/00...... 2,000,000 2,000,228 Raytheon Co., 6.300%, due 08/15/00............ 3,000,000 2,996,625 Safeway, Inc., 5.750%, due 11/15/00........... 4,000,000 3,980,204 Supervalue Stores, Inc., Series A, MTN 6.500%, due 10/06/00........................ 2,000,000 1,995,026 ------------- 28,063,993 ------------- U.S. Government Obligations -- 1.08% U.S. Treasury Bill, due 08/17/00.............. 3,200,000 3,177,520 ------------- Commercial Paper -- 6.17% Boston Scientific Corp., 7.350%, due 07/05/00....................... 2,500,000 2,497,958 Case Credit Corp. 7.250%, due 07/19/00....................... 2,000,000 1,992,750 7.400%, due 07/03/00....................... 3,900,000 3,898,397 Crown Cork & Seal, 7.150%, due 07/20/00....... 2,438,000 2,428,800 FMC Corp., 7.330%, due 07/03/00............... 2,500,000 2,498,982 Phillips Petroleum, 7.150%, due 07/05/00...... 2,500,000 2,498,014 Southern Industries, 7.200%, due 07/06/00..... 2,280,000 2,277,720 ------------- 18,092,621 ------------- Total Short-Term Investments (Cost $51,163,762).......................... 51,164,993 ------------- Total Investments (Cost $341,418,335) -- 117.51% (a)........... 344,552,777 Liabilities, less cash and other assets -- (17.51%)..................... (51,338,578) ------------- Net Assets -- 100%............................. $ 293,214,199 ============= See accompanying notes to schedule of investments. ================================================================================ 16 Global Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $345,071,906; and net unrealized depreciation consisted of: Gross unrealized appreciation........................... $ 22,527,796 Gross unrealized depreciation........................... (23,046,925) ------------ Net unrealized depreciation..................... $ (519,129) ============ (b) Non-income producing security FRN: Floating Rate Note-- The rate disclosed is that in effect at June 30, 2000. MTN: Medium Term Note TBA: Security is subject to delayed delivery. 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 June 30, 2000, the value of these securities amounted to $1,486,485 or 0.51% of net assets. Resettable Perpetual Preferred: A bond with either no maturity date or a maturity date that is so far in the future that the bond will pay interest indefinitely. The issuer generally retains the right to call such a bond. FORWARD FOREIGN CURRENCY CONTRACTS The Global Fund had the following open forward foreign currency contracts as of June 30, 2000:
Settlement Local Current Unrealized Date Currency Value Gain/(Loss) ---------- -------- --------- ------------- Forward Foreign Currency Buy Contracts Australian Dollar........................... 08/08/00 29,200,000 $ 17,542,911 $ (979,839) Euro........................................ 08/08/00 52,600,000 50,546,789 (991,373) Japanese Yen................................ 08/08/00 1,586,000,000 15,098,035 224,980 Swedish Krona............................... 08/08/00 117,500,000 13,436,895 (112,559) Swiss Franc................................. 08/08/00 4,600,000 2,839,471 315 Forward Foreign Currency Sale Contracts Australian Dollar........................... 08/08/00 2,700,000 1,622,118 7,332 British Pound............................... 08/08/00 7,300,000 11,059,601 587,969 Danish Krone................................ 08/08/00 12,000,000 1,544,722 44,725 Euro........................................ 08/08/00 10,700,000 10,282,331 44,511 Japanese Yen................................ 08/08/00 3,370,000,000 32,080,945 157,503 Swedish Krona............................... 08/08/00 117,500,000 13,436,895 326,561 --------- Total............................... $ (689,875) =========
FUTURES CONTRACTS The Global Fund had the following open futures contracts as of June 30, 2000:
Expiration Cost/ Current Unrealized Date Proceeds Value Gain/Loss -------------- ----------- ---------- ---------- U.S. Interest Rate Futures Buy Contracts 5 year U.S. Treasury Notes, 300 contracts..................... September 2000 $29,080,788 $29,704,686 $ 623,898 10 year U.S. Treasury Notes, 88 contracts..................... September 2000 8,545,022 8,666,625 121,603 30 year U.S. Treasury Bonds, 58 contracts..................... September 2000 5,555,992 5,645,937 89,945 Index Futures Sale Contracts Standard & Poor's 500, 121 contracts.......................... September 2000 44,388,003 44,410,025 (22,022) ---------- Total................................................. $ 813,424 ==========
The market value of investments pledged to cover margin requirements for the open futures positions at June 30, 2000 was $3,177,520. -------------------------------------------------------------------------------- See accompany notes to financial statements. 17 Global Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS The UBS Investment Fund - Global Equity has Investment Funds provided an annualized return of 11.77% since its inception on July 31, 1995. Over the same period, the annualized return of the benchmark, the MSCI World Equity (Free) Index, has been 16.51%. The Fund's performance was achieved with a volatility of 11.89%, significantly less risk than its benchmark's volatility of 13.84%. For the calendar year-to-date, the Fund returned -2.90%, underperforming the benchmark return of -2.49%. During the second quarter, returns were dominated by "old economy" stocks, and the Fund outperformed the benchmark by a wide margin of 650 basis points. Trends of the last two years show a remarkable divergence between the performance of "new economy" and "old economy" sectors. In contrast to recent bull markets, the current price appreciation has been limited to narrow groups of technology, media and telecommunications (TMT) stocks. This phenomenon is most easily recognizable in the U.S. where it began, but has also proliferated into all developed equity markets. In the first quarter of 2000, the Fund's lag in performance was most directly attributable to security selection in the U.S. market, where we hold significant underweights to TMT sectors. Our strategy began to pay off in the second quarter as investors began to question whether TMT companies can grow and increase earnings fast enough and for long enough to justify their high valuations. While we are skeptical of inflated equity investment expectations, we understand and appreciate the role of new and emerging technology in business. Our analysis is focused on investing in companies with solid fundamentals as well as promising uses for new technologies. Specifically, we see opportunities in some "old economy" sectors such as utilities, diversified financials, and food, beverages and tobacco where some companies are leveraging their skills, assets and competitive positions to take advantage of the Internet. With respect to countries, we continue to overweight Japan and underweight the U.S. However, we have reduced the underweight to the U.S. from - 8.95 at the end of the first quarter to -1.98 at the end of the second quarter. We have also reduced our Japanese overweight from 6.09 at the end of the first quarter to 0.52 at the end of the second quarter. The increased weight in the U.S. is allocated to sectors we estimate to be undervalued including materials, transportation and healthcare equipment/services. ================================================== 18 Global Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS Total Return -------------------------------------------------- Investment Funds --------------------------------------------------------------------------------
6 months 1 year 3 years Inception* ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 -------------------------------------------------------------------------------- UBS Investment Fund - Global Equity - 2.90% 1.96% 6.41% 11.77% -------------------------------------------------------------------------------- MSCI World Equity (Free) Index - 2.49 12.39 15.13 16.51 --------------------------------------------------------------------------------
* Inception date of the UBS Investment Fund- Global Equity is 7/31/95. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. -------------------------------------------------- Illustration of an Assumed Investment of $10,000 -------------------------------------------------- This chart shows the growth in the value of an investment in the UBS Investment Fund - Global Equity and the MSCI World Equity (Free) Index if you had invested $10,000 on July 31, 1995, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. UBS Investment Fund - Global Equity vs. MSCI World Equity (Free) Index Wealth Value with Dividends Reinvested [GRAPH]
Label A B ----------------------------------------------------- Label Date UBS Global Fund MSCI Benchmark ----------------------------------------------------- 1 7/31/95 10,000 10,000 ----------------------------------------------------- 2 8/31/95 10,155 9,777 ----------------------------------------------------- 3 9/30/95 10,329 10,066 ----------------------------------------------------- 4 10/31/95 10,300 9,909 ----------------------------------------------------- 5 11/30/95 10,667 10,255 ----------------------------------------------------- 6 12/31/95 10,993 10,556 ----------------------------------------------------- 7 1/31/96 11,312 10,753 ----------------------------------------------------- 8 2/29/96 11,354 10,818 ----------------------------------------------------- 9 3/31/96 11,539 10,998 ----------------------------------------------------- 10 4/30/96 11,858 11,256 ----------------------------------------------------- 11 5/31/96 11,889 11,265 ----------------------------------------------------- 12 6/30/96 11,925 11,325 ----------------------------------------------------- 13 7/31/96 11,544 10,925 ----------------------------------------------------- 14 8/31/96 11,739 11,054 ----------------------------------------------------- 15 9/30/96 12,110 11,488 ----------------------------------------------------- 16 10/31/96 12,152 11,567 ----------------------------------------------------- 17 11/30/96 12,760 12,219 ----------------------------------------------------- 18 12/31/96 12,787 12,025 ----------------------------------------------------- 19 1/31/97 12,899 12,172 ----------------------------------------------------- 20 2/28/97 13,067 12,311 ----------------------------------------------------- 21 3/31/97 13,011 12,064 ----------------------------------------------------- 22 4/30/97 13,067 12,460 ----------------------------------------------------- 23 5/31/97 13,832 13,231 ----------------------------------------------------- 24 6/30/97 14,351 13,889 ----------------------------------------------------- 25 7/31/97 14,813 14,531 ----------------------------------------------------- 26 8/31/97 14,125 13,547 ----------------------------------------------------- 27 9/30/97 14,711 14,284 ----------------------------------------------------- 28 10/31/97 13,900 13,534 ----------------------------------------------------- 29 11/30/97 13,888 13,771 ----------------------------------------------------- 30 12/31/97 14,048 13,939 ----------------------------------------------------- 31 1/31/98 14,271 14,330 ----------------------------------------------------- 32 2/28/98 15,138 15,299 ----------------------------------------------------- 33 3/31/98 15,757 15,943 ----------------------------------------------------- 34 4/30/98 15,720 16,099 ----------------------------------------------------- 35 5/31/98 15,658 15,704 ----------------------------------------------------- 36 6/30/98 15,520 16,276 ----------------------------------------------------- 37 7/31/98 15,433 16,251 ----------------------------------------------------- 38 8/31/98 13,734 14,085 ----------------------------------------------------- 39 9/30/98 13,932 14,335 ----------------------------------------------------- 40 10/31/98 14,850 15,634 ----------------------------------------------------- 41 11/30/98 15,408 16,565 ----------------------------------------------------- 42 12/31/98 15,897 17,370 ----------------------------------------------------- 43 1/31/99 15,897 17,752 ----------------------------------------------------- 44 2/28/99 15,404 17,280 ----------------------------------------------------- 45 3/31/99 15,885 17,997 ----------------------------------------------------- 46 4/30/99 16,960 18,709 ----------------------------------------------------- 47 5/31/99 16,340 18,020 ----------------------------------------------------- 48 6/30/99 16,960 18,858 ----------------------------------------------------- 49 7/31/99 16,884 18,802 ----------------------------------------------------- 50 8/31/99 16,605 18,767 ----------------------------------------------------- 51 9/30/99 16,137 18,591 ----------------------------------------------------- 52 10/31/99 16,340 19,556 ----------------------------------------------------- 53 11/30/99 16,745 20,106 ----------------------------------------------------- 54 12/31/99 17,809 21,734 ----------------------------------------------------- 55 1/31/2000 16,582 20,491 ----------------------------------------------------- 56 2/29/2000 16,248 20,544 ----------------------------------------------------- 57 3/31/2000 16,791 21,966 ----------------------------------------------------- 58 4/30/2000 16,610 21,036 ----------------------------------------------------- 59 5/31/2000 16,736 20,504 ----------------------------------------------------- 60 6/30/2000 17,285 21,194 -----------------------------------------------------
Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. =================================================== 19 Global Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS Investment Funds Market Allocation As of June 30, 2000 Current Benchmark Strategy -------------------------------------- U.S. 49.3% 46.8% Australia 1.3 3.2 Austria 0.1 0.0 Belgium 0.4 0.8 Canada 2.6 1.5 Denmark 0.4 0.3 Finland 1.5 1.7 France 5.5 5.5 Germany 4.1 1.5 Hong Kong 1.0 0.6 Ireland 0.2 0.6 Italy 2.1 1.5 Japan 12.9 13.6 Netherlands 2.6 3.6 New Zealand 0.1 0.0 Norway 0.2 0.0 Portugual 0.2 0.2 Singapore 0.5 0.6 Spain 1.3 2.7 Sweden 1.5 2.2 Switzerland 2.8 1.8 United Kingdom 9.4 11.3 Cash Reserves 0.0 0.0 -------------------------------------- 100.0% 100.0% Top Ten U.S. Equity Holdings As of June 30, 2000 Percent of Net Assets -------------------------------------- 1. Microsoft Corp. 2.00% 2. Johnson & Johnson Co. 1.57 3. PepsiCo, Inc. 1.45 4. Alza Corp. 1.38 5. FedEx Corp. 1.34 6. Advanced Micro Devices, Inc. 1.33 7. Texas Instruments, Inc. 1.31 8. CIGNA Corp. 1.29 9. SBC Communications, Inc. 1.25 10. Wells Fargo and Co. 1.23 -------------------------------------- Currency Allocation As of June 30, 2000 Current Benchmark Strategy -------------------------------------- U.S. 49.3% 44.3% Australia 1.3 9.2 Canada 2.6 2.6 Denmark 0.4 0.4 Euro 18.0 31.9 Hong Kong 1.0 0.0 Japan 12.9 5.0 New Zealand 0.1 0.2 Norway 0.2 0.2 Singapore 0.5 0.5 Sweden 1.5 1.5 Switzerland 2.8 2.8 United Kingdom 9.4 1.4 -------------------------------------- 100.0% 100.0% Top Ten Global (Ex-U.S.) Equity Holdings As of June 30, 2000 Percent of Net Assets ------------------------------------------------- 1. Banque Nationale de Paris 1.21% 2. Canon, Inc. 1.09 3. Bayer AG 1.02 4. Diageo PLC 1.01 5. Heineken NV 1.01 6. Nippon Telegraph & Telephone Corp. 0.95 7. Honda Motor Co. 0.94 8. National Australia Bank Ltd., Preferred 0.90 9. Kao Corp. 0.89 10. Nycomed Amersham PLC 0.85 ------------------------------------------------- ================================================= 20 Global Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS Industry Diversification Imvestment Funds As a Percent of Net Assets As of June 30, 2000 ------------------------------------------------------- U.S. EQUITIES Energy.............................. 1.67% Capital Investment Capital Goods....................... 0.40 Electronic Components............... 2.23 Technology.......................... 1.64 ------ 4.27 Basic Industries Chemicals........................... 1.95 Housing/Paper....................... 2.22 Metals.............................. 1.75 ------ 5.92 Computers Software............................ 2.00 Systems............................. 0.69 ------ 2.69 Consumer Autos/Durables...................... 0.74 Health: Drugs....................... 3.63 Health: Non-Drugs................... 3.78 Non-Durables........................ 1.45 Retail/Apparel...................... 2.77 ------ 12.37 Financial Banks............................... 2.21 Non-Banks........................... 2.41 ------ 4.62 Telecommunications Services 3.22 Transportation........................ 2.55 Services/Misc......................... 3.77 Utilities............................. 1.59 ------ Total U.S. Equities........... 42.67 Global (Ex-U.S.) EQUITIES Aerospace & Military.................. 0.44% Appliances & Household................ 1.10 Autos/Durables........................ 0.94 Banking............................... 8.06 Beverages and Tobacco................. 3.03 Broadcasting & Publishing............. 3.26 Building Materials.................... 0.17 Business & Public Service............. 1.47 Chemicals............................. 2.71 Consumer.............................. 0.01 Data Processing....................... 1.09 Electric Components................... 2.07 Electronics........................... 0.72 Energy................................ 1.15 Financial Services.................... 2.29 Food & House Products................. 3.02 Forest Products....................... 0.67 Health & Personal Care................ 3.16 Industrial Components................. 0.41 Insurance............................. 2.36 Machinery & Engineering............... 0.49 Merchandising......................... 0.87 Multi-Industry........................ 0.28 Non-Ferrous Metals.................... 0.25 Real Estate........................... 1.06 Recreation............................ 1.06 Textile & Apparel..................... 0.21 Telecommunications.................... 4.98 Transportation........................ 0.98 Utilities............................. 2.86 ------ Total Global (Ex-U.S.) Equities... 51.17 SHORT-TERM INVESTMENTS................ 3.56 ------ TOTAL INVESTMENTS................. 97.40 CASH AND OTHER ASSETS, LESS LIABILITIES.................... 2.60 ------ NET ASSETS............................ 100.00% ====== =============================================== 21 Global Equity Fund -- Schedule of Investments June 30, 2000 ------------------------------------------------------------------------- Shares Value ------ ----------- Equities -- 93.84% U.S. Equities -- 42.67% Advanced Micro Devices, Inc. (b)........... 11,900 $ 919,275 Allergan, Inc.............................. 7,500 558,750 Alza Corp. (b)............................. 16,100 951,912 American Electric Power Co., Inc........... 15,480 458,595 Baxter International, Inc.................. 7,800 548,437 Bristol-Myers Squibb Co.................... 7,800 454,350 Burlington Northern Santa Fe Corp.......... 36,300 832,631 CIGNA Corp................................. 9,500 888,250 Compaq Computer Corp....................... 10,200 260,738 Computer Sciences Corp. (b)................ 6,900 515,344 Compuware Corp. (b)........................ 32,300 335,112 CVS Corp................................... 8,000 320,000 Dell Computer Corp. (b).................... 9,600 473,400 Dominion Resources, Inc.................... 10,600 454,475 E.I. du Pont de Nemours and Co............. 4,100 179,375 Electronic Data Systems Corp............... 5,200 214,500 Emerson Electric Co........................ 10,500 633,937 Exxon Mobil Corp........................... 8,900 698,650 Federated Department Stores, Inc. (b)...... 4,200 141,750 FedEx Corp. (b)............................ 24,300 923,400 First Data Corp............................ 15,004 744,573 Fort James Corp............................ 12,500 289,063 Gateway, Inc. (b).......................... 5,600 317,800 Genzyme Corp. (b).......................... 6,400 380,400 GreenPoint Financial Corp.................. 11,700 219,375 Household International, Inc............... 11,700 486,281 Illinois Tool Works, Inc................... 8,700 495,900 Johnson & Johnson Co....................... 10,600 1,079,875 Kimberly-Clark Corp........................ 10,400 596,700 Lafarge Corp............................... 3,900 81,900 Lear Corp. (b)............................. 11,900 238,000 Lexmark International Group, Inc. (b)...... 4,100 275,725 Lincoln National Corp...................... 10,900 393,762 Masco Corp................................. 39,200 708,050 Mattel, Inc................................ 18,600 245,288 Microsoft Corp. (b)........................ 17,200 1,376,000 Motorola, Inc.............................. 17,715 514,842 New York Times Co.......................... 14,500 572,750 Newell Rubbermaid, Inc..................... 7,400 190,550 Nextel Communications, Inc. (b)............ 6,900 422,194 Peco Energy Co............................. 15,910 641,372 PepsiCo, Inc............................... 22,400 995,400 PNC Bank Corp.............................. 5,900 276,563 Praxair, Inc............................... 6,600 247,088 Raytheon Co., Class B...................... 14,700 282,975 Reliaster Financial Corp................... 3,400 178,288 SBC Communications, Inc.................... 19,900 860,675 Smurfit-Stone Container Corp. (b).......... 24,800 319,300 Southdown, Inc............................. 4,176 241,164 St. Jude Medical, Inc. (b)................. 12,900 591,787 Tellabs, Inc. (b).......................... 6,100 417,469 Texas Instruments, Inc..................... 13,100 899,806 U.S. Bancorp............................... 9,263 178,313 Unisys Corp. (b)........................... 19,000 276,688 W.W. Grainger, Inc......................... 8,900 274,231 Wal-Mart Stores, Inc....................... 12,700 731,837 Watson Pharmaceutical Co. (b).............. 9,900 $ 532,125 Wells Fargo and Co......................... 21,900 848,625 XL Capital Ltd............................. 3,700 200,263 ----------- Total U.S. Equities........................ 29,385,878 ----------- Global (Ex-U.S.) Equities -- 51.17% Australia -- 3.14% Broken Hill Proprietary Co., Ltd........... 27,650 327,870 Lend Lease Corp., Ltd...................... 11,294 144,487 National Australia Bank Ltd., Preferred.... 21,900 620,044 News Corp., Ltd............................ 22,540 311,259 QBE Insurance Group Ltd.................... 25,789 126,533 Rio Tinto Ltd.............................. 10,263 170,185 Westpac Banking Corp., Ltd................. 64,145 464,076 ----------- 2,164,454 ----------- Belgium -- 0.79% Electrabel S.A............................. 1,530 379,717 Fortis B................................... 5,542 161,927 ----------- 541,644 ----------- Canada -- 1.45% Canadian National Railway Co............... 13,300 386,873 NOVA Chemicals Corp........................ 14,200 298,050 Shaw Communications, Inc., Class B......... 12,700 312,850 ----------- 997,773 ----------- Denmark -- 0.28% Tele Danmark A/S........................... 2,900 196,006 ----------- Finland -- 1.36% Metso Oyj.................................. 22,300 269,347 Nokia Oyj.................................. 4,000 204,948 UPM-Kymmene Corp........................... 18,500 461,086 ----------- 935,381 ----------- France -- 5.35% Air Liquide................................ 3,676 481,352 Banque Nationale de Paris.................. 8,602 831,183 Cie de Saint Gobain........................ 876 118,906 CSF Thomson................................ 7,465 295,254 Groupe Danone.............................. 1,860 247,836 Rhone-Poulenc, Class A..................... 6,390 468,290 Schneider S.A.............................. 6,150 430,362 Total Fina S.A., Class B................... 3,029 466,317 Vivendi.................................... 3,899 345,539 ----------- 3,685,039 ----------- Germany -- 1.43% Bayer AG................................... 18,190 699,220 Continental AG............................. 16,850 284,282 ----------- 983,502 ----------- Hong Kong -- 0.59% Cheung Kong Holdings, Ltd.................. 20,000 221,287 Guoco Group Ltd............................ 93,000 186,709 ----------- 407,996 ----------- Ireland -- 0.55% Bank of Ireland............................ 41,200 258,884 Eircom PLC................................. 45,100 121,052 ----------- 379,936 ----------- ========================================================================= 22 Global Equity Fund -- Schedule of Investments June 30, 2000 ---------------------------------------------------------------------- Shares Value ------ ----- Italy -- 1.45% San Paolo-imi Spa......................... 19,811 $ 353,039 Telecom Italia Mobile Spa................. 43,800 449,257 Telecom Italia Spa........................ 14,000 193,253 ----------- 995,549 ----------- Japan -- 13.08% Acom Co., Ltd............................. 3,300 278,210 Bank of Tokyo-Mitsubushi Ltd.............. 42,000 508,501 Benesse Corp.............................. 3,600 250,083 Canon, Inc................................ 15,000 748,547 Dai-Ichi Kangyo Bank...................... 38,000 289,117 Fuji Photo Film Co., Ltd.................. 11,000 451,207 Honda Motor Co............................ 19,000 648,268 Hoya Corp................................. 2,000 179,576 Kao Corp.................................. 20,000 612,447 Mitsubishi Chemical Corp.................. 94,000 386,466 Mitsubishi Estate Co., Ltd................ 31,000 365,654 NEC Corp.................................. 6,000 188,838 Nintendo Corp., Ltd....................... 1,600 280,062 Nippon Telegraph & Telephone Corp......... 49 652,994 Nissin Food Products Co................... 21,500 548,651 Nomura Securities Co., Ltd................ 20,000 490,525 Orix Corp................................. 2,900 428,949 Secom Co., Ltd............................ 2,000 146,496 Sony Corp................................. 5,500 514,626 Takeda Chemical Industries................ 6,000 394,688 TDK Corp.................................. 2,000 288,077 Toyoda Automatic Loom Works............... 3,000 65,073 West Japan Railway Co..................... 71 288,550 ----------- 9,005,605 ----------- Netherlands -- 3.49% Aegon NV.................................. 6,760 241,514 Heineken NV............................... 17,700 692,261 ING Groep NV.............................. 5,612 380,879 Philips Electronics NV.................... 11,100 525,638 TNT Post Group NV......................... 10,089 273,214 Wolters Kluwer NV......................... 10,689 285,876 ----------- 2,399,382 ----------- Portugal -- 0.23% Electricidade de Portugal S.A............. 8,700 158,623 ----------- Singapore -- 0.55% Singapore Press Holdings Ltd.............. 13,046 203,726 United Overseas Bank Ltd.................. 26,512 173,271 ----------- 376,997 ----------- Spain -- 2.55% Banco Popular Espanol S.A................. 15,203 472,184 Banco Santander Central Hispano S.A....... 24,155 255,862 Endesa S.A................................ 7,814 151,982 Tabacalera S.A............................ 33,726 520,184 Telefonica S.A. (b)....................... 16,532 356,570 ----------- 1,756,782 ----------- Sweden -- 2.16% Electrolux AB, B Shares................... 14,950 $ 232,662 Ericsson, B Shares........................ 21,560 428,939 Investor AB, B Shares..................... 14,170 194,674 Nordbanken Holding AB..................... 60,100 455,666 Swedish Match AB.......................... 57,700 178,935 ----------- 1,490,876 ----------- Switzerland -- 1.72% Givaudan (b).............................. 14 4,275 Nestle S.A. (Reg.)........................ 145 291,141 Novartis AG (Reg.)........................ 212 336,885 Roche Holding AG (Gen.)................... 13 126,954 Swiss Reinsurance Co. (Reg.).............. 207 423,267 ----------- 1,182,522 ----------- United Kingdom -- 11.00% Allied Zurich PLC......................... 31,975 378,298 AstraZeneca PLC........................... 5,639 263,361 British Telecommunications PLC............ 23,000 297,358 Diageo PLC................................ 77,630 696,913 FKI PLC................................... 86,405 307,398 HSBC Holdings PLC......................... 25,000 285,936 Lloyds TSB Group PLC...................... 42,220 398,838 National Power PLC........................ 50,500 321,861 Nycomed Amersham PLC...................... 59,000 585,936 Pentokil Initial PLC...................... 63,800 144,880 Powergen PLC.............................. 59,000 504,655 Prudential Corp. PLC...................... 20,000 293,089 Reckitt & Colman PLC...................... 13,000 145,636 Reed International PLC.................... 67,000 583,226 Scottish & Southern Energy PLC............ 49,650 455,498 Tesco PLC................................. 80,250 249,661 The Great Universal Stores PLC............ 54,000 347,438 Trinity Mirror PLC........................ 21,175 190,096 Unilever PLC.............................. 39,000 236,167 United News & Media PLC................... 25,000 359,549 Vodafone Group PLC........................ 131,188 530,273 ----------- 7,576,067 ----------- Total Global (Ex-U.S.) Equities........... 35,234,134 ----------- Total Equities (Cost $56,332,868)......... 64,620,012 ----------- Short-Term Investments -- 3.56% Investment Companies -- 3.56% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $2,453,941)....................... 2,453,941 2,453,941 ----------- Total Investments (Cost $58,786,809) -- 97.40% (a)........ 67,073,953 Cash and other assets, less liabilities -- 2.60%.............. 1,789,330 ----------- Net Assets -- 100%........................ $68,863,283 =========== See accompanying notes to schedule of investments. =========================================================================== 23 Global Equity Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $59,974,004; and net unrealized appreciation consisted of: Gross unrealized appreciation........................................ $ 12,365,192 Gross unrealized depreciation........................................ (5,265,243) ------------ Net unrealized appreciation.................................... $ 7,099,949 ============
(b) Non-income producing security FORWARD FOREIGN CURRENCY CONTRACTS The Global Equity Fund had the following open forward foreign currency contracts as of June 30, 2000:
Settlement Local Current Unrealized Date Currency Value Gain/(Loss) ---------- ---------- ----------- ----------- Forward Foreign Currency Buy Contracts Australian Dollar............................... 12/01/00 7,600,000 $ 4,577,458 $ 230,258 British Pound................................... 12/01/00 900,000 1,366,929 5,439 Canadian Dollar................................. 12/01/00 800,000 542,160 (4,774) Euro............................................ 12/01/00 12,540,000 12,134,114 358,406 Singapore Dollar................................ 12/01/00 700,000 412,014 (2,678) Swiss Francs.................................... 12/01/00 1,000,000 623,729 19,864 Forward Foreign Currency Sale Contracts British Pound................................... 12/01/00 5,300,000 8,049,695 (156,935) Euro............................................ 12/01/00 2,000,000 1,935,265 2,135 Hong Kong Dollar................................ 12/01/00 2,300,000 295,233 (345) Japanese Yen.................................... 12/01/00 628,000,000 6,107,814 (25,372) Singapore Dollar................................ 12/01/00 700,000 412,014 (1,216) Swedish Krona................................... 12/01/00 3,500,000 403,291 (11,169) ----------- Total.................................... $ 413,613 ===========
================================================================================ 24 See accompanying notes to financial statements. Global Technology Fund -------------------------------------------------------------------------------- [LOGO] UBS After a serious correction lasting about eight weeks, Investment Funds technology stocks staged a rapid two-week recovery beginning in the last week of May. During the remainder of the month of June there was mostly steady recovery, with a few very significant gains. Computer hardware and software were the best industry groups in June, rising about 20%. Semiconductors and optoelectronics were also strong, while technology services declined. The serious April-May correction reminded investors that it can be difficult to invest in the long-term growth opportunity of technology stocks. While a decline in value is always painful, we have maintained our perspective and kept our eyes on the strong growth opportunities available to our Fund's companies. The April-May slump and the relatively slow continuing recovery have enabled the Fund to selectively accumulate positions at very favorable discounts from previously higher prices. We see many very attractively undervalued technology stocks, especially among the less well known names, as well as continued strength in the global demand for technology products and services. We expect better investment results going forward, particularly in the second half of the year, a traditionally strong season for technology stocks. Significant changes in the competitive structure of the computer and communications industries will occur over the next year as new technological solutions meet the seemingly infinite demand for Internet access devices and communications bandwidth. We are particularly excited about the opportunities for the smaller telecom services providers, who are in a good position to deliver broadband Internet access to a wide range of business and consumer markets. ======================================================= 25 Global Technology Fund -------------------------------------------------------------------------------- [LOGO] UBS Top Ten Equity Holdings Investment Funds As of June 30, 2000 Percent of Net Assets ------------------------------------------------------ 1. Micron Technology, Inc. 4.57% 2. Nortel Networks Corp. 4.13 3. EMC Corp. 3.99 4. Yahoo!, Inc. 3.21 5. STMicroelectronics N.V 3.06 6. Oracle Corp. 2.91 7. International Business Machines Corp. 2.84 8. Compaq Computer Corp. 2.65 9. SAP AG 2.43 10. Texas Instruments, Inc. 2.37 ------------------------------------------------------ Industry Diversification As a Percent of Net Assets As of June 30, 2000 ------------------------------------------------------- U.S. EQUITIES Computers Services............................... 6.15% Software............................... 8.94 Systems................................ 16.87 ------ 31.96 Electronic Components..................... 23.51 Internet Services......................... 6.74 Telecommunications Equipment.............................. 11.24 Services............................... 6.41 ------ 17.65 ------ Total U.S. Equities................ 79.86 GLOBAL (EX-U.S.) EQUITIES Computers Software............................... 2.44% Systems................................ 0.63 ------ 3.07 Electronic Components..................... 5.70 Telecommunications Equipment.............................. 3.54 Services............................... 0.68 ------ 4.22 ------ Total Global (Ex-U.S.) Equities........ 12.99 SHORT-TERM INVESTMENTS.................... 1.55 ------ TOTAL INVESTMENTS.................. 94.40 CASH AND OTHER ASSETS, LESS LIABILITIES....................... 5.60 ------ NET ASSETS................................ 100.00% ====== ======================================================= 26 Global Technology Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value ---------- ---------- Equities -- 92.85% U.S. Equities -- 79.86% Advanced Micro Devices, Inc. (b)................ 100 $ 7,725 Agilent Technologies, Inc (b)................... 19 1,401 Amazon.com, Inc. (b)............................ 150 5,447 America On-Line, Inc. (b)....................... 200 10,550 Amkor Technologies, Inc. (b).................... 200 7,062 Applied Material, Inc. (b)...................... 150 13,594 Atmel Corp. (b)................................. 200 7,375 Broadcom Corp. (b).............................. 50 10,947 Cisco Systems, Inc. (b)......................... 200 12,713 Comdisco, Inc................................... 200 4,463 Compaq Computer Corp............................ 600 15,337 Computer Associates International, Inc.......... 200 10,237 Computer Sciences Corp. (b)..................... 150 11,203 Covad Communications Group, Inc. (b)............ 200 3,225 Electronic Data Systems Corp.................... 150 6,188 EMC Corp. (b)................................... 300 23,081 Emcore Corp. (b)................................ 100 12,000 eMerge Interactive, Inc. (b).................... 200 3,588 Flextronics International Ltd................... 50 3,435 Gateway, Inc. (b)............................... 50 2,838 Hewlett-Packard Co.............................. 50 6,244 Inprise Corp. (b)............................... 400 2,450 Intel Corp...................................... 50 6,684 International Business Machines Corp............ 150 16,434 Intuit, Inc. (b)................................ 300 12,412 Jabil Circuit, Inc. (b)......................... 100 4,963 JDA Software Group, Inc. (b).................... 100 1,919 JDS Uniphase Corp. (b).......................... 100 11,987 KLA-Tencor Corp. (b)............................ 150 8,784 Leap Wireless International, Inc. (b)........... 100 4,700 Linear Technology Corp.......................... 150 9,591 Lucent Technologies, Inc........................ 200 11,850 Micron Technology, Inc. (b)..................... 300 26,419 Motorola, Inc................................... 450 13,078 Network Plus Corp. (b).......................... 650 9,222 Oracle Corp. (b)................................ 200 16,812 PeopleSoft, Inc. (b)............................ 650 10,887 Phone.com, Inc. (b)............................. 100 6,513 QUALCOMM, Inc. (b).............................. 200 12,000 Red Hat, Inc. (b)............................... 50 1,353 Safeguard Scientifics, Inc. (b)................. 50 1,603 Sipex Corp. (b)................................. 50 1,384 Solectron Corp. (b)............................. 100 4,188 Sun Microsystems, Inc. (b)...................... 150 13,641 Sykes Enterprises, Inc. (b)..................... 200 $ 2,575 Texas Instruments, Inc.......................... 200 13,738 Titan Corp. (b)................................. 150 6,712 Uniroyal Technology Corp. (b)................... 100 1,106 VerticalNet, Inc. (b)........................... 100 3,694 Winstar Communications, Inc. (b)................ 250 8,469 Worldcom, Inc. (b).............................. 250 11,469 Xilinx, Inc. (b)................................ 100 8,256 Yahoo!, Inc. (b)................................ 150 18,581 ---------- Total U.S. Equities............................. 462,127 ---------- Global (Ex-U.S.) Equities -- 12.99% Bermuda -- 0.68% Global Crossing Ltd. (b)........................ 150 3,947 ---------- Canada -- 4.13% Nortel Networks Corp............................ 350 23,887 ---------- France -- 3.06% STMicroelectronics N.V.......................... 276 17,716 ---------- Germany -- 4.49% Infineon Technologies AG (b).................... 150 11,888 SAP AG.......................................... 300 14,081 ---------- 25,969 ---------- Switzerland -- 0.63% Logitech International SA (b)................... 50 3,650 ---------- Total Global (Ex-U.S.) Equities................. 75,169 ---------- Total Equities (Cost $490,560).................. 537,296 ---------- Short-Term Investments -- 1.55% Investment Companies -- 1.55% Vista U.S. Government Money Market Fund (Cost $8,983)................... 8,983 8,983 ---------- Total Investments (Cost $499,543) -- 94.40% (a)................... 546,279 Cash and other assets, less liabilities -- 5.60%....................... 32,381 ---------- Net Assets -- 100%.............................. $ 578,660 ========== NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $500,976; and net unrealized appreciation consisted of: Gross unrealized appreciation.................. $ 59,362 Gross unrealized depreciation.................. (14,059) -------- Net unrealized appreciation............... $ 45,303 ======== (b) Non-income producing security ================================================================================ See accompanying notes to financial statements. 