-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Hqa4uYteoqFhr+lWvpl4inBgCT0Wn1AQsEVIS2cdHobm2QD/xPHhWuFGRq9BZVOr YkUGrYoeAaJCfAP86H37lg== 0000950131-96-001029.txt : 19960312 0000950131-96-001029.hdr.sgml : 19960312 ACCESSION NUMBER: 0000950131-96-001029 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19951231 FILED AS OF DATE: 19960311 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: BRINSON FUNDS INC CENTRAL INDEX KEY: 0000886244 STANDARD INDUSTRIAL CLASSIFICATION: [] STATE OF INCORPORATION: DE FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-06637 FILM NUMBER: 96533509 BUSINESS ADDRESS: STREET 1: 209 S LASALLE ST CITY: CHICAGO STATE: IL ZIP: 60604-1795 BUSINESS PHONE: 8001482430 MAIL ADDRESS: STREET 1: 209 S LASALLE ST CITY: CHICAGO STATE: IL ZIP: 60604-1795 N-30D 1 BRINSON PARTNERS & SWISSKEY SEMI A/R'S ----------------------------- THE BRINSON FUNDS BRINSON U.S. BALANCED FUND BRINSON U.S. EQUITY FUND BRINSON U.S. BOND FUND SEMI-ANNUAL REPORT DECEMBER 31, 1995 GLOBAL INSTITUTIONAL ASSET MANAGEMENT ----------------------------- CHICAGO.BASEL.LONDON.MELBOURNE.NEW YORK.PARIS.SINGAPORE.SYDNEY.TOKYO TRUSTEES AND OFFICERS - -------------------------------------------------------------------------------- LOGO TRUSTEES Walter E. Auch Frank K. Reilly, CFA Edward M. Roob OFFICERS Frank K. Reilly, CFA Carolyn M. Burke, CPA Chairman of the Board Assistant Secretary E. Thomas McFarlan Catherine E. Macrae President and Treasurer Assistant Secretary Thomas J. Digenan, CPA Debra L. Nichols Assistant Treasurer Assistant Secretary Bruce G. Leto Secretary ------------------------------------------------------------ 1 THE FUNDS' ADVISOR -- BRINSON PARTNERS, INC. - -------------------------------------------------------------------------------- LOGO Brinson Partners, Inc. is an institutional investment management firm structured around teams of investment specialists covering major world asset classes. We specialize in managing multiple asset portfolios that provide clients with the opportunity to participate in all major world asset classes. It is important that investment decisions, whether they pertain to a global portfolio or a single asset class portfolio, be made within the context of a global capital market perspective. Our coordinated application of investment strategies distinguishes Brinson Partners, Inc. as a leader in global investment management of institutional assets. We firmly believe that asset allocation is portfolio management at its highest and most important level. Performance is maximized through a comprehensive understanding of global investment markets and their interrelationships. Portfolio structure is tailored to specific client objectives and focused upon both risk and return considerations in the context of full long-term investment cycles. At Brinson Partners, Inc., our investment decisions are based on fundamental research, internally developed valuation systems and seasoned judgment. Our independent team approach allows for rapid responses to market changes, while providing each client with the benefit of our best talent and the flexibility to customize portfolios to meet unique requirements. ------------------------------------------------------------ 2 TABLE OF CONTENTS - -------------------------------------------------------------------------------- LOGO Shareholder Letter............................................................ 4 U.S. Economic and Market Highlights........................................... 5 U.S. Balanced Fund............................................................ 6 Schedule of Investments...................................................... 9 Financial Statements.........................................................12 Financial Highlights.........................................................15 U.S. Equity Fund..............................................................17 Schedule of Investments......................................................20 Financial Statements.........................................................22 Financial Highlights.........................................................25 U.S. Bond Fund................................................................27 Schedule of Investments......................................................30 Financial Statements.........................................................31 Financial Highlights.........................................................34 The Brinson Funds--Notes to Financial Statements..............................36 ------------------------------------------------------------- 3 SHAREHOLDER LETTER - -------------------------------------------------------------------------------- LOGO February 22, 1996 Dear Shareholder: We appreciate the confidence you have placed in us and are pleased to present you with the December 31, 1995 Semi- Annual Report for the U.S. Balanced Fund, the U.S. Equity Fund and the U.S. Bond Fund. This Report presents our current U.S. economic and market outlook, as well as the Funds' recent investment strategies and performance. To summarize this information: U.S. Balanced Fund The Brinson U.S. Balanced Fund paid a dividend of $0.851 per share on December 29, 1995 to shareholders of record on December 20, 1995. For the period from December 31, 1994 (performance inception date) to December 31, 1995, the Fund has provided a total return of 25.48%. In the second half of 1995, the Fund returned 10.16%. The Fund's market allocation has been characterized by an underweight in the U.S. equity market and an overweight to the U.S. bond market. U.S. Equity Fund The Brinson U.S. Equity Fund paid a dividend of $0.359 per share on December 29, 1995 to shareholders of record on December 20, 1995. For the period from February 28, 1994 (performance inception date) to December 31, 1995, the Fund provided an annualized total return of 19.34%. In 1995, the Fund returned 40.58%. The Fund returned 17.39% in the second half of the year. Fund strategy presently maintains an above average exposure to stocks with high earnings/price measures and an overweight of intermediate versus large capitalization issues relative to the benchmark. The Fund also possesses a meaningful exposure toward economically-sensitive and financially-leveraged stocks and an underweight with respect to companies with foreign earnings and relative strength. U.S. Bond Fund The Brinson U.S. Bond Fund paid a dividend of $0.237 per share on December 29, 1995 to shareholders of record on December 20, 1995. For the period from August 31, 1995 (performance inception date) to December 31, 1995, the Fund returned 5.49%. With intermediate and long term interest rates within the range of our estimates of fair value, the Fund's current investment strategy involves near neutral duration and yield curve exposure. We look forward to the challenges ahead and, as always, welcome your comments and suggestions. Sincerely, /s/ Gary P. Brinson, CFA Gary P. Brinson, CFA President and Chief Investment Officer Brinson Partners, Inc. ------------------------------------------------------------ 4 U.S. ECONOMIC AND MARKET HIGHLIGHTS - -------------------------------------------------------------------------------- LOGO The economy has settled into a moderate but uneven growth path. Real GDP growth slowed in the first half of this year, but picked up in the third quarter. Consumer price inflation remains modest, with year-on-year growth in the CPI running below 3.0%. There was some upward pressure in the first half of the year, which can be characterized as an effect of the strong growth at the end of last year. Price pressures going forward should remain subdued. Congressional debate is centered on reducing the size of the federal budget deficit. The main contention is the length of time in which balance should be achieved. Anticipation of deficit reduction has taken pressure off real interest rates. U.S. ENVIRONMENT MAJOR MARKETS One Year Ended December 31, 1995 [GRAPH APPEARS HERE] Total Return U.S. CASH EQUIVALENTS 5.57% U.S. BONDS 18.55% U.S. EQUITIES 36.45% SALOMON U.S. TREASURY BENCHMARK RETURNS One Year Ended December 31, 1995 [GRAPH APPEARS HERE] MATURITY Total Return (YEARS) 1 8.09% 2 11.04% 3 13.36% 5 16.97% 10 23.73% 30 33.48% TOP TEN INDUSTRY RETURNS RELATIVE TO S&P 500 One Year Ended December 31, 1995 S&P 500 37.48% - ------------------------------- 1. Aerospace 26.76% 2. Oil Service 20.07 3. Tobacco 17.10 4. Drugs, Medicine 14.70 5. Thrift Institutions 14.14 6. Beverages 13.62 7. Air Transport 12.31 8. Other Insurance 11.53 9. Banks 11.04 10. Business Machines 8.89 - -------------------------------
Source: BARRA BOTTOM TEN INDUSTRY RETURNS RELATIVE TO S&P 500 One Year Ended December 31, 1995 S&P 500 37.48% - ------------------------------ 1. Coal & Uranium -60.53% 2. Trucking, Freight -30.26 3. Motor Vehicles -27.65 4. Forest Products -25.37 5. Apparel, Textiles -22.63 6. Water Transport -22.50 7. Pollution Control -19.42 8. Iron & Steel -18.16 9. Retail (Other) -17.76 10. Real Property -17.67 - ------------------------------
Source: BARRA ------------------------------------------------------------ 5 U.S. BALANCED FUND - -------------------------------------------------------------------------------- LOGO The U.S. Balanced Fund is an actively managed, diversified portfolio that provides integrated asset management across and within U.S. stocks, bonds and cash. The investment process is strategic in nature and is driven by deviations of market price from fundamental value. This philosophy offers the greatest potential for achieving enhanced long-term returns, while controlling risk. The Brinson U.S. Balanced Fund produced a total return of 25.48% for the year ended December 31, 1995, compared to the U.S. Balanced Index return of 29.45%. In the second half of 1995, the Fund returned 10.16% compared to the benchmark return of 11.59%. The U.S. Balanced Index is a fixed weight composite of 65% Wilshire 5000 Equity Index and 35% Salomon Brothers Broad Investment Grade Bond Index. Security selection within equities contributed positively to relative performance, while underweighting equities and overweighting bonds contributed negatively. At the start of 1995, the Federal Reserve raised its target for the Fed Funds rate by 50 basis points, after increasing it more than 250 basis points the previous year. These rate hikes produced enough signs of slowing growth and sluggish inflationary pressure that the Fed reversed course and provided two small rate cuts later in the year. Bonds performed well in the low inflation environment. Considerable declines in long yields caused the yield curve to become almost horizontal toward the end of the year. Long bonds provided excellent returns as a result. With rates declining over most of the curve, the bond market moved from undervalued to a position approximating fundamental value. At the short end, values are still in excess of price, but at the long end price and value are very close. Lower interest rates also benefited several sectors of the U.S. equity market, in particular bank and insurance stocks. The equity market was buoyed by a large number of positive earnings surprises, and earnings growth continued at a double-digit pace. The equity component of the Fund was helped by an overweight in bank stocks and by favorable market response to consolidation in several overweighted industries. With equity prices rising through the year, the market's overvaluation persisted at about 20%. At year-end, asset allocation strategy involves underweighting the overvalued equity market and overweighting the relatively attractive bond market. Duration strategy is approximately neutral as bond prices, except at the short end, are within the range of our fundamental value estimates. ------------------------------------------------------------ 6 U.S. BALANCED FUND - -------------------------------------------------------------------------------- TOTAL RETURN
6 months ended Since 12/31/95 inception* - ----------------------------------------------- BRINSON U.S. BALANCED FUND 10.16% 25.48% - ----------------------------------------------- U.S. Balanced Index** 11.59% 29.45% - -----------------------------------------------