27 Global Biotech Fund -------------------------------------------------------------------------------- [LOGO] UBS Volatility initiated in March in the biotech Investment Funds sector continued into the second quarter of 2000, with the biotech indices bottoming in May followed by a substantial rally in June. The NASDAQ Biotech Index increased 11% during the second quarter. Biotech performance was in line with the pharmaceutical sector, but continued to outperform the general market and the small capitalization market. The biotech rally became more selective in the second quarter. Only 41% of 351 publicly traded stocks had positive returns, whereas in the first quarter of 2000 and the fourth quarter of 1999 the positive returns were 84% and 70%, respectively. Biotech investors flocked to larger companies in the second quarter, with 77% of the stocks enjoying positive returns, versus only 31% for small cap biotechs. In 2000, the biotech industry will continue to move into a more mature stage as an increasing number of companies generate sales and reach profitability. With more than 800 products in clinical trial development, we expect several research breakthroughs in the next few years, particularly in the treatment of diabetes, asthma, allergies, psoriasis, cancer, heart and vessel disease, and autoimmune diseases. If we extend our horizon to the next five to ten years, we are firmly convinced that the human genome sequence map(s) will be another strong growth driver for this industry. In the interim, we expect continued consolidation in this industry. Pharmaceutical companies will probably continue to buy biotech companies and large biotechs will keep buying smaller biotechs. Momentum players will come and go in this sector and contribute to short-term volatility, but they will have little impact on the promising long-term picture that is developing in this area. We remain focused on identifying promising new companies with strong drug pipelines that will produce handsome long-term returns for patient investors. ================================================== 28 Global Biotech Fund -------------------------------------------------------------------------------- [LOGO] UBS Top Ten Equity Holdings Investment Funds As of June 30, 2000 Percent of Net Assets -------------------------------------------------- 1. Amgen, Inc. 4.18% 2. Human Genome Sciences, Inc. 3.97 3. Protein Design Labs, Inc. 3.93 4. COR Therapeutics, Inc. 3.55 5. Celgene Corp. 3.50 6. Millennium Pharmaceuticals, Inc. 3.33 7. QLT, Inc. 3.22 8. Vertex Pharmaceuticals, Inc. 3.13 9. Genentech, Inc. 3.07 10. CV Therapeutics, Inc. 2.89 -------------------------------------------------- Industry Diversification As a Percent of Net Assets As of June 30, 2000 -------------------------------------------------- U.S. EQUITIES Biomedical.......................... 15.79% Gene................................ 4.97 Health: Drugs....................... 17.62 Medical Products.................... 4.10 Therapeutics........................ 14.35 Research and Development............ 17.16 ------ Total U.S. Equities......... 73.99 GLOBAL (Ex-U.S.) EQUITIES Gene................................ 2.01% Health: Drugs....................... 4.24 Therapeutics........................ 3.22 ------ Total Global (Ex-U.S.) Equities..... 9.47 SHORT-TERM INVESTMENTS................. 4.39 ------ TOTAL INVESTMENTS........... 87.85 CASH AND OTHER ASSETS, LESS LIABILITIES.................... 12.15 ------ NET ASSETS............................. 100.00% ====== ==================================================== 29 Global Biotech Fund -- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Shares Value ---------- --------- Equities -- 83.46% U.S. Equities -- 73.99% Abgenix, Inc. (b)................................................................. 150 $ 17,979 Affymetrix, Inc. (b).............................................................. 50 8,256 Alkermes, Inc. (b)................................................................ 150 7,069 American Home Products Corp....................................................... 100 5,875 Amgen, Inc. (b)................................................................... 500 35,125 Aurora Biosciences Corp. (b)...................................................... 150 10,228 Biogen, Inc. (b).................................................................. 100 6,450 Celgene Corp. (b)................................................................. 500 29,437 Cephalon, Inc. (b)................................................................ 300 17,962 Chiron Corp. (b).................................................................. 500 23,750 COR Therapeutics, Inc. (b)........................................................ 350 29,859 CV Therapeutics, Inc. (b)......................................................... 350 24,259 Enzon, Inc. (b)................................................................... 200 8,500 Geltex Pharmaceuticals, Inc. (b).................................................. 350 7,153 Genentech, Inc. (b)............................................................... 150 25,800 Genzyme Corp. (b)................................................................. 300 17,831 Gilead Sciences, Inc. (b)......................................................... 150 10,669 Guilford Pharmaceuticals, Inc. (b)................................................ 250 3,766 Human Genome Sciences, Inc. (b)................................................... 250 33,344 Idec Pharmaceuticals Corp. (b).................................................... 200 23,462 Immunex Corp. (b)................................................................. 450 22,247 Inhale Therapeutic Systems, Inc. (b).............................................. 100 10,147 Johnson & Johnson Co.............................................................. 100 10,188 Luminex Corp. (b)................................................................. 50 2,081 Maxim Pharmaceuticals, Inc. (b)................................................... 250 12,844 Medarex, Inc. (b)................................................................. 200 16,900 Medimmune, Inc. (b)............................................................... 300 22,200 Millennium Pharmaceuticals, Inc. (b).............................................. 250 27,969 Myriad Genetics, Inc. (b)......................................................... 100 14,808 PE Corp. -- Biosystems Group...................................................... 150 9,881 PE Corp. -- Celera Genomics Group (b)............................................. 200 18,700 Pfizer, Inc....................................................................... 150 7,200 Protein Design Labs, Inc. (b)..................................................... 200 32,991 Sangstat Medical Corp. (b)........................................................ 250 7,219 Schering Plough Corp.............................................................. 150 7,575 Tanox, Inc. (b)................................................................... 200 9,463 United Therapeutics Corp. (b)..................................................... 150 16,256 Vertex Pharmaceuticals, Inc. (b).................................................. 250 26,344 --------- Total U.S. Equities............................................................... 621,787 --------- Global (Ex-U.S.) Equities -- 9.47% Canada -- 3.22% QLT, Inc.......................................................................... 350 $ 27,060 --------- Denmark -- 1.02% Novo Nordisk A/S.................................................................. 50 8,545 --------- France -- 0.41% Genset S.A........................................................................ 150 3,469 --------- Switzerland -- 1.99% Serono S.A. (b)................................................................... 20 16,727 --------- United Kingdom -- 2.83% Cambridge Antibody Technology Group PLC (b)................................................................... 300 13,443 Shire Pharmaceuticals Group PLC (b)............................................... 200 10,375 --------- 23,818 --------- Total Global (Ex-U.S.) Equities................................................... 79,619 --------- Total Equities (Cost $601,199).................................................... 701,406 --------- Short-Term Investments -- 4.39% Investment Companies -- 4.39% Vista U.S. Government Money Market Fund (Cost $36,889)...................................................... 36,889 36,889 --------- Total Investments (Cost $638,088)-- 87.85% (a).................................................... 738,295 Cash and other assets, less liabilities -- 12.15%...................................................... 102,143 --------- Net Assets -- 100%................................................................ $ 840,438 ========= NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $638,743; and net unrealized appreciation consisted of: Gross unrealized appreciation..................................... $ 103,644 Gross unrealized depreciation..................................... (4,092) --------- Net unrealized appreciation............................... $ 99,552 =========
(b) Non-income producing security ================================================================================ See accompanying notes to financial statements. 30 Global Bond Fund -------------------------------------------------------------------------------- [LOGO] UBS Since its inception on July 31, 1995, the UBS Investment Funds Investment Fund - Global Bond has recorded an annualized return of 4.08%, versus the 3.17% return of its benchmark, the Salomon Smith Barney World Government Bond Index. This performance record was achieved with less risk or volatility than the benchmark; 5.39% versus 5.95%, respectively. For the calendar year-to-date, the Fund returned -0.77%, underperforming the benchmark return of 0.03%. During the second quarter, the Fund outperformed the benchmark by 49 basis points. In preemptive moves to combat inflation, most of the world's major central banks raised interest rates during the first quarter of 2000. The rate increases pushed up yields at the short end of the yield curve, while benign long-term inflationary expectations and government supply concerns pulled down long bond yields. This outlook was largely the same as it was in the last quarter of 1999, and during the first quarter bond yields in most markets fell to levels lower than at the beginning of the year. Our most significant strategy move in the first quarter was to reduce our overweight to Australia by half, after taking advantage of an Australian 10-year government yield decline of almost 100 basis points. With the proceeds, we moderately reduced our underweight to Japan. Despite some periods of volatility, long-term bond yields in most major markets finished the second quarter at levels similar to those at the end of March. Market sentiment was dominated by shifting expectations over the pace of economic growth and by the implications this had for the interest rate policies of central banks. The largest factor leading to Fund outperformance in the second quarter came from currency allocation, with the biggest contributions coming from our overweight to the euro and underweights to the British pound and the Japanese yen. In Australia, which was the strongest performing bond market during the period, we benefited from our overweight to government bonds. ======================================================= 31 Global Bond Fund -------------------------------------------------------------------------------- [LOGO] UBS Total Return Investment Funds
6 months 1 year 3 years Inception* ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 ------------------------------------------------------------------------------------------- UBS Investment Fund - Global Bond -0.77% -0.84% 1.33% 4.08% ------------------------------------------------------------------------------------------- Salomon Smith Barney World Gov't Bond Index 0.03 3.16 3.87 3.17 -------------------------------------------------------------------------------------------
*Inception date of the UBS Investment Fund - Global Bond is 7/31/95. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $10,000 This chart shows the growth in the value of an investment in the UBS Investment Fund - Global Bond and the Salomon Smith Barney World Government Bond Index if you had invested $10,000 on July 31, 1995, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. UBS Investment Fund - Global Bond vs. Salomon Smith Barney World Gov't Bond Index Wealth Value with Dividends Reinvested [GRAPH] $ 12,175 ---- UBS Investment Fund - Global Bond $ 11,656 ---- Salomon Smith Barney World Gov't Bond Index
------------------------------------------------------ Label A B Label Brinson Global B Salomon Smith B ------------------------------------------------------ 1 7/31/95 $10,000 $10,000 ------------------------------------------------------ 2 8/31/95 $10,104 $ 9,656 ------------------------------------------------------ 3 9/30/95 $10,218 $ 9,871 ------------------------------------------------------ 4 10/31/95 $10,388 $ 9,944 ------------------------------------------------------ 5 11/30/95 $10,587 $10,057 ------------------------------------------------------ 6 12/31/95 $10,722 $10,162 ------------------------------------------------------ 7 1/31/96 $10,776 $10,037 ------------------------------------------------------ 8 2/29/96 $10,658 $ 9,986 ------------------------------------------------------ 9 3/31/96 $10,701 $ 9,972 ------------------------------------------------------ 10 4/30/96 $10,808 $ 9,932 ------------------------------------------------------ 11 5/31/96 $10,829 $ 9,934 ------------------------------------------------------ 12 6/30/96 $10,917 $10,013 ------------------------------------------------------ 13 7/31/96 $11,036 $10,205 ------------------------------------------------------ 14 8/31/96 $11,113 $10,245 ------------------------------------------------------ 15 9/30/96 $11,287 $10,287 ------------------------------------------------------ 16 10/31/96 $11,527 $10,479 ------------------------------------------------------ 17 11/30/96 $11,734 $10,617 ------------------------------------------------------ 18 12/31/96 $11,654 $10,531 ------------------------------------------------------ 19 1/31/97 $11,484 $10,250 ------------------------------------------------------ 20 2/28/97 $11,484 $10,173 ------------------------------------------------------ 21 3/31/97 $11,313 $10,096 ------------------------------------------------------ 22 4/30/97 $11,240 $10,007 ------------------------------------------------------ 23 5/31/97 $11,569 $10,279 ------------------------------------------------------ 24 6/30/97 $11,703 $10,402 ------------------------------------------------------ 25 7/31/97 $11,654 $10,321 ------------------------------------------------------ 26 8/31/97 $11,606 $10,314 ------------------------------------------------------ 27 9/30/97 $11,837 $10,534 ------------------------------------------------------ 28 10/31/97 $11,984 $10,753 ------------------------------------------------------ 29 11/30/97 $11,825 $10,589 ------------------------------------------------------ 30 12/31/97 $11,791 $10,557 ------------------------------------------------------ 31 1/31/98 $11,892 $10,659 ------------------------------------------------------ 32 2/28/98 $11,968 $10,746 ------------------------------------------------------ 33 3/31/98 $11,829 $10,639 ------------------------------------------------------ 34 4/30/98 $11,980 $10,810 ------------------------------------------------------ 35 5/31/98 $11,968 $10,834 ------------------------------------------------------ 36 6/30/98 $11,970 $10,851 ------------------------------------------------------ 37 7/31/98 $11,957 $10,865 ------------------------------------------------------ 38 8/31/98 $12,097 $11,160 ------------------------------------------------------ 39 9/30/98 $12,671 $11,754 ------------------------------------------------------ 40 10/31/98 $12,938 $12,102 ------------------------------------------------------ 41 11/30/98 $12,849 $11,931 ------------------------------------------------------ 42 12/31/98 $13,156 $12,171 ------------------------------------------------------ 43 1/31/99 $13,130 $12,059 ------------------------------------------------------ 44 2/28/99 $12,717 $11,672 ------------------------------------------------------ 45 3/31/99 $12,691 $11,701 ------------------------------------------------------ 46 4/30/99 $12,717 $11,697 ------------------------------------------------------ 47 5/31/99 $12,478 $11,500 ------------------------------------------------------ 48 6/30/99 $12,278 $11,299 ------------------------------------------------------ 49 7/31/99 $12,506 $11,576 ------------------------------------------------------ 50 8/31/99 $12,452 $11,629 ------------------------------------------------------ 51 9/30/99 $12,560 $11,810 ------------------------------------------------------ 52 10/31/99 $12,493 $11,804 ------------------------------------------------------ 53 11/30/99 $12,305 $11,680 ------------------------------------------------------ 54 12/31/99 $12,270 $11,652 ------------------------------------------------------ 55 1/31/2000 $11,944 $11,404 ------------------------------------------------------ 56 2/29/2000 $11,876 $11,322 ------------------------------------------------------ 57 3/31/2000 $12,134 $11,673 ------------------------------------------------------ 58 4/30/2000 $11,700 $11,291 ------------------------------------------------------ 59 5/31/2000 $11,754 $11,379 ------------------------------------------------------ 60 6/31/2000 $12,175 $11,656 ------------------------------------------------------
Fund returns are not of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ======================================================= 32 Global Bond Fund -------------------------------------------------------------------------------- [LOGO] UBS Asset Allocation Investment Funds As of June 30, 2000 Current Benchmark Strategy ------------------------------------ U.S. 26.94% 29.94% Australia 0.58 2.58 Austria 1.03 0.00 Belgium 2.36 0.00 Canada 2.78 4.92 Denmark 1.16 4.16 Finland 0.66 0.00 France 7.77 12.95 Germany 8.03 5.69 Greece 0.74 0.00 Ireland 0.29 0.00 Italy 8.45 9.60 Japan 25.87 9.37 Netherlands 2.46 3.33 Portugal 0.50 0.00 Spain 3.09 6.01 Sweden 1.09 2.79 Switzerland 0.46 0.00 TIPS 0.00 1.75 U.K. 5.74 2.74 Euro 0.00 4.17 ----------------------------------- 100.0% 100.0% Currency Allocation As of June 30, 2000 Current Benchmark Strategy ------------------------------------ U.S. 26.9% 22.9% Australia 0.6 8.6 Canada 2.8 2.8 Denmark 1.2 1.2 Euro 35.3 47.2 Japan 25.9 15.9 Sweden 1.1 1.1 Switzerland 0.5 0.5 U.K. 5.7 -0.2 ----------------------------------- 100.0% 100.0% Industry Diversification As a Percent of Net Assets As of June 30, 2000 -------------------------------------------------------- U.S. BONDS Corporate Bonds................................. Construction.................................. 0.10% Consumer...................................... 0.97 Energy........................................ 0.22 Financial Services............................ 2.59 Food and Housing Products..................... 0.54 Publishing.................................... 0.29 Services/Miscellaneous........................ 1.03 ------ Total U.S. Corporate Bonds.............. 5.74 International Dollar Bonds...................... 1.12 Asset-Backed.................................... 2.47 Corporate Mortgage-Backed Securities............ 7.39 U.S. Government Agencies........................ 2.39 U.S. Government Mortgage-Backed Securities.................................... 6.01 U.S. Government Obligations..................... 6.89 ------ Total U.S. Bonds........................ 32.01 GLOBAL (EX-U.S.) BONDS Foreign Financial Bonds......................... 7.65 Foreign Government Bonds........................ 54.87 ------ Total Global (Ex-U.S.) Bonds............ 62.52 SHORT-TERM INVESTMENTS.......................... 11.89 ------ TOTAL INVESTMENTS....................... 106.42 LIABILITIES, LESS CASH AND OTHER ASSETS.............................. (6.42) ------ NET ASSETS...................................... 100.00% ======
======================================================= 33 Global Bond Fund -- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Face Amount Value -------- ----- Bonds -- 94.53% U.S. Bonds -- 32.01% U.S. Corporate Bonds -- 5.74% Capital One Bank, BKNT, 8.250%, due 06/15/05........................................ $ 70,000 $ 69,861 Cendant Corp., 7.750%, due 12/01/03................... 200,000 193,147 Centaur Funding Corp., Class B, 144A, 9.080%, due 04/21/20 (b)............................ 140 138,994 Centaur Funding Corp., Class C, 144A, 0.000%, due 04/21/20 (b)............................ 750 115,781 Centex Corp., 9.750%, due 06/15/05.................... 45,000 44,756 Countrywide Capital, Inc., 8.000%, due 12/15/26........................................ 250,000 206,795 Fidelity Investments, 144A, 7.570%, due 06/15/29........................................ 450,000 426,496 Lilly Del Mar, 144A, 7.717%, due 08/01/29........................................ 150,000 149,114 News America Holdings, 7.750%, due 12/01/45........................................ 150,000 130,289 PDVSA Finance, 99-F, 8.750%, due 02/15/04........................................ 187,600 184,786 Safeway, Inc., 7.250%, due 09/15/04................... 250,000 247,110 Sempra Energy, 7.950%, due 03/01/10................... 100,000 100,847 Time Warner Cos., Inc., 7.570%, due 02/01/24................................ 310,000 293,061 Washington Mutual Financial Corp., 8.250%, due 06/15/05........................................ 35,000 35,324 Waste Management, 7.000%, due 10/01/04........................................ 300,000 278,245 --------- 2,614,606 --------- Asset-Backed Securities -- 2.47% Chase Manhattan Auto Owner Trust, 96-C, Class A4, 6.150%, due 03/15/02........................................ 76,569 76,283 Comed Transitional Funding Trust, 98-1, Class A7, 5.740%, due 12/25/10...................... 370,000 331,953 First Bank Corporate Card Master Trust, 97-1, Class A, 6.400%, due 02/15/03................. 240,000 236,782 Vanderbilt Mortgage Finance, 98-B, Class 1A2, 6.120%, due 05/07/09..................... 485,885 480,798 ---------- 1,125,816 ---------- Corporate Mortgage-Backed Securities -- 7.39% Bear Stearns Mortgage Securities, Inc., 96-7A4, 6.000%, due 01/28/09........................ 200,000 191,686 DLJ Commercial Mortgage Corp., 99-CG2, Class A1B, 7.300%, due 06/10/32..................... 75,000 73,871 First Union Lehman Brothers, 97-C2, Class A2, 6.600%, due 11/18/29...................... 240,000 232,027 GE Capital Mortgage Services, Inc., 93-7F, Class FA3, 6.500%, due 09/25/08..................... 96,382 95,661 Heller Financial Commercial Mortgage Assets, 99-PH1, Class A1, 6.500%, due 05/15/31........................................ 386,237 373,520 PNC Mortgage Securities Corp., 94-3, Class A8, 7.500%, due 07/25/24...................... 190,000 182,045 Prudential Home Mortgage Securities 93-43, Class A9, 6.750%, due 10/25/23............... 196,000 188,360 96-7, Class A4, 6.750%, due 06/25/11................ 150,000 144,350 Residential Accredit Loans, Inc. 96-QS4, Class Al10, 7.900%, due 08/25/26............ 625,000 623,056 98-QS4, Class AI5, 7.000%, due 03/25/28............. 400,000 376,857 Residential Asset Securitization Trust 97-A10, Class A5, 7.250%, due 12/25/27.............. 335,000 321,540 97-A7, Class A1, 7.500%, due 09/25/27............... 22,529 22,448 97-A11, Class A2, 7.000%, due 01/25/28.............. 3,255 3,240 98-A1, Class A1, 7.000%, due 03/25/28............... 60,302 59,909 Structured Asset Securities Corp. 98-RF1, Class A, 8.713%, due 04/15/27............... 189,291 192,130 98-RF2, 8.582%, due 07/15/27........................ 288,209 291,091 ---------- 3,371,791 ---------- International Dollar Bonds -- 1.12% Korea Development Bank, 7.125%, due 09/17/01........................................ 150,000 148,688 Credit Suisse-London, 144A, Step up Callable, 7.900%, due 05/29/49................................ 250,000 231,650 State of Qatar, 144A, 9.750%, due 06/15/30............ 130,000 128,212 ---------- 508,550 ---------- U.S. Government Agencies -- 2.39%1.12% Federal National Mortgage Association 5.250%, due 01/15/09................................ 355,000 311,529 7.250%, due 05/15/30................................ 280,000 285,066 Jordan Aid, 8.750%, due 09/01/19...................... 448,173 494,429 ---------- 1,091,024 ---------- U.S. Government Mortgage-Backed Securities -- 6.01% Fannie Mae Whole Loan, 95-W3, Class A, 9.000%, due 04/25/25....................... 7,756 7,986 Federal Home Loan Mortgage Corp. 5.500%, due 02/01/07................................ 39,822 37,322 7.000%, due 10/15/13................................ 68,215 65,142 Federal Home Loan Mortgage Corp. Gold, 9.000%, due 07/01/30................................ 135,000 139,261 Federal National Mortgage Association 6.000%, due 10/01/14................................ 149,936 141,836 6.000%, due 01/01/29................................ 150,018 137,226 6.500%, due 03/01/19................................ 116,597 111,430 6.500%, due 03/01/29................................ 577,598 544,783 7.000%, due 12/01/24................................ 382,185 368,960 7.000%, due 03/01/29................................ 25,928 25,041 7.500%, due 12/01/23................................ 298,195 294,092 7.890%, due 04/01/26................................ 163,571 167,875 8.000%, due 03/01/11................................ 61,267 61,904 8.000%, due 02/01/13................................ 62,857 63,510 Government National Mortgage Association 7.000%, due 08/15/24................................ 332,267 324,448 7.000%, due 07/15/25................................ 46,828 45,714 7.500%, due 08/15/23................................ 56,602 56,471 7.500%, due 12/15/23................................ 88,097 87,917 7.500%, due 01/15/24................................ 59,507 59,312 ---------- 2,740,230 ----------
================================================================================ 34 Global Bond Fund -- Schedule of Investments June 30,2000 ---------------------------------------------------------------------- Face Amount Value ------ ----- U.S. Government Obligations -- 6.89% U.S. Treasury Bond 8.000%, due 11/15/21....................... $ 220,000 $ 265,513 8.750%, due 05/15/17....................... 350,000 439,906 U.S. Treasury Inflation Indexed Note 3.625%, due 04/15/28....................... 570,000 575,424 3.875%, due 04/15/29....................... 880,000 913,837 U.S. Treasury Note 5.625%, due 05/15/08....................... 265,000 255,559 6.125%, due 12/31/01....................... 445,000 442,497 6.625%, due 02/15/27....................... 110,000 116,635 7.500%, due 02/15/05....................... 125,000 131,094 ---------- 3,140,465 ---------- Total U.S. Bonds............................. 14,592,482 ---------- Global (Ex-U.S.) Bonds -- 62.52% Australia -- 2.36% International Bank for Reconstruction & Development, 5.500%, due 05/14/03............................AUD 605,000 355,982 Queensland Treasury Corp., Global Notes 6.000%, due 07/14/09....................... 670,000 393,186 8.000%, due 09/14/07....................... 500,000 327,617 ---------- 1,076,785 ---------- Canada -- 6.50% Government of Canada, Real Return Bond 4.250%, due 12/01/21....................CAD 1,455,000 1,194,186 Government of Canada 6.000%, due 06/01/08....................... 2,030,000 1,376,953 Province of Ontario, 7.500%, due 01/19/06 550,000 393,767 ---------- 2,964,906 ---------- Denmark -- 5.78% City of Copenhagen, 6.250%, due 03/15/01............................DKK 2,400,000 308,493 Depfa Pfandbrief Bank, 5.750%, due 03/04/09....................... 950,000 909,575 Great Belt, 7.000%, due 09/02/03............. 3,650,000 479,500 Kingdom of Denmark........................... 7.000%, due 11/15/07....................... 2,500,000 344,792 7.000%, due 11/10/24....................... 2,500,000 368,684 8.000%, due 11/15/01....................... 1,700,000 223,968 ---------- 2,635,012 ---------- France -- 9.50% Government of France (OAT) 7.500%, due 04/25/05....................EUR 1,530,000 1,614,143 8.500%, due 04/25/23....................... 1,350,000 1,745,794 9.500%, due 01/25/01....................... 990,000 972,239 ---------- 4,332,176 ---------- Germany -- 4.85% Bundesobligation 118, 5.250%, due 02/21/01....................EUR 390,000 $ 374,844 Bundesrepublik Deutschland 5.625%, due 01/04/28....................... 380,000 368,966 6.000%, due 07/04/07....................... 1,150,000 1,152,326 International Bank for Reconstruction and Development, 7.125%, due 04/12/05.......... 306,775 312,910 ---------- 2,209,046 ---------- Italy -- 9.26% Buoni Poliennali Del Tes 3.250%, due 04/15/04....................... 2,500,000 2,230,052 7.750%, due 11/01/06....................... 660,000 704,703 9.000%, due 10/01/03....................... 380,001 403,689 Republic of Italy, 3.750%, due 06/08/05....................JPY 83,000,000 881,216 ---------- 4,219,660 ---------- Japan -- 9.35% Government of Japan 2.500%, due 03/20/20....................... 28,000,000 281,117 3.100%, due 03/20/06....................... 23,400,000 243,485 4.600%, due 03/21/05....................... 339,800,000 3,734,823 ---------- 4,259,425 ---------- Mexico -- 0.35% United Mexican States, 9.875%, due 02/01/10....................MXN 160,000 161,600 ---------- Netherlands -- 2.55% Government of Netherlands 3.000%, due 02/15/02....................EUR 1,050,000 975,829 5.500%, due 01/15/28....................... 195,000 184,997 ---------- 1,160,826 ---------- Spain -- 4.21% Government of Spain, 3.250%, due 01/31/05....................... 1,400,000 1,231,360 6.000%, due 01/31/08....................... 700,000 688,110 ---------- 1,919,470 ---------- Sweden -- 2.84% Government of Sweden 6.750%, due 05/05/14....................SEK 4,300,000 558,875 10.250%, due 05/05/03...................... 5,700,000 733,865 ---------- 1,292,740 ---------- United Kingdom -- 4.97% Abbey National Treasury Service, 6.500%, due 03/05/04....................GBP 190,000 285,720 British Gas PLC, 8.125%, due 03/31/03........ 195,000 302,872 U.K. Treasury 5.750%, due 12/07/09....................... 1,000,000 1,576,868 7.250%, due 12/07/07....................... 60,000 100,392 ---------- 2,265,852 ---------- Total Global (Ex-U.S.) Bonds................. 28,497,498 ---------- Total Bonds (Cost $45,532,378)............... 43,089,980 ---------- ====================================================================== 35 Global Bond Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value --------- ------------ Short-Term Investments -- 11.89% Investment Companies -- 11.89% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $5,419,195)...................... 5,419,195 $ 5,419,195 --------- Total Investments (Cost $50,951,573) -- 106.42% (a) 48,509,175 Liabilities, less cash and other assets -- (6.42%)................. (2,927,951) ------------ Net Assets -- 100%........................ $ 45,581,224 ============ NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $51,047,800; and net unrealized depreciation consisted of: Gross unrealized appreciation....................... $ 304,499 Gross unrealized depreciation....................... (2,843,124) ----------- Net unrealized depreciation.................... $(2,538,625) =========== (b) Non-income producing security 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 June 30, 2000, the value of these securities amounted to $1,190,247 or 2.61% of net assets. Resettable Perpetual Preferred: A bond with either no maturity date or a maturity date that is so far in the future that the bond will pay interest indefinitely. The issuer generally retains the right to call such a bond. FORWARD FOREIGN CURRENCY CONTRACTS The Global Bond Fund had the following open forward foreign currency contracts as of June 30, 2000:
Settlement Local Current Unrealized Date Currency Value Gain/(Loss) ------------- ------------- ------------- ------------ Forward Foreign Currency Buy Contracts Australian Dollar............................. 09/01/00 6,050,000 $ 3,636,473 $ (45,851) British Pound................................. 09/01/00 1,400,000 2,121,984 (28,683) Canadian Dollar............................... 09/01/00 2,650,000 1,791,296 (4,534) Danish Krone.................................. 09/01/00 8,100,000 1,043,319 67,138 Euro.......................................... 09/01/00 15,150,000 14,579,925 (759,401) Japanese Yen.................................. 09/01/00 1,103,500,000 10,550,283 259,794 Swedish Krona................................. 09/01/00 30,300,000 3,470,965 (43,290) Forward Foreign Currency Sale Contracts Australian Dollar............................. 09/01/00 1,550,000 931,658 (4,471) British Pound................................. 09/01/00 2,950,000 4,471,323 272,277 Canadian Dollar............................... 09/01/00 5,100,000 3,447,437 57,606 Danish Krone.................................. 09/01/00 18,200,000 2,344,249 128,846 Euro.......................................... 09/01/00 8,600,000 8,276,375 (19,137) Japanese Yen.................................. 09/01/00 770,000,000 7,361,774 (52,211) Swedish Krona................................. 09/01/00 36,800,000 4,215,562 117,010 ------------ Total............................... $ (54,907) ============
================================================================================ 36 See accompanying notes to financial statements. U.S. Balanced Fund -------------------------------------------------------------------------------- [LOGO] UBS The UBS Investment Fund - U.S. Balanced has produced an Investment Funds annualized return of 7.23% since its inception on July 31, 1995, while the return of the U.S. Balanced Mutual Fund Index was 16.53% over this time period. Importantly however, the U.S. Balanced Fund's performance was achieved with an annualized volatility over the life of the Fund of 6.35%, or approximately 40% less than the benchmark's annualized volatility of 10.32%. In the first half of 2000, the U.S. Balanced Fund returned 2.68%, well ahead of the 0.89% return of the Index. While the past few years have seen a market environment that hurt our price/value based approach, we see some compelling signs that the environment is changing. Investors seem to be more cognizant of the risks associated with large equity positions, as some Internet and technology stocks have experienced severe corrections in the recent past. Much of the Fund's year-to-date overperformance relative to the benchmark was due largely to our asset allocation strategy, which paid off in the second quarter. The Fund continues to overweight bonds and underweight equities. Second quarter returns of the two key indices that make up the benchmark for the Fund show that bond markets outperformed equity markets by a wide margin (618 basis points); the Wilshire 5000 Equity Index returned -4.49%, while the Salomon Broad Investment Grade Bond Index returned 1.69%. The second quarter also saw some dramatic changes in equity investor sentiment toward the technology, media and telecommunication (TMT) sectors that have driven the equity market to its highs in the recent past. Investors began to question whether TMT companies can grow and increase earnings fast enough and for long enough to justify their high valuations. Our assessment, as implied by our equity underweight, is that they cannot. Our equity analysis is focused on investing in companies with solid fundamentals as well as promising uses for new technologies. Specifically, we see opportunities in some "old" economy sectors such as basic materials, transportation and healthcare. These sectors represent the largest overweights in the equity portion of the Fund, and contributed to the outperformance of the Fund during the period. These overweights are offset by significant underweight positions to software, hardware and telecommunications sectors. ======================================================= 37 U.S. Balanced Fund -------------------------------------------------------------------------------- [LOGO] UBS Total Return Investment Funds
6 months 1 year 3 years Inception* ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 ----------------------------------------------------------------------------- UBS Investment Fund - U.S. Balanced 2.68% -5.57% 3.20% 7.23% ----------------------------------------------------------------------------- U.S. Balanced Mutual Fund Index** 0.89 7.99 14.73 16.53 ----------------------------------------------------------------------------- Salomon Smith Barney Broad Investment Grade (BIG) Bond Index 3.92 4.49 6.02 6.39 ----------------------------------------------------------------------------- Wilshire 5000 Index -0.84 9.52 19.06 21.88 -----------------------------------------------------------------------------