*Performance Inception date of the Brinson U.S. Balanced Fund is December 31, 1994. **An un-managed index compiled by the Advisor, constructed as follows: 65% Wilshire 5000 Equity Index and 35% Salomon Brothers Broad Investment Grade Bond Index. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000 This chart shows the growth made for any income taxes in the value of an payable by shareholders on investment in the Brinson income dividends and capital U.S. Balanced Fund and the gain distributions. Past U.S. Balanced Index if you performance is no guarantee had invested $100,000 on of future results. Share December 31, 1994, and had price and return will vary reinvested all your income with market conditions; dividends and capital gain investors may realize a gain distributions through or loss upon redemption. December 31, 1995. No adjustment has been BRINSON U.S. BALANCED FUND VS. U.S. BALANCED INDEX Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] 12/31/94 12/31/95 -------- -------- BRINSON U.S. BALANCED FUND $100,000 $125,481 U.S. BALANCED INDEX $100,000 $129,452 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. LOGO ------------------------------------------------------------ 7 U.S. BALANCED FUND - -------------------------------------------------------------------------------- LOGO INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - ------------------------------------------------------------------------------- U.S. EQUITIES Basic Industries Chemicals.............................................................. 0.31% Housing/Paper.......................................................... 1.30 Metals................................................................. 0.56 ----- 2.17 Capital Investment Capital Goods.......................................................... 3.54 Technology............................................................. 2.22 ----- 5.76 Consumer Autos/Durables......................................................... 0.41 Discretionary.......................................................... 2.12 Health: Drugs.......................................................... 3.77 Health: Non-Drugs...................................................... 1.22 Non-Durables........................................................... 3.94 Retail/Apparel......................................................... 2.44 ----- 13.90 Energy.................................................................. 2.40 Financial Banks.................................................................. 3.14 Non-Banks.............................................................. 3.86 ----- 7.00 Services............................................................... 3.11% Transportation......................................................... 1.70 Utilities.............................................................. 2.54 Miscellaneous.......................................................... 0.92 ------ Total U.S. Equities................................................. 39.50 ------ U.S. BONDS Corporate Bonds Asset-backed.......................................................... 4.26 Consumer.............................................................. 2.83 Financial............................................................. 4.46 Floating Rate......................................................... 0.52 Industrial............................................................ 0.39 Telecommunications.................................................... 1.02 Transportation........................................................ 0.23 Yankee................................................................ 0.41 ------ 14.12 International Dollar Bonds............................................. 3.27 U.S. Government Agencies............................................... 16.61 U.S. Government Obligations............................................ 17.01 ------ Total U.S. Bonds.................................................... 51.01 ------ SHORT-TERM INVESTMENTS................................................. 15.01 ------ TOTAL INVESTMENTS................................................... 105.52 LIABILITIES, LESS CASH AND OTHER ASSETS................................................. (5.52) ------ NET ASSETS............................................................. 100.00% =======
ASSET ALLOCATION As of December 31, 1995 (Unaudited) - ------------------------------------
CURRENT BENCHMARK STRATEGY --------- -------- U.S. Equity 65% 40% U.S. Bonds 35 55 Cash Equivalents 0 5 - ------------------------------------ 100% 100%
TOP TEN U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
PERCENT OF NET ASSETS - --------------------------------------------- 1. Citicorp 2.09% 2. Lockheed Martin Corp. 2.07 3. Burlington Northern, Santa Fe 1.65 4. Honeywell, Inc. 1.57 5. Avon Products, Inc. 1.26 6. Schering Plough Corp. 1.17 7. AON Corp. 1.17 8. Kimberly-Clark Corp. 1.13 9. Sprint Corp. 1.11 10. Enron Corp. 1.09 - ---------------------------------------------
------------------------------------------------------------ - --------------- 8 U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- ------------ U.S. EQUITIES -- 39.50% Aetna Life & Casualty Co............................... 25,100 $ 1,738,175 Air & Water Technologies Corp. Class A (b)........................................... 10,400 63,700 Allergan, Inc.......................................... 39,900 1,296,750 Alza Corp. (b)......................................... 34,900 863,775 American Mobile Satellite Corp., Inc. (b).............. 6,000 183,750 Aon Corp............................................... 50,300 2,508,712 AST Research Corp. (b)................................. 7,918 67,303 Automatic Data Processing, Inc......................... 22,800 1,692,900 Avon Products, Inc..................................... 35,800 2,698,425 Bard (C.R.), Inc....................................... 24,100 777,225 Beckman Instruments, Inc............................... 15,500 548,312 Biogen, Inc. (b)....................................... 3,600 221,400 Birmingham Steel Corp.................................. 15,600 232,050 Boeing Co.............................................. 14,200 1,112,925 Boston Technology, Inc. (b)............................ 9,600 122,400 Brinker International, Inc. (b)........................ 11,500 173,938 Burlington Northern Santa Fe........................... 45,400 3,541,200 Campbell Soup Co....................................... 12,300 738,000 Centerior Energy Co.................................... 7,000 62,125 CIGNA Corp............................................. 19,600 2,023,700 Citicorp............................................... 66,600 4,478,850 CMS Energy Corp........................................ 42,500 1,269,688 Coca-Cola Enterprises, Inc............................. 50,200 1,348,734 Comerica, Inc.......................................... 10,760 429,337 Computer Sciences Corp. (b)............................ 2,300 161,575 Converse Technology, Inc. (b).......................... 6,500 130,000 Cooper Cameren Corp. (b)............................... 13,130 466,115 Cooper Industries, Inc................................. 13,692 519,719 Dial Corp.............................................. 40,600 1,202,775 Enron Corp............................................. 61,100 2,329,437 Entergy Corp........................................... 42,900 1,254,825 Federated Department Stores (b)........................ 50,800 1,397,000 First Data Corp........................................ 23,631 1,580,330 Food Lion, Inc. Class A................................ 64,100 366,569 Ford Motor Co.......................................... 40,400 1,171,600 Forest Laboratories, Inc. (b).......................... 26,600 1,203,650 Gannett Co. Inc........................................ 14,400 883,800 Genzyme Corp. (b)...................................... 5,100 318,113 Goodyear Tire and Rubber Co............................ 28,400 1,288,650 Grand Metro............................................ 50,000 1,462,500 Health Care & Retirement Corp. (b)..................... 11,000 385,000 Hillenbrand Industries, Inc............................ 1,100 37,263 Honeywell, Inc......................................... 69,100 3,359,987 Illinova Corp. ........................................ 8,200 246,000 Inland Steel Industries, Inc........................... 23,200 582,900 Interpublic Group of Companies, Inc.................... 15,600 676,650 Kimberly-Clark Corp.................................... 29,300 2,424,575 Kroger Co. (b)......................................... 22,500 843,750 Lockheed Martin Corp................................... 56,100 4,431,900 LTV Corp............................................... 22,600 310,750 Lyondell Petrochemical Co.............................. 42,600 974,475 Magna Group, Inc....................................... 7,700 182,875 Manor Care, Inc........................................ 25,400 889,000 Mattel, Inc............................................ 63,800 1,961,850 Melville Corp.......................................... 35,400 1,088,550 National Semiconductor Corp. (b)....................... 16,300 373,800 Nextel Communications, Inc. Class A (b)................ 36,600 539,850 Octel Communications Corp. (b)......................... 4,200 135,450
SHARES VALUE ----------- ------------ Old Republic International Corp........................ 15,100 $ 536,050 Owens Illinois, Inc. (b)............................... 44,100 639,450 Pentair, Inc........................................... 9,100 452,725 Pfizer, Inc............................................ 24,500 1,543,500 Philip Morris Companies, Inc........................... 11,500 1,040,750 Raychem Corp........................................... 13,500 767,812 RJR Nabisco Convertible Preferred "C".................. 126,400 805,800 RJR Nabisco Holdings Corp. (b)......................... 38,540 1,189,922 Schering Plough Corp................................... 46,000 2,518,500 Schlumberger Ltd....................................... 16,500 1,142,625 Schweitzer-Meuduit International, Inc. (b)............. 2,930 67,756 Seagate Technology, Inc. (b)........................... 16,300 774,250 Sprint Corp............................................ 59,600 2,376,550 State Street Boston Corp............................... 11,600 522,000 Timken Co.............................................. 11,000 420,750 Tosco Corp............................................. 7,000 266,875 Transamerica Corp...................................... 20,000 1,457,500 Ultramar Corp.......................................... 20,200 520,150 US Bancorp............................................. 26,700 897,788 USF&G Corp............................................. 37,400 631,125 Walgreen Co............................................ 34,200 1,021,725 Westvaco Corp.......................................... 10,750 298,312 WMX Technologies, Inc.................................. 50,200 1,499,725 ------------ Total U.S. Equities (Cost $70,776,456)................. 84,766,297 ------------ FACE AMOUNT VALUE ----------- ------------ BONDS -- 51.01% U.S. CORPORATE BONDS -- 14.12% Bell South Corp. 0.000% due 12/15/15.................................... $ 3,175,000 $ 840,676 Beneficial Home Equity 6.280%, due 03/28/25................................... 495,158 495,158 Burlington Northern Santa Fe 7.000%, due 12/15/25................................... 900,000 889,005 Chrysler Financial Corp. FRN 6.023%, due 07/31/97............................... 1,000,000 1,000,283 MTN 6.500%, due 08/21/97............................... 1,000,000 1,012,330 Dayton Hudson Credit Card Trust 95-1 6.100%, due 09/25/98................................... 2,000,000 2,032,100 Dean Witter & Co. 6.245%, due 03/21/97................................... 1,250,000 1,249,258 Ford Motor Credit Corp. 5.370%, due 09/08/98................................... 945,000 937,242 GMAC MTN 6.750%, due 06/10/02................................... 1,000,000 1,030,960 Grace W.R. & Co. 8.000%, due 08/15/04................................... 1,150,000 1,269,355 MBNA Master Trust 5.962%, due 03/15/01................................... 1,500,000 1,499,925 Nationwide CSN Trust 9.875%, due 02/15/25................................... 1,000,000 1,168,063 News America Corp. 7.750%, due 01/20/24................................... 1,000,000 1,037,323 Petroliam Nasional 7.125%, due 08/15/05................................... 1,500,000 1,582,500 Republic Bank of New York Corp. FRN 6.025%, due 12/29/02................................... 1,065,000 1,033,050 RJR Nabisco Inc. 8.625%, due 12/01/02................................... 1,500,000 1,555,871
- -------------------------------------------------------------------------------- 9 U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------- ------------ U.S. CORPORATE BONDS (CONTINUED) Signet Credit Card 6.062%, due 05/15/02................................. $ 1,500,000 $ 1,504,065 Standard Credit Card Trust 94-1A 4.650%, due 02/07/97........................... 2,000,000 1,983,360 91-3A 8.875%, due 07/07/98........................... 1,750,000 2,950,255 TCI Communication 6.820%, due 09/15/10................................. 2,100,000 2,134,225 Time Warner Inc. 9.125%, due 01/15/13................................. 1,000,000 1,125,148 Woolworth Corp. 7.000%, due 10/15/02................................. 1,920,000 1,962,797 ------------ 30,292,949 ------------ INTERNATIONAL DOLLAR BONDS -- 3.27% Bangkok Bank Public Co. Ltd. 7.250%, due 09/15/05................................. 2,100,000 2,175,075 Hanson PLC Notes 6.750%, due 09/15/05................................. 1,000,000 1,035,095 Hong Kong Shanghai Perpetual FRN 6.375%, due 07/30/49................................. 1,000,000 775,850 International Bank for Reconstruction & Development 6.375%, due 07/21/05................................. 1,500,000 1,558,665 Republic of Italy 6.875%, due 09/27/23................................. 1,500,000 1,466,250 ------------ 7,010,935 ------------ U.S. GOVERNMENT AGENCIES -- 16.61% Federal Home Loan Mortgage Corp. 7.000%, due 12/15/06................................. 1,695,000 1,736,239 7.000%, due 03/15/07................................. 2,615,000 2,693,816 9.250%, due 07/15/21................................. 2,314,417 2,503,296 7.000%, due 10/15/21................................. 750,000 749,297 7.000%, due 12/15/23................................. 949,443 849,751 Federal Home Loan Mortgage Corp. Gold 9.000%, due 03/01/24................................. 532,516 563,231 Federal National Mortgage Association 8.000%, due 06/01/24................................. 355,229 367,773 8.000%, due 07/01/24................................. 23,026 23,839 8.000%, due 08/01/24................................. 52,078 53,916 6.500%, due 09/01/24................................. 1,875,000 1,852,734 7.000%, due 09/01/24................................. 4,585,000 4,620,823 8.000%, due 11/01/24................................. 25,509 26,410 8.000%, due 03/01/25................................. 208,092 215,440 8.000%, due 04/01/25................................. 916,702 949,073 7.500%, due 05/01/25................................. 1,632,993 1,672,797 8.000%, due 05/01/25................................. 1,985,695 2,055,815 8.000%, due 06/01/25................................. 1,739,010 1,800,419 Federal National Mortgage Association Dwarf 7.500%, due 09/01/09................................. 1,655,000 1,701,547 7.000%, due 12/01/09................................. 5,160,000 5,253,525 Government National Mortgage Association 9.000%, due 12/15/09................................. 1,476,280 1,563,365 11.000%, due 09/15/15................................ 443,192 497,995 9.000%, due 12/15/17................................. 493,677 525,579 7.750%, due 06/16/20................................. 600,000 624,938 7.000%, due 06/15/23................................. 449,193 454,387 7.000%, due 07/15/23................................. 474,793 480,283