* Inception date of the UBS Investment Fund - U.S. Balanced is 7/31/95. ** An unmanaged index compiled by the Advisor, constructed as follows: 65% Wilshire 5000 Index and 35% Salomon Smith Barney BIG Bond Index. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $10,000 This chart shows the growth in the value of an investment in the UBS Investment Fund - U.S. Balanced, the U.S. Balanced Mutual Fund Index, the Salomon Smith Barney BIG Bond Index and the Wilshire 5000 Index if you had invested $10,000 on July 31, 1995, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. UBS Investment Fund - U.S. Balanced vs. U.S. Balanced Mutual Fund Index, Salomon Smith Barney BIG Bond Index and Wilshire 5000 Index Wealth Value with Dividends Reinvested [GRAPH] -------------------------------------------------------------------------------- Label A B C D -------------------------------------------------------------------------------- Label UBS Investment U.S. Balanced M Wilshire 5000 Solomon Smith B -------------------------------------------------------------------------------- 1 7/31/95 10,000 10,000 10,000 10,000 -------------------------------------------------------------------------------- 2 8/31/95 10,141 10,104 10,098 10,115 -------------------------------------------------------------------------------- 3 9/30/95 10,325 10,387 10,483 10,210 -------------------------------------------------------------------------------- 4 10/30/95 10,387 10,368 10,377 10,347 -------------------------------------------------------------------------------- 5 11/30/95 10,694 10,710 10,817 10,508 -------------------------------------------------------------------------------- 6 12/31/95 10,841 10,876 10,994 10,653 -------------------------------------------------------------------------------- 7 1/31/96 11,058 11,091 11,288 10,726 -------------------------------------------------------------------------------- 8 2/29/96 11,001 11,152 11,486 10,544 -------------------------------------------------------------------------------- 9 3/31/96 11,030 11,203 11,612 10,469 -------------------------------------------------------------------------------- 10 4/30/96 11,049 11,354 11,898 10,391 -------------------------------------------------------------------------------- 11 5/31/96 11,086 11,554 12,224 10,386 -------------------------------------------------------------------------------- 12 6/30/96 11,154 11,544 12,123 10,520 -------------------------------------------------------------------------------- 13 7/31/96 10,982 11,150 11,469 10,548 -------------------------------------------------------------------------------- 14 8/31/96 11,096 11,376 11,836 10,532 -------------------------------------------------------------------------------- 15 9/30/96 11,412 11,839 12,466 10,716 -------------------------------------------------------------------------------- 16 10/31/96 11,670 12,040 12,640 10,957 -------------------------------------------------------------------------------- 17 11/30/96 12,100 12,628 13,478 11,138 -------------------------------------------------------------------------------- 18 12/31/96 12,018 12,496 13,326 11,040 -------------------------------------------------------------------------------- 19 1/31/97 12,162 12,948 14,039 11,082 -------------------------------------------------------------------------------- 20 2/28/97 12,202 12,949 14,033 11,094 -------------------------------------------------------------------------------- 21 3/31/97 11,988 12,531 13,412 10,982 -------------------------------------------------------------------------------- 22 4/30/97 12,182 12,949 13,997 11,139 -------------------------------------------------------------------------------- 23 5/31/97 12,530 13,588 14,989 11,243 -------------------------------------------------------------------------------- 24 6/30/97 12,826 14,050 15,677 11,377 -------------------------------------------------------------------------------- 25 7/31/97 13,351 14,886 16,883 11,686 -------------------------------------------------------------------------------- 26 8/31/97 13,125 14,477 16,248 11,585 -------------------------------------------------------------------------------- 27 9/30/97 13,413 15,107 17,207 11,755 -------------------------------------------------------------------------------- 28 10/31/97 13,269 14,855 16,634 11,923 -------------------------------------------------------------------------------- 29 11/30/97 13,351 15,196 17,178 11,980 -------------------------------------------------------------------------------- 30 12/31/97 13,540 15,433 17,469 12,102 -------------------------------------------------------------------------------- 31 1/31/98 13,665 15,557 17,591 12,258 -------------------------------------------------------------------------------- 32 2/28/98 14,020 16,289 18,871 12,249 -------------------------------------------------------------------------------- 33 3/31/98 14,294 16,841 19,816 12,297 -------------------------------------------------------------------------------- 34 4/30/98 14,260 17,002 20,051 12,361 -------------------------------------------------------------------------------- 35 5/31/98 14,294 16,765 19,517 12,480 -------------------------------------------------------------------------------- 36 6/30/98 14,338 17,195 20,202 12,582 -------------------------------------------------------------------------------- 37 7/31/98 14,209 16,963 19,759 12,608 -------------------------------------------------------------------------------- 38 8/31/98 13,797 15,337 16,682 12,801 -------------------------------------------------------------------------------- 39 9/30/98 14,280 16,115 17,772 13,103 -------------------------------------------------------------------------------- 40 10/31/98 14,562 16,868 19,094 13,044 -------------------------------------------------------------------------------- 41 11/30/98 14,738 17,591 20,296 13,116 -------------------------------------------------------------------------------- 42 12/31/98 14,835 18,342 21,595 13,157 -------------------------------------------------------------------------------- 43 1/31/99 14,787 18,828 22,389 13,254 -------------------------------------------------------------------------------- 44 2/28/99 14,438 18,269 21,577 12,022 -------------------------------------------------------------------------------- 45 3/31/99 14,581 18,764 22,410 13,096 -------------------------------------------------------------------------------- 46 4/30/99 15,010 19,370 23,484 13,140 -------------------------------------------------------------------------------- 47 5/31/99 14,930 19,032 22,970 13,019 -------------------------------------------------------------------------------- 48 6/30/99 14,931 19,650 24,159 12,975 -------------------------------------------------------------------------------- 49 7/31/99 14,706 19,213 23,385 12,973 -------------------------------------------------------------------------------- 50 8/31/99 14,482 19,092 23,167 12,914 -------------------------------------------------------------------------------- 51 9/30/99 14,162 18,848 22,561 13,069 -------------------------------------------------------------------------------- 52 10/31/99 13,985 19,646 23,996 13,108 -------------------------------------------------------------------------------- 53 11/30/99 13,985 20,073 24,800 13,106 -------------------------------------------------------------------------------- 54 12/31/99 13,726 21,032 26,683 13,046 -------------------------------------------------------------------------------- 55 1/31/2000 13,419 20,444 25,575 13,009 -------------------------------------------------------------------------------- 56 2/29/2000 12,992 20,825 26,148 13,161 -------------------------------------------------------------------------------- 57 3/31/2000 13,584 21,723 27,701 13,332 -------------------------------------------------------------------------------- 58 4/30/2000 14,028 20,965 26,258 13,292 -------------------------------------------------------------------------------- 59 5/31/2000 14,192 20,483 25,341 13,281 -------------------------------------------------------------------------------- 60 6/30/2000 14,100 21,219 26,459 13,558 -------------------------------------------------------------------------------- Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ============================================================= 38 U.S. Balanced Fund -------------------------------------------------------------------------------- [LOGO] UBS Industry Diversification Investment Funds As a Percent of Net Assets As of June 30, 2000 ------------------------------------------------------- U.S. EQUITIES Energy........................................ 1.61% Capital Investment Capital Goods......................... 1.43 Electronic Components................. 1.42 Technology............................ 5.20 ------ 8.05 Basic Industries Chemicals............................. 1.50 Housing/Paper......................... 3.34 Metals................................ 1.83 ------ 6.67 Computers Software.............................. 0.65 Systems............................... 0.40 ------ 1.05 Consumer Autos/Durables........................ 1.21 Food/House Products................... 0.23 Health: Drugs......................... 2.99 Health: Non-Drugs..................... 4.47 Leisure/Tourism....................... 0.25 Non-Durables.......................... 0.87 Retail/Apparel........................ 4.11 ------ 14.13 Financial Banks................................. 2.81 Non-Banks............................. 3.59 ------ 6.40 Telecommunications Equipment............................. 0.07% Services.............................. 2.28 ------ 2.35 Transportation................................ 3.54 Services/Misc................................. 3.73 Utilities..................................... 1.53 ------ Total U.S. Equities........... 49.06* U.S. BONDS Corporate Bonds Industrial Components................. 1.86 Health: Drugs......................... 0.53 Telecommunications--Services.......... 0.77 Telecommunications--Wireless.......... 0.29 ------ Total U.S. Corporate Bonds.... 3.45 International Dollar Bonds.................... 1.04 Asset-Backed.................................. 1.60 Corporate Mortgage-Backed Securities.......... 0.70 U.S. Government Agencies...................... 1.77 U.S. Gov't. Mortgage-Backed Securities........ 8.41 U.S. Government Obligations................... 26.35 ------ Total U.S. Bonds.............. 43.32* SHORT-TERM INVESTMENTS........................ 7.05* ------ TOTAL INVESTMENTS............. 99.43 CASH AND OTHER ASSETS, LESS LIABILITIES...................... 0.57 ------ NET ASSETS.................................... 100.00% ====== ------------------------------------------------------- *The Fund held a long position in U.S. Treasury futures on June 30, 2000 which increased U.S. bond exposure from 43.32% to 71.22%. The Fund also held a short position in stock index futures which reduced U.S. Equity exposure from 49.06% to 25.33%. These two adjustments result in a net decrease in the Fund's exposure to Short-Term Investments from 7.05% to 2.88%. Asset Allocation As of June 30, 2000 Current Benchmark Strategy ------------------------------------------------------- U.S. Equities 65% 25% U.S. Bonds 35 75 ------------------------------------------------------- 100% 100% Top Ten U.S. Equity Holdings As of June 30, 2000 Percent of Net Assets ------------------------------------------------------- 1. Advanced Micro Devices, Inc. 2.12% 2. FedEx Corp. 1.60 3. Burlington Northern Santa Fe Corp. 1.52 4. Allergan, Inc. 1.51 5. Electronic Data Systems Corp. 1.27 6. CIGNA Corp. 1.06 7. Gateway, Inc. 1.05 8. St. Jude Medical, Inc. 1.04 9. Baxter International, Inc. 1.02 10. Alza Corp. 1.00 ---------------------------------------------------- ======================================================= 39 U.S. Balanced Fund -- Schedule of Investments June 30, 2000 ------------------------------------------------------------------------------- Shares Value ------ ---------- U.S. Equities -- 49.06% Advanced Micro Devices, Inc. (b).......... 3,400 $ 262,650 Allergan, Inc............................. 2,500 186,250 Alza Corp. (b)............................ 2,100 124,162 American Electric Power Co., Inc.......... 2,640 78,210 American General Corp..................... 900 54,900 American Standard Companies, Inc. (b)..... 1,700 69,700 AmSouth Bancorp........................... 1,980 31,185 Aon Corp.................................. 2,750 85,422 Associates First Capital Corp., Class A... 3,700 82,556 Baxter International, Inc................. 1,800 126,562 Burlington Northern Santa Fe Corp......... 8,200 188,087 Carnival Corp., Class A................... 1,600 31,200 CIGNA Corp................................ 1,400 130,900 Circuit City Stores-Circuit City Group.... 1,100 36,506 CMS Energy Corp........................... 1,500 33,188 CommScope, Inc. (b)....................... 200 8,200 Compaq Computer Corp...................... 4,100 104,806 Computer Sciences Corp. (b)............... 200 14,938 Compuware Corp. (b)....................... 7,200 74,700 CVS Corp.................................. 800 32,000 Dell Computer Corp. (b)................... 1,000 49,312 Eastman Chemical Co....................... 900 42,975 Electronic Data Systems Corp.............. 3,800 156,750 Emerson Electric Co....................... 2,000 120,750 Entergy Corp.............................. 2,200 59,812 Exxon Mobil Corp.......................... 1,000 78,500 Federated Department Stores, Inc. (b)..... 1,200 40,500 FedEx Corp. (b)........................... 5,200 197,600 First Data Corp........................... 2,158 107,091 Fleet Boston Financial Corp............... 2,605 88,570 Fort James Corp........................... 2,800 64,750 Gateway, Inc. (b)......................... 2,300 130,525 GATX Corp................................. 700 23,800 Genzyme Corp. (b)......................... 1,100 65,381 GreenPoint Financial Corp................. 3,100 58,125 Household International, Inc.............. 1,700 70,656 Illinois Tool Works, Inc.................. 2,100 119,700 IMC Global, Inc........................... 3,500 45,500 Johnson & Johnson Co...................... 1,200 122,250 Johnson Controls, Inc..................... 1,100 56,444 Kimberly-Clark Corp....................... 1,400 80,325 Kroger Co. (b)............................ 4,400 97,075 Lafarge Corp.............................. 1,300 27,300 Lear Corp. (b)............................ 2,300 46,000 Lexmark International Group, Inc. (b)..... 1,200 80,700 Lincoln National Corp..................... 1,600 57,800 Lyondell Chemical Co...................... 2,000 33,500 Martin Marietta Materials, Inc............ 936 37,850 Masco Corp................................ 5,900 106,569 Mattel, Inc............................... 6,400 84,400 Mead Corp................................. 1,500 37,875 Microsoft Corp. (b)....................... 1,000 80,000 Motorola, Inc............................. 1,515 44,030 New York Times Co......................... 1,100 43,450 Newell Rubbermaid, Inc.................... 3,300 84,975 Nextel Communications, Inc. (b)........... 1,800 110,137 Norfolk Southern Corp..................... 1,900 28,263 Owens-Illinois, Inc. (b).................. 900 10,519 Peco Energy Co............................ 2,400 96,750 Pentair, Inc.............................. 1,400 49,700 PepsiCo, Inc.............................. 2,000 88,875 PNC Bank Corp............................. 1,300 60,937 Praxair, Inc.............................. 1,700 63,644 Raytheon Co., Class B..................... 3,000 57,750 Sara Lee Corp............................. 1,500 28,969 SBC Communications, Inc................... 2,700 116,775 Smurfit-Stone Container Corp. (b)......... 1,700 21,888 Southdown, Inc............................ 1,116 64,449 St. Jude Medical, Inc. (b)................ 2,800 128,450 Tellabs, Inc. (b)......................... 800 54,750 Texas Instruments, Inc.................... 800 54,950 Tyson Foods, Inc., Class A................ 2,100 18,375 Ultramar Diamond Shamrock Corp............ 1,690 41,933 Unisys Corp. (b).......................... 1,800 26,213 UnitedHealth Group, Inc................... 1,300 111,475 USG Corp.................................. 700 21,263 Viad Corp................................. 1,600 43,600 W.W. Grainger, Inc........................ 1,200 36,975 Wal-Mart Stores, Inc...................... 900 51,862 Watson Pharmaceutical Co. (b)............. 1,100 59,125 Wells Fargo and Co........................ 2,800 108,500 Westvaco Corp............................. 1,100 27,294 Xerox Corp................................ 1,300 26,975 XL Capital Ltd............................ 600 32,475 York International Corp................... 1,200 31,350 ---------- Total U.S. Equities (Cost $6,145,953)..... 6,071,183 ---------- Face Amount ---------- Bonds -- 43.32% U.S. Corporate Bonds -- 3.45% Archer Daniels Midland, 6.950%, due 12/15/97.................... $ 250,000 204,464 Lowe's Cos., Inc., 8.250%, due 06/01/10... 25,000 25,545 PanAmSat Corp., 6.000%, due 01/15/03...... 100,000 95,080 Rite Aid Corp., 144A, 6.125%, due 12/15/08.................... 140,000 65,100 WorldCom, Inc., 8.250%, due 05/15/10...... 35,000 35,824 ---------- 426,013 ---------- International Dollar Bonds -- 1.04% Empresa Nacional de Electricidad S.A., 8.125%, due 02/01/97.................... 100,000 78,522 United Mexican States, 9.875%, due 02/01/10.................... 50,000 50,500 ---------- 129,022 ---------- Asset-Backed Securities-- 1.60% Peco Energy Transition Trust, 6.130%, due 03/01/09.................... 215,000 198,200 ---------- ================================================================================ 40 U.S. Balanced Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Face Amount Value --------- ------------ Corporate Mortgage-Backed Securities -- 0.70% LB Commercial Conduit Mortgage Trust, 99-C1, Class A1, 6.410%, due 06/15/31.... $ 86,268 $ 83,168 Residential Asset Securitization Trust, 97-A11, Class A2, 7.000%, due 01/25/28 3,505 3,489 ------------ 86,657 ------------ U.S. Government Mortgage- Backed Securities -- 8.41% Federal Home Loan Mortgage Corp. Gold, 9.000%, due 07/01/30, TBA................ 270,000 278,522 Federal National Mortgage Assoc., 97-72, Class EG 0.000%, due 09/25/22 (b)................. 146,578 136,425 Federal National Mortgage Association, 6.500%, due 06/01/14..................... 213,486 205,860 Federal National Mortgage Association, Series G94-8, Class G, 7.600%, due 06/17/19..................... 205,867 206,388 Government National Mortgage Association, 7.000%, due 12/15/23..................... 121,338 118,515 7.500%, due 10/15/29..................... 94,980 94,369 ------------ 1,040,079 ------------ U.S. Government Agencies -- 1.77% Federal National Mortgage Association, 5.250%, due 01/15/09..................... 250,000 219,387 ------------ U.S. Government Obligations -- 26.35% U.S. Treasury Bond, 8.000%, due 11/15/21..................... 135,000 162,928 8.750%, due 05/15/17..................... 100,000 125,688 U.S. Treasury Inflation Indexed Note, 3.875%, due 04/15/29..................... 2,540,000 2,637,667 U.S. Treasury Note, 5.625%, due 05/15/08..................... 75,000 72,328 7.500%, due 02/15/05..................... 250,000 262,187 ------------ 3,260,798 ------------ Total U.S. Bonds (Cost $5,383,527)......... 5,360,156 ------------ Shares Value ----------- ---------- Short-Term Investments -- 7.05% Investment Companies -- 5.04% Brinson Supplementary Trust U.S. Cash Management Prime Fund.......... 623,691 $ 623,691 ---------- Face Amount ------------ U.S. Government Obligations -- 2.01% U.S. Treasury Bill, due 08/17/00........... $ 250,000 248,244 ------------ Total Short-Term Investments Cost $871,855)........................... 871,935 ------------ Total Investments (Cost $12,401,335) -- 99.43% (a)......... 12,303,274 Cash and other assets, less liabilities -- 0.57%................ 71,107 ------------ Net Assets -- 100%......................... $ 12,374,381 ============ See accompanying notes to schedule of investments. ================================================================================ 41 U.S. Balanced Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $12,665,011; and net unrealized depreciation consisted of: Gross unrealized appreciation..................... $ 773,580 Gross unrealized depreciation..................... (1,135,317) ---------- Net unrealized depreciation.................. $ (361,737) ========== (b) Non-income producing security TBA: Security is subject to delayed delivery. 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 June 30, 2000, the value of these securities amounted to $65,100 or 0.53% of net assets. FUTURES CONTRACTS The U.S. Balanced Fund had the following open futures contracts as of June 30, 2000:
Expiration Cost/ Current Unrealized Date Proceeds Value Gain -------------- ----------- ----------- --------- U.S. Interest Rate Futures Buy Contracts 5 Year U.S. Treasury Notes, 23 contracts.................... September 2000 $ 2,225,950 $ 2,277,359 $ 51,409 10 Year U.S. Treasury Notes, 8 contracts.................... September 2000 678,713 689,390 10,677 30 Year U.S. Treasury Bonds, 5 contracts.................... September 2000 482,441 486,719 4,278 Index Futures Sale Contracts Standard & Poor's 500, 8 contracts.......................... September 2000 2,994,544 2,936,200 58,344 --------- Total.................................................... $ 124,708 =========
The aggregate market value of investments pledged to cover margin requirements for the open futures positions at June 30, 2000 was $248,244. ================================================================================ 42 See accompanying notes to financial statements. U.S. Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS Since its inception on July 31, 1995, the UBS Investment Funds Investment Fund - U.S. Equity has provided an annualized return of 13.76%, compared to the 21.88% return of its benchmark, the Wilshire 5000 Equity Index. The annualized volatility of the Fund has been 16.23% since its inception, only slightly above the 15.47% volatility for the benchmark. For the first six months of 2000, the Fund's total return of -4.78% trailed the -0.84% return for its benchmark. However, as a more realistic view of some of the risks inherent in the equity markets took root in the second quarter of 2000, the Fund outperformed the benchmark. For the second quarter, the Fund returned 1.27% compared to the benchmark return of -4.49%. The momentum that had been driving prices higher in the technology, media and telecommunications (TMT) sectors subsided in the second quarter. Many so-called "old economy" stocks saw favorable attention from investors, as they began to look for more reasonable stock valuations. Investors have begun to question whether TMT companies can grow and increase earnings fast enough and for long enough to justify their high valuations. Past experience is not encouraging. Studies show that in the past, only 3% of the companies in the S&P 500 Index have sustained growth of 20% for 10 years, and only one (Microsoft) has sustained 20% growth for 15 years. While we are skeptical of inflated investment expectations, we understand and appreciate the role of new and emerging technology in business. Our analysis is focused on investing in companies with solid fundamentals as well as promising uses for new technologies. Specifically, we see opportunities in some "old economy" sectors such as basic materials, transportation and healthcare where some undervalued companies are leveraging their skills, assets and competitive positions to take advantage of technology and the Internet. These sectors represent the largest overweights in the Fund, and are offset by significant underweight positions to software, hardware and telecommunications sectors. ================================================================================ 43 U.S. Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS Total Return Investment Funds
6 months 1 year 3 years Inception* ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 ------------------------------------------------------------------------------ UBS Investment Fund - U.S.Equity -4.78% -17.47% 4.54% 13.76% ------------------------------------------------------------------------------ Wilshire 5000 Equity Index -0.84 9.52 19.06 21.88 ------------------------------------------------------------------------------
* Inception date of the UBS Investment Fund- U.S.Equity is 7/31/95. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $10,000 This chart shows the growth in the value of an investment in the UBS Investment Fund - U.S. Equity and the Wilshire 5000 Equity Index if you had invested $10,000 on July 31, 1995, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. UBS Investment Fund - U.S. Equity vs. Wilshire 5000 Equity Index Wealth Value with Dividends Reinvested [GRAPH]
Label A B ------------------------------------------------------------------- Label Brinson U.S. Equity Wilshire 5000 ------------------------------------------------------------------- 1 7/31/95 10,000 10,000 2 8/31/95 10,184 10,098 3 9/30/95 10,570 10,483 4 10/31/95 10,528 10,377 5 11/30/95 11,122 10,817 6 12/31/95 11,335 10,994 7 1/31/96 11,790 11,288 8 2/28/96 10,971 11,486 9 3/31/96 12,194 11,612 10 4/30/96 12,418 11,898 11 5/31/96 12,615 12,224 12 6/30/96 12,570 12,123 13 7/31/96 11,958 11,469 14 8/31/96 12,415 11,836 15 9/30/96 12,966 12,466 16 10/31/96 13,242 12,640 17 11/30/96 14,156 13,478 18 12/31/96 14,157 13,326 19 1/31/97 14,663 14,039 20 2/28/97 14,757 14,033 21 3/31/97 14,260 13,412 22 4/30/97 14,691 13,997 23 5/31/97 15,759 14,989 24 6/30/97 16,499 15,677 25 7/31/97 17,756 16,883 26 8/31/97 17,053 16,248 27 9/30/97 17,812 17,207 28 10/31/97 16,865 16,634 29 11/31/97 17,193 17,178 30 12/31/97 17,587 17,496 31 1/31/98 17,697 17,591 32 2/28/98 19,232 18,871 33 3/31/98 20,326 19,816 34 4/30/98 20,115 20,051 35 5/31/98 19,814 19,517 36 6/30/98 19,931 10,202 37 7/31/98 19,418 19,759 38 8/31/98 16,644 16,682 39 9/30/98 17,840 17,772 40 10/31/98 19,187 19,094 41 11/30/98 19,991 20,296 42 12/31/98 20,737 21,595 43 1/31/99 20,587 22,389 44 2/28/99 19,831 21,577 45 3/31/99 20,470 22,410 46 4/30/99 22,303 23,484 47 5/31/99 22,005 22,970 48 6/30/99 22,847 24,159 49 7/31/99 21,875 23,385 50 8/31/99 21,106 23,167 51 9/30/99 19,557 22,561 52 10/31/99 19,568 23,996 53 11/30/99 19,675 24,800 54 12/31/99 19,790 26,683 55 1/31/2000 18,465 25,575 56 2/29/2000 16,940 26,148 57 3/13/2000 18,618 27,701 58 4/30/2000 19,351 26,258 59 5/31/2000 19,505 25,341 60 6/30/2000 18,852 26,459
Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ================================================================================ 44 U.S. Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS Investment Funds Industry Diversification As a Percent of Net Assets As of June 30, 2000 ------------------------------------------------ U.S. EQUITIES Energy............................... 3.27% Capital Investment Capital Goods...................... 2.43 Electronic Components.............. 7.70 Technology......................... 1.81 ------ 11.94 Basic Industries Chemicals.......................... 3.06 Housing/Paper...................... 6.81 Metals............................. 3.73 ------ 13.60 Computers Software........................... 2.50 Systems............................ 4.65 ------ 7.15 Consumer Autos/Durables..................... 2.25 Food/House Products................ 0.48 Health: Drugs...................... 6.10 Health: Non-Drugs.................. 8.89 Leisure/Tourism.................... 0.50 Non-Durables....................... 1.97% Retail/Apparel..................... 7.01 ------ 27.20 Financial Banks.............................. 5.73 Non-Banks.......................... 7.28 ------ 13.01 Telecommunications Equipment.......................... 0.16 Services........................... 5.34 ------ 5.50 Transportation....................... 7.15 Services/Misc........................ 7.59 Utilities............................ 3.14 ------ Total U.S. Equities............. 99.55* SHORT-TERM INVESTMENTS............... 0.98* ------ TOTAL INVESTMENTS............... 100.53 LIABILITIES, LESS CASH AND OTHER ASSETS................... (0.53) ------ NET ASSETS........................... 100.00% ====== ------------------------------------------------ *The Fund held a long position in stock index futures which increased U.S. Equity exposure from 99.55% to 100.53%. This adjustment results in a net decrease in the Fund's exposure to Short-Term Investments from 0.98% to 0.00%. Top Ten U.S. Equity Holdings As of June 30, 2000 Percent of Net Assets -------------------------------------------------- 1. Advanced Micro Devices, Inc. 4.26% 2. FedEx Corp. 3.22 3. Burlington Northern Santa Fe Corp. 3.06 4. Allergan, Inc. 3.01 5. Electronic Data Systems Corp. 2.54 6. Gateway, Inc. 2.14 7. CIGNA Corp. 2.08 8. Alza Corp. 2.08 9. St. Jude Medical, Inc. 2.08 10. Baxter International, Inc. 2.05 -------------------------------------------------- ================================================================================ 45 U.S. Equity Fund -- Schedule of Investments June 30, 2000 ------------------------------------------------------------------------ Shares Value ------- ------------ U.S. Equities -- 99.55% Advanced Micro Devices, Inc. (b)............ 103,500 $ 7,995,375 Allergan, Inc............................... 75,800 5,647,100 Alza Corp. (b).............................. 66,000 3,902,250 American Electric Power Co., Inc............ 81,580 2,416,807 American General Corp....................... 27,700 1,689,700 American Standard Companies, Inc. (b)....... 51,500 2,111,500 AmSouth Bancorp............................. 60,109 946,717 Aon Corp.................................... 84,450 2,623,228 Associates First Capital Corp., Class A..... 115,000 2,565,937 Baxter International, Inc................... 54,800 3,853,125 Burlington Northern Santa Fe Corp........... 250,400 5,743,550 Cardinal Health, Inc........................ 600 44,400 Carnival Corp., Class A..................... 48,400 943,800 CIGNA Corp.................................. 41,750 3,903,625 Circuit City Stores-Circuit City Group...... 32,400 1,075,275 CMS Energy Corp............................. 46,250 1,023,281 CommScope, Inc. (b)......................... 7,300 299,300 Compaq Computer Corp........................ 126,900 3,243,881 Computer Sciences Corp. (b)................. 6,100 455,594 Compuware Corp. (b)......................... 220,700 2,289,762 CVS Corp.................................... 25,400 1,016,000 Delhaize America, Inc....................... 1 18 Dell Computer Corp. (b)..................... 29,500 1,454,719 Eastman Chemical Co......................... 27,550 1,315,513 Electronic Data Systems Corp................ 115,500 4,764,375 Emerson Electric Co......................... 62,400 3,767,400 Entergy Corp................................ 68,000 1,848,750 Exxon Mobil Corp............................ 31,000 2,433,500 Federated Department Stores, Inc. (b)....... 37,400 1,262,250 FedEx Corp. (b)............................. 158,900 6,038,200 First Data Corp............................. 67,130 3,331,326 Fleet Boston Financial Corp................. 79,555 2,704,870 Fort James Corp............................. 86,700 2,004,937 Gateway, Inc. (b)........................... 70,800 4,017,900 GATX Corp................................... 20,100 683,400 Genzyme Corp. (b)........................... 33,050 1,964,409 GreenPoint Financial Corp................... 96,100 1,801,875 Household International, Inc................ 51,900 2,157,094 Illinois Tool Works, Inc.................... 65,600 3,739,200 IMC Global, Inc............................. 106,600 1,385,800 Johnson & Johnson Co........................ 35,400 3,606,375 Johnson Controls, Inc....................... 32,300 1,657,394 Kimberly-Clark Corp......................... 41,550 2,383,931 Kroger Co. (b).............................. 134,100 2,958,581 Lafarge Corp................................ 40,000 840,000 Lear Corp. (b).............................. 71,850 1,437,000 Lexmark International Group, Inc. (b)....... 38,400 2,582,400 Lincoln National Corp....................... 50,500 1,824,312 Lyondell Chemical Co........................ 62,250 1,042,688 Martin Marietta Materials, Inc.............. 29,907 1,209,364 Masco Corp.................................. 180,400 3,258,475 Mattel, Inc................................. 195,500 2,578,156 Mead Corp................................... 47,000 1,186,750 Microsoft Corp. (b)......................... 30,100 2,408,000 Motorola, Inc............................... 43,423 1,261,981 New York Times Co........................... 34,900 1,378,550 Newell Rubbermaid, Inc...................... 101,800 2,621,350 Nextel Communications, Inc. (b)............. 55,600 3,402,025 Norfolk Southern Corp....................... 63,600 946,050 Owens-Illinois, Inc. (b).................... 27,100 316,731 Peco Energy Co.............................. 74,800 3,015,375 Pentair, Inc................................ 43,800 1,554,900 PepsiCo, Inc................................ 62,800 2,790,675 PNC Bank Corp............................... 40,700 1,907,812 Praxair, Inc................................ 53,300 1,995,419 Raytheon Co., Class B....................... 93,250 1,795,062 Sara Lee Corp............................... 46,800 903,825 SBC Communications, Inc..................... 82,600 3,572,450 Smurfit-Stone Container Corp. (b)........... 53,300 686,238 Southdown, Inc.............................. 34,540 1,994,685 St. Jude Medical, Inc. (b).................. 85,000 3,899,375 Tellabs, Inc. (b)........................... 26,000 1,779,375 Texas Instruments, Inc...................... 24,600 1,689,712 Tyson Foods, Inc., Class A.................. 67,250 588,438 Ultramar Diamond Shamrock Corp.............. 51,618 1,280,772 Unisys Corp. (b)............................ 55,400 806,763 UnitedHealth Group, Inc..................... 38,500 3,301,375 USG Corp.................................... 22,900 695,588 Viad Corp................................... 49,150 1,339,338 W.W. Grainger, Inc.......................... 36,400 1,121,575 Wal-Mart Stores, Inc........................ 28,400 1,636,550 Watson Pharmaceutical Co. (b)............... 35,200 1,892,000 Wells Fargo and Co.......................... 87,300 3,382,875 Westvaco Corp............................... 34,800 863,475 Xerox Corp.................................. 39,400 817,550 XL Capital Ltd.............................. 19,500 1,055,438 York International Corp..................... 37,600 982,300 ------------ Total U.S. Equities (Cost $163,993,543)..... 186,714,796 ------------ Short-Term Investments -- 0.98% Investment Companies -- 0.45% Brinson Supplementary Trust U.S. Cash Management Prime Fund................. 849,414 849,414 ------------ Face Amount ------ U.S. Government Obligations -- 0.53% U.S. Treasury Bill, due 08/17/00............ $1,000,000 992,975 ------------ Total Short-Term Investments (Cost $1,841,972).......................... 1,842,389 ------------ Total Investments (Cost $165,835,515) -- 100.53% (a)......... 188,557,185 Liabilities, less cash and other assets -- (0.53%).................... (993,088) ------------ Net Assets -- 100%........................... $187,564,097 ============ See accompanying notes to schedule of investments. ================================================================================ 46 U.S. Equity Fund-- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $173,799,988; and net unrealized appreciation consisted of: Gross unrealized appreciation................... $ 41,336,875 Gross unrealized depreciation................... (26,579,678) ------------ Net unrealized appreciation................ $ 14,757,197 ============ (b) Non-income producing security FUTURES CONTRACTS The U.S. Equity Fund had the following open futures contracts as of June 30, 2000:
Expiration Current Unrealized Date Cost Value Loss ---------- ---- ----- ---- Index Futures Buy Contracts Standard & Poor's 500, 5 contracts.... September 2000 $1,839,547 $1,835,125 $(4,422) ========
The aggregate market value of investments pledged to cover margin requirements for the open futures positions at June 30, 2000 was $992,975. ================================================================================ See accompanying notes to financial statements. 47 U.S. Large Cap Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS Since its performance inception on April 30, 1998, the Investment Funds UBS Investment Fund -U.S. Large Cap Equity has provided an annualized return of -6.70% compared to the 14.72% return of its benchmark, the S&P 500 Equity Index. Results for the calendar year-to-date period continued to be disappointing, with the Fund returning -7.80% versus the benchmark return of -0.42%. While these results are well below our expectations, we feel the Fund is very well positioned to take advantage of the current market environment--which sees investors focusing more on the so-called "old economy" companies. In the second quarter alone, the Fund made up 443 basis points of performance versus the benchmark, returning 1.77% versus the benchmark return of -2.66%. We see signs that this favorable short-term performance will continue into the future. The momentum that had been driving prices higher in the technology, media and telecommunications (TMT) sectors subsided in the second quarter. Many so-called "old economy" stocks saw favorable attention from investors, as they began to look for more reasonable stock valuations. Investors have begun to question whether TMT companies can grow and increase earnings fast enough and for long enough to justify their high valuations. Past experience is not encouraging. Studies show that in the past, only 3% of the companies in the S&P 500 Index have sustained growth of 20% for 10 years, and only one (Microsoft) has sustained 20% growth for 15 years. While we are skeptical of inflated investment expectations, we understand and appreciate the role of new and emerging technology in business. Our analysis is focused on investing in companies with solid fundamentals as well as promising uses for new technologies. Specifically, we see opportunities in some "old economy" sectors such as basic materials, transportation and healthcare where some undervalued companies are leveraging their skills, assets and competitive positions to take advantage of technology and the Internet. These sectors represent the largest overweights in the Fund, and are offset by significant underweight positions to software, hardware and telecommunications sectors. ======================================================= 48 U.S. Large Cap Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS Total Return Investment Funds
6 months 1 year Inception* ended ended to 6/30/00 6/30/00 6/30/00 -------------------------------------------------------------------------------- UBS Investment Fund - U.S. Large Cap Equity -7.80% -24.20% -6.70% -------------------------------------------------------------------------------- S&P 500 Equity Index -0.42 7.25 14.72 --------------------------------------------------------------------------------