FACE AMOUNT VALUE ----------- ------------ 7.000%, due 09/15/23............................... $ 100,375 $ 101,536 9.000%, due 07/15/24............................... 211,455 223,944 8.500%, due 11/15/24............................... 234,174 245,737 8.500%, due 01/15/25............................... 527,633 553,664 9.000%, due 05/15/25............................... 644,922 683,013 ------------ 35,644,182 ------------ U.S. GOVERNMENT OBLIGATIONS -- 17.01% U.S. Treasury Coupon Strips 0.000%, due 11/15/19............................... 1,295,000 293,965 U.S. Treasury Notes and Bonds 6.625%, due 03/31/97............................... 12,215,000 12,424,939 5.300%, due 11/15/98............................... 2,500,000 2,517,968 6.250%, due 08/31/00............................... 4,415,000 4,569,525 7.250%, due 05/15/04............................... 7,235,000 8,048,938 8.125%, due 05/15/21............................... 6,620,000 8,378,437 U.S. Treasury Principal Strips 0.000%, due 05/15/20............................... 1,245,000 275,917 ------------ 36,509,689 ------------ Total U.S. Bonds (Cost $106,199,902)................ 109,457,755 ------------ SHORT-TERM INVESTMENTS -- 15.01% COMMERCIAL PAPER -- 15.01% Baxter International, Inc. 6.050%, due 01/02/96............................... 1,000,000 999,832 Burlington Northern Santa Fe 6.050%, due 01/03/96............................... 3,000,000 2,998,992 6.150%, due 01/31/96............................... 2,500,000 2,487,187 Conagra, Inc. 5.910%, due 01/04/96............................... 2,000,000 1,999,015 6.050%, due 01/11/96............................... 2,000,000 1,996,639 Crown Cork & Seal Co., Inc. 6.060%, due 01/09/96............................... 1,400,000 1,398,115 CSX Corp. 6.000%, due 01/08/96............................... 2,000,000 1,997,666 General American Transportation Corp. 6.200%, due 01/18/96............................... 2,500,000 2,492,681 Nabisco Holdings Corp. 5.850%, due 01/03/96............................... 3,000,000 2,999,025 6.040%, due 01/19/96............................... 2,990,000 2,980,970 P.S. Colorado Credit Corp. 6.030%, due 01/04/96............................... 2,500,000 2,498,744 Texas Utilities Electric Co. 6.300%, due 01/05/96............................... 2,000,000 1,998,600 Trinova Corp. 6.100%, due 01/10/96............................... 2,000,000 1,996,950 6.200%, due 01/10/96............................... 2,562,000 2,558,029 Whitman Corp. 5.950%, due 01/02/96............................... 799,000 798,868 ------------ Total Short-Term Investments (Cost $32,201,313)................................. 32,201,313 ------------ Total Investments (Cost $209,177,671) -- 105.52% (a) ................ 226,425,365 ------------ Liabilities, less cash and other assets --(5.52%) .. (11,852,198) ------------ Net Assets -- 100%.................................. $214,573,167 ============
See accompanying notes to schedule of investments. - -------------------------------------------------------------------------------- 10 U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a)Aggregate cost for federal income tax purposes was $209,177,671; and net unrealized appreciation consisted of: Gross unrealized appreciation............................. $18,141,919 Gross unrealized depreciation............................. (894,225) ----------- Net unrealized appreciation.............................. $17,247,694 ===========
(b)Non-income producing security FRN: Floating Rate Note--The rate disclosed is that in effect at December 31, 1995. MTN: Medium Term Note FUTURES CONTRACTS (NOTE 4) INDEX FUTURES CONTRACTS: The U.S. Balanced Fund had the following open index futures contract as of December 31, 1995:
SETTLEMENT CURRENT UNREALIZED DATE COST VALUE (LOSS) ---------- -------- -------- ---------- INDEX FUTURES BUY CONTRACTS Standard & Poors 500, 2 con- tracts........................ March 1996 $625,300 $618,450 $(6,850) =======
The segregated cash pledged to cover margin requirements for the open position at December 31, 1995 was $30,000. See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 11 U.S. BALANCED FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $209,177,671) (Note 1)............... $226,425,365 Cash............................................................. 200,986 Receivables: Investment securities sold...................................... 804,060 Dividends....................................................... 130,699 Interest........................................................ 1,288,509 Fund shares sold................................................ 17,309 Due from Advisor (Note 2)....................................... 46,935 Deferred organization costs, net of amortization (Note 1)........ 11,240 Other assets..................................................... 46,125 ------------ TOTAL ASSETS.................................................. 228,971,228 ------------ LIABILITIES: Payables: Fund shares redeemed............................................ 3,516 Investment securities purchased................................. 14,185,918 Accrued expenses................................................ 208,627 ------------ TOTAL LIABILITIES............................................. 14,398,061 ------------ NET ASSETS........................................................ 214,573,167 ============ NET ASSETS CONSIST OF: Paid in capital (Note 6)......................................... $196,113,598 Accumulated undistributed net investment income.................. 3,527 Accumulated net realized gain.................................... 1,215,178 Net unrealized appreciation...................................... 17,240,864 ------------ NET ASSETS.................................................... $214,573,167 ============ OFFERING PRICE PER SHARE: Brinson Class: Net asset value, offering price and redemption price per share (Based on net assets of $214,352,075 and 18,619,851 shares is- sued and outstanding) (Note 6)................................. $ 11.51 ============ SwissKey Class: Net asset value, offering price and redemption price per share (Based on net assets of $221,092 and 19,251 shares issued and outstanding) (Note 6).......................................... $ 11.48 ============
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 12 U.S. BALANCED FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME Interest.......................................................... $ 3,742,835 Dividends......................................................... 893,648 ----------- TOTAL INCOME................................................... 4,636,483 ----------- EXPENSES: Advisory (Note 2)................................................. 660,274 Custodian......................................................... 76,000 Professional...................................................... 65,831 Registration...................................................... 62,845 Administration.................................................... 62,280 Amortization of organization costs (Note 1)....................... 1,406 Distribution (Note 5)............................................. 8 Other............................................................. 129,004 ----------- TOTAL EXPENSES................................................. 1,057,648 Expenses deferred by Advisor (Note 2).......................... (303,042) ----------- NET EXPENSES................................................... 754,606 ----------- NET INVESTMENT INCOME ......................................... 3,881,877 ----------- NET REALIZED AND UNREALIZED GAIN: Net realized gain on: Investments...................................................... 4,856,016 Futures contracts................................................ 90,260 ----------- Net realized gain.............................................. 4,946,276 ----------- Change in net unrealized appreciation on: Investments ..................................................... 9,587,848 Futures contracts................................................ (9,406) ----------- Change in net unrealized appreciation.......................... 9,578,442 ----------- Net realized and unrealized gain.................................. 14,524,718 ----------- Net increase in net assets resulting from operations.............. $18,406,595 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 13 U.S. BALANCED FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED DECEMBER 30, 1994* DECEMBER 31, 1995 THROUGH (UNAUDITED) JUNE 30, 1995 ----------------- ------------------ OPERATIONS: Net investment income.................... $ 3,881,877 $ 2,935,679 Net realized gain........................ 4,946,276 6,155,398 Change in net unrealized appreciation.... 9,578,442 7,662,424 ------------ ------------ Net increase in net assets resulting from operations.............................. 18,406,595 16,753,501 ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income: Brinson Class........................... (4,820,091) (1,993,463) SwissKey Class.......................... (477) -- Distributions from net realized gain: Brinson Class........................... (9,885,505) -- SwissKey Class.......................... (992) -- ------------ ------------ Total distributions to shareholders...... (14,707,065) (1,993,463) ------------ ------------ CAPITAL SHARE TRANSACTIONS: Shares sold.............................. 46,157,898 154,231,504 Shares issued on reinvestment of distri- butions................................. 14,703,089 1,991,226 Shares redeemed.......................... (7,711,178) (13,268,940) ------------ ------------ Net increase in net assets resulting from capital share transactions (Note 6)................................ 53,149,809 142,953,790 ------------ ------------ TOTAL INCREASE IN NET ASSETS.......... 56,849,339 157,713,828 ------------ ------------ NET ASSETS: Beginning of period...................... 157,723,828 10,000 ------------ ------------ End of period (including accumulated un- distributed net investment income of $3,527 and $942,216, respectively)...... $214,573,167 $157,723,828 ============ ============
* Commencement of investment operations See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 14 U.S. BALANCED FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
SIX MONTHS ENDED DECEMBER 30, 1994* DECEMBER 31, 1995 THROUGH BRINSON CLASS (UNAUDITED) JUNE 30, 1995 - ------------------------------------------------------------------------------- Net asset value, beginning of period...... $ 11.23 $ 10.00 -------- -------- Income from investment operations: Net investment income................... 0.21 0.23 Net realized and unrealized gain........ 0.92 1.16 -------- -------- Total income from investment opera- tions................................ 1.13 1.39 -------- -------- Less distributions: Distributions from net investment in- come................................... (0.28) (0.16) Distributions from net realized gain.... (0.57) -- -------- -------- Total distributions................... (0.85) (0.16) -------- -------- Net asset value, end of period............ $ 11.51 $ 11.23 ======== ======== Total return (non-annualized)............. 10.16% 13.91% Ratios/Supplemental data Net assets, end of period (in 000s)...... $214,352 $157,724 Ratio of expenses to average net assets: Before expense reimbursement............ 1.12%** 1.06%** After expense reimbursement............. 0.80%** 0.80%** Ratio of net investment income to average net assets: Before expense reimbursement............ 3.81%** 4.36%** After expense reimbursement............. 4.13%** 4.63%** Portfolio turnover rate.................. 130% 196%
*Commencement of investment operations **Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 15 U.S. BALANCED FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
JULY 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $11.38 ------ Income from investment operations: Net investment income....................................... 0.21 Net realized and unrealized gain on investments............. 0.74 ------ Total income from investment operations................... 0.95 ------ Less distributions: Distributions from net investment income.................... (0.28) Distributions from net realized gain........................ (0.57) ------ Total distributions....................................... (0.85) ------ Net asset value, end of period................................ $11.48 ====== Total return (non-annualized)................................. 8.41% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $ 221 Ratio of expenses to average net assets: Before expense reimbursement................................ 1.62%** After expense reimbursement................................. 1.30%** Ratio of net investment income to average net assets: Before expense reimbursement................................ 3.31%** After expense reimbursement................................. 3.63%** Portfolio turnover rate...................................... 130%
*Commencement of SwissKey Class distribution **Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 16 U.S. EQUITY FUND - -------------------------------------------------------------------------------- LOGO The U.S. Equity Fund is an actively managed portfolio of common stocks selected from the total universe of public, domestic issues. For the period February 28, 1994 to December 31, 1995, the Brinson U.S. Equity Fund provided a total return of 19.34% compared to its benchmark, the Wilshire 5000 Index, return of 17.90%. For the year ended December 31, 1995, the Fund returned 40.58%, while the benchmark returned 36.45%. The total return of the U.S. Equity Fund was 17.39% for the second six months of 1995, compared to the 14.46% return for the Wilshire 5000 Index. The major factors affecting excess return so far in 1995 are discussed in the following paragraphs. The strong excess return of the U.S. Equity Fund in 1995 was attributable to a number of favorable industry positions. Industry consolidation was a common theme in many of these positions as strong excess cash flows plus management focus on strengthening market position and cutting costs catalyzed a wave of mergers, acquisitions, and divestitures across corporate America. One of the most favorable of these industry positions was the weighting in defense/aerospace. This group benefited from a number of positive factors in 1995, including a stabilization of the downtrend in defense budget appropriations, strong takeover activity among defense industry participants, and an upturn in commercial aircraft orders. Lockheed Martin, one of the larger portfolio positions, was a notable beneficiary of these trends, particularly as a result of the merger of Martin Marietta and Lockheed earlier in the year. This combination promises to produce a materially stronger, more profitable competitor. Other meaningful holdings in this industry were Boeing, which enjoyed a strong flow of new orders, especially from overseas, and Honeywell, which has a leading market position in avionics for both commercial and defense aircraft. An overweighting in bank stocks also added to results. Continued improvement in credit quality, lower interest rates, strong loan demand and heightened merger activity were all contributors to bank earnings and stock valuations in 1995. Bank holdings included Citicorp, Chase Manhattan, U.S. Bancorp, Comerica, BayBanks, State Street and Magna Group. Insurance was another industry that benefited from a confluence of favorable fundamental factors in 1995, including lower inflation and interest rates as well as reduced claims trends, particularly regarding environmental liabilities. In addition, many insurance company managements took action to refocus their companies on core strengths in recent years by eliminating less profitable lines of business. The U.S. Equity Fund was well represented in the insurance industry last year with important positions in Cigna, Aon, TransAmerica, Aetna, Old Republic, Allstate and USF&G. The consolidation theme was also evident in several other important individual stock contributors to portfolio results. Burlington Northern is particularly noteworthy in this regard, as the combination with Santa Fe Pacific promises to produce very large cost savings and other synergies. In addition, Kimberly Clark was a standout performer following the Scott Paper acquisition announcement, as the combined company promises to be a better positioned, more profitable, global entity. Finally, First Financial Management, a credit card transaction processing company, was acquired by First Data Corp. in a highly complementary merger. ------------------------------------------------------------ 17 U.S. EQUITY FUND - -------------------------------------------------------------------------------- TOTAL RETURN
Annualized 6 months 1 year 2/28/94* ended ended to 12/31/95 12/31/95 12/31/95 - ------------------------------------------------------ BRINSON U.S. EQUITY FUND 17.39% 40.58% 19.34% - ------------------------------------------------------ Wilshire 5000 Index 14.46 36.45 17.90 - ------------------------------------------------------
*Performance inception date of the Brinson U.S. Equity Fund. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000 This chart shows the growth any income taxes payable by in the value of an shareholders on income divi- investment in the Brinson dends and capital gain dis- U.S. Equity Fund and the tributions. Past perfor- Wilshire 5000 Index if you mance is no guarantee of fu- had invested $100,000 on ture results. Share price February 28, 1994, and had and return will vary with reinvested all your income market conditions; investors dividends and capital gain may realize a gain or loss distributions through upon redemption. December 31, 1995. No adjustment has been made for BRINSON U.S. EQUITY FUND VS. WILSHIRE 5000 INDEX Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] 02/28/94 12/31/95 -------- -------- BRINSON U.S. EQUITY FUND $100,000 $138,288 WILSHIRE 5000 INDEX $100,000 $135,235 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. ------------------------------------------------------------ 18 U.S. EQUITY FUND - -------------------------------------------------------------------------------- LOGO INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - ------------------------------------------------------------------------------- U.S. EQUITIES Basic Industries Chemicals.............................................................. 0.76% Housing/Paper.......................................................... 3.18 Metals................................................................. 1.38 ----- 5.32 Capital Investments Capital Goods.......................................................... 8.66 Technology............................................................. 5.42 ----- 14.08 Consumer Autos/Durables......................................................... 1.01 Discretionary.......................................................... 5.19 Health: Drugs.......................................................... 9.23 Health: Non-Drugs...................................................... 2.99 Non-Durables........................................................... 9.64 Retail/Apparel......................................................... 5.97 ----- 34.03
- ------------------------------------------------------------ Energy.................................................................. 5.87% Financial Banks.................................................................. 7.69 Non-Banks.............................................................. 9.43 ------ 17.12 Services................................................................ 7.62 Transportation.......................................................... 4.17 Utilities............................................................... 6.22 Miscellaneous........................................................... 2.21 ------ Total U.S. Equities.................................................. 96.64 ------ SHORT-TERM INVESTMENTS.................................................. 3.31 ------ TOTAL INVESTMENTS.................................................... 99.95 CASH AND OTHER ASSETS, LESS LIABILITIES ...................................................... 0.05 ------ NET ASSETS.............................................................. 100.00% ======= TOP TEN U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
Percent of Net Assets - ----------------------------------------- 1. Citicorp 5.25% 2. Lockheed Martin Corp. 5.10 3. Burlington Northern,Santa Fe 4.14 4. Honeywell, Inc. 3.92 5. Avon Products, Inc. 3.18 6. Schering Plough Corp. 2.95 7. Kimberly-Clark Corp. 2.84 8. AON Corp. 2.84 9. Enron Corp. 2.73 10. Sprint Corp. 2.69 - -----------------------------------------
- --------------- ------------------------------------------------------------ 19 U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ---------- ----------- U.S. EQUITIES -- 96.64% Aetna Life & Casualty Co................................. 26,300 $ 1,821,275 Air & Water Technologies Corp. Class A (b)............... 3,700 22,662 Allergan, Inc............................................ 44,000 1,430,000 Alza Corp. (b)........................................... 35,100 868,725 American Mobile Satellite Corp., Inc. (b)................ 6,400 196,000 Aon Corp................................................. 53,500 2,668,312 AST Research Corp. (b)................................... 5,159 43,851 Automatic Data Processing, Inc........................... 25,200 1,871,100 Avon Products, Inc....................................... 39,700 2,992,387 Bard (C.R.), Inc......................................... 26,600 857,850 Beckman Instruments, Inc................................. 17,200 608,450 Biogen, Inc. (b)......................................... 4,000 246,000 Birmingham Steel Corp.................................... 17,100 254,362 Boeing Co................................................ 15,500 1,214,812 Boston Technology, Inc. (b).............................. 10,500 133,885 Brinker International, Inc. (b).......................... 12,600 190,575 Burlington Northern Santa Fe............................. 49,900 3,892,200 Campbell Soup Co......................................... 13,500 810,000 Centerior Energy Co...................................... 7,300 64,787 CIGNA Corp............................................... 21,200 2,188,900 Citicorp................................................. 73,500 4,942,875 CMS Energy Corp.......................................... 47,000 1,404,125 Coca-Cola Enterprises, Inc............................... 53,600 1,433,800 Comerica, Inc............................................ 11,800 473,475 Computer Sciences Corp. (b).............................. 2,100 147,525 Comverse Technology, Inc. (b)............................ 7,000 140,000 Cooper Cameron Corp. (b)................................. 14,629 519,329 Cooper Industries, Inc................................... 10,076 370,293 Dial Corp................................................ 41,300 1,223,512 Enron Corp............................................... 67,300 2,565,812 Entergy Corp............................................. 47,200 1,380,600 Federated Department Stores (b).......................... 56,900 1,564,750 First Data Corp.......................................... 25,916 1,733,119 Food Lion, Inc. Class A.................................. 69,200 395,734 Ford Motor Co............................................ 44,400 1,287,600 Forest Laboratories, Inc. (b)............................ 29,300 1,325,825 Gannett Co., Inc......................................... 15,700 963,587 Genzyme Corp. (b)........................................ 5,700 355,537 Goodyear Tire & Rubber Co................................ 31,300 1,420,237 Health Care & Retirement Corp. (b)....................... 12,000 420,000 Hillenbrand Industries, Inc.............................. 500 16,937 Honeywell, Inc........................................... 75,900 3,690,637 Illinova Corp. .......................................... 8,800 264,000 Inland Steel Industries, Inc............................. 25,400 638,175 Interpublic Group of Companies, Inc...................... 17,200 746,050 Kimberly-Clark Corp...................................... 32,300 2,672,825 Kroger Co. (b)........................................... 24,900 933,750 Lockheed Martin Corp..................................... 60,800 4,803,200 LTV Corp................................................. 25,200 346,500 Lyondell Petrochemical Co................................ 46,800 1,070,550 Magna Group, Inc......................................... 8,700 206,625 Manor Care, Inc.......................................... 28,000 980,000 Mattel, Inc.............................................. 70,000 2,152,500 Melville Corp............................................ 39,800 1,223,850
SHARES VALUE ---------- ----------- National Semiconductor Corp. (b)........................ 18,300 $ 407,175 Nextel Communications, Inc. Class A (b)................. 56,100 827,475 Octel Communications Corp. (b).......................... 4,700 151,575 Old Republic International Corp......................... 16,600 589,300 Owens Illinois, Inc. (b)................................ 48,900 709,050 Pentair, Inc............................................ 10,100 502,475 Pfizer, Inc............................................. 27,100 1,707,300 Philip Morris Companies, Inc............................ 12,700 1,149,350 Raychem Corp............................................ 14,900 847,438 RJR Nabisco Convertible Preferred "C"................... 139,900 891,862 RJR Nabisco Holdings Corp. (b).......................... 41,840 1,291,810 Schering Plough Corp.................................... 50,700 2,775,825 Schlumberger Ltd........................................ 18,300 1,267,275 Schweitzer-Meuduit International, Inc. (b).............. 3,230 74,693 Seagate Technology, Inc. (b)............................ 17,900 850,250 Sprint Corp............................................. 63,400 2,528,075 State Street Boston Corp................................ 12,600 567,000 Timken Co............................................... 12,000 459,000 Tosco Corp.............................................. 7,600 289,750 Transamerica Corp....................................... 22,100 1,610,537 Ultramar Corp........................................... 18,600 478,950 US Bancorp.............................................. 29,200 981,850 USF&G Corp.............................................. 40,000 675,000 Walgreen Co............................................. 38,100 1,138,237 Westvaco Corp........................................... 11,500 319,125 WMX Technologies, Inc................................... 54,500 1,628,188 ----------- Total U.S. Equities (Cost $77,802,162).................. 90,908,032 ----------- FACE AMOUNT VALUE ---------- ----------- SHORT-TERM INVESTMENTS -- 3.31% COMMERCIAL PAPER -- 3.31% Baxter International, Inc. 6.050%, due 01/02/96................................... $1,000,000 $ 999,832 Crown Cork & Seal Co., Inc. 6.060%, due 01/09/96................................... 700,000 699,057 General American Transportation Corp. 6.200%, due 01/18/96................................... 400,000 398,829 Nabisco Holdings Corp. 5.850%, due 01/03/96................................... 700,000 699,772 Whitman Corp. 5.959%, due 01/02/96................................... 311,000 310,949 ----------- Total Short-Term Investments (Cost $3,108,439)...................................... 3,108,439 ----------- Total Investments (Cost $80,910,601) -- 99.95% (a)....................... 94,016,471 ----------- Cash and other assets, less liabilities -- 0.05%.............................. 50,366 ----------- Net Assets -- 100%...................................... $94,066,837 ===========