* Performance inception date of the UBS Investment Fund - U.S. Large Cap Equity is 4/30/98. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $10,000 This chart shows the growth in the value of an investment in the UBS Investment Fund - U.S. Large Cap Equity and the S&P 500 Equity Index if you had invested $10,000 on April 30, 1998, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. UBS Investment Fund - U.S. Large Cap Equity vs. S&P 500 Equity Index Wealth Value with Dividends Reinvested [GRAPH] Brinson U.S. S&P 500 Large Cap Equity Equity Index ---------------- ------------ 4/30/98 10,000 10,000 5/31/98 9,827 9,828 6/30/98 9,968 10,227 7/31/98 9,774 10,118 8/31/98 8,481 8,655 9/30/98 9,133 9,210 10/31/98 9,795 9,959 11/30/98 10,212 10,563 12/31/98 10,529 11,171 1/31/99 10,601 11,638 2/28/99 10,263 11,277 3/31/99 10,509 11,728 4/30/99 11,400 12,182 5/31/99 11,062 11,894 6/30/99 11,349 12,555 7/31/99 10,836 12,163 8/31/99 10,518 12,102 9/30/99 9,596 11,771 10/31/99 9,565 12,516 11/30/99 9,473 12,770 12/31/99 9,331 13,522 1/31/2000 8,638 12,843 2/29/2000 7,806 12,600 3/31/2000 8,453 13,832 4/30/2000 8,765 13,416 5/31/2000 8,915 13,141 6/30/2000 8,603 13,465 Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ======================================================= 49 U.S. Large Cap Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS Industry Diversification Investment Funds As a Percent of Net Assets As of June 30, 2000 ---------------------------------------------------- U.S. EQUITIES Energy.................................... 3.93% Capital Investment Capital Goods........................... 4.49 Electric Components..................... 4.41 Technology.............................. 2.76 ------ 11.66 Basic Industries Chemicals............................... 1.62 Housing/Paper........................... 1.26 Metals.................................. 2.64 ------ 5.52 Computers Software................................ 3.81 Systems................................. 7.04 ------ 10.85 Consumer Food/House Products..................... 0.62 Health: Drugs........................... 1.22 Health: Non-Drugs....................... 8.94 Leisure/Tourism......................... 0.75% Non-Durables............................ 2.26 Retail/Apparel.......................... 8.75 ------ 22.54 Financial Banks................................... 6.49 Non-Banks............................... 8.73 ------ 15.22 Telecommunications........................ 4.06 Transportation............................ 8.12 Utilities................................. 1.50 Services/Miscellaneous.................... 8.64 ------ Total U.S. Equities............ 92.04* SHORT-TERM INVESTMENTS.................... 7.62* ------ TOTAL INVESTMENTS.................. 99.66 CASH AND OTHER ASSETS, LESS LIABILITIES........................ 0.34 ------ NET ASSETS................................ 100.00% ====== ---------------------------------------------------- * The Fund held a long position in stock index futures which increased U.S. Equity exposure from 92.04% to 98.94%. This adjustment results in a net decrease in the Fund's exposure to Short-Term Investments from 7.62% to 0.72%. Top 10 U.S. Equity Holdings As of June 30, 2000 Percent of Net Assets ------------------------------------------------ 1. Electronic Data Systems Corp. 3.85% 2. FedEx Corp. 3.74 3. Burlington Northern Santa Fe Corp. 3.58 4. Gateway, Inc. 3.24 5. CIGNA Corp. 3.17 6. Baxter International, Inc. 3.13 7. Johnson & Johnson Co. 3.13 8. Illinois Tool Works, Inc. 3.04 9. Emerson Electric Co. 3.03 10. Wells Fargo and Co. 2.75 ------------------------------------------------ =================================================== 50 U.S. Large Cap Equity Fund -- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Shares Value -------- -------- U.S. Equities -- 92.04% American Electric Power Co., Inc................................. 10,560 $ 312,840 American General Corp............................................ 3,600 219,600 Aon Corp......................................................... 10,850 337,028 Associates First Capital Corp., Class A.......................... 14,800 330,225 Baxter International, Inc........................................ 7,100 499,219 Burlington Northern Santa Fe Corp................................ 24,900 571,144 Cardinal Health, Inc............................................. 100 7,400 Carnival Corp., Class A.......................................... 6,100 118,950 CIGNA Corp....................................................... 5,400 504,900 Compaq Computer Corp............................................. 16,400 419,225 Computer Sciences Corp. (b)...................................... 800 59,750 Compuware Corp. (b).............................................. 28,500 295,687 CVS Corp......................................................... 3,300 132,000 Dell Computer Corp. (b).......................................... 3,800 187,388 Electronic Data Systems Corp..................................... 14,900 614,625 Eli Lilly and Co................................................. 300 29,963 Emerson Electric Co.............................................. 8,000 483,000 Entergy Corp..................................................... 8,800 239,250 Exxon Mobil Corp................................................. 4,000 314,000 FedEx Corp. (b).................................................. 15,700 596,600 First Data Corp.................................................. 8,600 426,775 Fleet Boston Financial Corp...................................... 10,285 349,690 Gateway, Inc. (b)................................................ 9,100 516,425 Household International, Inc..................................... 6,700 278,469 Illinois Tool Works, Inc......................................... 8,500 484,500 Johnson & Johnson Co............................................. 4,900 499,187 Kimberly-Clark Corp.............................................. 3,500 200,813 Kroger Co. (b)................................................... 17,300 381,681 Lexmark International Group, Inc. (b)............................ 5,000 336,250 Masco Corp....................................................... 23,300 420,856 Mattel, Inc...................................................... 25,200 332,325 Microsoft Corp. (b).............................................. 3,900 312,000 Newell Rubbermaid, Inc........................................... 13,100 337,325 Norfolk Southern Corp............................................ 8,600 127,925 PepsiCo, Inc..................................................... 8,100 359,944 PNC Bank Corp.................................................... 5,300 248,437 Praxair, Inc..................................................... 6,900 258,319 Raytheon Co., Class B............................................ 12,000 231,000 Sara Lee Corp.................................................... 5,100 98,494 SBC Communications, Inc.......................................... 9,600 415,200 Schering Plough Corp............................................. 3,100 156,550 Tellabs, Inc. (b)................................................ 3,400 232,687 Texas Instruments, Inc........................................... 3,200 219,800 UnitedHealth Group, Inc.......................................... 5,000 428,750 Wal-Mart Stores, Inc............................................. 3,700 213,212 Wells Fargo and Co............................................... 11,300 437,875 Xerox Corp....................................................... 5,000 103,750 ----------- Total U.S. Equities (Cost $15,674,981)........................... 14,681,033 ----------- Short Term Investments -- 7.62% Investment Companies -- 7.62% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $1,215,982).............................................. 1,215,982 1,215,982 ----------- Total Investments (Cost $16,890,963) -- 99.66% (a)............................... 15,897,015 Cash and other assets, less liabilities -- 0.34%...................................... 53,820 ----------- Net Assets -- 100%............................................... $15,950,835 ===========
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $18,155,680; and net unrealized depreciation consisted of: Gross unrealized appreciation......................... $ 728,386 Gross unrealized depreciation......................... (2,987,051) ----------- Net unrealized depreciation................... $(2,258,665) =========== (b) Non-income producing security FUTURES CONTRACTS The U.S. Large Cap Equity Fund had the following open futures contracts as of June 30, 2000:
Expiration Current Unrealized Date Cost Value Loss ------------ ------ ---------- ------------ Index Futures Buy Contracts Standard & Poor's 500, 3 contracts............... September 2000 $1,108,971 $1,101,075 $(7,896) =======
The segregated cash pledged to cover margin requirements for the open futures positions at June 30, 2000 was $56,250. ================================================================================ See accompanying notes to financial statements. 51 U.S. Large Cap Growth Fund ------------------------------------------------------------------------------- [LOGO] UBS Since its inception on December 31, 1998, the UBS Investment Funds Investment Fund - U.S. Large Cap Growth has returned 23.03%, compared to a return of 24.43% for the Russell 1000 Growth Index. On a calendar year to date basis, the Fund has returned 3.64% versus the 4.23% return of the benchmark. The Fund outperformed the benchmark by a small margin in the first quarter, but lagged the benchmark somewhat in the second quarter. Performance in the first quarter was strong, mainly due to strong stock selection decisions. Stock selection in the second quarter was weaker, and offset the earlier gains. During the second quarter, we decided to add to our holdings in the technology sector, which has seen a significant correction from its highs in mid March. In spite of this, we continue to be underweight the sector with a 41.4% holding versus the Russell 1000 Growth Index, for which technology exposure now constitutes about 47.8%. Along with the technology underweight, the Fund also holds underweight positions in consumer staples and capital goods, which are offset by overweight positions in the energy, financial and healthcare sectors. ======================================================= 52 U.S. Large Cap Growth Fund ------------------------------------------------------------------------------- [LOGO] UBS Total Return Investment Funds
6 months 1 year Inception* ended ended to 6/30/00 6/30/00 6/30/00 ----------------------------------------------------------------------------------- UBS Investment Fund - U.S. Large Cap Growth 3.64% 16.62% 23.03% ----------------------------------------------------------------------------------- S&P 500 Equity Index -0.42 7.25 13.26 ----------------------------------------------------------------------------------- Russell 1000 Growth Index** 4.23 25.67 24.43 -----------------------------------------------------------------------------------
* Inception date of the UBS Investment Fund - U.S. Large Cap Growth is 12/31/98. ** The Advisor has chosen to change the Fund's benchmark index from the S&P 500 Equity Index to the Russell 1000 Growth Index due to the Advisor's determination that the Russell 1000 Growth Index more closely reflects the Fund's investment strategies. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $10,000 This chart shows the growth in the value of an investment in the UBS Investment Fund - U.S. Large Cap Growth, the S&P 500 Equity Index and the Russell 1000 Growth Index if you had invested $10,000 on December 31, 1998, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. UBS Investment Fund - U.S. Large Cap Growth vs. S&P 500 Equity Index and Russell 1000 Growth Index Wealth Value with Dividends Reinvested [LINE GRAPH APPEARS HERE]
--------------------------------------------------------------------------------------- Label A B C --------------------------------------------------------------------------------------- Label Brinson U.S Large Capita S&P 500 Equity Index Russell 1000 G --------------------------------------------------------------------------------------- 1 12/31/98 10000 10,000 10,000 --------------------------------------------------------------------------------------- 2 1/31/99 10617 10,418 10,587 --------------------------------------------------------------------------------------- 3 2/28/99 10152 10,094 10,104 --------------------------------------------------------------------------------------- 4 3/31/99 10633 10,498 10,636 --------------------------------------------------------------------------------------- 5 4/30/99 11030 10,905 10,649 --------------------------------------------------------------------------------------- 6 5/31/99 10887 10,647 10,322 --------------------------------------------------------------------------------------- 7 6/30/99 11698 11,238 11,045 --------------------------------------------------------------------------------------- 8 7/31/99 11,208 10,887 10,694 --------------------------------------------------------------------------------------- 9 8/31/99 11,191 10,834 10,869 --------------------------------------------------------------------------------------- 10 9/30/99 10,811 10,537 10,640 --------------------------------------------------------------------------------------- 11 10/31/99 11,394 11,203 11,444 --------------------------------------------------------------------------------------- 12 11/30/99 11,968 11,431 12,061 --------------------------------------------------------------------------------------- 13 12/31/99 13,163 12,104 13,316 --------------------------------------------------------------------------------------- 14 1/31/2000 12,638 11,496 12,691 --------------------------------------------------------------------------------------- 15 2/29/2000 13,217 11,279 13,316 --------------------------------------------------------------------------------------- 16 3/31/2000 14,076 12,382 14,265 --------------------------------------------------------------------------------------- 17 4/30/2000 13,678 12,010 13,586 --------------------------------------------------------------------------------------- 18 5/31/2000 13,136 11,763 12,902 --------------------------------------------------------------------------------------- 19 6/30/2000 13,647 12,053 13,880 ---------------------------------------------------------------------------------------
Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ====================================================== 53 U.S. Large Cap Growth Fund -------------------------------------------------------------------------------- [LOGO] UBS Industry Diversification Investment Funds As a Percent of Net Assets As of June 30, 2000 ----------------------------------------------------- U.S. EQUITIES Energy.................................... 3.00% Capital Investment Electric Components..................... 15.94 Technology.............................. 1.47 ------- 17.41 Basic Industries Housing/Paper........................... 0.94 Computers Software................................ 7.09 Systems................................. 12.11 ------- 19.20 Consumer Autos/Durables.......................... 1.41 Health: Drugs........................... 10.12 Health: Non-Drugs......................... 6.78% Non-Durables.............................. 2.37 Retail/Apparel............................ 8.45 ------ 29.13 Financial Non-Banks............................... 3.92 Telecommunications........................ 9.21 Services/Misc............................. 5.79 ------ Total U.S. Equities................. 88.60* SHORT-TERM INVESTMENTS.................... 7.80* ------ TOTAL INVESTMENTS................... 96.40 CASH AND OTHER ASSETS, LESS LIABILIITIES....................... 3.60 ------ NET ASSETS................................. 100.00% ====== ----------------------------------------------------- *The Fund held a long position in stock index futures which increased U.S. Equity exposure from 88.60% to 97.02%. This adjustment results in a net decrease in the Fund's exposure to Short-Term Investments from 7.80% to -0.62%. Top 10 U.S. Equity Holdings As of June 30, 2000 Percent of Net Assets ---------------------------- 1. Cisco Systems, Inc. 4.47% 2. Intel Corp. 4.09 3. Pfizer, Inc. 3.75 4. Microsoft Corp. 3.24 5. General Electric Co. 3.16 6. Oracle Corp. 3.09 7. Sun Microsystems, Inc. 2.99 8. Texas Instruments, Inc. 2.94 9. Micron Technology, Inc. 2.70 10. Johnson & Johnson Co. 2.57 --------------------------------------- ===================================================================== 54 U.S. Large Cap Growth Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value ------- ------- U.S. Equities-- 88.60% AFLAC, Inc.................................. 3,500 $ 160,781 Agilent Technologies, Inc. (b).............. 900 66,375 Alltel Corp................................. 1,700 105,294 America On-Line, Inc. (b)................... 4,300 226,825 American Express Co......................... 2,200 114,675 American International Group, Inc........... 1,025 120,438 Amgen, Inc. (b)............................. 1,700 119,425 Anheuser-Busch Cos., Inc., Class A.......... 1,600 119,500 Applied Material, Inc. (b).................. 1,900 172,188 AT&T Corp.- Liberty Media Group, Inc. (b)... 8,612 208,841 Avon Products, Inc.......................... 4,100 182,450 BMC Software, Inc. (b)...................... 2,700 98,508 Boeing Co................................... 4,400 183,975 Boston Scientific Corp. (b)................. 5,100 111,881 Bristol-Myers Squibb Co..................... 2,500 145,625 Cisco Systems, Inc. (b)..................... 9,200 584,775 Citigroup, Inc.............................. 2,700 162,675 Compaq Computer Corp........................ 6,400 163,600 Dell Computer Corp. (b)..................... 2,500 123,281 EMC Corp. (b)............................... 1,600 123,100 Gap, Inc.................................... 3,500 109,375 General Electric Co......................... 7,800 413,400 Guidant Corp. (b)........................... 3,200 158,400 Halliburton Co.............................. 3,400 160,438 Immunex Corp. (b)........................... 4,200 207,637 Intel Corp.................................. 4,000 534,750 International Business Machines Corp........ 1,800 197,212 JDS Uniphase Corp. (b)...................... 700 83,913 Johnson & Johnson Co........................ 3,300 336,187 Lowe's Companies, Inc....................... 3,000 123,188 Lucent Technologies, Inc.................... 3,900 231,075 Merck & Co., Inc............................ 2,700 206,887 Merrill Lynch & Co.......................... 1,000 115,000 Micron Technology, Inc. (b)................. 4,000 352,250 Microsoft Corp. (b)......................... 5,300 $ 424,000 Motorola, Inc............................... 3,700 107,531 NEXTLINK Communications, Inc................ 1,600 60,700 Nike, Inc................................... 2,100 83,606 Nortel Networks Corp........................ 2,000 136,500 Oracle Corp. (b)............................ 4,800 403,500 Pepsi Bottling Group, Inc................... 6,500 189,719 Pfizer, Inc................................. 10,200 489,600 Pharmacia Corp.............................. 2,100 108,544 QUALCOMM, Inc. (b).......................... 1,800 108,000 Safeway, Inc. (b)........................... 5,400 243,675 Schering Plough Corp........................ 5,400 272,700 Schlumberger Ltd............................ 3,100 231,337 Solectron Corp. (b)......................... 3,800 159,125 Sprint Corp. (b)............................ 900 53,550 Sun Microsystems, Inc. (b).................. 4,300 391,031 Target Corp................................. 3,800 220,400 Texas Instruments, Inc...................... 5,600 384,650 Time Warner, Inc............................ 800 60,800 Tyco International Co....................... 3,300 156,338 Viacom, Inc. (b)............................ 2,646 180,424 Wal-Mart Stores, Inc........................ 4,600 265,075 Walt Disney Co.............................. 3,400 131,963 Worldcom, Inc. (b).......................... 4,200 192,675 ----------- Total U.S. Equities (Cost $10,029,797) 11,579,367 ----------- Short-Term Investments -- 7.80% Investment Companies -- 7.80% Vista U.S. Government Money Market Fund (Cost $1,019,932).................... 1,019,932 1,019,932 ----------- Total Investments (Cost $11,049,729) -- 96.40% (a)............ 12,599,299 Cash and other assets, less liabilities -- 3.60%................... 469,968 ----------- Net Assets -- 100%.......................... $13,069,267 =========== NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $11,090,213; and net unrealized appreciation consisted of: Gross unrealized appreciation................... $ 1,893,400 Gross unrealized depreciation................... (384,314) ----------- Net unrealized appreciation................ $ 1,509,086 =========== (b) Non-income producing security FUTURES CONTRACTS The U.S. Large Cap Growth Fund had the following open futures contracts as of June 30, 2000:
Expiration Current Unrealized Date Cost Value Loss ----------- ------------- ------------ ------------ Index Futures Buy Contracts Standard & Poor's 500, 3 contracts............. September 2000 $1,102,896 $1,101,075 $(1,821) ========
The segregated cash pledged to cover margin requirements for the open futures positions at June 30, 2000 was $18,750. ================================================================================ See accompanying notes to financial statements. 55 U.S. Small Cap Growth Fund -------------------------------------------------------------------------------- [LOGO] UBS The UBS Investment Fund - U.S. Small Cap Growth has Investment Funds appreciated 49.52% on an annualized basis since its inception on December 31, 1998. This compares favorably with the return of the Russell 2000 Growth Index, a commonly cited index of small capitalization U.S. growth stocks, which has returned 28.02% over the same period. Much of that outperformance has come in the last six months with the Fund returning 29.99% while the index returned just 1.23%. During the second quarter, small cap stocks underperformed large caps. The S&P 500 index declined 2.7% in the second quarter, versus a 3.8% decline in the Russell 2000 Index. Year to date, however, small caps have returned a positive 3.0% versus a 0.4% decline for the S&P 500. Small cap growth stocks declined 7.4% in the second quarter and have returned a positive 1.2% year to date. The top performing small cap growth sector in the second quarter was healthcare, up 19.2%, while the worst performing sector was technology, down 19.4%. In the first quarter, the Fund's technology underweight detracted somewhat from performance, as that sector continued to dominate market performance. For the second quarter, however, the Fund benefited from both strong stock and sector selection. Stock selection was particularly strong in the technology sector and was weak in the consumer cyclical sector. Sector selection was helped by the Fund's underweight in both technology as well as the communication services sectors, both of which performed poorly during the quarter. At the end of June, the Fund was overweighted versus the Russell 2000 Growth Index in the energy, healthcare, and transportation sectors. The Fund was underweighted in the capital goods, financials, and technology areas. We have taken advantage of the recent weakness in the technology sector and have increased our exposure over the past several weeks. ======================================================= 56 U.S. Small Cap Growth Fund -------------------------------------------------------------------------------- [LOGO] UBS Total Return Investment Funds
6 months 1 year Inception* ended ended to 6/30/00 6/30/00 6/30/00 --------------------------------------------------------------------------------- UBS Investment Fund - U.S. Small Cap Growth 29.99% 75.93% 49.52% --------------------------------------------------------------------------------- Russell 2000 Index 3.04 14.32 16.00 --------------------------------------------------------------------------------- Russell 2000 Growth Index** 1.23 28.39 28.02 ---------------------------------------------------------------------------------
* Inception date of the UBS Investment Fund - U.S. Small Cap Growth is 12/31/98. ** The Advisor has chosen to change the Fund's benchmark index from the Russell 2000 Index to the Russell 2000 Growth Index due to the Advisor's determination that the Russell 2000 Growth Index more closely reflects the Fund's investment strategies. 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. Illustration of an Assumed Investment of $10,000 This chart shows the growth in the value of an investment in the UBS Investment Fund - U.S. Small Cap Growth, the Russell 2000 Index and the Russell 2000 Growth Index if you had invested $10,000 on December 31, 1998 and had reinvested all your income dividends and capital gain distributions through June 30, 2000. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. UBS Investment Fund - U.S. Small Cap Growth vs. Russell 2000 Index and Russell 2000 Growth Index Wealth Value with Dividends Reinvested [GRAPH]
Brinson U.S. Small Capitalization Russell 2000 Growth (Bench?) Russell 2000 1 12/31/98 10000 10000 10000 2 1/31/99 9989 10450 10133 3 2/28/99 9148 9494 9312 4 3/31/99 9352 9832 9458 5 4/30/99 9318 10700 10305 6 5/31/99 9727 10717 10456 7 6/30/99 10386 11282 10928 8 7/31/99 10477 10933 10628 9 8/31/99 10239 10524 10235 10 9/30/99 10591 10727 10237 11 10/31/99 10989 11002 10279 12 11/30/99 12716 12165 10893 13 12/31/99 14057 14309 12126 14 1/31/2000 13648 14176 11931 15 2/29/2000 15807 17474 13901 16 3/31/2000 17159 15638 12985 17 4/30/2000 16545 14059 12203 18 5/31/2000 15466 12828 11492 19 6/30/2000 18283 14485 12494
Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ======================================================= 57 U.S. Small Cap Growth Fund -------------------------------------------------------------------------------- [LOGO] UBS Industry Diversification Investment Funds As a Percent of Net Assets As of June 30, 2000 ---------------------------------------------------- U.S. EQUITIES Energy...................................... 3.76% Capital Investment Electrical Components..................... 15.85 Technology................................ 5.62 ------- 21.47 Basic Industries Housing/Paper............................. 1.17 Computers Software.................................. 5.43 Systems................................... 1.65 ------- 7.08 Consumer Autos/Durables............................ 5.98 Food/House Products....................... 2.02 Health: Drugs............................. 5.61 Health: Non-Drugs......................... 12.23 Retail/Apparel............................ 8.50 ------- 34.34 Financial Banks..................................... 2.64% Non-Banks................................. 2.70 ------- 5.34 Telecommunications Equipment................................. 0.98 Services.................................. 4.46 ------- 5.44 Transportation.............................. 3.58 Services/Miscellaneous...................... 9.18 ------- Total U.S. Equities................ 91.36 SHORT-TERM INVESTMENTS....................... 4.58 ------- TOTAL INVESTMENTS.................. 95.94 CASH AND OTHER ASSETS, LESS LIABILITIES........................... 4.06 ------- NET ASSETS................................... 100.00% ======= Top 10 U.S. Equity Holdings As of June 30, 2000 Percent of Net Assets ----------------------------------------------------- 1. Elantec Semiconductor, Inc.......... 3.15% 2. Tollgrade Communications, Inc....... 2.86 3. Waters Corp......................... 2.67 4. Mercury Interactive Corp............ 2.39 5. Investors Financial Services Corp... 2.22 6. Quest Diagnostics, Inc.............. 2.16 7. Shaw Group, Inc..................... 2.06 8. Hain Celestial Group, Inc........... 2.02 9. Flextronics International Ltd....... 1.96 10. C & D Technologies, Inc............. 1.84 ----------------------------------------------------- ======================================================= 58 U.S. Small Cap Growth Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value --------- ----------- U.S. Equities -- 91.36% 724 Solutions, Inc. (b).............................. 700 $ 30,713 About.com, Inc. (b).................................. 4,900 154,350 ACT Manufacturing, Inc. (b).......................... 15,300 710,494 Anixter International, Inc. (b)...................... 17,200 455,800 Aurora Biosciences Corp. (b)......................... 9,000 613,687 Bookham Technology ADR (b)........................... 4,200 248,850 BreezeCom Ltd. (b)................................... 4,150 180,525 C & D Technologies, Inc.............................. 17,800 1,005,700 C-COR.net Corp. (b).................................. 20,200 545,400 Caldera Systems, Inc. (b)............................ 4,950 64,659 Celeritek, Inc. (b).................................. 13,100 534,644 Charles River Associates, Inc. (b)................... 9,300 163,913 Children's Place Retail Stores, Inc. (b)............. 8,000 164,000 COR Therapeutics, Inc. (b)........................... 5,100 435,094 Cost Plus, Inc. (b).................................. 17,950 514,941 Credence Systems Corp. (b)........................... 15,400 849,887 Cubist Pharmaceuticals, Inc. (b)..................... 9,500 467,875 Cytyc Corp. (b)...................................... 12,000 640,500 Data Return Corp. (b)................................ 2,100 60,900 Datascope Corp....................................... 10,800 388,800 Dendrite International, Inc. (b)..................... 24,350 811,159 Dobson Communications (b)............................ 4,700 90,475 Elantec Semiconductor, Inc. (b)...................... 24,700 1,719,737 Emmis Communications Corp. (b)....................... 6,900 285,488 Exar Corp. (b)....................................... 8,500 741,094 Exfo Electro Optical Engineering, Inc. (b)........... 2,100 92,138 Expeditors International of Washington, Inc.......... 16,700 793,250 Flextronics International Ltd. (b)................... 15,613 1,072,418 Forward Air Corp. (b)................................ 22,500 900,000 Graco, Inc........................................... 15,700 510,250 Greater Bay Bancorp.................................. 9,400 439,450 Hain Celestial Group, Inc. (b)....................... 30,090 1,103,927 Haverty Furniture Cos., Inc.......................... 15,700 133,450 Helix Technology Corp................................ 15,700 612,300 Hooper Holmes, Inc................................... 32,900 263,200 Inamed Corp. (b)..................................... 13,000 476,125 Insight Enterprises, Inc. (b)........................ 16,300 966,794 Insituform Technologies, Inc. (b).................... 23,400 634,725 Intersil Holding Corp. (b)........................... 4,000 216,250 Investors Financial Services Corp.................... 30,600 1,214,437 Jack in the Box, Inc. (b)............................ 22,900 563,912 Jakks Pacific, Inc. (b).............................. 18,100 266,975 Kenneth Cole Productions, Inc. (b)................... 21,900 876,000 Kent Electronics Corp. (b)........................... 23,900 712,519 King Pharmaceuticals, Inc. (b)....................... 18,300 802,912 Littlefuse, Inc. (b)................................. 8,300 406,700 Loudeye Technologies, Inc. (b)....................... 4,900 85,444 Marvell Technology Group Ltd. (b).................... 2,100 119,700 Matrixone, Inc. (b).................................. 1,050 42,656 Maverick Tube Corp. (b).............................. 24,000 $ 699,000 Meade Instruments Corp. (b).......................... 17,400 437,175 Mediaplex, Inc. (b).................................. 5,000 96,563 MedQuist, Inc. (b)................................... 12,800 435,200 Mercury Interactive Corp. (b)........................ 13,500 1,306,125 Metasolv Software, Inc. (b).......................... 2,100 92,400 Myriad Genetics, Inc. (b)............................ 6,000 888,469 Niku Corp. (b)....................................... 3,000 101,250 North Fork Bancorporation, Inc....................... 28,200 426,525 Pacific Sunwear of California, Inc. (b).............. 17,950 336,562 Parlex Corp. (b)..................................... 14,800 623,450 Parthus Technologies ADR (b)......................... 2,100 59,850 Patterson Dental Co. (b)............................. 18,100 923,100 Patterson Energy, Inc. (b)........................... 26,100 743,850 Peregrine Systems, Inc. (b).......................... 20,300 704,156 QRS Corp. (b)........................................ 4,150 101,934 Quest Diagnostics, Inc. (b).......................... 16,500 1,180,781 Rainbow Technologies, Inc. (b)....................... 14,600 709,925 Register.com (b)..................................... 3,000 91,688 ResMed, Inc. (b)..................................... 22,800 609,900 Richmond County Financial Corp....................... 30,100 575,662 Roper Industries, Inc................................ 5,900 151,188 Rudolph Technologies, Inc. (b)....................... 1,600 62,000 Saba Software, Inc. (b).............................. 3,150 66,150 Sangstat Medical Corp. (b)........................... 9,900 285,863 Selectica, Inc. (b).................................. 2,000 140,125 Shaw Group, Inc. (b)................................. 23,900 1,126,287 Silicon Laboratories, Inc. (b)....................... 700 37,188 Spanish Broadcasting System (b)...................... 14,500 298,156 Stone Energy Corp. (b)............................... 12,000 717,000 StorageNetworks, Inc................................. 2,100 189,525 Stratos Lightwave, Inc. (b).......................... 2,100 58,538 Swift Transportation Co., Inc. (b)................... 18,800 263,200 Talbots, Inc......................................... 13,400 736,162 Telcom Semiconductor, Inc. (b)....................... 21,400 864,025 TMP Worldwide, Inc. (b).............................. 8,900 656,931 Tollgrade Communications, Inc. (b)................... 11,800 1,563,500 Tower Automotive, Inc. (b)........................... 19,300 241,250 Triton PCS Holdings, Inc. (b)........................ 7,800 450,450 United Therapeutics Corp. (b)........................ 7,800 845,325 Universal Access, Inc. (b)........................... 1,800 44,100 Utstarcom, Inc. (b).................................. 2,000 60,750 Vertex Pharmaceuticals, Inc. (b)..................... 6,300 663,862 Vicinity Corp. (b)................................... 15,400 302,225 Vintage Petroleum, Inc............................... 28,300 638,519 Waters Corp. (b)..................................... 11,700 1,460,306 Whitehall Jewellers, Inc. (b)........................ 25,550 475,869 Zebra Technologies Corp., Class A (b)................ 11,200 496,300 Zoll Medical Corp. (b)............................... 14,400 705,600 ----------- Total U.S. Equities (Cost $33,685,619)............... 49,928,176 ----------- ================================================================================ 59 U.S. Small Cap Growth Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value --------- ----------- Short-Term Investments -- 4.58% Investment Companies -- 4.58% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $2,503,641)............................. 2,503,641 $ 2,503,641 ----------- Total Investments (Cost $36,189,260) -- 95.94% (a).............. 52,431,817 Cash and other assets, less liabilities -- 4.06%..................... 2,216,357 ----------- Net Assets -- 100%.............................. $54,648,174 =========== NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $36,311,146; and net unrealized appreciation consisted of: Gross unrealized appreciation.............................. $17,978,411 Gross unrealized depreciation.............................. (1,857,740) ----------- Net unrealized appreciation............................. $16,120,671 =========== (b) Non-income producing security ================================================================================ 60 See accompanying notes to financial statements. U.S. Bond Fund -------------------------------------------------------------------------------- [LOGO] UBS Since its inception on August 31, 1995, the UBS Investment Funds Investment Fund - U.S. Bond has returned 5.52%, while its benchmark, the Salomon Smith Barney Broad Investment Grade (BIG) Bond Index has returned 6.25%. Over the same period the Fund's annualized volatility or risk of 3.90% was comparable to the benchmark volatility of 3.40%. For the calendar year-to-date period, the Fund has returned 3.18% while the benchmar has returned 3.92%. Sector strategies hurt the Fund in the first quarter, as we were overweight corporate bonds (and underweight Treasuries) in a period during which Treasury securities showed the strongest relative returns. The negative sector contribution was offset to a large extent by strong security selection decisions and positive duration positioning. Early in the second quarter, we diversified our overweight to those sectors with greater credit risk (non-Treasury) by increasing our positions in agencies and mortgages and selling corporate bonds. This also served to slightly upgrade the credit exposure of the Fund. For the second quarter, the strongest contributor to performance was our sector exposure as the move to agency and mortgage securities paid off. However, returns were hurt by issue selection and our positioning on the yield curve during this period of high volatility in interest rates. The Federal Reserve raised rates twice in the first quarter by 25 basis points each time, and then surprised the market with a 50 basis point increase in the federal funds rate in May. Rates were not increased at the June 28 Federal Open Market Committee meeting, but since the beginning of January, the fed funds rate has gone from 5.5% to 6.5%. Large fluctuations in economic forecasts in the second quarter contributed to interest rate volatility. Though rates fluctuated over the quarter, they finished close to first quarter levels by the end of June. ======================================================= 61 U.S. Bond Fund -------------------------------------------------------------------------------- [LOGO] UBS Total Return Investment Funds
6 months 1 year 3 years Inception* ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 ------------------------------------------------------------------------------------------------------- UBS Investment Fund - U.S. Bond 3.18% 3.33% 5.19% 5.52% ------------------------------------------------------------------------------------------------------- Salomon Smith Barney Broad Investment Grade (BIG) Bond Index 3.92 4.49 6.02 6.25 -------------------------------------------------------------------------------------------------------
* Inception date of the UBS Investment Fund - U.S. Bond is 8/31/95. Total return includes reinvestment of all capital gain and income distributions. All Total return returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $10,000 This chart shows the growth in the value of an investment in the UBS Investment Fund - U.S. Bond and the Salomon Smith Barney BIG Bond Index if you had invested $10,000 on August 31, 1995, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. UBS Investment Fund - U.S. Bond vs. Salomon Smith Barney BIG Bond Index Wealth Value with Dividends Reinvested [GRAPH] $12,970 == UBS Investment Fund - U.S. Bond $13,403 -- Salomon Smith Barney BIG Bond Index ----------------------------------------------------- Label A B ----------------------------------------------------- Label Brinson U.S.Bond Salmon Smith B ----------------------------------------------------- 1 8/31/95 10,000 10,000 ----------------------------------------------------- 2 10,080 10,094 ----------------------------------------------------- 3 10,230 10,229 ----------------------------------------------------- 4 10,390 10,389 ----------------------------------------------------- 5 12/31/95 10,529 10,532 ----------------------------------------------------- 6 10,591 10,604 ----------------------------------------------------- 7 10,366 10,425 ----------------------------------------------------- 8 10,284 10,350 ----------------------------------------------------- 9 10,202 10,273 ----------------------------------------------------- 10 10,161 10,268 ----------------------------------------------------- 11 6/30/96 10,324 10,400 ----------------------------------------------------- 12 10,345 10,428 ----------------------------------------------------- 13 10,283 10,413 ----------------------------------------------------- 14 10,491 10,594 ----------------------------------------------------- 15 10,762 10,832 ----------------------------------------------------- 16 11,032 11,011 ----------------------------------------------------- 17 12/31/96 10,861 10,914 ----------------------------------------------------- 18 10,871 10,956 ----------------------------------------------------- 19 10,893 10,968 ----------------------------------------------------- 20 10,731 10,857 ----------------------------------------------------- 21 10,893 11,012 ----------------------------------------------------- 22 11,001 11,116 ----------------------------------------------------- 23 6/30/97 11,141 11,248 ----------------------------------------------------- 24 11,479 11,553 ----------------------------------------------------- 25 11,370 11,453 ----------------------------------------------------- 26 11,522 11,622 ----------------------------------------------------- 27 11,675 11,788 ----------------------------------------------------- 28 11,708 11,843 ----------------------------------------------------- 29 12/31/97 11,844 11,964 ----------------------------------------------------- 30 11,981 12,118 ----------------------------------------------------- 31 11,970 12,110 ----------------------------------------------------- 32 12,004 12,157 ----------------------------------------------------- 33 12,050 12,220 ----------------------------------------------------- 34 12,165 12,338 ----------------------------------------------------- 35 6/30/98 12,252 12,439 ----------------------------------------------------- 36 12,264 12,465 ----------------------------------------------------- 37 12,461 12,656 ----------------------------------------------------- 38 12,682 12,954 ----------------------------------------------------- 39 12,636 12,896 ----------------------------------------------------- 40 12,717 12,967 ----------------------------------------------------- 41 12/31/98 12,767 13,007 ----------------------------------------------------- 42 12,876 13,104 ----------------------------------------------------- 43 12,647 12,874 ----------------------------------------------------- 44 12,731 12,948 ----------------------------------------------------- 45 12,755 12,990 ----------------------------------------------------- 46 12,623 12,871 ----------------------------------------------------- 47 6/30/99 12,552 12,827 ----------------------------------------------------- 48 12,490 12,776 ----------------------------------------------------- 49 12,453 12,767 ----------------------------------------------------- 50 12,613 12,920 ----------------------------------------------------- 51 12,613 12,959 ----------------------------------------------------- 52 12,625 12,957 ----------------------------------------------------- 53 12/31/99 12,569 12,898 ----------------------------------------------------- 54 12,518 12,861 ----------------------------------------------------- 55 12,660 13,012 ----------------------------------------------------- 56 12,802 13,180 ----------------------------------------------------- 57 12,725 13,141 ----------------------------------------------------- 58 12,660 13,130 ----------------------------------------------------- 59 6/30/2000 12,970 13,403 ----------------------------------------------------- Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ======================================================= 62 U.S. BONDS -------------------------------------------------------------------------------- [LOGO] UBS Industry Diversification Investment Funds As a Percent of Net Assets As of June 30, 2000 ------------------------------------------------------- U.S. BONDS Corporate Bonds Consumer.................................... 2.13% Construction................................ 0.25 Energy...................................... 1.23 Financial Services.......................... 3.84 Food & House Products....................... 0.77 Health...................................... 0.67 Publishing.................................. 0.50 Services/Miscellaneous...................... 3.92 Technology.................................. 0.79 Telecommunications.......................... 3.21 Utilities................................... 2.10 ------- Total U.S. Corporate Bonds.......... 19.41 Asset-Backed.................................. 9.71 Corporate Mortgage-Backed Securities.......... 21.12 International Dollar Bonds.................... 4.89 U.S. Government Agencies...................... 8.97 U.S. Government Mortgage-Backed Securities.... 19.36 U.S. Government Obligations................... 13.88 ------- Total U.S. Bonds.................... 97.34 SHORT-TERM INVESTMENTS........................ 0.35 ------- TOTAL INVESTMENTS................... 97.69 CASH AND OTHER ASSETS, LESS LIABILITIES.................... 2.31 ------- NET ASSETS.................................... 100.00% ======= ------------------------------------------------------- ======================================================= 63 U.S. Bond Fund-- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Face Amount Value ---------- ----------- Bonds -- 97.34% U.S. Corporate Bonds -- 19.41% AT&T, 9.800%, due 02/01/12............................ $ 950,000 $ 1,090,243 Capital One Bank, BKNT, 8.250%, due 06/15/05................................. 250,000 249,505 Cendant Corp., 7.750%, due 12/01/03................... 1,060,000 1,023,679 Centaur Funding Corp., Class B, 144A, 9.080%, due 04/21/20 (b)............................. 715 709,861 Centaur Funding Corp., Class C, 144A, 0.000%, due 04/21/20 (b)............................. 1,355 209,178 Centex Corp., 9.750%, due 06/15/05.................... 155,000 154,160 Fidelity Investments, 144A, 7.570%, due 06/15/29................................. 550,000 521,272 Ford Motor Credit Co., 6.700%, due 07/16/04................................. 310,000 299,251 GMAC, 9.625%, due 12/15/01............................ 294,000 303,146 Kroger Co., 8.000%, due 09/15/29...................... 500,000 476,020 Lilly Del Mar, 144A, FRN, 7.717%, due 08/01/29................................. 1,000,000 994,090 MBNA Global Capital Securities FRN, 7.191%, due 02/01/27................................. 90,000 75,391 News America Holdings, 7.750%, due 12/01/45................................. 358,000 310,957 PanAmSat Corp., 6.000%, due 01/15/03................................. 375,000 356,550 6.375%, due 01/15/08................................. 500,000 445,399 Pharmacia Corp., 6.600%, due 12/01/28................. 550,000 484,969 Public Service Co. of Colorado, 6.875%, due 07/15/09................................. 940,000 881,389 Rite Aid Corp., 144A, 6.125%, due 12/15/08................................. 890,000 413,850 Sempra Energy, 7.950%, due 03/01/10................... 750,000 756,354 Service Corp. International, 6.000%, due 12/15/05................................. 750,000 405,000 Texas Utilities Holding, 5.940%, due 10/15/11................................. 420,000 412,071 Time Warner Cos., Inc., 7.570%, due 02/01/24................................. 340,000 321,421 Verizon Communications, 8.000%, due 10/15/29................................. 87,000 87,102 Viacom, 8.625%, due 08/01/12.......................... 575,000 610,180 Waste Management, 6.500%, due 12/15/02................................. 400,000 376,502 ----------- 11,967,540 ----------- Asset-Backed Securities -- 9.71% First Bank Corporate Card Master Trust, 97-1, Class A, 6.400%, due 02/15/03.................. $ 980,000 $ 966,858 GE Capital Mortgage Services, Inc., 97-HE4 A7, 6.735%, due 12/25/28...................... 410,000 398,725 Green Tree Financial Corp., 6.160%, due 02/01/31................................. 1,000,000 927,230 Green Tree Financial Corp., 94-5, Class A5, 8.300%, due 11/15/19........................ 320,000 319,469 Peco Energy Transition Trust, 6.130%, due 03/01/09................................. 1,135,000 1,046,311 Pemex Finance Ltd., 8.450%, due 02/15/07................................. 940,000 924,123 PP&L Transition Bond Company LLC, 6.960%, due 12/26/07................................. 200,000 198,446 Premier Auto Trust, 96-4A, Class A4, 6.400%, due 10/06/01................................. 38,811 38,803 Sears Credit Account Master Trust, 99-3, Class A, 6.450%, due 11/17/09.................. 1,200,000 1,164,660 ----------- 5,984,625 ----------- Corporate Mortgage-Backed Securities -- 21.12% ABN AMRO Mortgage Corp., 99-2 Class IA2, 6.300%, due 04/25/29................................. 2,100,000 1,982,190 ABN AMRO Mortgage Corp., 99-3, Class A2, 6.300%, due 05/25/29................................. 1,000,000 942,930 Bank One Mortgage, 2000-2, Class 6A, 6.761%, due 03/15/30................................. 97,337 97,629 Chemical Mortgage Securities Inc., 93-1, Class A5, 7.450%, due 02/25/23................. 165,534 164,951 Citicorp Mortgage Securities, Inc., 94-9, Class A8, 5.750%, due 06/25/09....................... 1,072,002 996,340 Heller Financial Commercial Mortgage Assets, 99-PH1, Class A1, 6.500%, due 05/15/31................................. 1,163,364 1,125,060 LB Commercial Conduit Mortgage Trust, 99-C1, Class A1, 6.410%, due 06/15/31................ 675,762 651,479 Nomura Asset Securities Corp., 7.120%, due 04/13/36................................. 1,200,000 1,181,134 PNC Mortgage Securities Corp., 94-3, Class A8, 7.500%, due 07/25/24....................... 375,000 359,299 Prudential Home Mortgage Securities, 93-43, Class A9, 6.750%, due 10/25/23................ 261,333 251,146 Prudential Home Mortgage Securities, 94-3, Class A10, 6.500%, due 02/25/24................ 170,000 163,817
================================================================================ 64 U.S. Bond Fund -- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Face Amount Value -------- ------- Residential Accredit Loans, Inc., 96-QS4, Class AI10, 7.900%, due 08/25/26................................................. $ 275,000 $ 274,145 Residential Accredit Loans, Inc., 98-QS4, Class AI5, 7.000%, due 03/25/28................................................. 2,850,000 2,685,107 Residential Asset Securitization Trust, 97-A10, Class A1, 7.250%, due 12/25/27............................... 126,380 125,909 Residential Funding Mortgage, 95-S6, Class A7, 7.500%, due 11/25/25................................ 943,020 933,420 Structured Asset Securities Corp., 98-RF1, Class A, 8.712%, due 04/15/27................................ 352,914 358,208 Structured Asset Securities Corp., 98-RF2, 8.582%, due 07/15/27......................................... 125,456 126,710 Thrift Financial Corp., Class A4 11.250%, due 01/01/16................................................ 25,660 26,329 Vendee Mortgage Trust, 92-1, Class 2Z, 7.750%, due 05/15/22....................................... 575,120 571,807 ----------- 13,017,610 ----------- International Dollar Bonds -- 4.89% Banco Santiago S.A., 7.000%, due 07/18/07................................................. 380,000 338,282 Empresa Nacional de Electricidad S.A., 8.125%, due 02/01/97................................................. 335,000 263,048 Interamer Development Bank, 6.800%, due 10/15/25................................................. 100,000 94,693 Korea Development Bank, 7.125%, due 09/17/01................................................. 500,000 495,628 Petroliam Nasional Berhad, 144A, 7.625%, due 10/15/26................................................. 430,000 363,591 Ras Laffan Liquified Natural Gas Co., Ltd., 144A, 8.294%, due 03/15/14..................................... 450,000 415,687 State of Qatar, 144A, 9.750%, due 06/15/30............................. 250,000 246,563 Tyco International Group S.A., 7.000%, due 06/15/28................................................. 500,000 433,359 United Mexican States, 9.875%, due 02/01/10................................................. 360,000 363,600 ----------- 3,014,451 ----------- U.S. Government Mortgage-Backed Securities -- 19.36% Fannie Mae Whole Loan, 95-W3, Class A, 9.000%, due 04/25/25........................................ $ 100,832 $ 103,818 Federal Home Loan Mortgage Corp., 1595, Class D, 7.000%, due 10/15/13.................................. 492,125 469,960 Federal Home Loan Mortgage Corp. Gold, 8.000%, due 08/01/08................................................. 474,009 479,085 8.000%, due 11/01/22................................................. 80,657 81,528 9.000%, due 07/01/30, TBA............................................ 145,000 149,577 Federal National Mortgage Assoc., 97-72, Class EG, 0.000%, due 09/25/22................................ 191,413 178,154 Federal National Mortgage Association, 6.000%, due 10/01/14................................................. 236,995 224,192 6.000%, due 03/01/28................................................. 615,771 564,384 6.000%, due 08/01/28................................................. 1,393,813 1,274,961 6.500%, due 03/01/19................................................. 461,725 441,262 6.500%, due 06/01/28................................................. 676,070 637,942 6.500%, due 09/01/28................................................. 226,071 213,321 6.500%, due 03/01/29................................................. 484,437 456,915 7.000%, due 12/01/24................................................. 538,990 520,339 7.000%, due 03/01/29................................................. 43,213 41,735 7.500%, due 12/01/23................................................. 447,293 441,138 7.500%, due 01/01/28................................................. 248,835 246,263 8.000%, due 02/01/13................................................. 147,389 148,921 Government National Mortgage Association, 6.500%, due 10/15/24................................................. 4,206,370 4,018,337 7.000%, due 07/15/25................................................. 79,883 77,983 7.500%, due 12/15/22................................................. 193,849 193,492 7.500%, due 12/15/23................................................. 807,080 805,433 7.500%, due 01/15/24................................................. 51,829 51,660 7.500%, due 06/15/25................................................. 67,140 66,989 8.000%, due 08/15/22................................................. 39,536 40,154 9.000%, due 11/15/04................................................. 7,447 7,726 10.000%, due 05/15/01................................................ 372 395 ----------- 11,935,664 ----------- U.S. Government Agencies -- 8.97% Aid-Israel, 10-Z, 0.000%, due 02/15/03................................................. 805,000 679,314 Federal Home Loan Mortgage Corp., 5.750%, due 03/15/09................................................. 230,000 208,828 7.000%, due 02/15/03................................................. 2,190,000 2,191,320 Federal National Mortgage Association, 7.250%, due 05/15/30................................................. 950,000 967,188 Jordan Aid, 8.750%, due 09/01/19....................................... 1,344,519 1,483,287 ----------- 5,529,937 -----------
================================================================================ 65 U.S. Bond Fund -- Schedule of Investments June 30, 2000 --------------------------------------------------------------------------------
Face Amount Value ---------- ----------- U.S. Government Obligations -- 13.88% U.S. Treasury Bond, 8.000%, due 11/15/21................................................. $ 510,000 $ 615,506 8.750%, due 05/15/17................................................. 770,000 967,794 U.S. Treasury Inflation Indexed Note, 3.625%, due 04/15/28................................................. 1,770,000 1,786,843 3.875%, due 04/15/29................................................. 60,000 62,307 U.S. Treasury Note, 5.625%, due 05/15/08................................................. 475,000 458,078 5.750%, due 08/15/03................................................. 1,455,000 1,429,993 6.125%, due 12/31/01................................................. 1,000,000 994,375 6.625%, due 05/15/07................................................. 1,215,000 1,240,060 7.500%, due 02/15/05................................................. 955,000 1,001,556 ----------- 8,556,512 ----------- Total Bonds (Cost $62,291,605)......................................... 60,006,339 ----------- Shares Value ---------- ----------- Short-Term Investments -- 0.35% Investment Companies -- 0.35% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $217,046)...................................................... 217,046 $ 217,046 ----------- Total Investments (Cost $62,508,651) -- 97.69% (a)...................................... 60,223,385 Cash and other assets, less liabilities -- 2.31%............................................. 1,424,454 ----------- Net Assets -- 100% $61,647,839 ===========
NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $62,522,716; and net unrealized depreciation consisted of: Gross unrealized appreciation.......................... $ 350,762 Gross unrealized depreciation.......................... (2,650,093) ------------- Net unrealized depreciation.................. $ (2,299,331) =============
(b) Non-income producing security FRN: Floating rate note -- The rate disclosed is that in effect at June 30, 2000. TBA: Security is subject to delayed delivery. 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 June 30, 2000, the value of these securities amounted to $3,874,092 or 6.28% of net assets. ================================================================================ See accompanying notes to financial statements. 66 High Yield Fund -------------------------------------------------------------------------------- [LOGO] UBS Investment Funds The UBS Investment Fund - High Yield has earned an annualized return of 1.27% since inception on December 31, 1998, versus 0.24% for its benchmark, the Merrill Lynch High Yield Master Index. This performance was achieved with an annualized volatility of 4.51% versus 3.22% for the benchmark. The Fund's total return for the calendar year-to-date through June 30, 2000, was - 2.10% versus-1.19% for the benchmark. High yield fixed income has been one of the worst performing asset classes so far in 2000, but we remain optimistic about the medium term future of the high yield asset class. Continued uncertainty about the direction of the economy has kept the perceived risks of high yield investing at a higher-than-normal level thus far in 2000. Currently, the yield spread of high yield bonds over "risk free" U.S. Treasuries stands at about 6.0%. That 6.0% spread can be thought of as the extra compensation investors require for taking on the credit risk of the underlying companies. That spread has continued to widen throughout 2000, while interestingly, default rates on high yield bonds seem to be trending downward. When we look at data of investors' expectations for defaults, the prices of high yield bonds are much lower than those default rates should imply. Continued near-term economic uncertainty and generally rising interest rates may continue to stall the high yield market, but we think that on a fundamental basis, the medium to longer-term outlook for the asset class is very attractive. During the most recent quarter, the environmental services, publishing, gaming and textile sectors performed well relative to the index, while the retail, financial services and steel sectors underperformed. We are positive about industries that we think will benefit from de-leveraging, growth or M&A activity, including telecommunications, cable and gaming. We hold overweight positions in these sectors. ======================================================= 67 High Yield Fund -------------------------------------------------------------------------------- [LOGO] UBS Total Return Investment Funds
6 months 1 year Inception* ended ended to 6/30/00 6/30/00 6/30/00 -------------------------------------------------------------------------------------------- UBS Investment Fund - High Yield -2.10% -0.68% 1.27% -------------------------------------------------------------------------------------------- Merrill Lynch High Yield Master Index -1.19 -1.37 0.24 --------------------------------------------------------------------------------------------
* Inception date of the UBS Investment Fund - High Yield is 12/31/98. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns. Illustration of an Assumed Investment of $10,000 This chart shows the growth in the value of an investment in the UBS Investment Fund - High Yield and the Merrill Lynch High Yield Master Index if you had invested $10,000 on December 31, 1998, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. UBS Investment Fund - High Yield vs. Merrill Lynch High Yield Master Index Wealth Value with Dividends Reinvested [LINE GRAPH APPEARS HERE] $10,191 === UBS Investment Fund - High Yield $10,037 --- Merrill Lynch High Yield Master Index Brinston High Yield Merrill Lynch High ------------------------------------------------------ 1 12/31/98 10,000 10,000 2 1/31/99 10,240 10,099 3 2/28/99 10,281 10,022 4 3/31/99 10,391 10,108 5 4/30/99 10,541 10,266 6 5/31/99 10,311 10,195 7 6/30/99 10,261 10,176 8 7/31/99 10,240 10,191 9 8/31/99 10,188 10,087 10 9/30/99 10,147 10,049 11 10/31/99 10,137 9,990 12 11/30/99 10,343 10,104 13 12/31/99 10,409 10,157 14 1/31/2000 10,268 10,107 15 2/29/2000 10,236 10,116 16 3/31/2000 9,997 9,974 17 4/30/2000 10,051 9,978 18 5/31/2000 10,019 9,868 19 6/30/2000 10,191 10,037 12/31/98 = 10,000 Data through 6/30/00 Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ======================================================= 68 High Yield Fund -------------------------------------------------------------------------------- [LOGO] UBS Industry Diversification Investment Funds As a Percent of Net Assets As of June 30, 2000 --------------------------------------------------------- U.S. BONDS Corporate Bonds Aerospace..................................... 0.94% Appliances & Household Durables............... 0.44 Autos/Durables................................ 3.53 Cable Television.............................. 2.99 Chemicals..................................... 2.15 Computer Software............................. 0.96 Computer Systems.............................. 0.31 Construction.................................. 2.39 Consumer...................................... 2.08 Electronics and Electric Components........... 0.98 Energy........................................ 2.43 Financial Services............................ 1.73 Food & House Products......................... 3.47 Health........................................ 2.76 Housing/Paper................................. 0.50 Non-Durables.................................. 1.13 Publishing.................................... 0.90 Radio Broadcasting............................ 2.27 Real Estate................................... 0.32 Recreation.................................... 7.90 Retail........................................ 3.01% Services/Miscellaneous........................ 9.18 Technology.................................... 1.00 Telecommunications - Services................. 7.84 Telecommunications - Equipment................ 1.65 Telecommunications - Wireless................. 8.72 Television Broadcasting....................... 8.60 Transportation................................ 0.36 ------ Total U.S. Corporate Bonds................. 80.54 International Dollar Bonds....................... 6.78 ------ Total U.S. Bonds........................... 87.32 Warrants......................................... 0.01 SHORT-TERM INVESTMENTS........................... 19.21 ------ TOTAL INVESTMENTS.......................... 106.54 LIABILITIES, LESS CASH AND OTHER ASSETS............................... (6.54) ------ NET ASSETS....................................... 100.00% ====== ---------------------------------------------------------
Top Ten U.S. Bond Holdings As of June 30, 2000
Percent of Net Assets --------------------------------------------------------- 1. Dobson Sygnet Communications, Inc., 12.250%, due 12/15/08................... 1.61% 2. Paxson Communications Corp., 12.500%, due 10/31/06................... 1.60 3. Triton PCS, Inc., 0.000%, due 05/01/08.................... 1.54 4. Liberty Group Operating, 9.375%, due 02/01/08.................... 1.31 5. Lyondell Chemical Co., Series B, 9.875%, due 05/01/07.................... 1.21 6. Perry Ellis International, Inc., 12.250%, due 04/01/06................... 1.16 7. Newpark Resources, Inc., Series B, 8.625%, due 12/15/07.................... 1.15 8. Pegasus Communications Corp., Class B, 12.500%, due 08/01/07................... 1.10 9. NTL Communications Corp., Series B, 0.000%, due 10/01/08.................... 1.08 10. Mohegan Tribal Gaming Authority, 8.750%, due 01/01/09.................... 1.08 ---------------------------------------------------------
======================================================= 69 High Yield Fund -- Schedule of Investments June 30, 2000 ------------------------------------------------------------------------------ Face Amount Value --------- --------- U.S. Bonds -- 87.32% U.S. Corporate Bonds -- 80.54% Ackerley Group, Inc., Class B, 9.000%, due 01/15/09............................. $ 100,000 $ 91,750 Adelphia Communications Corp., 9.375%, due 11/15/09............................. 500,000 462,500 Allbritton Communications Co., 9.750%, due 11/30/07............................. 250,000 240,000 American Mobile Satellite Corp., 12.250%, due 04/01/08............................ 182,000 141,960 American Restaurant Group, Inc., Class B, 11.500%, due 02/15/03............................ 150,000 115,125 Atrium Cos., Inc., 10.500%, due 05/01/09........... 125,000 105,313 Aztar Corp., 8.875%, due 05/15/07.................. 250,000 235,625 Bally Total Fitness Corp., Class B, 9.875%, due 10/15/07............................. 400,000 362,000 Big City Radio, Inc., (c) 0.000%, due 03/15/05............................. 500,000 281,250 Building Materials Corp., 7.750%, due 07/15/05............................. 350,000 287,875 Capstar Broadcasting Partners, Inc., (c) 0.000%, due 02/01/09............................. 525,000 483,000 Carmike Cinemas, Inc., 9.375%, due 02/01/09............................. 200,000 120,000 CB Richard Ellis Services, Inc., 8.875%, due 06/01/06............................. 200,000 170,000 Centennial Cellular, 10.750%, due 12/15/08............................ 500,000 485,625 Century Communications Corp., 0.000%, due 01/15/08............................. 425,000 174,250 8.375%, due 11/15/17............................. 300,000 234,750 Charter Communications Holdings, 10.000%, due 04/01/09............................ 400,000 386,000 Classic Cable, Inc., 10.500%, due 03/01/10............................ 250,000 230,625 Coast Hotels and Casinos, Inc., 9.500%, due 04/01/09............................. 370,000 351,500 Collins & Alkman Corp., 11.500%, due 04/15/06............................ 250,000 240,625 Crown Castle International Corp., 0.000%, due 05/15/11 (c)......................... 630,000 385,087 9.000%, due 05/15/11............................. 150,000 138,375 CSC Holdings, Inc., 7.625%, due 07/15/18............................. 600,000 538,141 Cumulus Media, Inc., 10.375%, due 07/01/08............................ 155,000 130,975 Dayton Superior Corp., 144A, 13.000%, due 06/15/09............................ 225 221,625 Delco Remy International, Inc., 8.625%, due 12/15/07............................. $ 150,000 $ 139,500 Diamond Triumph Auto Glass, Inc., 9.250%, due 04/01/08............................. 250,000 195,000 Dobson Communications Corp., 144A, 10.875%, due 07/01/10............................ 400,000 402,000 Dobson Sygnet Communications, Inc., 12.250%, due 12/15/08............................ 800,000 852,000 Eagle Family Foods, Class B, 8.750%, due 01/15/08............................. 750,000 442,500 Echostar Dbs Corp., 9.375%, due 02/01/09............................. 500,000 480,000 Exodus Communications, Inc., 11.250%, due 07/01/08............................ 500,000 495,000 Exodus Communications, Inc., 144A, 11.625%, due 07/15/10............................ 150,000 150,375 FairPoint Communications, Inc., 144A, 12.500%, due 05/01/10............................ 200,000 202,000 Fedders North America, 9.375%, due 08/15/07............................. 250,000 234,687 Federal-Mogul Corp., 7.500%, due 01/15/09............................. 250,000 171,463 Finova Capital Corp., 7.250%, due 11/08/04............................. 250,000 220,217 Fox/Liberty Networks, (c) 0.000%, due 08/15/07............................. 500,000 405,000 Global Imaging Systems, Inc., 10.750%, due 02/15/07............................ 325,000 276,250 Globix Corp., 12.500%, due 02/01/10................ 200,000 164,000 Golden Sky DBS, Inc., (c) 0.000%, due 03/01/07............................. 375,000 253,125 Gothic Production Corp., Class B, 11.125%, due 05/01/05............................ 500,000 466,250 Granite Broadcasting Corp., 10.375%, due 05/15/05............................ 200,000 190,000 Hayes Lemmerz International, Inc., 8.250%, due 12/15/08............................. 220,000 185,900 HMH Properties, Class B, 7.875%, due 08/01/08............................. 300,000 269,250 Hollinger International Publishing Corp., 9.250%, due 02/01/06............................. 250,000 246,562 Hollywood Park, Inc., 9.500%, due 08/01/07............................. 140,000 139,300 Horseshoe Gaming Holdings, 8.625%, due 05/15/09............................. 142,000 133,835 Horseshoe Gaming LLC, Class B, 9.375%, due 06/15/07............................. 150,000 147,750 Huntsman Corp., 144A, 9.500%, due 07/01/07............................. 200,000 182,000 ================================================================================ 70 High Yield Fund -- Schedule of Investments June 30, 2000 ----------------------------------------------------------------------------- Face Amount Value --------- --------- Huntsman Packaging Corp., 144A, 13.000%, due 06/01/10............................ $ 160,000 $ 164,800 ICN Pharmaceuticals, Inc., 9.250%, due 08/15/05............................. 400,000 396,000 Integrated Electrical Services, Inc., 9.375%, due 02/01/09............................. 550,000 445,500 Interep National Radio Sales, Class B, 10.000%, due 07/01/08............................ 455,000 402,675 Iron Mountain, Inc., 8.750%, due 09/30/09............................. 500,000 460,000 ISP Holdings Inc., Class B, 9.000%, due 10/15/03............................. 295,000 274,719 J.H. Heafner Co., 10.000%, due 05/15/08............................ 350,000 255,500 Jackson Products, Inc., Class B, 9.500%, due 04/15/05............................. 550,000 495,000 Level 3 Communications, Inc., 0.000%, due 12/01/08 (c)......................... 850,000 516,375 9.125%, due 05/01/08............................. 200,000 179,500 Liberty Group Operating, 9.375%, due 02/01/08............................. 850,000 697,000 Lifepoint Hospital, 10.750%, due 05/15/09............................ 250,000 257,500 LIN Holdings Corp., (c) 0.000%, due 03/01/08............................. 200,000 131,500 Loral Space & Communications Ltd., 9.500%, due 01/15/06............................. 200,000 145,000 Luigino's, Inc., 10.000%, due 02/01/06............ 210,000 168,000 Lyondell Chemical Co., Class B, 9.875%, due 05/01/07............................. 650,000 641,875 Mail Well Corp., 8.750%, due 12/15/08............. 500,000 420,000 Majestic Star Casino LLC, Class B, 10.875%, due 07/01/06............................ 175,000 142,625 McLeod USA, Inc., 9.250%, due 07/15/07............................. 250,000 241,250 Merrill Corp., Class B, 12.000%, due 05/01/09............................ 325,000 234,000 Metromedia Fiber Network, 10.000%, due 12/15/09............................ 540,000 531,900 MGM Grand, Inc., 9.750%, due 06/01/07............. 350,000 356,125 Mohegan Tribal Gaming Authority, 8.750%, due 01/01/09............................. 600,000 570,000 Motors & Gears, Inc., Class B, 10.750%, due 11/15/06............................ 250,000 240,625 MTS, Inc., 9.375%, due 05/01/05................... 575,000 247,250 New World Pasta Co., 9.250%, due 02/15/09............................. 200,000 119,000 Newpark Resources, Inc., Class B, 8.625%, due 12/15/07............................. 700,000 610,750 Nextel Communications, Inc., 0.000%, due 09/15/07 (c)......................... $ 200,000 $ 157,000 9.375%, due 11/15/09............................. 420,000 401,100 Nextel Partners, Inc., 144A, 11.000%, due 03/15/10............................. 200,000 199,000 Nextlink Communications, 144A, 0.000%, due 12/01/09 (c)......................... 712,000 409,400 10.500%, due 12/01/09............................ 175,000 170,625 Nortex, Inc., 9.875%, due 03/01/04................ 450,000 427,500 NTL Communications Corp., Class B, (c) 0.000%, due 10/01/08............................. 900,000 571,500 NTL, Inc., Class A, (c) 12.750%, due 04/15/05............................ 150,000 152,625 Nuevo Energy Co., 9.500%, due 06/01/08............................. 150,000 148,125 Pacifica Papers, Inc., 10.000%, due 03/15/09............................ 270,000 265,275 Packaging Corp. of America, 9.625%, due 04/01/09............................. 500,000 496,250 Pantry, Inc., 10.250%, due 10/15/07............................ 200,000 189,000 Paxson Communications Corp., 11.625%, due 10/01/02............................ 450,000 460,125 12.500%, due 10/31/06 (b)........................ 847 846,685 Pegasus Communications Corp., Class B, 9.750%, due 12/01/06............................. 150,000 144,375 12.500%, due 08/01/07............................ 550,000 585,750 Perry Ellis International, Inc., 12.250%, due 04/01/06............................ 650,000 617,500 Phillips Van-Heusen, 9.500%, due 05/01/08............................. 250,000 227,500 Phoenix Color, Inc., 10.375%, due 02/01/09............................ 300,000 270,000 Pillowtex Corp., 10.000%, due 11/15/06............ 188,000 65,800 Pioneer Natural Resources Co., 9.625%, due 04/01/10............................. 360,000 371,746 Plains Resources, Inc., Class B, 10.250%, due 03/15/06............................ 300,000 302,250 Premier Parks, Inc., (c) 0.000%, due 04/01/08............................. 425,000 288,469 Protection One Alarm, Inc., 7.375%, due 08/15/05............................. 365,000 271,925 PSINet, Inc., 10.500%, due 12/01/06............................ 150,000 138,000 11.000%, due 08/01/09............................ 86,000 79,550 11.500%, due 11/01/08............................ 300,000 282,000 Qwest Communications International, Inc., (c) 0.000%, due 10/15/07............................. 500,000 420,006 R. H. Donnelley, Inc., 9.125%, due 06/01/08............................. 190,000 178,838 71 High Yield Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Face Amount Value ---------- ----------- RailWorks Corp., 11.500%, due 04/15/09............... $ 200,000 $ 188,000 Rayovac Corp., Class B, 10.250%, due 11/01/06............................... 300,000 307,500 RCN Corp., 10.000%, due 10/15/07..................... 300,000 254,250 Samsonite Corp., 10.750%, due 06/15/08............................... 250,000 208,750 SBA Communications Corp., (c) 0.000%, due 03/01/08................................ 390,000 274,950 Sbarro, Inc., 11.000%, due 09/15/09.................. 250,000 255,625 Scotts Co., 144A, 8.625%, due 01/15/09................................ 285,000 273,600 Sequa Corp., 9.000%, due 08/01/09.................... 520,000 499,200 Simmons Co., 10.250%, due 03/15/09................... 200,000 177,500 Sinclair Broadcast Group, 10.000%, due 09/30/05............................... 400,000 382,000 Sleepmaster, 11.000%, due 05/15/09................... 250,000 236,250 Spectrasite Holdings, Inc., 0.000%, due 07/15/08 (c)............................ 440,000 305,800 0.000%, due 03/15/10, 144A (c)...................... 190,000 103,550 10.750%, due 03/15/10, 144A......................... 95,000 94,763 Speedway Motorsports, Inc., 8.500%, due 08/15/07................................ 600,000 558,000 Station Casinos, Inc., 8.875%, due 12/01/08................................ 67,000 63,818 9.875%, due 07/01/10, 144A.......................... 450,000 451,125 Sterling Chemicals, Inc., Class B, 12.375%, due 07/15/06............................... 160,000 162,400 Stone Container Corp., 10.750%, due 10/01/02............................... 250,000 253,437 T/SF Communications Corp., Class B, 10.375%, due 11/01/07............................... 250,000 232,500 TeleCorp PCS, Inc., 0.000%, due 04/15/09 (c)............................ 700,000 456,750 Tenet Healthcare Corp., 144A, 9.250%, due 09/01/10................................ 350,000 352,625 Trans-Resources, Inc., Class B, (c) 0.000%, due 03/15/08................................ 650,000 58,500 Triad Hospitals Holdings, Inc., 11.000%, due 05/15/09............................... 229,000 234,153 Tritel PCS, Inc. (c), 0.000%, due 05/15/09................................ 450,000 298,125 Triton PCS, Inc., (c) 0.000%, due 05/01/08................................ 1,125,000 815,625 United Rentals, Inc., Class B, 9.250%, due 01/15/09................................ 70,000 63,175 US Unwired, Inc., (c) 0.000%, due 11/01/09................................ 800,000 434,000 Verio, Inc., 13.500%, due 06/15/04................... 450,000 507,937 Voicestream Wireless Corp., 10.375%, due 11/15/09............................... $ 550,000 $ 569,250 Weirton Steel Corp., 11.375%, due 07/01/04............................... 200,000 188,000 Westpoint Stevens, Inc., 7.875%, due 06/15/05................................ 220,000 183,700 Williams Communications Group, Inc., 10.875%, due 10/01/09............................... 550,000 537,625 Winsloew Furniture, Inc., Class B, 12.750%, due 08/15/07............................... 25,000 23,000 Winstar Communications, Inc., 144A, 12.750%, due 04/15/10............................... 200,000 186,500 WMX Technologies, Inc., 6.250%, due 10/15/00................................ 365,000 362,055 ----------- 42,694,366 ----------- International Dollar Bonds -- 6.78% Callahan Nordrhein-Westfalen, 144A, 14.000%, due 07/15/10............................... 160,000 160,000 Clearnet Communications, (c) 0.000%, due 12/15/05................................ 500,000 516,250 0.000%, due 05/01/09................................ 250,000 150,000 Energis PLC, 9.750%, due 06/15/09.................... 250,000 245,000 Global Crossing Holding Ltd., 9.500%, due 11/15/09................................ 400,000 386,000 Imax, Corp., 7.875%, due 12/01/05.................... 250,000 226,250 Microcell Telecommunications, Inc., Class B, (c) 0.000%, due 06/01/06................................ 500,000 461,250 Norampac, Inc., 9.500%, due 02/01/08................. 140,000 135,100 Rogers Communications, Inc., 9.125%, due 01/15/06................................ 250,000 245,000 TeleWest Communications PLC, 0.000%, due 10/01/07 (c)............................ 500,000 473,750 0.000%, due 04/15/09 (c)............................ 500,000 270,000 United Pan-Europe Communications NV, 11.500%, due 02/01/10............................... 225,000 200,250 United Pan-Europe Communications NV, Class B, 0.000%, due 02/01/10 (c)............................ 25,000 11,750 11.250%, due 02/01/10............................... 125,000 111,250 ----------- 3,591,850 ----------- Total U.S. Bonds (Cost $49,816,312).................. 46,286,216 ----------- ================================================================================ 72 High Yield Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value ----------- ----------- Warrants -- 0.01% Merrill Corp., 144A, Expires 05/01/09 (b)................................ 325 $ 3 Motient Corp., 144A, Expires 04/01/08 (b)................................ 182 7,280 Winsloew Furniture, Inc., 144A, Expires 07/01/00 (b)................................ 25 125 ----------- Total Warrants (Cost $8,314)......................... 7,408 ----------- Short-Term Investments -- 19.21% Investment Companies -- 19.21% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $10,185,196)................................. 10,185,196 $10,185,196 ----------- Total Investments (Cost $60,009,822) -- 106.54% (a).................. 56,478,820 Liabilities, less cash and other assets -- (6.54%)........................ (3,469,306) ----------- Net Assets -- 100%................................... $53,009,514 =========== NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $60,022,205; and net unrealized depreciation consisted of: Gross unrealized appreciation................ $ 341,964 Gross unrealized depreciation................ (3,885,349) ----------- Net unrealized depreciation............ $(3,543,385) =========== (b) Non-income producing security (c) Step bonds - coupon rate increases in increments to maturity. Rate disclosed is as of June 30, 2000. Maturity date disclosed is the ultimate maturity date. 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 June 30, 2000, the value of these securities amounted to $3,731,396 or 7.04% of net assets. ================================================================================ See accompanying notes to financial statements. 73 Global (Ex-U.S.) Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS The UBS Investment Fund - Global (Ex-U.S.) Equity has Investment Funds provided an annualized return of 10.53% since its inception on July 31, 1995. Over the same period, its benchmark, the MSCI World Ex USA (Free) Index, has produced a return of 10.63%. The Fund's performance was achieved with a volatility or risk of 13.29%, considerably below the 14.43% volatility of the benchmark. Calendar year-to-date, the Fund returned - 4.23%, underperforming the benchmark return of-2.99%. During the second quarter, returns were dominated by "old economy" stocks, and the Fund outperformed the benchmark by 365 basis points. Trends of the last two years show a remarkable divergence between the performance of "new economy" and "old economy" sectors. In contrast to recent bull markets, the current price appreciation has been limited to narrow groups of technology, media and telecommunications (TMT) stocks. This phenomenon, while originally most prevalent in the U.S. where it began, has proliferated into all developed equity markets. As such, we hold significant underweights to TMT sectors. This strategy began to pay off in the second quarter as investors began to question whether TMT companies can grow and increase earnings fast enough and for long enough to justify their high valuations. While we are skeptical of inflated equity investment expectations, we understand and appreciate the role of new and emerging technology in business. Our analysis is focused on investing in companies with solid fundamentals as well as promising uses for new technologies. Specifically, we see opportunities in some "old economy" sectors such as utilities, diversified financials, and food, beverages and tobacco where some companies are leveraging their skills, assets and competitive positions to take advantage of the Internet. With respect to countries, we increased our underweights to Canada, Europe (ex-UK) and the EMU region during the quarter where our analysis indicates overvaluation. After a few periods of outperformance in Japan, we sold some Japanese holdings and employed the proceeds in the UK market. We still maintain a modest overweight to Japan to capture opportunities that are coming from the ongoing restructuring of the corporate sector in the region. The restructuring trend is breaking old business molds and bringing much needed efficiencies to many companies. The Fund's regional weightings added modestly to returns during the quarter. ================================================================================ 74 Global (Ex-U.S.) Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS Total Return Investment Funds