See accompanying notes to schedule of investments. - -------------------------------------------------------------------------------- 20 U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $80,910,601; and net unrealized appreciation consisted of: Gross unrealized appreciation............................. $14,060,570 Gross unrealized depreciation............................. (954,700) ----------- Net unrealized appreciation.............................. $13,105,870 ===========
(b) Non-income producing security FUTURES CONTRACTS (NOTE 4) INDEX FUTURES CONTRACTS: The U.S. Equity Fund had the following open index futures contracts as of December 31, 1995:
SETTLEMENT CURRENT UNREALIZED DATE COST/PROCEEDS VALUE (LOSS) ---------- ------------- ---------- ---------- INDEX FUTURES BUY CON- TRACTS Standard & Poor's 500, 10 contracts................ March 1996 $3,129,000 $3,092,250 $(36,750) INDEX FUTURE SELL CONTRACT Standard & Poor's 500, 1 contract.................. March 1996 308,700 309,225 (525) -------- $(37,275) ========
The segregated cash pledged to cover margin requirements for the open positions at December 31, 1995 was $100,000. See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 21 U.S. EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $80,910,601) (Note 1) ............... $94,016,471 Cash............................................................. 291,716 Receivables: Investment securities sold...................................... 376,554 Dividends....................................................... 139,939 Fund shares sold................................................ 1,833 Due from Advisor (Note 2)....................................... 74,339 Deferred organization costs, net of amortization (Note 1)........ 8,586 Other assets..................................................... 48,975 ----------- TOTAL ASSETS.................................................. 94,958,413 ----------- LIABILITIES: Payables: Investment securities purchased................................. 599,616 Fund shares redeemed............................................ 122,463 Accrued expenses................................................ 169,497 ----------- TOTAL LIABILITIES............................................. 891,576 ----------- NET ASSETS........................................................ $94,066,837 =========== NET ASSETS CONSIST OF: Paid in capital (Note 6)......................................... $80,059,249 Accumulated distributions in excess of net investment income..... (4,423) Accumulated net realized gain.................................... 943,416 Net unrealized appreciation...................................... 13,068,595 ----------- NET ASSETS.................................................... $94,066,837 =========== OFFERING PRICE PER SHARE: Brinson Class: Net asset value, offering price and redemption price per share (Based on net assets of $93,927,856 and 7,130,115 shares issued and outstanding) (Note 6)...................................... $ 13.17 =========== SwissKey Class: Net asset value, offering price and redemption price per share (Based on net assets of $138,981 and 10,537 shares issued and outstanding) (Note 6).......................................... $ 13.19 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 22 U.S. EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME: Dividends......................................................... $ 783,884 Interest.......................................................... 98,066 ----------- TOTAL INCOME................................................... 881,950 ----------- EXPENSES: Advisory (Note 2)................................................. 254,154 Custodian......................................................... 52,000 Professional...................................................... 38,786 Registration...................................................... 31,899 Accounting........................................................ 30,818 Amortization of organization costs (Note 1)....................... 1,404 Distribution (Note 5)............................................. 208 Other............................................................. 81,171 ----------- TOTAL EXPENSES................................................. 490,440 Expenses deferred and reimbursed by Advisor (Note 2)........... (199,769) ----------- NET EXPENSES................................................... 290,671 ----------- NET INVESTMENT INCOME.......................................... 591,279 ----------- NET REALIZED AND UNREALIZED GAIN: Net realized gain on: Investments...................................................... 1,902,847 Futures contracts................................................ 319,925 ----------- Net realized gain ............................................. 2,222,772 ----------- Change in net unrealized appreciation or depreciation on: Investments ..................................................... 8,867,673 Futures contracts ............................................... (59,100) ----------- Change in net unrealized appreciation or depreciation.......... 8,808,573 ----------- Net realized and unrealized gain ................................. 11,031,345 ----------- Net increase in net assets resulting from operations.............. $11,622,624 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 23 U.S. EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR DECEMBER 31, 1995 ENDED (UNAUDITED) JUNE 30, 1995 ----------------- ------------- OPERATIONS: Net investment income......................... $ 591,279 $ 440,023 Net realized gain ............................ 2,222,772 552,822 Change in net unrealized appreciation or de- preciation .................................. 8,808,573 4,476,351 ----------- ----------- Net increase in net assets resulting from op- erations..................................... 11,622,624 5,469,196 ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income...... (725,167) (318,699) Distributions in excess of net investment in- come......................................... (4,423) -- Distributions from net realized gain.......... (1,766,825) (47,930) ----------- ----------- Total distributions to shareholders*.......... (2,496,415) (366,629) ----------- ----------- CAPITAL SHARE TRANSACTIONS: Shares sold................................... 41,500,740 30,972,427 Shares issued on reinvestment of distribu- tions........................................ 2,459,602 349,100 Shares redeemed............................... (1,593,175) (2,050,830) ----------- ----------- Net increase in net assets resulting from cap- ital share transactions (Note 6)............. 42,367,167 29,270,697 ----------- ----------- TOTAL INCREASE IN NET ASSETS............... 51,493,376 34,373,264 ----------- ----------- NET ASSETS: Beginning of period........................... 42,573,461 8,200,197 ----------- ----------- End of period (including accumulated undis- tributed net investment income of ($4,423) and $133,889, respectively).................. $94,066,837 $42,573,461 =========== =========== *DISTRIBUTIONS BY CLASS: Distributions from and in excess of net in- vestment income: Brinson Class............................... $ (728,627) $ (318,699) SwissKey Class.............................. (963) -- Distributions from net realized gain: Brinson Class............................... (1,764,214) (47,930) SwissKey Class.............................. (2,611) -- ----------- ----------- $(2,496,415) $ (366,629) =========== ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 24 U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
SIX MONTHS ENDED YEAR FEBRUARY 22, 1994* DECEMBER 31, 1995 ENDED THROUGH BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994 - ------------------------------------------------------------------------------- Net asset value, beginning of period.................. $ 11.53 $ 9.65 $10.00 ------- ------- ------ Income from investment op- erations: Net investment income...... 0.07 0.16 0.05 Net realized and unrealized gain (loss)............... 1.93 1.89 (0.36) ------- ------- ------ Total income (loss) from investment operations.. 2.00 2.05 (0.31) ------- ------- ------ Less distributions: Distributions from and in excess of net investment income.................... (0.11) (0.14) (0.04) Distributions from net re- alized gain............... (0.25) (0.03) -- ------- ------- ------ Total distributions..... (0.36) (0.17) (0.04) ------- ------- ------ Net asset value, end of pe- riod....................... $ 13.17 $ 11.53 $ 9.65 ======= ======= ====== Total return (non- annualized)................ 17.39% 21.45% (3.10%) Ratios/Supplemental data Net assets, end of period (in 000s)................. $93,928 $42,573 $8,200 Ratio of expenses to aver- age net assets: Before expense reimburse- ment..................... 1.35%** 1.70% 5.40% ** After expense reimburse- ment..................... 0.80%** 0.80% 0.80% ** Ratio of net investment in- come to average net as- sets: Before expense reimburse- ment..................... 1.08%** 1.09% (2.82%)** After expense reimburse- ment..................... 1.63%** 1.99% 1.78% ** Portfolio turnover rate.... 17% 33% 9%
*Commencement of investment operations **Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 25 U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
JULY 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $11.94 ------ Income from investment operations: Net investment income....................................... 0.03 Net realized and unrealized gain on investments............. 1.56 ------ Total income from investment operations................... 1.59 ------ Less distributions: Distributions from and in excess of net investment income... (0.09) Distributions from net realized gain........................ (0.25) ------ Total distributions....................................... (0.34) ------ Net asset value, end of period................................ $13.19 ====== Total return (non-annualized)................................. 13.35% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $ 139 Ratio of expenses to average net assets: Before expense reimbursement................................ 1.87%** After expense reimbursement................................. 1.32%** Ratio of net investment income to average net assets: Before expense reimbursement................................ 0.56%** After expense reimbursement................................. 1.11%** Portfolio turnover rate...................................... 17%
*Commencement of Swisskey Class distribution **Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 26 U.S. BOND FUND - -------------------------------------------------------------------------------- LOGO The U.S. Bond Fund is an actively managed portfolio of debt securities selected from a wide range of maturities and market sectors. The Brinson U.S. Bond Fund produced a return of 5.49% since its inception on August 31, 1995 compared to the Salomon Brothers Broad Investment Grade (BIG) Bond Index return of 5.32%. Below is a dicussion of the 1995 U.S. Bond market activity, as well as our outlook for 1996. At the beginning of 1995, the U.S. economy was coming off a period of above trend real economic growth. The most recent changes in Federal Reserve policy were to raise short-term interest rates. Bond markets were priced to reflect the risk of an acceleration of inflation in a potentially overheated economy. These expectations were reinforced when the Federal Reserve increased its target rate on overnight funds from 5.5% to 6.0% at the end of January 1995. The lagged impact of a restrictive monetary policy was reinforced by a less expansive fiscal policy as reported federal deficits declined. This was complemented by events in Mexico and elsewhere that dampened U.S. export demand. A growing political consensus to move toward a federal budget balance met a favorable response in the bond market. Over the course of the year, growth of real economic activity slowed, inflation remained stable, and bond prices shifted from discounting further Fed tightening to expecting Fed ease. Responding to an improved inflation outlook, the Federal Reserve cut its overnight target rates in 25 basis point increments both in July and December. Yields on intermediate-maturity fixed income securities fell by over 250 basis points over the year as the front of the yield curve shifted from a steep positive slope at the beginning of the year to a flat to mildly inverted shape at year-end. Long-term yields fell about 190 basis points. Corporate bonds provided the best sector returns as credit risk premiums generally narrowed. Mortgage backed securities lagged in performance as the large absolute decline in intermediate yields gave homeowners added incentives to refinance outstanding higher coupon mortgages. Our investment strategies early in 1996 involve near neutral duration and yield curve exposures within the U.S. Bond Fund. Intermediate and long-term interest rates are within the range of our estimates of fair value. Short-term rates remain above fair value, and we expect them to decline as Federal Reserve policy shifts produce further reductions in overnight funds rates. Unlike the prior two years, when large interest rate shifts first produced negative returns followed by large positive returns, in 1996 we expect relative stability in U.S. interest rates, which would result in total returns comparable to the current yields available to fixed income investors. ------------------------------------------------------------ 27 U.S. BOND FUND - -------------------------------------------------------------------------------- TOTAL RETURN