6 months 1 year 3 years Inception* ended ended ended to 6/30/00 6/30/00 6/30/00 6/30/00 --------------------------------------------------------------------------------------------- UBS Investment Fund - Global (Ex-U.S.) Equity -4.23% 10.94% 5.80% 10.53% --------------------------------------------------------------------------------------------- MSCI World Ex USA (Free) Index -2.99 18.78 10.52 10.63 ---------------------------------------------------------------------------------------------
*Inception date of the UBS Investment Fund - Global (Ex-U.S.) Equity is 7/31/95. Performance is net of withholding taxes on dividends. Total return includes reinvestment of all capital gain and income distributions. All total returns in excess of 1 year are average annualized returns Illustration of an Assumed Investment of $10,000 This chart shows the growth in the value of an investment in the UBS Investment Fund - Global (Ex- U.S.) Equity and the MSCI World Ex USA (Free) Index if you had invested $10,000 on July 31, 1995, and had reinvested all your income dividends and capital gain distributions through June 30, 2000. No adjustment has been made for any income taxes payable by shareholders on income dividends and capital gain distributions. Past performance is no guarantee of future results. Share price and return will vary with market conditions; investors may realize a gain or loss upon redemption. UBS Investment Fund - Global (Ex-U.S.) Equity vs. MSCI World Ex USA (Free) Index Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] Label Date UBS Investment MSCI World Ex 1 7/31/95 10,000 10,000 2 10,146 9,632 3 10,302 9,817 4 10,205 9,563 5 10,448 9,835 6 12/31/95 10,858 10,220 7 11,065 10,291 8 11,024 10,320 9 11,158 10,538 10 11,563 10,848 11 11,500 10,662 12 6/30/96 11,578 10,713 13 11,256 10,398 14 11,287 10,443 15 11,630 10,727 16 11,578 10,654 17 12,161 11,099 18 12/31/96 12,140 10,947 19 12,074 10,612 20 12,262 10,770 21 12,328 10,775 22 12,405 10,844 23 13,220 11,561 24 6/30/97 13,815 12,174 25 14,059 12,400 26 13,063 11,468 27 13,782 12,111 28 12,920 11,200 29 12,687 11,068 30 12/31/97 12,750 11,174 31 13,166 11,653 32 13,844 12,411 33 14,379 12,814 34 14,486 12,912 35 14,475 12,855 36 6/30/98 14,354 12,909 37 14,497 12,994 38 12,698 11,335 39 12,377 11,011 40 13,318 12,160 41 13,985 12,778 42 12/31/98 14,463 13,259 43 14,415 13,257 44 13,945 12,924 45 14,331 13,458 46 14,994 14,039 47 14,198 13,321 48 6/30/99 14,752 13,835 49 15,176 14,235 50 15,079 14,274 51 15,006 14,433 52 15,357 14,991 53 15,708 15,513 54 12/31/99 17,075 16,941 55 15,790 15,912 56 15,827 16,359 57 16,329 17,031 58 15,680 16,145 59 15,509 15,754 60 6/30/2000 16,366 16,434 Fund returns are net of all fees and costs, while the Index returns are based solely on market returns without deduction for fees or transaction costs for rebalancing. ================================================================================ 75 Global (Ex-U.S.) Equity Fund -------------------------------------------------------------------------------- [LOGO] UBS INVESTMENT FUNDS Industry Diversification As a Percent of Net Assets As of June 30, 2000 ---------------------------------------------------- Global (EX-U.S.) EQUITIES Aerospace & Military....................... 0.36% Airlines................................... 0.78 Appliances & Households.................... 2.46 Autos/Durables............................. 2.19 Banking.................................... 11.42 Beverages & Tobacco........................ 3.66 Broadcasting & Publishing.................. 4.78 Building Materials......................... 0.50 Business & Public Service.................. 1.71 Chemicals.................................. 3.15 Computer Software.......................... 0.59 Consumer................................... 0.39 Data Processing............................ 2.36 Electric Components........................ 2.07 Electronics................................ 4.84 Energy..................................... 5.03 Financial Services......................... 4.27 Food & House Products...................... 3.89 Forest Products............................ 0.48 Health & Personal Care..................... 7.82 Industrial Components...................... 0.76 Insurance.................................. 5.83 Leisure & Tourism.......................... 0.48 Machinery & Engineering.................... 1.81 Merchandising.............................. 1.00 Metals-Steel............................... 0.38 Multi-Industry............................. 0.20 Non-Ferrous Metals......................... 0.76 Non-Durables............................... 0.06 Real Estate................................ 1.10 Recreation................................. 0.67 Services/Miscellaneous..................... 0.02 Telecommunications......................... 13.33 Transportation............................. 2.25 Utilities.................................. 5.18 Wholesale & International Trade............ 0.20 ------ Total Global (Ex-U.S.) Equities.... 96.78 CONVERTIBLE BONDS.......................... 0.03 WARRANTS................................... 0.04 SHORT-TERM INVESTMENTS..................... 1.23 ------ TOTAL INVESTMENTS.......... 98.08 CASH AND OTHER ASSETS, LESS LIABILITIES................... 1.92 ------ NET ASSETS................................. 100.00% ====== Market and Currency Strategy As of June 30, 2000 Fund Benchmark ------------------- ------------------ Market Currency Market Currency Strategy Strategy Strategy Strategy ------------------------------------------------------ Australia 4.49% 10.49% 2.61% 2.61% Austria 0.08 0.00 0.19 0.00 Belgium 1.17 0.00 0.73 0.00 Canada 3.53 5.13 5.13 5.13 Denmark 0.58 0.74 0.74 0.74 Euro 0.00 47.42 0.00 35.44 Finland 2.37 0.00 2.96 0.00 France 9.96 0.00 10.80 0.00 Germany 5.31 0.00 8.12 0.00 Hong Kong 0.39 0.00 1.97 1.97 Ireland 0.76 0.00 0.34 0.00 Italy 4.10 0.00 4.19 0.00 Japan 27.50 15.50 25.50 25.50 Netherlands 6.34 0.00 5.16 0.00 New Zealand 0.25 0.25 0.14 0.14 Norway 0.00 0.35 0.35 0.35 Portugal 1.52 0.00 0.44 0.00 Singapore 0.71 0.92 0.92 0.92 Spain 1.91 0.00 2.51 0.00 Sweden 3.41 3.18 3.18 3.18 Switzerland 3.60 5.49 5.49 5.49 U.K 22.02 10.53 18.53 18.53 --------------------------------------------------- 100.00% 100.00% 100.00% 100.00% Top Ten Global (Ex-U.S.) Equity Holdings As of June 30, 2000 Percent of Net Assets ------------------------------------------------------ 1. Glaxo Wellcome PLC 2.02% 2. Nippon Telegraph & Telephone Corp. 1.86 3. BP Amoco PLC 1.61 4. Total Fina S.A., Class B 1.50 5. Heineken NV 1.47 6. Fujitsu 1.32 7. Allianz AG 1.27 8. Marconi PLC 1.26 9. NEC Corp. 1.25 10. Ericsson, B Shares 1.25 ----------------------------------------------------- ======================================================= 76 Global (ex-U.S.) Equity Fund-- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value -------- ----------- Global (Ex-U.S.) Equities -- 96.78% Australia -- 4.40% Amcor Ltd......................................... 76,940 $ 269,823 Amp Ltd........................................... 82,400 841,038 Boral Ltd......................................... 138,300 174,374 Brambles Industries Ltd........................... 27,140 836,511 Broken Hill Proprietary Co., Ltd.................. 105,320 1,248,871 CSR Ltd........................................... 82,190 228,969 Howard Smith Ltd.................................. 64,800 317,472 Lend Lease Corp., Ltd............................. 69,396 887,803 National Australia Bank Ltd....................... 101,748 1,704,271 National Australia Bank Ltd., Preferred........... 29,800 843,712 News Corp., Ltd................................... 183,588 2,535,198 News Corp., Ltd., Preferred....................... 80,079 969,520 Origin Energy Ltd. (b)............................ 158,600 153,309 Qantas Airways Ltd................................ 106,438 216,000 QBE Insurance Group Ltd........................... 160,688 788,409 Rio Tinto Ltd..................................... 45,960 762,128 Santos Ltd........................................ 139,861 427,419 Telstra Corp., Ltd................................ 519,710 2,115,585 Westpac Banking Corp., Ltd........................ 276,541 2,000,720 WMC Ltd........................................... 79,870 358,359 Woolworth's Ltd................................... 188,760 698,687 ----------- 18,378,178 ----------- Austria -- 0.10% Austria Tabakwerke AG............................. 11,280 419,544 ----------- Belgium -- 1.19% Electrabel S.A.................................... 8,820 2,188,957 Fortis B.......................................... 95,867 2,801,049 ----------- 4,990,006 ----------- Canada -- 2.45% Agrium, Inc....................................... 71,480 612,672 Alcan Aluminum Ltd................................ 19,140 594,209 Bank of Montreal.................................. 7,510 316,782 Canadian National Railway Co...................... 37,380 1,087,317 Canadian Pacific Ltd.............................. 44,414 1,151,041 Hudson's Bay Co................................... 82,220 871,198 Imperial Oil Ltd.................................. 21,460 523,574 Magna International, Inc., Class A................ 16,560 777,315 NOVA Chemicals Corp............................... 45,321 951,261 Potash Corporation of Saskatchewan, Inc........... 8,760 478,882 Royal Bank of Canada.............................. 23,420 1,197,317 Shaw Communications, Inc., Class B................ 40,260 991,760 TransCanada Pipelines Ltd......................... 18,976 144,718 Westcoast Energy, Inc............................. 35,520 546,572 ----------- 10,244,618 ----------- Denmark -- 0.60% Tele Danmark A/S.................................. 36,750 2,483,874 ----------- Finland -- 2.36% Metso Oyj......................................... 55,191 666,615 Nokia Oyj......................................... 86,792 4,446,968 Sampo Insurance Co., Ltd., Series A............... 70,692 2,880,022 UPM-Kymmene Corp.................................. 74,989 1,868,992 ----------- 9,862,597 ----------- -------------------------------------------------------------------------- Shares Value -------- ----------- France -- 9.89% Air France (b).................................... 65,770 $ 1,141,151 Air Liquide....................................... 20,315 2,660,138 Alcatel........................................... 46,755 3,079,083 Alcatel S.A. ADR.................................. 37,673 2,505,255 Aventis S.A. Class A.............................. 39,162 2,869,980 Axa............................................... 4,401 696,100 Banque Nationale de Paris......................... 45,847 4,430,044 Cie de Saint Gobain............................... 12,488 1,695,090 CSF Thomson....................................... 37,581 1,486,395 France Telecom S.A................................ 22,831 3,204,074 Groupe Danone..................................... 17,792 2,370,698 L'Oreal S.A....................................... 1,773 1,541,532 Schneider Electric S.A............................ 22,268 1,558,263 Societe Generale.................................. 55,160 3,331,205 Suez Lyonnaise des Eaux S.A....................... 6,066 1,067,026 Total Fina S.A., Class B.......................... 40,799 6,281,041 Vivendi........................................... 15,932 1,411,932 ----------- 41,329,007 ----------- Germany -- 4.64% Allianz AG........................................ 14,878 5,309,751 Bayer AG.......................................... 98,866 3,800,388 Bayerische Motoren Werke AG....................... 50,110 1,532,328 Continental AG.................................... 51,890 875,453 E.on AG........................................... 75,928 3,675,614 SAP AG............................................ 9,420 1,430,351 Siemens AG........................................ 17,850 2,683,001 Volkswagen AG..................................... 1,800 69,537 ----------- 19,376,423 ----------- Hong Kong -- 0.32% Henderson Land Development Co., Ltd............... 307,000 1,350,827 ----------- Ireland -- 0.76% Bank of Ireland................................... 195,955 1,231,305 Eircom PLC........................................ 719,030 1,929,930 ----------- 3,161,235 ----------- Italy -- 3.63% Assicurazioni Generali............................ 61,446 2,114,583 ENI Spa........................................... 666,000 3,862,479 ENI Spa ADR....................................... 10,352 602,357 Rinascente Spa.................................... 129,140 735,333 San Paolo-imi Spa................................. 165,610 2,951,226 Telecom Italia Mobile Spa......................... 266,000 2,728,362 Telecom Italia Spa................................ 156,000 2,153,395 ----------- 15,147,735 ----------- Japan -- 26.23% Acom Co., Ltd..................................... 22,200 1,871,594 Asahi Bank Ltd.................................... 153,000 644,941 Bank of Tokyo-Mitsubushi Ltd...................... 236,000 2,857,294 Benesse Corp...................................... 9,900 687,727 Bridgestone Corp.................................. 53,000 1,124,569 Canon, Inc........................................ 87,000 4,341,572 Dai Nippon Printing Co., Ltd...................... 61,000 1,077,539 Dai-Ichi Kangyo Bank.............................. 92,000 699,967 Daikin Industries Ltd............................. 39,000 908,605 Denso Corp........................................ 48,000 1,170,455 East Japan Railway Co............................. 294 1,711,677 Fanuc............................................. 22,200 2,263,957 ========================================================================== 77 Global (Ex-U.S.) Equity Fund--Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value --------- ------------ Fuji Bank Ltd. 149,000 $ 1,135,050 Fuji Photo Film Co., Ltd. 37,000 1,517,698 Fujitsu 159,000 5,515,146 Hitachi Ltd. 142,000 2,053,400 Honda Motor Co. 87,000 2,968,385 Hoya Corp. 18,000 1,616,181 Ito Yokado Co., Ltd. 18,000 1,085,393 Kamigumi Co., Ltd. 176,000 929,861 Kao Corp. 71,000 2,174,188 Kirin Brewery Co., Ltd. 79,000 989,320 Kuraray Co., Ltd. 139,000 1,597,505 Kyocera Corp. 2,700 459,080 Matsushita Electric Industrial Co. 135,000 3,508,813 Mitsubishi Corp. 91,000 824,810 Mitsubishi Estate Co., Ltd. 201,000 2,370,852 Mitsubishi Trust and Banking Corp. 67,000 521,157 Murata Manufacturing Co., Inc. 8,000 1,150,796 NEC Corp. 166,000 5,224,517 NGK Insulators 119,000 1,477,870 Nintendo Corp., Ltd. 16,100 2,818,128 Nippon Steel Co. 757,000 1,595,492 Nippon Telegraph & Telephone Corp. 584 7,782,619 Nissin Food Products Co. 35,500 905,912 Nomura Securities Co., Ltd. 166,000 4,071,358 Omron Corp 25,000 680,497 Orix Corp. 13,200 1,952,460 Rohm Co 2,600 761,779 Sankyo Pharm Co., Ltd. 77,000 1,742,970 Santen Pharmaceutical Co., Ltd. 45,000 1,088,795 Secom Co., Ltd. 29,000 2,124,191 Shin-Etsu Chemical Co., Ltd. 25,000 1,271,206 Softbank Corp. 7,600 1,034,356 Sony Corp. 50,000 4,678,418 Sumitomo Bank 147,000 1,806,153 Sumitomo Chemical Co. 295,000 1,778,838 Sumitomo Electric Industries 62,000 1,065,318 Taiheiyo Cement Corp. 600 1,259 Takeda Chemical Industries 45,000 2,960,163 Takefuji Corp. 8,500 1,029,110 TDK Corp. 20,000 2,880,771 Tokio Marine & Fire Insurance Co. 104,000 1,203,119 Tokyo Electric Power 13,600 332,272 Tokyo Gas Co., Ltd. 434,000 1,222,362 Toyoda Automatic Loom Works 18,000 390,435 Toyota Motor Corp. 83,000 3,788,951 Yamanouchi Pharmaceutical Co., Ltd. 18,000 985,020 Yamato Transport Co., Ltd. 46,000 1,145,598 ------------ 109,577,469 ------------ Netherlands -- 6.42% ABN AMRO Holdings NV 85,487 2,102,777 Aegon NV 101,708 3,633,717 Elsevier NV 320,850 3,903,015 Heineken NV 100,500 6,141,619 ING Groep NV 52,923 3,591,818 Philips Electronics NV 34,900 1,652,681 TNT Post Group NV 55,421 1,500,823 Wolters Kluwer NV 160,799 4,300,551 ------------ 26,827,001 ------------ New Zealand -- 0.21% Auckland International Airport Ltd. 104,810 $ 124,349 Carter Holt Harvey Ltd. 163,140 142,092 Lion Nathan Ltd. 122,170 273,209 Telecom Corp. of New Zealand Ltd. 97,890 343,346 ------------ 882,996 ------------ Portugal -- 1.56% Brisa-Auto Estradas de Portugal S.A 176,007 1,521,854 Electricidade de Portugal S.A 81,894 1,493,135 Portugal Telecom 309,345 3,487,282 ------------ 6,502,271 ------------ Singapore -- 0.74% DBS Group Holdings Ltd. 58,000 744,708 SIA Engineering Co., Ltd. (b) 188,000 210,943 Singapore Airport Terminal Services Ltd. (b) 67,000 81,376 Singapore Press Holdings Ltd. 27,975 436,857 United Overseas Bank Ltd 250,360 1,636,245 ------------ 3,110,129 ------------ Spain -- 2.95% Altadis S.A 182,292 2,811,643 Banco Popular Espanol S.A 85,452 2,654,018 Banco Santander Central Hispano S.A 216,733 2,295,746 Endesa S.A 69,958 1,360,680 Telefonica S.A. (b) 148,026 3,192,693 ------------ 12,314,780 ------------ Sweden -- 3.33% Electrolux AB, B Shares 135,090 2,102,358 Ericsson, B Shares 262,560 5,223,660 Investor AB, B Shares 128,160 1,760,720 Nordic Baltic Holdings AB 435,550 3,302,255 Swedish Match AB 496,670 1,540,238 ------------ 13,929,231 ------------ Switzerland -- 3.75% Givaudan (b) 269 82,134 Nestle S.A. (Reg.) 1,976 3,967,554 New ABB Ltd. 16,203 1,945,536 Novartis AG (Reg.) 3,039 4,829,209 Roche Holding AG (Gen.) 269 2,626,973 Swisscom AG (Reg.) 6,343 2,203,920 ------------ 15,655,326 ------------ United Kingdom -- 21.25% Allied Zurich PLC 140,194 1,658,642 AstraZeneca PLC 41,094 1,919,234 BP Amoco PLC 701,884 6,736,726 British Airways PLC 291,879 1,679,116 British Telecommunications PLC 360,551 4,661,427 Charter PLC 320,907 1,850,966 De Vere Group PLC 80,888 377,163 Diageo PLC 302,322 2,714,056 FKI PLC 332,763 1,183,851 Glaxo Wellcome PLC 288,962 8,429,790 House of Fraser PLC 357,685 261,001 HSBC Holdings PLC 139,884 1,599,915 Invensys PLC 133,000 499,341 Kelda Group PLC 383,011 1,872,872 ================================================================================ 78 Global (Ex-U.S.) Equity Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- Shares Value ------ ----- Lloyds TSB Group PLC............................. 539,725 $ 5,098,606 Marconi PLC...................................... 405,269 5,276,381 Marks & Spencer PLC.............................. 356,624 1,253,893 National Power PLC............................... 383,314 2,443,043 Nycomed Amersham PLC............................. 227,876 2,263,063 Peninsular & Oriental Steam Navigation Co........ 108,517 929,841 Powergen PLC..................................... 201,812 1,726,194 Prudential Corp. PLC............................. 160,964 2,358,840 Reckitt & Benckiser PLC.......................... 102,497 1,148,252 Reed International PLC........................... 307,307 2,675,067 RJB Mining PLC................................... 262,602 222,628 Royal & Sun Alliance Insurance Group PLC......... 442,733 2,875,368 Royal Bank of Scotland Group PLC................. 197,168 3,301,307 Scottish & Newcastle PLC......................... 50,000 408,372 Scottish & Southern Energy PLC................... 305,875 2,806,150 Shell Transport & Trading Co..................... 289,404 2,416,264 SmithKline Beecham PLC........................... 105,000 1,374,991 Tesco PLC........................................ 782,592 2,434,678 Thames Water PLC................................. 94,744 1,226,343 Trinity Mirror PLC............................... 177,566 1,594,075 Unilever PLC..................................... 413,082 2,501,443 United News & Media PLC.......................... 177,609 2,554,365 Vodafone Group PLC............................... 1,105,309 4,467,754 ------------ 88,801,018 ------------ Total Global (Ex-U.S.) Equities (Cost $310,362,667).............................. 404,344,265 ------------ Face Amount Value ------ ----- Convertible Bonds -- 0.03% Australia -- 0.03% Burns Philp Food North America, Inc., 7.500%, due 08/15/03 (Cost $65,332).......................... AUD 1,228,664 $ 132,046 ------------ Shares -------- Warrants -- 0.04% Australia -- 0.04% Burns, Philip & Co., Ltd. (b) (Cost $82,131).......................... 1,228,664 165,980 ------------ Short-Term Investments -- 1.23% Investment Companies -- 1.23% Brinson Supplementary Trust U.S. Cash Management Prime Fund (Cost $5,129,357)....................... 5,129,357 5,129,357 ------------ Total Investments (Cost $315,639,487) -- 98.08% (a)....... 409,771,648 Cash and other assets, less liabilities -- 1.92%............... 8,032,897 ------------ Net Assets -- 100%....................... $417,804,545 ============ See accompanying notes to schedule of investments. ================================================================================ 79 Global (Ex-U.S.) Equity Fund -- Schedule of Investments June 30, 2000 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $320,511,470; and net unrealized appreciation consisted of: Gross unrealized appreciation.................................. $107,013,078 Gross unrealized depreciation.................................. (17,752,900) ------------ Net unrealized appreciation.............................. $ 89,260,178 ============
(b) Non-income producing security FORWARD FOREIGN CURRENCY CONTRACTS The Global (Ex-U.S.) Equity Fund had the following open forward foreign currency contracts as of June 30, 2000:
Settlement Local Current Unrealized Date Currency Value Gain/(Loss) ---------- ---------- --------- ------------ Forward Foreign Currency Buy Contracts Australian Dollar............................ 08/08/00 41,200,000 $ 24,752,327 $ (797,456) British Pound................................ 08/08/00 12,350,000 18,710,420 5,189 Canadian Dollar.............................. 08/08/00 13,800,000 9,322,435 (200,752) Euro......................................... 08/08/00 90,900,000 87,351,771 (1,985,349) Japanese Yen................................. 08/08/00 2,320,000,000 22,085,399 (2,988) Swedish Krona................................ 08/08/00 120,000,000 13,722,786 (361,721) Swiss Franc.................................. 08/08/00 14,000,000 8,641,869 (126,216) Forward Foreign Currency Sale Contracts British Pound................................ 08/08/00 40,850,000 61,888,313 2,500,938 Canadian Dollar.............................. 08/08/00 3,900,000 2,634,601 (4,087) Euro......................................... 08/08/00 29,200,000 28,060,195 (436,190) Japanese Yen................................. 08/08/00 7,670,000,000 73,015,089 (271,531) Swedish Krona................................ 08/08/00 120,000,000 13,722,786 192,113 Swiss Franc.................................. 08/08/00 4,500,000 2,777,743 (94,860) ------------- Total.................................. $ (1,582,910) =============
================================================================================ 80 See accompanying notes to financial statements. This page intentionally left blank. 81 UBS Investment Funds -- Financial Statements -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2000
Global Global Global Global Equity Technology Biotech Global Bond Fund Fund Fund Fund Fund ---------------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at cost: Unaffiliated issuers............................ $ 301,007,938 $ 56,332,868 $ 499,543 $ 638,088 $ 45,532,378 Affiliated issuers.............................. 40,410,397 2,453,941 -- -- 5,419,195 Foreign currency, at cost......................... 231,280 66,558 -- -- 133,064 ------------- ------------ ---------- --------- ------------ $ 341,649,615 $ 58,853,367 $ 499,543 $ 638,088 $ 51,084,637 ============= ============ ========== ========= ============ Investments, at value: Unaffiliated issuers............................ $ 297,391,988 $ 64,620,012 $ 546,279 $ 738,295 $ 43,089,980 Affiliated issuers.............................. 47,160,789 2,453,941 -- -- 5,419,195 Foreign currency, at value........................ 231,198 67,086 -- -- 135,332 Cash.............................................. -- -- -- -- 995 Receivables: Investment securities sold...................... 1,770,059 1,841,960 21,621 17,575 5,678,145 Due from Advisor................................ -- -- 4,090 3,257 -- Dividends....................................... 193,493 107,552 46 -- -- Interest........................................ 1,356,426 1,236 177 317 675,892 Fund shares sold................................ 2,069,859 31,893 27,791 101,961 301,765 Variation margin................................ -- -- -- -- -- Other assets...................................... 2,184 1,383 -- -- -- Net unrealized appreciation on forward foreign currency contracts...................... -- 413,613 -- -- -- ------------- ------------ ---------- --------- ------------ TOTAL ASSETS.................................... 350,175,996 69,538,676 600,004 861,405 55,301,304 ------------- ------------ ---------- --------- ------------ LIABILITIES: Payables: Securities loaned............................... 51,691,365 -- -- -- -- Investment securities purchased................. 2,309,632 201,585 18,310 10,188 213,960 Investment advisory fees........................ 194,797 40,447 -- -- 22,948 Fund shares redeemed............................ 1,661,002 359,432 -- -- 9,370,003 Variation margin................................ 272,146 -- -- -- -- Due to custodian bank........................... -- -- -- 8,854 -- Accrued expenses................................ 142,980 73,929 3,034 1,925 58,262 Net unrealized depreciation on forward foreign currency contracts...................... 689,875 -- -- -- 54,907 ------------- ------------ ---------- --------- ------------ TOTAL LIABILITIES............................... 56,961,797 675,393 21,344 20,967 9,720,080 ------------- ------------ ---------- --------- ------------ NET ASSETS.......................................... $ 293,214,199 $ 68,863,283 $ 578,660 $ 840,438 $ 45,581,224 ============= ============ ========== ========= ============ NET ASSETS CONSIST OF: Paid in capital................................... $ 287,633,867 $ 55,848,764 $ 530,572 $ 732,490 $ 55,033,793 Accumulated undistributed net investment income... -- -- -- -- 335,909 Accumulated net realized gain (loss).............. 2,362,694 4,303,083 1,352 7,741 (7,333,042) Net unrealized appreciation (depreciation)........ 3,217,638 8,711,436 46,736 100,207 (2,455,436) ------------- ------------ ---------- --------- ------------ NET ASSETS...................................... $ 293,214,199 $ 68,863,283 $ 578,660 $ 840,438 $ 45,581,224 ============= ============ ========== ========= ============ BRINSON CLASS I Net assets........................................ $ 284,228,604 $ 40,538,328 $ 223,553 $ 691,460 $ 43,466,600 ============= ============ ========== ========= ============ Shares outstanding................................ 25,255,651 3,249,678 19,786 57,263 4,825,867 ============= ============ ========== ========= ============ Net asset value, offering and redemption price per share................................. $ 11.25 $ 12.47 $ 11.30 $ 12.08 $ 9.01 ============= ============ ========== ========= ============ BRINSON CLASS N: Net assets........................................ $ 202,037 $ 224,292 $ 1,130 $ 1,207 $ 782 ============= ============ ========== ========= ============ Shares outstanding................................ 18,035 18,033 100 100 86 ============= ============ ========== ========= ============ Net asset value, offering and redemption price per share................................. $ 11.20 $ 12.44 $ 11.30 $ 12.07 $ 9.09 ============= ============ ========== ========= ============ UBS INVESTMENT FUNDS CLASS: Net assets........................................ $ 8,783,558 $ 28,100,663 $ 353,977 $ 147,771 $ 2,113,842 ============= ============ ========== ========= ============ Shares outstanding................................ 786,388 2,264,523 31,355 12,240 235,559 ============= ============ ========== ========= ============ Net asset value, offering and redemption price per share................................. $ 11.17 $ 12.41 $ 11.29 $ 12.07 $ 8.97 ============= ============ ========== ========= ============
================================================================================ 82 See accompanying notes to financial statements. UBS Investment Funds -- Financial Statements --------------------------------------------------------------------------------
U.S. U.S. U.S. Global U.S. Balanced U.S. Equity Large Cap Large Cap Small Cap U.S. Bond High Yield (Ex-U.S) Fund Fund Equity Fund Growth Fund Growth Fund Fund Fund Equity Fund --------------------------------------------------------------------------------------------------------------------- $ 11,777,644 $164,986,101 $ 15,674,981 $ 11,049,729 $ 33,685,619 $ 62,291,605 $ 49,824,626 $310,510,130 623,691 849,414 1,215,982 -- 2,503,641 217,046 10,185,196 5,129,357 -- -- -- -- -- -- -- 1,590,185 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ $ 12,410,335 $165,835,515 $ 16,890,963 $ 11,049,729 $ 36,189,260 $ 62,508,651 $ 60,009,822 $317,229,672 ============ ============ ============ ============ ============ ============ ============ ============ $ 11,679,583 $187,707,771 $ 14,681,033 $ 12,599,299 $ 49,928,176 $ 60,006,339 $ 46,293,624 $404,642,291 623,691 849,414 1,215,982 -- 2,503,641 217,046 10,185,196 5,129,357 -- -- -- -- -- -- -- 1,587,725 74,669 -- 56,250 18,750 -- -- -- -- 425,781 1,637,443 222,055 -- 837,682 760,531 -- 2,539,311 -- -- 5,193 2,191 -- -- -- -- 6,282 212,488 20,888 4,431 2,259 -- -- 740,368 59,354 27,281 730 3,189 2,400 727,982 980,928 34,963 9,979 160,436 24,481 1,250,964 2,057,388 2,144,030 146,988 8,306,076 -- 12,625 7,575 -- -- -- -- -- -- -- -- -- -- 451 -- -- -- -- -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 12,879,339 190,607,458 16,234,187 13,878,824 55,331,546 63,856,379 57,606,736 422,980,091 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ -- -- -- -- -- -- -- -- 419,328 1,301,715 170,722 708,750 391,228 1,105,361 1,016,965 1,141,416 7,460 66,878 -- -- 35,597 4,380 17,752 280,841 5,810 1,585,937 81,864 14,023 215,243 1,064,617 3,523,751 2,052,645 17,745 -- -- 953 -- -- -- -- -- -- -- -- -- 1,709 -- -- 54,615 88,831 30,766 85,831 41,304 32,473 38,754 117,734 -- -- -- -- -- -- -- 1,582,910 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ 504,958 3,043,361 283,352 809,557 683,372 2,208,540 4,597,222 5,175,546 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ $ 12,374,381 $187,564,097 $ 15,950,835 $ 13,069,267 $ 54,648,174 $ 61,647,839 $ 53,009,514 $417,804,545 ============ ============ ============ ============ ============ ============ ============ ============ $ 14,375,291 $166,431,820 $ 23,039,476 $ 10,447,588 $ 30,141,261 $ 66,462,617 $ 58,700,942 $312,288,833 178,497 4,239,650 -- -- -- 1,417,249 1,495,285 -- (2,206,054) (5,824,621) (6,086,797) 1,073,930 8,264,356 (3,946,761) (3,655,711) 12,982,737 26,647 22,717,248 (1,001,844) 1,547,749 16,242,557 (2,285,266) (3,531,002) 92,532,975 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ $ 12,374,381 $187,564,097 $ 15,950,835 $ 13,069,267 $ 54,648,174 $ 61,647,839 $ 53,009,514 $417,804,545 ============ ============ ============ ============ ============ ============ ============ ============ $ 11,136,032 $167,870,183 $ 15,758,324 $ 5,885,011 $ 50,974,940 $ 58,121,065 $ 50,844,798 $411,984,628 ============ ============ ============ ============ ============ ============ ============ ============ 1,296,639 10,448,418 2,106,508 385,178 3,132,204 5,813,445 5,529,623 30,355,206 ============ ============ ============ ============ ============ ============ ============ ============ $ 8.59 $ 16.07 $ 7.48 $ 15.28 $ 16.27 $ 10.00 $ 9.19 $ 13.57 ============ ============ ============ ============ ============ ============ ============ ============ $ 1,106 $ 7,191,363 $ 35,006 $ 1,368 $ 1,847 $ 1,169 $ 1,028 $ 1,208 ============ ============ ============ ============ ============ ============ ============ ============ 129 450,175 4,662 90 114 117 112 89 ============ ============ ============ ============ ============ ============ ============ ============ $ 8.57 $ 15.97 $ 7.51 $ 15.20 $ 16.20 $ 9.99 $ 9.18 $ 13.57 ============ ============ ============ ============ ============ ============ ============ ============ $ 1,237,243 $ 12,502,551 $ 157,505 $ 7,182,888 $ 3,671,387 $ 3,525,605 $ 2,163,688 $ 5,818,709 ============ ============ ============ ============ ============ ============ ============ ============ 145,236 783,650 21,200 476,113 228,312 354,856 236,022 435,360 ============ ============ ============ ============ ============ ============ ============ ============ $ 8.52 $ 15.95 $ 7.43 $ 15.09 $ 16.08 $ 9.94 $ 9.17 $ 13.37 ============ ============ ============ ============ ============ ============ ============ ============
================================================================================ 83 UBS Investment Funds -- Financial Statements -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2000
Global* Global** Global Global Equity Technology Biotech Global Bond Fund Fund Fund Fund Fund ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends....................................... $ 2,749,313 $ 1,261,596 $ 46 $ -- $ 43,183 Interest........................................ 8,012,042 79,263 358 317 4,268,523 Securities lending-net.......................... 239,626 -- -- -- -- Foreign tax withheld............................ (208,685) (90,155) -- -- (18,681) ------------ ----------- ----------- -------- ------------ TOTAL INCOME............................... 10,792,296 1,250,704 404 317 4,293,025 ------------ ----------- ----------- -------- ------------ EXPENSES: Advisory........................................ 2,899,741 639,859 549 480 597,228 Administration.................................. 250,979 -- -- -- -- Professional.................................... 145,844 49,112 2,556 2,059 48,296 Printing........................................ 123,158 83,429 504 406 55,840 Distribution.................................... 103,485 288,672 256 7 17,645 Custodian....................................... 69,831 36,245 13 14 28,308 Registration.................................... 34,880 29,350 1,188 957 53,690 Other........................................... 71,705 22,654 441 366 55,557 ------------ ----------- ----------- -------- ------------ TOTAL EXPENSES............................. 3,699,623 1,149,321 5,507 4,289 856,564 ------------ ----------- ----------- -------- ------------ Expenses waived by Advisor................. -- (54,359) (4,639) (3,737) (91,069) Earnings credits........................... (2,276) (6,515) -- -- (428) ------------ ----------- ----------- -------- ------------ NET EXPENSES............................... 3,697,347 1,088,447 868 552 765,067 ------------ ----------- ----------- -------- ------------ NET REALIZED INVESTMENT INCOME (LOSS)...... 7,094,949 162,257 (464) (235) 3,527,958 ------------ ----------- ----------- -------- ------------ NET REALIZED AND UNREALIZED GAIN (LOSS): Investments..................................... 18,961,366 9,939,571 1,624 9,364 (2,820,354) Futures contracts............................... (3,937,165) (36,304) -- -- -- Foreign currency transactions................... (6,047,250) (1,428,985) -- (1,388) (5,716,144) ------------ ----------- ----------- -------- ------------ Net realized gain (loss)................... 8,976,951 8,474,282 1,624 7,976 (8,536,498) ------------ ----------- ----------- -------- ------------ Change in net unrealized appreciation or depreciation on: Investments and foreign currency................ (22,852,102) (7,942,884) 46,736 100,207 2,567,911 Futures contracts............................... 3,453,796 -- -- -- 661,078 Forward contracts............................... (2,097,895) 282,864 -- -- 1,270,002 Translation of other assets and liabilities denominated in foreign currency............ 51,494 13,066 -- -- 86,792 ------------ ----------- ----------- -------- ------------ Change in net unrealized appreciation or depreciation.......................... (21,444,707) (7,646,954) 46,736 100,207 3,924,705 ------------ ----------- ----------- -------- ------------ Net realized and unrealized gain (loss)............ (12,467,756) 827,328 48,360 108,183 (4,611,793) ------------ ----------- ----------- -------- ------------ Net increase (decrease) in net assets resulting from operations................................. $ (5,372,807) $ 989,585 $ 47,896 $107,948 $ (1,083,835) ============ =========== =========== ======== ============
* Commencement of investment operations was May 26, 2000 ** Commencement of investment operations was June 2, 2000 ================================================================================ 84 See accompanying notes to financial statements. UBS Investment Funds -- Financial Statements -------------------------------------------------------------------------------
U.S. U.S. U.S. Global U.S. Balanced U.S. Equity Large Cap Large Cap Small Cap U.S. Bond High Yield (Ex-U.S.) Fund Fund Equity Fund Growth Fund Growth Fund Fund Fund Equity Fund -------------------------------------------------------------------------------------------------------------------------- $ 219,595 $ 7,423,217 $ 404,074 $ 67,519 $ 122,738 $ 79,168 $ -- $ 8,949,581 865,703 907,483 53,714 23,453 120,571 6,069,432 5,703,173 735,552 -- -- -- -- -- -- -- 147,942 -- -- -- -- -- -- -- (807,226) ------------ -------------- ------------ ----------- ------------ ------------ ------------ ------------ 1,085,298 8,330,700 457,788 90,972 243,309 6,148,600 5,703,173 9,025,849 ------------ -------------- ------------ ----------- ------------ ------------ ------------ ------------ 199,072 3,376,519 163,052 71,140 445,220 452,989 336,440 3,822,993 -- 29,949 -- -- -- -- -- 358,405 28,500 197,716 37,014 32,278 39,299 41,267 36,805 125,346 9,211 234,243 38,830 22,085 25,990 46,542 28,651 59,963 7,529 221,543 3,407 50,192 13,614 23,917 36,379 55,727 718 12,587 2,597 6,767 1,229 3,924 3,158 253,105 34,546 54,881 42,214 32,432 36,281 39,484 38,132 34,858 16,771 119,773 10,474 24,809 34,449 21,988 38,648 107,368 ------------ -------------- ------------ ----------- ------------ ------------ ------------ ------------ 296,347 4,247,211 297,588 239,703 596,082 630,111 518,213 4,817,765 ------------ -------------- ------------ ----------- ------------ ------------ ------------ ------------ (57,436) (160,099) (108,284) (101,585) (69,313) (60,829) (87,728) -- (7) (528) (15) (6,513) (69) (1,659) (1,756) -- ------------ -------------- ------------ ----------- ------------ ------------ ------------ ------------ 238,904 4,086,584 189,289 131,605 526,700 567,623 428,729 4,817,765 ------------ -------------- ------------ ----------- ------------ ------------ ------------ ------------ 846,394 4,244,116 268,499 (40,633) (283,391) 5,580,977 5,274,444 4,208,084 ------------ -------------- ------------ ----------- ------------ ------------ ------------ ------------ (1,183,394) 12,361,736 (4,203,112) 1,333,599 14,184,229 (2,898,299) (3,589,002) 48,286,353 (819,701) (1,065,527) 33,037 (26,358) -- -- -- (477) -- -- -- -- -- -- -- (6,868,873) ------------ -------------- ------------ ----------- ------------ ------------ ------------ ------------ (2,003,095) 11,296,209 (4,170,075) 1,307,241 14,184,229 (2,898,299) (3,589,002) 41,417,003 ------------ -------------- ------------ ----------- ------------ ------------ ------------ ------------ (2,957,865) (145,728,152) (3,189,824) 497,407 12,102,689 218,149 (1,386,533) 16,453,119 661,078 (4,422) (7,896) (1,821) -- -- -- -- -- -- -- -- -- -- -- (1,101,620) -- -- -- -- -- -- -- 19,644 ------------ -------------- ------------ ----------- ------------ ------------ ------------ ------------ (2,296,787) (145,732,574) (3,197,720) 495,586 12,102,689 218,149 (1,386,533) 15,371,143 ------------ -------------- ------------ ----------- ------------ ------------ ------------ ------------ (4,299,882) (134,436,365) (7,367,795) 1,802,827 26,286,918 (2,680,150) (4,975,535) 56,788,146 ------------ -------------- ------------ ----------- ------------ ------------ ------------ ------------ $ (3,453,488) $ (130,192,249) $ (7,099,296) $ 1,762,194 $ 26,003,527 $ 2,900,827 $ 298,909 $ 60,996,230 ============ ============== ============ =========== ============ ============ ============ ============