8/31/95* to 12/31/95 - --------------------------------------------------------------------- BRINSON U.S. BOND FUND 5.49% - --------------------------------------------------------------------- Salomon Brothers Broad Investment Grade (BIG) Bond Index 5.32% - ---------------------------------------------------------------------
*Inception date of the Brinson U.S. Bond Fund. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000 This chart shows the growth any income taxes payable by in the value of an shareholders on income investment in the Brinson dividends and capitial gain U.S.Bond Fund and the distributions. Past Salomon Brothers Broad performance is no guarantee Investment Grade Bond of future results. Share Index if you had invested price and return will vary $100,000 on August 31, 1995, with market conditions; and had reinvested all your investors may realize a gain income dividends and capital or loss upon redemption. gain distributions through December 31, 1995. No adjustment has been made for BRINSON U.S. BOND FUND VS. SALOMON BROTHERS BIG BOND INDEX Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] 08/31/95 12/31/95 -------- -------- BRINSON U.S. BOND FUND $100,000 $105,493 SALOMON BROTHERS BIG BOND INDEX $100,000 $105,322 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. LOGO ------------------------------------------------------------ 28 U.S. BOND FUND - -------------------------------------------------------------------------------- LOGO INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- U.S. BONDS Corporate Bonds Asset-backed........................................................... 3.78% CMO.................................................................... 2.73 Consumer............................................................... 2.77 Financial.............................................................. 10.88 Floating Rate.......................................................... 2.62 Industrial............................................................. 6.19 Telecommunications..................................................... 2.80 Yankee................................................................. 1.12 ------ Total U.S. Corporate Bonds........................................... 32.89 U.S. Government Agencies................................................ 27.54 U.S. Government Obligations............................................. 28.94 International Dollar Bonds.............................................. 5.08 ------ Total U.S. Bonds..................................................... 94.45 ------ SHORT-TERM INVESTMENTS.................................................. 12.44 ------ TOTAL INVESTMENTS.................................................... 106.89 LIABILITIES, LESS CASH AND OTHER ASSETS.................................................. (6.89) ------ NET ASSETS.............................................................. 100.00% ======
------------------------------------------------------------ - --------------- 29 U.S. BOND FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
FACE AMOUNT VALUE -------- ---------- BONDS -- 94.45% U.S. CORPORATE BONDS 32.89% Capital One Bank 8.625%, due 01/15/97...................................... $250,000 $ 257,353 Citicorp Mortgage Securities 5.750%, due 06/25/09...................................... 84,462 75,898 Countrywide Funding FRN 6.480%, due 12/01/03...................................... 250,000 238,413 Dayton Hudson Credit Card Trust 95-1A 6.100%, due 02/25/02...................................... 100,000 101,605 GMAC MTN 7.450%, due 06/05/97...................................... 250,000 256,280 Green Tree Financial 94-2 8.300%, due 05/15/19...................................... 160,000 176,950 Hanson PLC Notes 6.750%, due 09/15/05...................................... 100,000 103,509 IBM Corp. 7.000%, due 10/30/25...................................... 325,000 334,482 Lehman Brothers Holdings, Inc. MTN 6.650%, due 07/14/98...................................... 250,000 253,535 News America Corp. 7.750%, due 01/20/24...................................... 250,000 259,331 Republic Bank of New York Corp. FRN 6.025%, due 12/29/02...................................... 250,000 242,500 RJR Nabisco, Inc. 8.750%, due 04/15/04...................................... 250,000 256,590 Standard Credit Card Trust 94-1A 4.650%, due 02/07/97...................................... 250,000 247,920 USX Corp. 9.800%, due 07/01/01...................................... 130,000 149,997 8.500%, due 03/01/23...................................... 30,000 87,809 ---------- 3,042,172 ---------- INTERNATIONAL DOLLAR BONDS -- 5.08% Republic of Italy 6.875%, due 09/27/23...................................... 250,000 244,375 Standard Credit Card Trust 91-3 8.875%, due 09/07/99...................................... 210,000 225,292 ---------- 469,667 ---------- U.S. GOVERNMENT AGENCIES -- 27.54% Federal Home Loan Mortgage Corp. 7.000%, due 12/15/06...................................... 220,000 225,353 7.000%, due 10/15/21...................................... 60,000 60,923 7.500%, due 07/15/22...................................... 250,000 262,428 Federal National Mortgage Association 6.500%, due 09/01/24...................................... 220,000 217,388 7.000%, due 09/01/24...................................... 245,000 246,914 7.500%, due 05/01/25...................................... 232,592 238,262 Federal National Mortgage Association Dwarf 7.000%, due 12/01/09...................................... 250,000 254,531 Government National Mortgage Association 9.000%, due 12/15/09...................................... 72,145 76,400 9.000%, due 12/15/17...................................... 214,071 227,904 7.500%, due 12/15/22...................................... 463,088 476,740 8.000%, due 09/15/24...................................... 100,000 104,125 Government National Mortgage Association ARM 5.500%, due 10/20/25.................................................. 156,576 156,623 ---------- 2,547,591 ----------
FACE AMOUNT VALUE -------- ---------- U.S. GOVERNMENT OBLIGATIONS -- 28.94% U.S. Treasury Coupon Strips 0.000%, due 11/15/19...................................... $480,000 $ 108,960 U.S. Treasury Notes and Bonds 6.625%, due 03/31/97...................................... 835,000 849,352 5.500%, due 11/15/98...................................... 350,000 352,515 6.250%, due 08/31/00...................................... 185,000 191,475 7.250%, due 05/15/04...................................... 740,000 823,250 8.125%, due 05/15/21...................................... 250,000 316,406 U.S. Treasury Principal Strips 0.000%, due 05/15/20...................................... 155,000 34,351 ---------- 2,676,309 ---------- Total U.S. Bonds (Cost $8,554,756)......................... 8,735,739 ---------- SHORT-TERM INVESTMENTS -- 12.44% COMMERCIAL PAPER -- 12.44% Baxter International, Inc. 6.050%, due 01/02/96...................................... 451,000 450,924 General American Transportation Corp. 6.200%, due 01/18/96...................................... 200,000 199,415 Whitman Corp. 5.950%, due 01/02/96...................................... 500,000 499,917 ---------- Total Short-Term Investments (Cost $1,150,256)......................................... 1,150,256 ---------- Total Investments (Cost $9,705,012) -- 106.89%.............................. 9,885,995 ---------- Liabilities, less cash and other assets --(6.89%) (a)...... (636,965) ---------- Net Assets -- 100%......................................... $9,249,030 ==========
(a) Aggregate cost for federal income tax purposes was $9,705,012; and net unrealized appreciation consisted of: Gross unrealized appreciation......... $181,935 Gross unrealized depreciation......... (952) -------- Net unrealized appreciation.......... $180,983 ========
FRN: Floating Rate Note -- The rate disclosed is that in effect at December 31, 1995. MTN:Medium Term Note - -------------------------------------------------------------------------------- 30 U.S. BOND FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $9,705,012) (Note 1)................. $ 9,885,995 Cash............................................................. 40,223 Receivables: Investment securities sold...................................... 253,203 Interest........................................................ 117,792 Due from Advisor (Note 2)....................................... 99,086 Deferred organization costs, net of amortization (Note 1)........ 13,004 Other assets..................................................... 15,935 ----------- TOTAL ASSETS.................................................. 10,425,238 ----------- LIABILITIES: Payables: Investment securities purchased................................. 1,071,068 Accrued expenses................................................ 105,140 ----------- TOTAL LIABILITIES............................................. 1,176,208 ----------- NET ASSETS........................................................ $ 9,249,030 =========== NET ASSETS CONSIST OF: Paid in capital (Note 6)......................................... $ 8,985,395 Accumulated distributions in excess of net investment income..... (7,907) Accumulated net realized gain on investments..................... 90,559 Net unrealized appreciation on investments....................... 180,983 ----------- NET ASSETS.................................................... $ 9,249,030 =========== OFFERING PRICE PER SHARE: Brinson Class Net asset value, offering price and redemption price per share (Based on net assets of $9,074,299 and 880,184 shares issued and outstanding) (Note 6)...................................... $ 10.31 =========== SwissKey Class Net asset value, offering price and redemption price per share (Based on net assets of $174,731 and 16,961 shares issued and outstanding) (Note 6).......................................... $ 10.30 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 31 U.S. BOND FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE PERIOD AUGUST 31, 1995* TO DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME: Interest............................................................ $ 190,503 --------- TOTAL INCOME..................................................... 190,503 --------- EXPENSES: Professional........................................................ 28,675 Custodian........................................................... 21,000 Registration........................................................ 17,605 Transfer Agent...................................................... 16,060 Advisory (Note 2)................................................... 14,076 Accounting.......................................................... 13,585 Printing............................................................ 11,358 Amortization of organization costs (Note 1)......................... 932 Distribution (Note 5)............................................... 89 Other expenses...................................................... 6,897 --------- TOTAL EXPENSES................................................... 130,277 Expenses deferred by Advisor (Note 2)............................ (113,298) --------- NET EXPENSES..................................................... 16,979 --------- NET INVESTMENT INCOME ........................................... 173,524 --------- NET REALIZED AND UNREALIZED GAIN: Net realized gain on investments.................................... 113,897 Change in net unrealized appreciation............................... 180,983 --------- Net realized and unrealized gain.................................... 294,880 --------- Net increase in net assets resulting from operations................ $ 468,404 =========
*Commencement of investment operations See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 32 U.S. BOND FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD AUGUST 31, 1995* TO DECEMBER 31, 1995 (UNAUDITED) OPERATIONS: Net investment income............................................. $ 173,524 Net realized gain on investments.................................. 113,897 Change in net unrealized appreciation............................. 180,983 ---------- Net increase in net assets resulting from operations.............. 468,404 ---------- DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income.......................... (173,523) Distributions in excess of net investment income.................. (7,907) Distributions from net realized gain.............................. (23,339) ---------- Total distributions to shareholders*.............................. (204,769) ---------- CAPITAL SHARE TRANSACTIONS: Shares sold....................................................... 8,861,181 Shares issued on reinvestment of distributions.................... 204,769 Shares redeemed................................................... (131,555) ---------- Net increase in net assets resulting from capital share transac- tions (Note 6)................................................... 8,934,395 ---------- TOTAL INCREASE IN NET ASSETS................................... 9,198,030 ---------- NET ASSETS: Beginning of period............................................... 51,000 ---------- End of period (including distributions in excess of net investment income of $7,907)................................................ $9,249,030 ========== *DISTRIBUTION BY CLASS: Distributions from and in excess of net investment income: Brinson Class.................................................... $ (179,446) SwissKey Class................................................... (1,984) Distributions from net realized gain: Brinson Class.................................................... (23,071) SwissKey Class................................................... (268) ---------- $ (204,769) ==========
* Commencement of investment operations See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 33 U.S. BOND FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period.