================================================================================ 85 UBS Investment Funds -- Financial Statements -------------------------------------------------------------------------------- STATEMENT OF CASH FLOWS FOR THE YEAR ENDED JUNE 30, 2000
Global Fund --------------- CASH FLOWS FROM OPERATING ACTIVITIES: Net decrease in net assets resulting from operations......................................... $ (5,372,807) Adjustments to reconcile net decrease in net assets resulting from operations to net cash used for operating activities: Net realized and unrealized loss on investments............................................. 12,467,756 Decrease in receivable for investment securities sold....................................... 7,123,722 Decrease in dividends and interest receivable............................................... 1,684,342 Increase in other assets.................................................................... (2,184) Decrease in payable for securities purchased................................................ (22,903,530) Decrease in payable for investment advisory fee............................................. (126,514) Decrease in accrued expenses................................................................ (62,552) Decrease in variation margin................................................................ (252,979) Net amortization of premium................................................................. 523,499 --------------- Net cash used for operating activities................................................... (6,921,247) --------------- CASH FLOWS FROM INVESTING ACTIVITIES: Purchases of investments..................................................................... (759,492,570) Proceeds from sales of investments........................................................... 1,010,245,660 Net realized loss on futures contracts....................................................... (3,937,165) Net realized loss on foreign currency transactions........................................... (6,047,250) Change in net unrealized appreciation or depreciation on futures contracts................... 3,453,796 Change in net unrealized appreciation or depreciation on other assets and liabilities........ 51,494 Net decrease in foreign currency............................................................. 2,144,534 --------------- Net cash provided by investing activities................................................ 246,418,499 --------------- CASH FLOWS FROM FINANCING ACTIVITIES: Net capital shares transactions.............................................................. (193,609,810) Net decrease from securities lending......................................................... (45,782,809) Dividends and capital gain distributions paid................................................ (1,895,986) --------------- Net cash used for financing activities................................................... (241,288,605) --------------- Net decrease in cash.......................................................................... (1,791,353) CASH AT BEGINNING OF YEAR..................................................................... 1,791,353 --------------- CASH AT END OF YEAR........................................................................... $ -- ===============
================================================================================ 86 See accompanying notes to financial statements. This page intentionally left blank. 87 UBS Investment Funds -- Financial Statements -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
Global Fund Global Equity Fund -------------------------------- ------------------------------ Year Ended June 30, Year Ended June 30, 2000 1999 2000 1999 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net investment income (loss)............................. $ 7,094,949 $ 12,109,444 $ 162,257 $ 497,109 Net realized gain (loss)................................. 8,976,951 44,693,620 8,474,282 5,596,677 Change in net unrealized appreciation or depreciation.... (21,444,707) (37,993,047) (7,646,954) 1,132,303 ------------- ------------- ------------- -------------- Net increase (decrease) in net assets from operations.... (5,372,807) 18,810,017 989,585 7,226,089 ------------- ------------- ------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Brinson Class I: Distributions from net investment income.............. (4,971,880) (17,500,696) (229,745) (384,423) Distributions from net realized gains................. (14,468,448) (31,201,392) (3,607,561) (352,100) ------------- ------------- ------------- -------------- Total Class I distributions.............................. (19,440,328) (48,702,088) (3,837,306) (736,523) ------------- ------------- ------------- -------------- Brinson Class N: Distributions from net investment income.............. (18,729) (52,645) (986) (2,181) Distributions from net realized gains................. (59,854) (97,443) (19,859) (2,950) ------------- ------------- ------------- -------------- Total Class N distributions.............................. (78,583) (150,088) (20,845) (5,131) ------------- ------------- ------------- -------------- UBS Investment Funds Class: Distributions from net investment income.............. (181,202) (753,377) (77,666) (219,326) Distributions from net realized gains................. (720,519) (1,710,286) (3,756,176) (713,059) ------------- ------------- ------------- -------------- Total UBS Investment Funds Class distributions........... (901,721) (2,463,663) (3,833,842) (932,385) ------------- ------------- ------------- -------------- Decrease in net assets from distributions................ (20,420,632) (51,315,839) (7,691,993) (1,674,039) ------------- ------------- ------------- -------------- CAPITAL SHARE TRANSACTIONS BY CLASS: Brinson Class I: Shares sold........................................... 378,057,007 404,497,836 31,965,448 30,206,170 Shares issued on reinvestment of distributions........ 17,592,753 45,438,730 3,143,195 661,376 Shares redeemed....................................... (556,236,057) (617,784,220) (33,431,209) (14,484,716) ------------- ------------- ------------- -------------- Total Brinson Class I transactions....................... (160,586,297) (167,847,654) 1,677,434 16,382,830 ------------- ------------- ------------- -------------- Brinson Class N: Shares sold........................................... 85,811 401,372 -- 200,000 Shares issued on reinvestment of distributions........ 68,059 148,599 20,844 5,130 Shares redeemed....................................... (1,405,050) (53,226) (1,198) -- ------------- ------------- ------------- -------------- Total Brinson Class N transactions....................... (1,251,180) 496,745 19,646 205,130 ------------- ------------- ------------- -------------- UBS Investment Funds Class: Shares sold........................................... 385,340 5,622,287 3,098,087 4,402,461 Shares issued on reinvestment of distributions........ 863,834 2,326,850 3,281,750 795,940 Shares redeemed....................................... (13,120,314) (14,718,874) (18,879,433) (22,842,212) ------------- ------------- ------------- -------------- Total UBS Investment Funds Class transactions............ (11,871,140) (6,769,737) (12,499,596) (17,643,811) ------------- ------------- ------------- -------------- Net increase (decrease) in net assets resulting from capital share transactions............................ (173,708,617) (174,120,646) (10,802,516) (1,055,851) ------------- ------------- ------------- -------------- Increase (Decrease) in Net Assets........................ (199,502,056) (206,626,468) (17,504,924) 4,496,199 Net Assets, Beginning of Period.......................... 492,716,255 699,342,723 86,368,207 81,872,008 ------------- ------------- ------------- -------------- Net Assets, End of Period................................ $ 293,214,199 $ 492,716,255 $ 68,863,283 $ 86,368,207 ============= ============= ============= ============== Net assets include accumulated undistributed net investment income............................ $ -- $ 753,116 $ -- $ 302,311 ============= ============= ============= ============== Share Transactions: Brinson Class I: Shares sold........................................... 33,602,761 33,634,272 2,577,643 2,413,314 Shares issued on reinvestment of distributions........ 1,590,665 3,914,936 257,009 54,126 Shares redeemed....................................... (48,975,929) (50,809,625) (2,721,479) (1,142,595) ------------- ------------- ------------- -------------- Total Brinson Class I transactions....................... (13,782,503) (13,260,417) 113,173 1,324,845 ------------- ------------- ------------- -------------- Brinson Class N: Shares sold........................................... 7,386 31,878 -- 15,911 Shares issued on reinvestment of distributions........ 6,165 12,826 1,707 426 Shares redeemed....................................... (127,026) (4,388) (98) -- ------------- ------------- ------------- -------------- Total Brinson Class N transactions....................... (113,475) 40,316 1,609 16,337 ------------- ------------- ------------- -------------- UBS Investment Funds Class: Shares sold........................................... 33,492 469,115 243,526 352,164 Shares issued on reinvestment of distributions........ 78,388 201,293 268,566 66,261 Shares redeemed....................................... (1,170,744) (1,220,493) (1,533,100) (1,860,700) ------------- ------------- ------------- -------------- Total UBS Investment Funds Class transactions............ (1,058,864) (550,085) (1,021,008) (1,442,275) ------------- ------------- ------------- --------------
* Commencement of investment operations ================================================================================ 88 See accompanying notes to financial statements. UBS Investment Funds -- Financial Statements --------------------------------------------------------------------------------
Global Global Technology Fund Biotech Fund Global Bond Fund U.S. Balanced Fund --------------- ------------- ------------------------------ ---------------------------- May 26, 2000* June 2, 2000* Through Through Year Ended June 30, Year Ended June 30, June 30, 2000 June 30, 2000 2000 1999 2000 1999 -------------------------------------------------------------------------------------------------- $ (464) $ (235) $ 3,527,958 $ 5,139,936 $ 846,394 $ 1,558,422 1,624 7,976 (8,536,498) 1,499,627 (2,003,095) 4,257,213 46,736 100,207 3,924,705 (6,052,418) (2,296,787) (5,162,345) --------------- ------------- ------------- ------------- ------------ ------------- 47,896 107,948 (1,083,835) 587,145 (3,453,488) 653,290 --------------- ------------- ------------- ------------- ------------ ------------- -- -- (1,118,342) (5,705,972) (815,029) (2,554,055) -- -- (82,557) (925,451) (225,248) (9,074,452) --------------- ------------- ------------- ------------- ------------ ------------- -- -- (1,200,899) (6,631,423) (1,040,277) (11,628,507) --------------- ------------- ------------- ------------- ------------ ------------- -- -- -- (13,166) (31) (68) -- -- (1) (811) (7) (243) --------------- ------------- ------------- ------------- ------------ ------------- -- -- (1) (13,977) (38) (311) --------------- ------------- ------------- ------------- ------------ ------------- -- -- (43,991) (180,397) (37,261) (123,921) -- -- (4,026) (35,005) (10,418) (483,100) --------------- ------------- ------------- ------------- ------------ ------------- -- -- (48,017) (215,402) (47,679) (607,021) --------------- ------------- ------------- ------------- ------------ ------------- -- -- (1,248,917) (6,860,802) (1,087,994) (12,235,839) --------------- ------------- ------------- ------------- ------------ ------------- 208,013 87,520 25,700,559 110,539,879 11,292,015 12,704,822 -- -- 1,040,704 4,679,150 1,016,548 11,512,192 -- -- (73,843,125) (107,591,860) (34,385,369) (56,107,946) --------------- ------------- ------------- ------------- ------------ ------------- 208,013 87,520 (47,101,862) 7,627,169 (22,076,806) (31,890,932) --------------- ------------- ------------- ------------- ------------ ------------- -- -- 1,912 1,120,104 -- 15,306 -- -- 1 5,581 38 311 -- -- (1,106,396) (871) (96) (15,210) --------------- ------------- ------------- ------------- ------------ ------------- -- -- (1,104,483) 1,124,814 (58) 407 --------------- ------------- ------------- ------------- ------------ ------------- 320,741 144,960 366,668 4,222,107 147,189 1,464,212 -- -- 38,350 187,579 41,422 523,561 -- -- (2,630,429) (4,202,489) (588,978) (1,558,776) --------------- ------------- ------------- ------------- ------------ ------------- 320,741 144,960 (2,225,411) 207,197 (400,367) 428,997 --------------- ------------- ------------- ------------- ------------ ------------- 528,754 232,480 (50,431,756) 8,959,180 (22,477,231) (31,461,528) --------------- ------------- ------------- ------------- ------------ ------------- 576,650 340,428 (52,764,508) 2,685,523 (27,018,713) (43,044,077) 2,010 500,010 98,345,732 95,660,209 39,393,094 82,437,171 --------------- ------------- ------------- ------------- ------------ ------------- $ 578,660 $ 840,438 $ 45,581,224 $ 98,345,732 $ 12,374,381 $ 39,393,094 =============== ============= ============= ============= ============ ============= $ -- $ -- $ 335,909 $ 1,161,994 $ 178,497 $ 200,223 =============== ============= ============= ============= ============ ============= 19,785 7,462 2,835,427 11,338,295 1,279,917 1,174,303 -- -- 113,243 484,490 119,214 1,235,079 -- -- (8,240,771) (11,403,020) (4,112,896) (4,977,791) --------------- ------------- ------------- ------------- ------------ ------------- 19,785 7,462 (5,292,101) 419,765 (2,713,765) (2,568,409) --------------- ------------- ------------- ------------- ------------ ------------- -- -- 210 117,021 -- 1,652 -- -- -- 579 4 33 -- -- (118,588) (90) (10) (1,641) --------------- ------------- ------------- ------------- ------------ ------------- -- -- (118,378) 117,510 (6) 44 --------------- ------------- ------------- ------------- ------------ ------------- 31,255 12,140 40,841 432,357 16,973 135,474 -- -- 4,177 19,366 4,883 56,474 -- -- (292,883) (434,492) (68,563) (154,266) --------------- ------------- ------------- ------------- ------------ ------------- 31,255 12,140 (247,865) 17,231 (46,707) 37,682 --------------- ------------- ------------- ------------- ------------ -------------
================================================================================ 89 UBS Investment Funds -- Financial Statements -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
U.S. Large Cap U.S Equity Fund Equity Fund ------------------------------ ---------------------------- Year Ended June 30, Year Ended June 30, 2000 1999 2000 1999 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net investment income (loss)............................... $ 4,244,116 $ 5,562,471 $ 268,499 $ 185,687 Net realized gain (loss)................................... 11,296,209 53,949,031 (4,170,075) 339,283 Change in net unrealized appreciation or depreciation...... (145,732,574) 51,667,938 (3,197,720) 2,374,562 ------------- ------------- ------------ ------------ Net increase (decrease) in net assets from operations...... (130,192,249) 111,179,440 (7,099,296) 2,899,532 ------------- ------------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Brinson Class I: Distributions from net investment income................. (1,354,937) (5,223,351) (260,485) (87,626) Distributions from net realized gains.................... (46,078,258) (36,404,562) (2,112,124) -- ------------- ------------- ------------ ------------ Total Brinson Class I distributions........................ (47,433,195) (41,627,913) (2,372,609) (87,626) ------------- ------------- ------------ ------------ Brinson Class N: Distributions from net investment income................. (12,687) (28,171) (3,358) (69,880) Distributions from net realized gains.................... (773,650) (234,496) (67,254) -- ------------- ------------- ------------ ------------ Total Brinson Class N distributions........................ (786,337) (262,667) (70,612) (69,880) ------------- ------------- ------------ ------------ UBS Investment Funds Class: Distributions from net investment income................. -- (190,578) (854) (12) Distributions from net realized gains.................... (5,191,383) (3,937,537) (6,269) -- ------------- ------------- ------------ ------------ Total UBS Investment Funds Class distributions............. (5,191,383) (4,128,115) (7,123) (12) ------------- ------------- ------------ ------------ Decrease in net assets from distributions.................. (53,410,915) (46,018,695) (2,450,344) (157,518) ------------- ------------- ------------ ------------ CAPITAL SHARE TRANSACTIONS BY CLASS: Brinson Class I: Shares sold.............................................. 122,681,959 272,587,287 20,498,512 24,164,112 Shares issued on reinvestment of distributions........... 46,438,462 40,726,871 1,882,863 77,433 Shares redeemed.......................................... (549,708,344) (265,910,621) (20,540,523) (3,862,037) ------------- ------------- ------------ ------------ Total Brinson Class I transactions......................... (380,587,923) 47,403,537 1,840,852 20,379,508 ------------- ------------- ------------ ------------ Brinson Class N: Shares sold.............................................. 6,190,218 8,022,220 23,427 684,700 Shares issued on reinvestment of distributions........... 39,033 239,980 70,611 69,880 Shares redeemed.......................................... (4,286,205) (1,768,705) (3,038,230) (13,638,399) ------------- ------------- ------------ ------------ Total Brinson Class N transactions......................... 1,943,046 6,493,495 (2,944,192) (12,883,819) ------------- ------------- ------------ ------------ UBS Investment Funds Class: Shares sold................................................ 885,348 26,390,598 184,571 4,617 Shares issued on reinvestment of distributions............. 1,938,596 1,678,518 7,113 11 Shares redeemed............................................ (43,062,328) (18,175,221) (17,573) -- ------------- ------------- ------------ ------------ Total UBS Investment Funds Class transactions................ (40,238,384) 9,893,895 174,111 4,628 ------------- ------------- ------------ ------------ Net increase (decrease) in net assets resulting from capital share transactions................................. (418,883,261) 63,790,927 (929,229) 7,500,317 ------------- ------------- ------------ ------------ Increase (Decrease) in Net Assets............................ (602,486,425) 128,951,672 (10,478,869) 10,242,331 Net Assets, Beginning of Period.............................. 790,050,522 661,098,850 26,429,704 16,187,373 ------------- ------------- ------------ ------------ Net Assets, End of Period.................................... $ 187,564,097 $ 790,050,522 $ 15,950,835 $ 26,429,704 ============= ============= ============ ============ Net assets include accumulated undistributed net investment income...................................... $ 4,239,650 $ 1,363,158 $ -- $ 81,256 ============= ============= ============ ============ Share Transactions: Brinson Class I: Shares sold................................................ 7,021,481 14,157,093 2,464,710 2,384,176 Shares issued on reinvestment of distributions............. 2,790,780 2,164,601 231,926 7,506 Shares redeemed............................................ (32,569,089) (13,543,224) (2,626,652) (370,824) ------------- ------------- ------------ ------------ Total Brinson Class I transactions........................... (22,756,828) 2,778,470 69,984 2,020,858 ------------- ------------- ------------ ------------ Brinson Class N: Shares sold................................................ 355,231 417,980 952 61,091 Shares issued on reinvestment of distributions............. 2,356 12,904 8,644 7,094 Shares redeemed............................................ (260,962) (90,831) (342,514) (1,369,240) ------------- ------------- ------------ ------------ Total Brinson Class N transactions........................... 96,625 340,053 (332,918) (1,301,055) ------------- ------------- ------------ ------------ UBS Investment Funds Class: Shares sold................................................ 44,999 1,317,474 22,263 427 Shares issued on reinvestment of distributions............. 116,996 89,839 884 1 Shares redeemed............................................ (2,612,305) (950,265) (2,479) -- ------------- ------------- ------------ ------------ Total UBS Investment Funds Class transactions................ (2,450,310) 457,048 20,668 428 ------------- ------------- ------------ ------------
*Reflects the Fund's change in fiscal year end from December 31 to June 30 ================================================================================ See accompanying notes to financial statements. 90 UBS Investment Funds -- Financial Statements --------------------------------------------------------------------------------
U.S. Large Cap U.S. Small Cap Growth Fund Growth Fund U.S. Bond Fund -------------------------------------- --------------------------------------- ------------------------------- Year Ended Six Months Ended* Year Ended Six Months Ended* Year Ended June 30, June 30, 2000 June 30, 1999 June 30, 2000 June 30, 1999 2000 1999 ------------------------------------------------------------------------------------------------------------------------------------ $ (40,633) $ (123) $ (283,391) $ (68,177) $ 5,580,977 $ 4,517,147 1,307,241 408,525 14,184,229 (633,451) (2,898,299) (338,906) 495,586 463,877 12,102,689 1,970,811 218,149 (3,036,340) ------------- ------------ ------------- ------------- ------------- ------------- 1,762,194 872,279 26,003,527 1,269,183 2,900,827 1,141,901 ------------- ------------ ------------- ------------- ------------- ------------- -- -- -- -- (4,678,165) (3,583,162) (226,909) -- -- -- -- (1,038,553) ------------- ------------ ------------- ------------- ------------- ------------- (226,909) -- -- -- (4,678,165) (4,621,715) ------------- ------------ ------------- ------------- ------------- ------------- -- -- -- -- (71) (46) (80) -- -- -- -- (16) ------------- ------------ ------------- ------------- ------------- ------------- (80) -- -- -- (71) (62) ------------- ------------ ------------- ------------- ------------- ------------- -- -- -- -- (374,662) (229,168) (376,172) -- -- -- -- (68,968) ------------- ------------ ------------- ------------- ------------- ------------- (376,172) -- -- -- (374,662) (298,136) ------------- ------------ ------------- ------------- ------------- ------------- (603,161) -- -- -- (5,052,898) (4,919,913) ------------- ------------ ------------- ------------- ------------- ------------- 4,048,482 451,776 29,765,229 22,702,120 70,180,980 165,316,122 217,384 -- -- -- 4,552,534 4,042,561 (1,701,110) (2,143,629) (38,928,066) (11,346,801) (106,749,956) (112,692,202) ------------- ------------ ------------- ------------- ------------- ------------- 2,564,756 (1,691,853) (9,162,837) 11,355,319 (32,016,442) 56,666,481 ------------- ------------ ------------- ------------- ------------- ------------- -- -- -- -- -- 25,964 80 -- -- -- 71 62 -- -- -- -- -- (25,905) ------------- ------------ ------------- ------------- ------------- ------------- 80 -- -- -- 71 121 ------------- ------------ ------------- ------------- ------------- ------------- 5,084,906 4,781,902 2,415,418 858,153 1,492,544 6,222,123 376,172 -- -- -- 310,529 229,364 (4,200,579) (26,217) (459,900) (240,000) (4,032,375) (2,612,918) ------------- ------------ ------------- ------------- ------------- ------------- 1,260,499 4,755,685 1,955,518 618,153 (2,229,302) 3,838,569 ------------- ------------ ------------- ------------- ------------- ------------- 3,825,335 3,063,832 (7,207,319) 11,973,472 (34,245,673) 60,505,171 ------------- ------------ ------------- ------------- ------------- ------------- 4,984,368 3,936,111 18,796,208 13,242,655 (36,397,744) 56,727,159 8,084,899 4,148,788 35,851,966 22,609,311 98,045,583 41,318,424 ------------- ------------ ------------- ------------- ------------- ------------- $ 13,069,267 $ 8,084,899 $ 54,648,174 $ 35,851,966 $ 61,647,839 $ 98,045,583 ============= ============= ============= ============= ============= ============= $ -- $ -- $ -- $ -- $ 1,417,249 $ 961,121 ============= ============= ============= ============= ============= ============= 276,574 35,111 2,526,985 2,641,837 6,936,124 15,463,879 15,996 -- -- -- 461,106 386,462 (119,266) (173,449) (3,231,011) (1,375,470) (10,539,673) (10,568,875) ------------- ------------ ------------ ------------ ------------ ------------ 173,304 (138,338) (704,026) 1,266,367 (3,142,443) 5,281,466 ------------- ------------ ------------- ------------- ------------- ------------- -- -- -- -- -- 2,379 6 -- -- -- 7 6 -- -- -- -- -- (2,379) ------------- ------------ ------------- ------------- ------------- ------------- 6 -- -- -- 7 6 ------------- ------------ ------------- ------------- ------------- ------------- 363,462 372,727 193,136 99,579 146,887 582,475 27,906 -- -- -- 31,628 22,041 (286,213) (1,853) (34,814) (29,703) (411,376) (248,522) ------------- ------------ ------------- ------------- ------------- ------------- 105,155 370,874 158,322 69,876 (232,861) 355,994 ------------- ------------ ------------- ------------- ------------- -------------
================================================================================ 91 UBS Investment Funds -- Financial Statements -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
Global (Ex-U.S.) Equity High Yield Fund Fund ----------------------------------- ---------------------------------- Year Ended Six Months Ended* Year Ended June 30, June 30, 2000 June 30, 1999 2000 1999 -------------- ---------------- -------------- ------------- OPERATIONS: Net investment income.................................. $ 5,274,444 $ 2,487,185 $ 4,208,084 $ 6,208,221 Net realized gain (loss)............................... (3,589,002) 420,129 41,417,003 (1,916,922) Change in net unrealized appreciation or depreciation.. (1,386,533) (1,916,114) 15,371,143 19,559,006 ------------ ------------ --------------- ------------- Net increase in net assets from operations............. 298,909 991,200 60,996,230 23,850,305 ------------ ------------ --------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS BY CLASS: Brinson Class I: Distributions from net investment income......... (3,997,434) (1,845,754) (2,727,974) (4,564,403) Distributions from net realized gains............ (384,243) -- (5,283,152) (4,498,729) ------------ ------------ --------------- ------------- Total Brinson Class I distributions.................... (4,381,677) (1,845,754) (8,011,126) (9,063,132) ------------ ------------ --------------- ------------- Brinson Class N: Distributions from net investment income......... (74) (30) -- (121) Distributions from net realized gains............ (7) -- (13) (126) ------------ ------------ --------------- ------------- Total Brinson Class N distributions.................... (81) (30) (13) (247) ------------ ------------ --------------- ------------- UBS Investment Funds Class: Distributions from net investment income......... (315,019) (167,575) (9,831) (23,356) Distributions from net realized gains............ (40,374) -- (74,353) (52,439) ------------ ------------ --------------- ------------- Total UBS Investment Funds Class distributions......... (355,393) (167,575) (84,184) (75,795) ------------ ------------ --------------- ------------- Decrease in net assets from distributions........ (4,737,151) (2,013,359) (8,095,323) (9,139,174) ------------ ------------ --------------- ------------- CAPITAL SHARE TRANSACTIONS BY CLASS: Brinson Class I: Shares sold...................................... 75,679,660 46,327,741 1,049,008,547 857,199,838 Shares issued on reinvestment of distributions... 3,943,554 1,658,538 7,708,071 8,514,975 Shares redeemed.................................. (84,709,596) (22,018,291) (1,187,345,955) (829,422,705) ------------ ------------ --------------- ------------- Total Brinson Class I transactions..................... (5,086,382) 25,967,988 (130,629,337) 36,292,108 ------------ ------------ --------------- ------------- Brinson Class N: Shares sold...................................... -- -- 373 4,263 Shares issued on reinvestment of distributions... 81 30 13 247 Shares redeemed.................................. -- -- (14,890) (487) ------------ ------------ --------------- ------------- Total Brinson Class N transactions..................... 81 30 (14,504) 4,023 ------------ ------------ --------------- ------------- UBS Investment Funds Class: Shares sold...................................... 484,592 6,368,108 1,895,728 6,909,236 Shares issued on reinvestment of distributions... 274,449 139,258 81,724 68,163 Shares redeemed.................................. (4,562,131) (18,000) (3,506,844) (5,556,938) ------------ ------------ --------------- ------------- Total UBS Investment Funds Class transactions.......... (3,803,090) 6,489,366 (1,529,392) 1,420,461 ------------ ------------ --------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions....................... (8,889,391) 32,457,384 (132,173,233) 37,716,592 ------------ ------------ --------------- ------------- Increase (Decrease) in Net Assets...................... (13,327,633) 31,435,225 (79,272,326) 52,427,723 Net Assets, Beginning of Period........................ 66,337,147 34,901,922 497,076,871 444,649,148 ------------ ------------ --------------- ------------- Net Assets, End of Period.............................. $ 53,009,514 $ 66,337,147 $ 417,804,545 $ 497,076,871 ============ ============ =============== ============= Net assets include accumulated undistributed net investment income............................ $ 1,495,285 $ 611,744 $ -- $ 2,738,174 ============ ============ =============== ============= SHARE TRANSACTIONS: Brinson Class I: Shares sold...................................... 8,072,340 4,509,034 80,245,905 72,650,740 Shares issued on reinvestment of distributions... 416,227 166,520 575,659 726,832 Shares redeemed.................................. (8,988,112) (2,144,630) (90,203,629) (69,803,887) ------------ ------------ --------------- ------------- Total Brinson Class I transactions..................... (499,545) 2,530,924 (9,382,065) 3,573,685 ------------ ------------ --------------- ------------- Brinson Class N: Shares sold...................................... -- -- 30 365 Shares issued on reinvestment of distributions... 9 3 1 21 Shares redeemed.................................. -- -- (1,174) (41) ------------ ------------ --------------- ------------- Total Brinson Class N transactions..................... 9 3 (1,143) 345 ------------ ------------ --------------- ------------- UBS Investment Funds Class: Shares sold...................................... 50,427 620,093 146,606 587,229 Shares issued on reinvestment of distributions... 28,713 13,996 6,167 5,917 Shares redeemed.................................. (475,553) (1,754) (269,636) (481,376) ------------ ------------ --------------- ------------- Total UBS Investment Funds Class transactions.......... (396,413) 632,335 (116,863) 111,770 ------------ ------------ --------------- -------------
*Reflects the Fund's change in fiscal year end from December 31 to June 30 ================================================================================ 92 See accompanying notes to financial statements. Global Fund -- Financial Highlights -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
July 31, 1995* Year Ended June 30, Through -------------------------------------------------- UBS Investment Funds Class 2000 1999 1998 1997 June 31, 1996 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period....................... $ 11.95 $ 12.71 $ 13.05 $ 12.18 $ 11.60 ---------- ---------- ---------- ---------- ---------- Income (loss) from investment operations: Net investment income.................................... 0.17** 0.20 0.30 0.34 0.39 Net realized and unrealized gain (loss).................. (0.30) 0.25 0.61 1.75 1.10 ---------- ---------- ---------- ---------- ---------- Total income (loss) from investment operations...... (0.13) 0.45 0.91 2.09 1.49 ---------- ---------- ---------- ---------- ---------- Less distributions: Distributions from and in excess of net investment income............................... (0.13) (0.37) (0.55) (0.57) (0.59) Distributions from net realized gains.................... (0.52) (0.84) (0.70) (0.65) (0.32) ---------- ---------- ---------- ---------- ---------- Total distributions................................. (0.65) (1.21) (1.25) (1.22) (0.91) ---------- ---------- ---------- ---------- ---------- Net asset value, end of year............................... $ 11.17 $ 11.95 $ 12.71 $ 13.05 $ 12.18 ========== ========== ========== ========== ========== Total return (non-annualized).............................. (1.00)% 3.92% 7.60% 18.13% 13.24% Ratios/Supplemental data: Net assets, end of year (in 000s)........................ $ 8,784 $ 22,060 $ 30,436 $ 26,303 $ 14,030 Ratio of expenses to average net assets.................. 1.64% 1.61% 1.59% 1.64% 1.69%*** Ratio of net investment income to average net assets..... 1.34% 1.58% 2.05% 2.38% 3.04%*** Portfolio turnover rate.................................. 98% 105% 88% 150% 142%
* Commencement of UBS Investment Funds Class ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized ================================================================================ See accompanying notes to financial statements. 93 Global Equity Fund -- Financial Highlights -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
July 31, 1995* Year Ended June 30, Through --------------------------------------------------------- UBS Investment Funds Class 2000 1999 1998 1997 June 31, 1996 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period............. $ 13.40 $ 12.51 $ 12.73 $ 11.57 $ 10.35 ---------- ---------- ---------- ---------- ---------- Income from investment operations: Net investment income (loss)................... (0.03)** 0.04 0.07 0.08 (0.01) Net realized and unrealized gain............... 0.27 1.09 0.83 2.13 1.93 ---------- ---------- ---------- ---------- ---------- Total income from investment operations... 0.24 1.13 0.90 2.21 1.92 ---------- ---------- ---------- ---------- ---------- Less distributions: Distributions from net investment income....... (0.02) (0.06) (0.07) (0.06) (0.01) Distributions from net realized gains.......... (1.21) (0.18) (1.05) (0.99) (0.69) ---------- ---------- ---------- ---------- ---------- Total distributions....................... (1.23) (0.24) (1.12) (1.05) (0.70) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period................... $ 12.41 $ 13.40 $ 12.51 $ 12.73 $ 11.57 ========== ========== ========== ========== ========== Total return (non-annualized).................... 1.96% 9.28% 8.15% 20.34% 19.25% Ratios/Supplemental data: Net assets, end of period (in 000s)............ $ 28,101 $ 44,042 $ 59,147 $ 61,680 $ 33,012 Ratio of expenses to average net assets: Before expense reimbursement................. 1.83% 1.81% 1.78% 2.00% 2.53%*** After expense reimbursement.................. 1.76% 1.76% 1.76% 1.75% 1.76%*** Ratio of net investment income (loss) to average net assets: Before expense reimbursement................. (0.27)% 0.29% 0.53% 0.60% (0.19)%*** After expense reimbursement.................. (0.20)% 0.34% 0.55% 0.85% 0.58%*** Portfolio turnover rate........................ 111% 86% 46% 32% 74%
* Commencement of UBS Investment Funds Class ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized ================================================================================ 94 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. May 26, 2000* Through UBS Investment Funds Class June 30, 2000 -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $ 10.00 ------- Income from investment operations: Net investment loss...................................... (0.01) Net realized and unrealized gain......................... 1.30 ------- Total income from investment operations............... 1.29 ------- Net asset value, end of period................................ $ 11.29 ======= Total return (non-annualized)................................. 12.90% Ratios/Supplemental data: Net assets, end of period (in 000s)......................... $ 354 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits.......... 14.28%** After expense reimbursement and earnings credits........... 2.55%** Ratio of net investment loss to average net assets: Before expense reimbursement and earnings credits.......... (13.26)%** After expense reimbursement and earnings credits........... (1.53)%** Portfolio turnover rate..................................... 14% * Commencement of investment operations ** Annualized ================================================================================ See accompanying notes to financial statements. 95 Global Biotech Fund -- Financial Highlights -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented. June 2, 2000* Through UBS Investment Funds Class June 30, 2000 -------------------------------------------------------------------------------- Net asset value, beginning of period........................... $ 10.00 ------- Income from investment operations: Net investment loss........................................ (0.01)** Net realized and unrealized gain........................... 2.08 ------- Total income from investment operations................. 2.07 ------- Net asset value, end of period................................. $ 12.07 ======= Total return (non-annualized).................................. 20.70% Net assets, end of period (in 000s).......................... $ 148 Ratio of expenses to average net assets: Before expense reimbursement and earnings credits.......... 11.10%*** After expense reimbursement and earnings credits........... 2.30%*** Ratio of net investment loss to average net assets: Before expense reimbursement and earnings credits.......... (10.29)%*** After expense reimbursement and earnings credits........... (1.49)%*** Portfolio turnover rate...................................... 19% * Commencement of investment operations was June 2, 2000 ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized ================================================================================ 96 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.
July 31, 1995* Year Ended June 30, Through -------------------------------------------------- UBS Investment Funds Class 2000 1999 1998 1997 June 30, 1996 ------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period.................... $ 9.16 $ 9.39 $ 9.61 $ 10.02 $ 10.56 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income................................. 0.36** 0.34** 0.38** 0.62 0.78 Net realized and unrealized gain (loss)............... (0.43) (0.07) (0.18) 0.10 0.15 -------- -------- -------- -------- -------- Total income (loss) from investment operations.... (0.07) 0.27 0.20 0.72 0.93 -------- -------- -------- -------- -------- Less distributions: Distributions from and in excess of net investment income............................. (0.11) (0.42) (0.25) (0.94) (1.37) Distributions from net realized gains................. (0.01) (0.08) (0.17) (0.19) (0.10) -------- -------- -------- -------- -------- Total distributions............................... (0.12) (0.50) (0.42) (1.13) (1.47) -------- -------- -------- -------- -------- Net asset value, end of period.......................... $ 8.97 $ 9.16 $ 9.39 $ 9.61 $ 10.02 ======== ======== ======== ======== ======== Total return (non-annualized)........................... (0.84)% 2.58% 2.28% 7.20% 9.17% Ratios/Supplemental data: Net assets, end of period (in 000s)................... $ 2,114 $ 4,429 $ 4,377 $ 4,110 $ 3,653 Ratio of expenses to average net assets: Before expense reimbursement........................ 1.54% 1.39% 1.45% 1.81% 2.14%*** After expense reimbursement......................... 1.43%**** N/A 1.39% 1.39% 1.39%*** Ratio of net investment income to average net assets: Before expense reimbursement........................ 3.85% 3.56% 3.98% 4.41% 4.49%*** After expense reimbursement......................... 3.96% N/A 4.04% 4.83% 5.24%*** Portfolio turnover rate................................. 87% 138% 151% 135% 184%
* Commencement of investment operations ** 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 was 1.39%. N/A = Not Applicable ================================================================================ See accompanying notes to financial statements. 97 U.S. Balanced Fund -- Financial Highlights -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
July 31, 1995* Year Ended June 30, Through -------------------------------------------------- UBS Investment Funds Class 2000 1999 1998 1997 June 30, 1996 ------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period..................... $ 9.32 $ 12.19 $ 12.46 $ 11.67 $ 11.38 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income.................................. 0.22** 0.27** 0.42** 0.38 0.42 Net realized and unrealized gain (loss)................ (0.74) 0.18 0.95 1.31 0.86 -------- -------- -------- -------- -------- Total income (loss) from investment operations..... (0.52) 0.45 1.37 1.69 1.28 -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income............... (0.22) (0.67) (0.70) (0.36) (0.42) Distributions from net realized gains.................. (0.06) (2.65) (0.94) (0.54) (0.57) -------- -------- -------- -------- -------- Total distributions................................ (0.28) (3.32) (1.64) (0.90) (0.99) -------- -------- -------- -------- -------- Net asset value, end of period........................... $ 8.52 $ 9.32 $ 12.19 $ 12.46 $ 11.67 ======== ======== ======== ======== ======== Total return (non-annualized)............................ (5.57)% 4.13% 11.79% 14.99% 11.54% Ratios/Supplemental data: Net assets, end of period (in 000s).................... $ 1,237 $ 1,789 $ 1,880 $ 1,649 $ 779 Ratio of expenses to average net assets: Before expense reimbursement......................... 1.51% 1.46% 1.31% 1.38% 1.51%*** After expense reimbursement.......................... 1.31%**** 1.30% 1.30% 1.30% 1.30%*** Ratio of net investment income to average net assets: Before expense reimbursement......................... 2.30% 2.50% 3.38% 3.28% 3.26%*** After expense reimbursement.......................... 2.50% 2.66% 3.39% 3.36% 3.47%*** Portfolio turnover rate................................ 96% 113% 194% 329% 240%
* Commencement of UBS Investment Funds Class ** 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 was 1.30% =============================================================================== 98 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.
July 31, 1995* Year Ended June 30, Through ------------------------------------------------------- UBS Investment Funds Class 2000 1999 1998 1997 June 30, 1996 ------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period............ $ 21.39 $ 19.83 $ 17.59 $ 14.58 $ 11.94 ------- ------- ------- ------- ------- Income (loss) from investment operations: Net investment income........................ 0.08** 0.06** 0.09 0.11 0.10 Net realized and unrealized gain (loss)...... (3.75) 2.67 3.38 4.22 2.92 ------- ------- ------- ------- ------- Total income (loss) from investment operations............................. (3.67) 2.73 3.47 4.33 3.02 ------- ------- ------- ------- ------- Less distributions: Distributions from net investment income..... -- (0.05) (0.10) (0.09) (0.13) Distributions from net realized gains........ (1.77) (1.12) (1.13) (1.23) (0.25) ------- ------- ------- ------- ------- Total distributions..................... (1.77) (1.17) (1.23) (1.32) (0.38) ------- ------- ------- ------- ------- Net asset value, end of period.................. $ 15.95 $ 21.39 $ 19.83 $ 17.59 $ 14.58 ======= ======= ======= ======= ======= Total return (non-annualized)................... (17.47)% 14.63% 20.80% 31.28% 25.70% Ratios/Supplemental data: Net assets, end of period (in 000s).......... $12,503 $69,167 $55,063 $35,039 $ 5,387 Ratio of expenses to average net assets: Before expense reimbursement............... 1.36% 1.32% 1.32% 1.41% 1.66%*** After expense reimbursement................ 1.32% N/A N/A 1.32% 1.32%*** Ratio of net investment income to average net assets: Before expense reimbursement............... 0.37% 0.30% 0.60% 0.54% 0.61%*** After expense reimbursement................ 0.41% N/A N/A 0.63% 0.95%*** Portfolio turnover rate...................... 55% 48% 42% 43% 36%
* Commencement of UBS Investment Funds Class ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized N/A = Not Applicable ================================================================================ See accompanying notes to financial statements. 99 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.
April 6, 1998* Year Ended Year Ended Through UBS Investment Funds Class June 30, 2000 June 30, 1999 June 30, 1998 --------------------------------------------------------------------------------------------------------- Net asset value, beginning of period.................. $ 11.07 $ 9.79 $ 10.00 ------- ------- ------- Income (loss) from investment operations: Net investment income............................... 0.08** 0.04** 0.02 Net realized and unrealized gain (loss)............. (2.68) 1.31 (0.22) ------- ------- ------- Total income (loss) from investment operations.. (2.60) 1.35 (0.20) ------- ------- ------- Less distributions: Distributions from net investment income............ (0.09) (0.07) (0.01) Distributions from net realized gains............... (0.95) -- -- ------- ------- ------- Total distributions............................. (1.04) (0.07) (0.01) ------- ------- ------- Net asset value, end of period........................ $ 7.43 $ 11.07 $ 9.79 ======= ======= ======= Total return (non-annualized)......................... (24.20)% 13.86% (2.06)% Ratios/Supplemental data: Net assets, end of period (in 000s)................. $ 158 $ 6 $ 1 Ratio of expenses to average net assets: Before expense reimbursement...................... 1.79% 1.81% 2.11%*** After expense reimbursement....................... 1.32% 1.32% 1.32%*** Ratio of net investment income to average net assets: Before expense reimbursement...................... 0.18% 0.05% 0.00%*** After expense reimbursement....................... 0.65% 0.54% 0.79%*** Portfolio turnover rate............................. 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 ================================================================================ 100 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.
Year Ended Period Ended UBS Investment Funds Class June 30, 2000 June 30, 1999* ----------------------------------------------------------------------------------------------------------- Net asset value, beginning of period........................ $ 13.85 $ 11.84 --------- --------- Income from investment operations: Net investment loss....................................... (0.10)** (0.04) Net realized and unrealized gain.......................... 2.29 2.05 --------- --------- Total income from investment operations.............. 2.19 2.01 --------- --------- Less distributions: Distributions from net realized gain...................... (0.95) -- --------- --------- Total distributions.................................. (0.95) -- --------- --------- Net asset value, end of period.............................. $ 15.09 $ 13.85 ========= ========= Total return (non-annualized)............................... 16.62% 16.98% Ratios/Supplemental data: Net assets, end of period (in 000s)....................... $ 7,183 $ 5,136 Ratio of expenses to average net assets: Before expense reimbursement............................ 2.63% 3.15%*** After expense reimbursement............................. 1.57% 1.57%*** Ratio of net investment loss to average net assets: Before expense reimbursement............................ (1.74)% (2.03)%*** After expense reimbursement............................. (0.68)% (0.45)%*** Portfolio turnover rate................................... 86% 51%
* Commencement of UBS Investment Funds Class was December 31, 1998. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized ================================================================================ See accompanying notes to financial statements. 101 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.
Year Ended Period Ended UBS Investment Funds Class June 30, 2000 June 30, 1999* --------------------------------------------------------------------------------------------------- Net asset value, beginning of period......................... $ 9.14 $ 8.80 --------- --------- Income from investment operations: Net investment loss........................................ (0.18)** (0.06) Net realized and unrealized gain........................... 7.12 0.40 --------- --------- Total income from investment operations.............. 6.94 0.34 --------- --------- Net asset value, end of period............................... $ 16.08 $ 9.14 ========= ========= Total return (non-annualized)................................ 75.93% 3.86% Ratios/Supplemental data: Net assets, end of period (in 000s)........................ $ 3,671 $ 640 Ratio of expenses to average net assets: Before expense reimbursement............................. 2.08% 2.09%*** After expense reimbursement.............................. 1.92% 1.92%*** Ratio of net investment loss to average net assets: Before expense reimbursement............................. (1.53)% (1.39)%*** After expense reimbursement.............................. (1.37)% (1.22)%*** Portfolio turnover rate.................................... 104% 71%
* Commencement of UBS Investment Funds Class was December 31, 1998. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized ================================================================================ 102 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.
August 31, 1995* Year Ended June 30, Through -------------------------------------------- UBS Investment Funds Class 2000 1999 1998 1997 June 30, 1996 -------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period...................... $ 10.23 $ 10.54 $ 10.22 $ 9.92 $ 10.00 ------- ------- ------- ------- ------- Income from investment operations: Net investment income................................. 0.58** 0.52** 0.50 0.46** 0.46 Net realized and unrealized gain (loss)............... (0.25) (0.26) 0.49 0.32 (0.13) ------- ------- ------- ------- ------- Total income from investment operations........... 0.33 0.26 0.99 0.78 0.33 ------- ------- ------- ------- ------- Less distributions: Distributions from net investment income.............. (0.62) (0.42) (0.53) (0.48) (0.38) Distributions in excess of net realized gains......... -- (0.15) (0.14) -- (0.03) ------- ------- ------- ------- ------- Total distributions............................... (0.62) (0.57) (0.67) (0.48) (0.41) ------- ------- ------- ------- ------- Net asset value, end of period............................ $ 9.94 $ 10.23 $ 10.54 $ 10.22 $ 9.92 ======= ======= ======= ======= ======= Total return (non-annualized)............................. 3.33% 2.45% 9.97% 7.91% 3.24% Ratios/Supplemental data: Net assets, end of period (in 000s)................... $ 3,526 $ 6,015 $ 2,444 $ 1,399 $ 636 Ratio of expenses to average net assets: Before expense reimbursement........................ 1.14% 1.08% 1.31% 2.12% 4.10%*** After expense reimbursement......................... 1.07% 1.07% 1.07% 1.07% 1.07%*** Ratio of net investment income to average net assets: Before expense reimbursement........................ 5.65% 4.95% 5.14% 4.67% 2.53%*** After expense reimbursement......................... 5.72% 4.96% 5.38% 5.72% 5.56%*** Portfolio turnover rate............................... 170% 260% 198% 410% 363%
* Commencement of investment operations ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized ================================================================================ See accompanying notes to financial statements. 103 High Yield Fund -- Financial Highlights -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
Year Ended Period Ended UBS Investment Funds Class June 30, 2000 June 30, 1999* -------------------------------------------------------------------------------------------- Net asset value, beginning of period...................... $ 9.95 $ 9.98 --------- -------- Income (loss) from investment operations: Net investment income................................. 0.84** 0.41** Net realized and unrealized loss...................... (0.90) (0.15) --------- -------- Total income (loss) from investment operations.... (0.06) 0.26 --------- -------- Less distributions: Distributions from net investment income.............. (0.65) (0.29) Distributions from net realized gains................. (0.07) -- --------- -------- Total distributions............................... (0.72) (0.29) --------- -------- Net asset value, end of period............................ $ 9.17 $ 9.95 ========= ======== Total return (non-annualized)............................. (0.68)% 2.61% Ratios/Supplemental data: Net assets, end of period (in 000s)................... $ 2,164 $ 6,292 Ratio of expenses to average net assets: Before expense reimbursement........................ 1.70% 1.68%*** After expense reimbursement......................... 1.55% 1.55%*** Ratio of net investment income to average net assets: Before expense reimbursement........................ 8.47% 7.69%*** After expense reimbursement......................... 8.62% 7.82%*** Portfolio turnover rate............................... 73% 77%
* Commencement of UBS Investment Funds Class was December 31, 1998. ** The net investment income per share data was determined by using average shares outstanding throughout the period. *** Annualized ================================================================================ 104 See accompanying notes to financial statements. Global (Ex-U.S.) Equity Fund -- Financial Highlights -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
July 31, 1995* Year Ended June 30, Through --------------------------------------------- UBS Investment Funds Class 2000 1999 1998 1997 June 30, 1996 --------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period...................... $ 12.20 $ 12.05 $ 12.49 $ 11.12 $ 10.26 ------- ------- ------- ------- -------- Income from investment operations: Net investment income.................................. --** 0.05 0.08 0.11 0.12 Net realized and unrealized gain....................... 1.33 0.27 0.30 1.93 1.45 ------- ------- ------- ------- -------- Total income from investment operations........... 1.33 0.32 0.38 2.04 1.57 ------- ------- ------- ------- -------- Less distributions: Distributions from investment income................... (0.02) (0.05) (0.08) (0.11) (0.15) Distributions from net realized gain................... (0.14) (0.12) (0.74) (0.56) (0.56) ------- ------- ------- ------- -------- Total distributions............................... (0.16) (0.17) (0.82) (0.67) (0.71) ------- ------- ------- ------- -------- Net asset value, end of period............................ $ 13.37 $ 12.20 $ 12.05 $ 12.49 $ 11.12 ======= ======= ======= ======= ======== Total return (non-annualized)............................. 10.94% 2.78% 3.90% 19.32% 15.78% Ratios/Supplemental data: Net assets, end of period (in 000s).................... $ 5,819 $ 6,739 $ 5,310 $ 7,797 $ 1,262 Ratio of expenses to average net assets: Before expense reimbursement......................... 1.84%**** 1.83% 1.84% 1.81% 2.04%*** After expense reimbursement.......................... N/A N/A N/A N/A 1.84%*** Ratio of net investment income to average net assets: Before expense reimbursement......................... 0.05% 0.51% 0.68% 1.02% 0.83%*** After expense reimbursement.......................... N/A N/A N/A N/A 1.03%*** Portfolio turnover rate................................ 59% 74% 49% 25% 20%
* Commencement of UBS Investment Funds Class ** 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 was 1.83%. N/A = Not Applicable ================================================================================ See accompanying notes to financial statements. 105 UBS Investment 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 thirteen series: 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 (formerly, U.S. Large Capitalization Equity Fund), U.S. Large Cap Growth Fund (formerly, U.S. Large Capitalization Growth Fund), U.S. Small Cap Growth Fund (formerly, U.S. Small Capitalization Growth Fund), U.S. Bond Fund, High Yield Fund and Global (Ex-U.S.) Equity Fund (each a "Fund" and collectively, the "Funds"). Each Fund has three classes of shares outstanding, Brinson Class I, Brinson Class N and UBS Investment Funds Class. 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 financial highlights of the Brinson Class I and the Brinson Class N are presented separately. 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 statement 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 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 year ended June 30, 2000, therefore, no federal income tax provision was required. At June 30, 2000, the following Funds had capital loss carryforwards for Federal income tax purposes available to offset future net capital gains through the indicated expiration dates:
Fund Expiration Date Amount ---- --------------- ------ Global Bond Fund.......................... June 30, 2008 $ 1,109,176 U.S. Bond Fund............................ June 30, 2008 1,664,910 High Yield Fund........................... June 30, 2008 861,570
-------------------------------------------------------------------------------- 106 UBS Investment Funds -- Notes To Financial Statements ------------------------------------------------------------------------------- F. Distributions to Shareholders: It is the policy of the Funds to distribute their respective net investment income on a semi-annual basis and net capital gains, if any, annually. 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 generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions. Differences in dividends per share between the classes are due to distribution expenses. The percentage of dividends paid that qualify for the dividends received deduction available to corporate shareholders for the year ended June 30, 2000, were as follows:
Dividends Received Fund Deduction ---- --------- Global Fund.................................................... 16.77% Global Equity Fund............................................. 32.26 U. S. Balanced................................................. 23.37 U. S. Equity................................................... 100.00 U. S. Large Cap Equity......................................... 31.75 U. S. Large Cap Growth......................................... 10.18 U. S. Bond..................................................... 0.11
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, except that the Brinson Class I will not incur any of the distribution expenses of the Brinson Class N nor the UBS Investment Funds Class. 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 generally accepted accounting principles 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. 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 June 30, 2000. Investment advisory fees and other transactions for the year ended June 30, 2000, were as follows:
UBS Brinson Investment Advisory Brinson Class I Class N Funds Class Advisory Fees Fund Fee Expense Cap Expense Cap Expense Cap Fees Waived ---- -------- --------------- ----------- ----------- ---------- ---------- Global Fund...................................... 0.80% 1.10% 1.35% 1.75% $2,899,741 $ -- Global Equity Fund............................... 0.80 1.00 1.25 1.76 639,859 54,359 Global Technology Fund........................... 1.40 1.55 1.80 2.55 549 4,639 Global Biotech Fund.............................. 1.15 1.30 1.55 2.30 480 3,737 Global Bond Fund................................. 0.75 0.90 1.15 1.39 597,228 91,069 U.S. Balanced Fund............................... 0.70 0.80 1.05 1.30 199,072 57,436 U.S. Equity Fund................................. 0.70 0.80 1.05 1.32 3,376,519 160,099 U.S. Large Cap Equity Fund....................... 0.70 0.80 1.05 1.32 163,052 108,284 U.S. Large Cap Growth Fund....................... 0.70 0.80 1.05 1.57 71,140 101,585 U.S. Small Cap Growth Fund....................... 1.00 1.15 1.40 1.92 445,220 69,313 U.S. Bond Fund................................... 0.50 0.60 0.85 1.07 452,989 60,829 High Yield Fund.................................. 0.60 0.70 0.95 1.55 336,440 87,728 Global (Ex-U.S.) Equity Fund..................... 0.80 1.00 1.25 1.84 3,822,993 --
-------------------------------------------------------------------------------- 107 UBS Investment 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 year ended June 30, 2000, were as follows:
Fees Paid --------- Global Fund........................................................... $ 8,272 Global Equity Fund.................................................... 4,414 Global Technology Fund................................................ 360 Global Biotech Fund................................................... 290 Global Bond Fund...................................................... 4,392 U.S. Balanced Fund.................................................... 4,246 U.S. Equity Fund...................................................... 15,374 U.S. Large Cap Equity Fund............................................ 4,246 U.S. Large Cap Growth Fund............................................ 3,649 U.S. Small Cap Growth Fund............................................ 4,117 U.S. Bond Fund........................................................ 4,370 High Yield Fund....................................................... 4,365 Global (Ex-U.S.) Equity Fund.......................................... 8,264
The Global Fund invests in shares of certain affiliated investment companies also sponsored by the Advisor. These investments represented 16.08% of the Fund's net assets at June 30, 2000. Amounts relating to those investments at June 30, 2000 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 U.S. Small Capitalization Equity Fund............ $ -- $ -- $ -- $ 479,608 $ 8,140,053 Brinson High Yield Fund.................................. 9,500,000 8,000,000 1,240,415 (958,356) 16,003,393 Brinson Emerging Markets Equity Fund..................... -- 10,509,950 (472,848) 3,382,681 9,943,169 Brinson Emerging Markets Debt Fund....................... -- 18,100,000 4,035,383 594,382 11,243,315 Brinson Supplementary Trust U.S. Cash Management Prime Fund.................................. 452,709,674 482,973,495 -- -- 1,830,859
The following Funds invest in shares of the Brinson Supplementary Trust U.S. Cash Management Prime Fund ("Supplementary Trust"). The Supplementary Trust is an investment company 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 statement of operations. Amounts relating to those investments at June 30, 2000 and for the year then ended June 30, 2000, were as follows:
% of Sales Interest Net Fund Purchases Proceeds Income Value Assets ---- ------------ ------------ ---------- ----------- -------- Global Fund................................................ $452,709,674 $482,973,494 $ 732,300 $ 1,830,859 0.63% Global Equity Fund......................................... 51,279,587 49,847,833 77,639 2,453,941 3.56 Global Technology Fund..................................... -- -- -- -- -- Global Biotech Fund........................................ -- -- -- -- -- Global Bond Fund........................................... 46,252,518 46,972,556 91,982 5,419,195 11.89 U.S. Balanced Fund......................................... 23,615,731 23,228,119 36,392 623,691 5.04 U.S. Equity Fund........................................... 324,163,891 360,999,461 885,159 849,414 0.45 U.S. Large Cap Equity Fund................................. 42,642,990 42,960,013 53,714 1,215,982 7.62 U.S. Large Cap Growth Fund................................. -- -- -- -- -- U.S. Small Cap Growth Fund................................. 43,005,104 42,635,680 120,511 2,503,641 4.58 U.S. Bond Fund............................................. 87,525,697 92,813,027 273,586 217,046 0.35 High Yield Fund............................................ 85,172,972 77,233,925 194,207 10,185,196 19.21 Global (Ex-U.S.) Equity Fund............................... 807,825,648 806,997,127 708,393 5,129,357 1.23
================================================================================ 108 UBS Investment Funds -- Notes to Financial Statements -------------------------------------------------------------------------------- 3. INVESTMENT TRANSACTIONS Investment transactions for the year ended June 30, 2000, excluding short-term investments, were as follows:
Proceeds Fund Purchases From Sales ---- ------------ ------------ Global Fund........................................ $340,289,160 $510,377,106 Global Equity Fund................................. 86,434,670 109,260,719 Global Technology Fund............................. 547,609 58,675 Global Biotech Fund................................ 704,861 113,026 Global Bond Fund................................... 66,489,929 129,362,852 U.S. Balanced Fund................................. 26,024,597 47,524,289 U.S. Equity Fund................................... 254,397,613 714,232,204 U.S. Large Cap Equity Fund......................... 37,900,184 40,675,202 U.S. Large Cap Growth Fund......................... 10,468,677 8,415,371 U.S. Small Cap Growth Fund......................... 43,729,341 52,864,256 U.S. Bond Fund..................................... 141,682,053 167,767,766 High Yield Fund.................................... 37,576,913 50,920,592 Global (Ex-U.S.) Equity Fund....................... 274,569,893 410,021,861
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 statement of operations reflects net realized and net unrealized gains and losses on these contracts. The counterparty to all forward foreign currency contracts during the year ended June 30, 2000, was the Funds' custodian. 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. 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 statement of operations reflects net realized and net unrealized gains and losses on these contracts. ================================================================================ 109 UBS Investment Funds -- Notes to Financial Statements -------------------------------------------------------------------------------- 6. SECURITY LENDING The Global Fund and Global (Ex-U.S.) Equity Fund loaned securities to certain brokers, with the Fund's custodian acting as the Funds' lending agent. The Funds earned negotiated lenders' fees, which are included in interest income in the statements of operations. The Global Fund receives cash as collateral against the loaned securities. The cash is then generally invested in interest-bearing securities which are included in the schedule of investments. The Global (Ex- U.S.) Equity Fund receives securities, which are not reflected in the statement of assets and liabilities, as collateral against the loaned securities. 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 June 30, 2000, were as follows:
Value of Loaned Value of Securities Collateral --------------- ---------- Global Fund...................................... $50,587,586 $51,691,365 Global (Ex-U.S.) Equity Fund..................... 15,980,918 16,163,433
7. DISTRIBUTION PLANS The Trust has adopted distribution plans (the "Plans") pursuant to Rule 12b-1 under the Investment Company Act of 1940, as amended, for the Brinson Class N and the UBS Investment Funds Class. Each Plan governs payments made for the expenses incurred in the promotion and distribution of the Brinson Class N and the UBS Investment Funds Class. Annual fees under the Brinson Class N Plan shall not exceed 0.25% of the average daily net assets of the Brinson Class N of each of the Funds. Annual fees under the UBS Investment Funds Plan, which include a 0.25% service fee, are as follows as a percentage of the average daily net assets of the UBS Investment Funds Class of each of the Funds:
% of Fund Net Assets ---- ---------- Global Fund......................................................... 0.65% Global Equity Fund.................................................. 0.76 Global Technology Fund.............................................. 1.00 Global Biotech Fund................................................. 1.00 Global Bond Fund.................................................... 0.49 U.S. Balanced Fund.................................................. 0.50 U.S. Equity Fund.................................................... 0.52 U.S. Large Cap Equity Fund.......................................... 0.52 U.S. Large Cap Growth Fund.......................................... 0.77 U.S. Small Cap Growth Fund.......................................... 0.77 U.S. Bond Fund...................................................... 0.47 High Yield Fund..................................................... 0.85 Global (Ex-U.S.) Equity Fund........................................ 0.84
================================================================================ 110 UBS Investment Funds -- Notes to Financial Statements -------------------------------------------------------------------------------- 8. LINE OF CREDIT The Trust has entered into an agreement with Chase Manhattan Bank to provide a 364-day $100 million committed line of credit to the Funds. Borrowings will be made for temporary purposes. Interest on amounts borrowed is calculated based on the Federal Funds Rate plus 0.50%. The Funds pay an annual commitment fee of 0.10% (prior to April 14, 2000 the commitment fee was 0.08%) of the average daily balance of the line of credit not utilized. The average borrowings under the agreement for the year then ended June 30, 2000, were as follows:
Average Number of Days Fund Borrowings Outstanding ---- ---------- -------------- Global Fund.......................................... $ 4,750,000 2 Global Bond Fund..................................... 18,940,000 10 U.S. Balanced Fund................................... 2,925,000 8 U.S. Equity Fund..................................... 7,442,857 7 Global (Ex-U.S.) Equity Fund......................... 16,050,000 14
================================================================================ 111 Report of Independent Auditors -------------------------------------------------------------------------------- The Board of Trustees and Shareholders The Brinson Funds We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of The Brinson Funds--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, and Global (Ex-U.S.) Equity Fund as of June 30, 2000, and the related statements of operations, cash flows (Global Fund only), changes in net assets and financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2000, by correspondence with the custodian. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of The Brinson Funds--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, and Global (Ex-U.S.) Equity Fund at June 30, 2000 and the results of their operations, cash flows (Global Fund only), changes in their net assets and the financial highlights for the periods indicated therein in conformity with accounting principles generally accepted in the United States. /s/ Ernest & Young LLP Chicago, Illinois August 11, 2000 ================================================================================ 112 Distributed by: Funds Distributor, Inc. 60 State Street Boston, MA 02109 This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus which includes details regarding the Fund's objectives, policies, expenses and other information. [LOGO] UBS Investment Funds P.O. Box 2798, Boston, Massachusetts 02208-9915 . Tel: (800) 794-7753