AUGUST 31, 1995* THROUGH DECEMBER 31, 1995 BRINSON CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $10.00 ------ Income from investment operations: Net investment income....................................... 0.20 Net realized and unrealized gain............................ 0.35 ------ Total income from investment operations................... 0.55 ------ Less distributions: Distributions from and in excess of net investment income... (0.21) Distributions from net realized gain........................ (0.03) ------ Total distributions....................................... (0.24) ------ Net asset value, end of period................................ $10.31 ====== Total return (non-annualized)................................. 5.49% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $9,074 Ratio of expenses to average net assets: Before expense reimbursement................................ 4.69%** After expense reimbursement................................. 0.60%** Ratio of net investment income to average net assets: Before expense reimbursement................................ 2.17%** After expense reimbursement................................. 6.26%** Portfolio turnover rate...................................... 212%
*Commencement of investment operations **Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 34 U.S. BOND FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
AUGUST 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $10.00 ------ Income from investment operations: Net investment income....................................... 0.20 Net realized and unrealized gain............................ 0.33 ------ Total income from investment operations................... 0.53 ------ Less distributions: Distributions from and in excess of net investment income... (0.20) Distributions from net realized gain........................ (0.03) ------ Total distributions....................................... (0.23) ------ Net asset value, end of period................................ $10.30 ====== Total return (non-annualized)................................. 5.29% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $175 Ratio of expenses to average net assets: Before expense reimbursement................................ 5.16%** After expense reimbursement................................. 1.07%** Ratio of net investment income to average net assets: Before expense reimbursement................................ 1.70%** After expense reimbursement................................. 5.79%** Portfolio turnover rate...................................... 212%
*Commencement of investment operations **Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 35 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 ten series: Global Fund, Global Equity Fund, Global Bond Fund, Short-Term Global Income Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Bond Fund, U.S. Cash Management Fund, Non-U.S. Equity Fund and Non-U.S. Bond Fund. Each Fund has outstanding two classes of shares, Brinson class and SwissKey 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 following is a summary of significant accounting policies consistently followed by the U.S. Balanced Fund, U.S. Equity Fund and the U.S. Bond Fund (each a "Fund," collectively 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. 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. Fixed income/debt securities are valued using market quotations or independent services that use prices provided by market makers or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics. Short- term obligations with a maturity of 60 days or less are valued at amortized cost, which approximates market value. B.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. C.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. D.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 have met the requirements of the Code applicable to regulated investment companies for the period ended December 31, 1995, therefore, no federal income tax provision was required. E.ORGANIZATION COSTS: Organization costs are being amortized on a straight-line basis over five years from each Fund's respective commencement of operations. F.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Funds to distribute their respective net investment income on a semi-annual basis and 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. Differences in dividends per share between the classes are due to different class expenses. Amounts equal to 7.21% and 68.68% of the amount taxable as ordinary income qualify for the dividends received deduction available to corporate shareholders for the Brinson U.S. Balanced Fund and the Brinson U.S. Equity Fund, respectively. G.INCOME AND EXPENSE ALLOCATIONS: All income earned and expenses incurred by the Fund will be borne on a prorata basis by each of the classes except that the Brinson class will not incur any of the 12b-1 expenses. - -------------------------------------------------------------------------------- 36 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- 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 the Fund's respective average daily net assets. The Advisor has agreed to waive its fees and reimburse each Fund to the extent total annualized expenses exceed a specified percentage of each Fund's respective average daily net assets. Investment advisory fees and other transactions with affiliates for the period ended December 31, 1995, were as follows:
BRINSON SWISSKEY CLASS CLASS ADVISORY EXPENSE EXPENSE ADVISORY FEES DEFERRED DUE FROM FEE CAP CAP FEES AND/OR REIMBURSED ADVISOR -------- ------- -------- -------- ----------------- -------- U.S. Balanced Fund...... 0.70% 0.80% 1.30% $660,274 $303,042 $46,935 U.S. Equity Fund........ 0.70 0.80 1.32 254,154 199,769 74,339 U.S. Bond Fund.......... 0.50 0.60 1.07 14,076 113,298 99,086
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 were $3,623, $2,451 and $3,942 for the U.S. Balanced Fund, U.S. Equity Fund, and U.S. Bond Fund, respectively. 3.INVESTMENT TRANSACTIONS Investment transactions for the period ended December 31, 1995, excluding short-term investments, were as follows:
PROCEEDS PURCHASES FROM SALES ------------ ------------ U.S. Balanced Fund.................................... $255,669,041 $220,420,733 U.S. Equity Fund...................................... 51,092,420 11,182,406 U.S. Bond Fund........................................ 26,005,847 17,524,350
4.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 and 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 in an amount (initial margin) based on the number of open contracts. 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 realized and unrealized gains and losses on these contracts. Futures contracts are valued at the settlement price established each day on the exchange on which they are traded. 5.DISTRIBUTION PLAN The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940 (the "Act"). The Plan governs payments made for the expenses incurred in the promotion and distribution of the SwissKey Class of shares. Annual fees under the Plan of 0.50%, 0.52% and 0.47% of the average daily net assets of the SwissKey Class of the U.S. Balanced Fund, U.S. Equity Fund and U.S. Bond Fund, respectively, are accrued daily. - -------------------------------------------------------------------------------- 37 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- 6.CAPITAL TRANSACTIONS Capital stock transactions were as follows:
U.S. BALANCED FUND --------------------------------------------- SIX MONTHS ENDED DECEMBER 31, 1995 PERIOD ENDED (UNAUDITED) JUNE 30, 1995 --------------------- ----------------------- SHARES VALUE SHARES VALUE --------- ----------- ---------- ------------ Sales: Brinson Class................... 3,945,476 $45,936,887 15,121,050 $154,231,504 SwissKey Class.................. 19,216 221,011 -- -- --------- ----------- ---------- ------------ Total Sales....................... 3,964,692 $46,157,898 15,121,050 $154,231,504 ========= =========== ========== ============ Dividend Reinvestment: Brinson Class................... 1,291,889 $14,701,695 178,265 $ 1,991,226 SwissKey Class.................. 123 1,394 -- -- --------- ----------- ---------- ------------ Total Dividend Reinvestment....... 1,292,012 $14,703,089 178,265 $ 1,991,226 ========= =========== ========== ============ Redemptions: Brinson Class................... 657,649 $ 7,710,180 1,260,181 $ 13,268,940 SwissKey Class.................. 88 998 -- -- --------- ----------- ---------- ------------ Total Redemptions................. 657,737 $ 7,711,178 1,260,181 $ 13,268,940 ========= =========== ========== ============ U.S. EQUITY FUND --------------------------------------------- SIX MONTHS ENDED DECEMBER 31, 1995 PERIOD ENDED (UNAUDITED) JUNE 30, 1995 --------------------- ----------------------- SHARES VALUE SHARES VALUE --------- ----------- ---------- ------------ Sales: Brinson Class................... 3,374,176 $41,373,607 3,011,049 $ 30,972,427 SwissKey Class.................. 10,353 127,133 -- -- --------- ----------- ---------- ------------ Total Sales....................... 3,384,529 $41,500,740 3,011,049 $ 30,972,427 ========= =========== ========== ============ Dividend Reinvestment: Brinson Class................... 189,516 $ 2,456,129 33,507 $ 349,100 SwissKey Class.................. 268 3,473 -- -- --------- ----------- ---------- ------------ Total Dividend Reinvestment....... 189,784 $ 2,459,602 33,507 $ 349,100 ========= =========== ========== ============ Redemptions: Brinson Class................... 125,891 $ 1,592,171 202,160 $ 2,050,830 SwissKey Class.................. 84 1,004 -- -- --------- ----------- ---------- ------------ Total Redemptions................. 125,975 $ 1,593,175 202,160 $ 2,050,830 ========= =========== ========== ============ U.S. BOND FUND --------------------- PERIOD ENDED DECEMBER 31, 1995 (UNAUDITED) --------------------- SHARES VALUE --------- ----------- Sales: Brinson Class................... 867,973 $ 8,691,149 SwissKey Class.................. 16,640 170,032 --------- ----------- Total Sales....................... 884,613 $ 8,861,181 ========= =========== Dividend Reinvestment: Brinson Class................... 19,835 $ 202,518 SwissKey Class.................. 221 2,251 --------- ----------- Total Dividend Reinvestment....... 20,056 $ 204,769 ========= =========== Redemptions: Brinson Class................... 12,624 $ 131,555 SwissKey Class.................. -- -- --------- ----------- Total Redemptions................. 12,624 $ 131,555 ========= ===========
- -------------------------------------------------------------------------------- 38 DISTRIBUTED BY: FUND/PLAN BROKER SERVICES, INC. 2 W. ELM STREET CONSHOHOCKEN, PA 19428 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 Funds' objectives, policies, expenses and other information. - -------------------------------------------------------------------------------- THE BRINSON FUNDS - -------------------------------------------------------------------------------- 209 South LaSalle Street . Chicago, Illinois 60604-1295 . Tel: (800) 448-2430 ----------------------------- THE BRINSON FUNDS BRINSON GLOBAL FUND BRINSON GLOBAL EQUITY FUND BRINSON GLOBAL BOND FUND SEMI-ANNUAL REPORT DECEMBER 31, 1995 GLOBAL INSTITUTIONAL ASSET MANAGEMENT ----------------------------- CHICAGO.BASEL.LONDON.MELBOURNE.NEW YORK.PARIS.SINGAPORE.SYDNEY.TOKYO TRUSTEES AND OFFICERS - -------------------------------------------------------------------------------- LOGO TRUSTEES Walter E. Auch Frank K. Reilly, CFA Edward M. Roob OFFICERS Frank K. Reilly, CFA Carolyn M. Burke, CPA Chairman of the Board Assistant Secretary E. Thomas McFarlan Catherine E. Macrae President and Treasurer Assistant Secretary Thomas J. Digenan, CPA Debra L. Nichols Assistant Treasurer Assistant Secretary Bruce G. Leto Secretary ------------------------------------------------------------ 1 THE FUNDS' ADVISOR -- BRINSON PARTNERS, INC. - -------------------------------------------------------------------------------- LOGO Brinson Partners, Inc. is an institutional investment management firm structured around teams of investment specialists covering major world asset classes. We specialize in managing multiple asset portfolios that provide clients with the opportunity to participate in all major world asset classes. It is important that investment decisions, whether they pertain to a global portfolio or a single asset class portfolio, be made within the context of a global capital market perspective. Our coordinated application of investment strategies distinguishes Brinson Partners, Inc. as a leader in global investment management of institutional assets. We firmly believe that asset allocation is portfolio management at its highest and most important level. Performance is maximized through a comprehensive understanding of global investment markets and their interrelationships. Portfolio structure is tailored to specific client objectives and focused upon both risk and return considerations in the context of full long-term investment cycles. At Brinson Partners, Inc. our investment decisions are based on fundamental research, internally developed valuation systems and seasoned judgment. Our independent team approach allows for rapid responses to market changes, while providing each client with the benefit of our best talent and the flexibility to customize portfolios to meet unique requirements. ------------------------------------------------------------ 2 TABLE OF CONTENTS - -------------------------------------------------------------------------------- LOGO Shareholder Letter.............................................................4 Global Economic and Market Highlights..........................................5 Global Fund....................................................................6 Schedule of Investments.....................................................10 Financial Statements........................................................17 Financial Highlights........................................................20 Global Equity Fund............................................................22 Schedule of Investments.....................................................26 Financial Statements........................................................31 Financial Highlights........................................................34 Global Bond Fund..............................................................36 Schedule of Investments.....................................................39 Financial Statements........................................................42 Financial Highlights........................................................45 The Brinson Funds--Notes to Financial Statements..............................47 ------------------------------------------------------------ 3 SHAREHOLDER LETTER - -------------------------------------------------------------------------------- LOGO February 22, 1996 Dear Shareholder: We appreciate the confidence you have placed in us and are pleased to present you with the December 31, 1995 Semi-Annual Report for the Global Fund, Global Equity Fund and Global Bond Fund. This Report presents our current global economic and market outlook, as well as the Funds' recent investment strategies and performance. To summarize this information: Global Fund The Brinson Global Fund paid a dividend of $0.802 per share on December 29, 1995 to shareholders of record on December 20, 1995. For the period from August 31, 1992 (performance inception date) to December 31, 1995, the Fund provided an annualized total return of 10.58%. In 1995, the Fund returned 24.14%. The Fund returned 11.29% in the second half of the year. Fund strategy presently continues to underweight equities, as equity prices generally continue to exceed values. These underweights are offset by overweights in the relatively attractive bond markets, primarily the U.S., Canada and DM-bloc countries. Global Equity Fund The Brinson Global Equity Fund paid a dividend of $0.723 per share on December 29, 1995 to shareholders of record on December 20, 1995. For the period from January 31, 1994 (performance inception date) to December 31, 1995, the Fund provided an annualized total return of 8.37%. In 1995, the Fund returned 21.93%. The Fund returned 15.39% in the second half of the year. The Fund continues to hold a 10% cash hedge, reflecting the overvaluation in many equity markets. The greatest underweight is in the U.S. market, where price exceeds fundamental value by about 20%. Although the Japanese market remains overpriced, its underweight is smaller, as the downward adjustment of the yen should benefit the equity market. Global Bond Fund The Brinson Global Bond Fund paid a dividend of $1.335 per share on December 29, 1995 to shareholders of record on December 20, 1995. For the period from July 31, 1993 (performance inception date) to December 31, 1995, the Fund provided an annualized total return of 8.05%. In 1995, the Fund returned 20.32%. The Fund returned 9.19% in the second half of the year. The attractive European bond markets, primarily Denmark, France, Germany and the Netherlands, are the primary overweights in the Fund. In the U.S. market, the yield curve is very close to our equilibrium level, leading to a modest underweight. The below-equilibrium yields cause the Fund's largest underweight to be the Japanese bond market. Funds' Currency Strategy The currency strategy continues to focus on reducing the risk of exposure to the yen and DM-bloc currencies. Even after their declines from the peaks reached last April, the levels of these currencies are still above fair value. We look forward to the challenges ahead and, as always, welcome your comments and suggestions. Sincerely, /s/ Gary P. Brinson Gary P. Brinson, CFA President and Chief Investment Officer Brinson Partners, Inc. ------------------------------------------------------------ 4 GLOBAL ECONOMIC AND MARKET HIGHLIGHTS - -------------------------------------------------------------------------------- LOGO Relative to the U.S. dollar, the yen and deutschemark have weakened from the highs reached earlier this year. These currencies are, however, still above equilibrium values. Currency strength has dampened economic activity in Germany, and has contributed to the suspension of growth and to price deflation in Japan. With continued modest growth in most countries, unemployment has tended to decline, albeit slowly. The exception is Japan, where the reported unemployment rate hit new highs and is expected to continue upward. As businesses attempt to cut costs, in part by shifting production overseas, the demand for labor has weakened substantially. The unemployment rate, if calculated by other countries' standards, would be several times higher than reported. Inflation in most developed countries remains under control, owing both to increased central bank vigilance and to a lack of major cost shocks. Inflation has risen in Italy recently and has stayed higher in Spain than elsewhere. Both these countries have demonstrated less than responsible fiscal policy and poor monetary discipline. GLOBAL ENVIRONMENT
6 months 1 year 3 years Annualized MAJOR MARKETS ended ended ended 8/31/92* Total Return in U.S. Dollars 12/31/95 12/31/95 12/31/95 to 12/31/95 - ----------------------------------------------------------------------------- U.S. Equity 14.46% 36.45% 14.92% 16.16% Non-U.S. Equities (currency unhedged) 8.39 11.73 16.67 12.87 Non-U.S. Equities (currency hedged) 19.10 12.23 11.80 11.84 U.S. Bonds 6.32 18.55 8.18 7.80 Non-U.S. Bonds (currency unhedged) -0.40 19.55 13.40 10.04 Non-U.S. Bonds (currency hedged) 7.69 17.94 8.68 9.18 U.S. Cash Equivalents 2.75 5.57 4.12 4.00 - ----------------------------------------------------------------------------- MAJOR CURRENCIES 6 months 1 year 3 years Annualized Percent Change Relative to U.S. ended ended ended 8/31/92* Dollars 12/31/95 12/31/95 12/31/95 to 12/31/95 - ----------------------------------------------------------------------------- Yen -17.70% -3.28% 6.57% 5.48% Pound -2.41 -0.76 0.84 -7.06 Deutschemark -3.30 8.29 4.20 -0.51 Canadian Dollar 0.73 -1.48 -2.31 -3.85 - -----------------------------------------------------------------------------
*Inception date of the Brinson Global Fund ------------------------------------------------------------ 5 GLOBAL FUND - -------------------------------------------------------------------------------- LOGO The Global Fund is an actively managed, diversified mutual fund that provides integrated asset management across and within securities markets. The investment process is strategic in nature and is driven by deviations of market price from fundamental value. This philosophy offers the greatest potential for achieving superior long-term returns, while maintaining control of risk. The Brinson Global Fund has provided an annualized return of 10.58% since its inception on August 31, 1992. This compares with the corresponding 12.95% return of its benchmark, the Brinson Global Fund Index. Fund performance over this period was achieved with an annualized volatility of 4.61%, well below the benchmark volatility of 6.08%. In 1995, the Fund returned 24.14%, while the benchmark returned 25.42%. For the second half of 1995, the Global Fund returned 11.29% compared to the 9.98% return of the benchmark. Positive contributors to relative performance included security selection within the U.S. equity component, hedging currency risk, and underweighting non-U.S. equities. Negative contributors included an underweight in U.S. equities and overweights in bond markets. Currency market volatility during the year carried the yen and core European currencies to extreme highs against the dollar in the first four months of 1995. By the end of the year, however, the dollar showed net appreciation against the yen and reversed its slide against the deutschemark. Because of the very low short-term interest rates in Japan, hedging yen risk provided a substantial interest rate differential. The strong yen prompted the Bank of Japan to cut short rates to historic lows. In the U.S., the Fed began to partially reverse the hikes made in 1994. European central banks eased in the face of slowing growth and overvalued currencies. The result was falling yield curves and very good performance in bond markets. As the U.S. equity and bond markets rallied, the non-U.S. markets became relatively more attractive and additional weight was allocated. The Japanese bond and equity valuations remained relatively unattractive. But because of the policy initiatives by the Japanese government and central bank to restart the economy and provide liquidity, the Japanese equity underweight was reduced. Asset allocation strategy continues to underweight equity markets, as prices remain in excess of fundamental value, and to overweight bonds. In most bond markets outside Japan, yields exceed equilibrium levels, offering attractive relative value. The Fund continues to hold no cash. Currency strategy is focused on controlling exposure to the overvalued core European currencies and the yen, with a primary overweight in the U.S. dollar. ------------------------------------------------------------ 6 GLOBAL FUND - -------------------------------------------------------------------------------- LOGO TOTAL RETURN
6 months 1 year 3 years Annualized ended ended ended 8/31/92* 12/31/95 12/31/95 12/31/95 to 12/31/95 - ---------------------------------------------------------------------------- BRINSON GLOBAL FUND 11.29% 24.14% 10.62% 10.58% Brinson Global Fund Index (currency unhedged)** 9.98 25.42 13.34 12.95 Brinson Global Fund Index (currency hedged)** 12.43 25.34 12.10 12.66 - ----------------------------------------------------------------------------
*Inception date of the Brinson Global Fund. **An un-managed index compiled by the Advisor, constructed as follows since December 31, 1981: 50% Wilshire 5000 Index; 17% MSCI Non-U.S. Equity (Free) Index; 18% Salomon BIG Bond Index; 2% International Dollar Bond Index; 8% Salomon Non-U.S. Gov't. Bond Index (unhedged); and 5% 30-day Treasury Bills. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000 This chart shows the growth in the value of an investment in the Brinson Global Fund and the Brinson Global Fund Index (currency unhedged and hedged) if you had invested $100,000 on August 31, 1992, and had reinvested all your income dividends and capital gain distributions through December 31, 1995. 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 VS. BRINSON GLOBAL FUND INDEX (CURRENCY UNHEDGED AND HEDGED) Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] - ------------------------------------------------------------------ 8/31/92 12/31/95 ------- -------- Brinson Global Fund $100,000 $139,824 Brinson Global Fund Index (currency unhedged) $100,000 $150,088 Brinson Global Fund Index (currency hedged) $100,000 $148,772 8/31/92 = $100,000 Data through 12/31/95 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. ------------------------------------------------------------ 7 GLOBAL FUND - -------------------------------------------------------------------------------- LOGO ASSET ALLOCATION As of December 31, 1995 (Unaudited)
Current Benchmark Strategy - ----------------------------------------------------------------------------------------------- U.S. EQUITY 50.0% 28.0% Large Cap. Stocks 35.0 19.0 Small/Int. Cap. 15.0 9.0 NON-U.S. EQUITIES 17.0 17.0 Japan Equity 6.7 5.9 Other Equities 10.3 11.1 DOLLAR BONDS 20.0 29.5 U.S. Bonds 18.0 27.5 International $ Bonds 2.0 2.0 NON-U.S. BONDS 8.0 25.5 Japan Bonds 2.4 0.4 Other Bonds 5.6 25.1 CASH EQUIVALENTS 5.0 0.0 - ----------------------------------------------------------------------------------------------- 100.0% 100.0%
TOP TEN U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
Percent of Net Assets - ------------------------------------------------------------------------------ 1. Citicorp 1.51% 2. Lockheed Martin Corp. 1.47 3. Burlington Northern, Santa Fe 1.18 4. Honeywell, Inc. 1.13 5. Avon Products, Inc. 0.90 6. Schering Plough Corp. 0.85 7. Kimberly-Clark Corp. 0.82 8. AON Corp. 0.82 9. Enron Corp. 0.79 10. Sprint Corp. 0.77 - ------------------------------------------------------------------------------
CURRENCY ALLOCATION As of December 31, 1995 (Unaudited)
Current Benchmark Strategy - -------------------------------------- U.S. 75.0% 82.9% Japan 9.1 0.0 U.K. 3.4 3.4 Continental Europe 9.7 5.1 Canada 1.0 6.0 Other 1.8 2.6 - -------------------------------------- 100.0% 100.0%
TOP TEN NON-U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
Percent of Net Assets - ------------------------------------------------------------------------------ 1. Royal Dutch Petroleum 0.35% 2. Lloyds TSB Group 0.26 3. General Electric, PLC 0.24 4. British Telecommunications 0.20 5. Broken Hill Proprietary 0.19 6. Grand Metropolitan 0.19 7. British Petroleum 0.18 8. International Nederlander Group NV 0.18 9. Peugeot S.A. 0.16 10. British Gas 0.15 - ------------------------------------------------------------------------------
------------------------------------------------------------ 8 GLOBAL FUND - -------------------------------------------------------------------------------- LOGO INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- U.S. EQUITIES Basic Industries Chemicals............................................................... 0.22% Housing/Paper........................................................... 0.93 Metals.................................................................. 0.40 ----- 1.55 Capital Investment Capital Goods........................................................... 2.53 Technology.............................................................. 1.59 ----- 4.12 Consumer Autos/Durables.......................................................... 0.29 Discretionary........................................................... 1.52 Health: Drugs........................................................... 2.70 Health: Non-Drugs....................................................... 0.87 Non-Durables............................................................ 2.82 Retail/Apparel.......................................................... 1.75 ----- 9.95 Energy................................................................... 1.72 Financial Banks................................................................... 2.25 Non-Banks............................................................... 2.76 ----- 5.01 Services................................................................. 2.23 Transportation........................................................... 1.22 Utilities................................................................ 1.82 Miscellaneous............................................................ 0.67 ----- Total U.S. Equities................................................... 28.29 ----- NON-U.S. EQUITIES Aerospace & Military..................................................... 0.08 Airlines................................................................. 0.01 Appliances & Household Durables.......................................... 0.27 Automobiles.............................................................. 0.41 Banking.................................................................. 2.20 Beverages & Tobacco...................................................... 0.43 Broadcasting & Publishing................................................ 0.23 Building Materials....................................................... 0.05 Business & Public Service................................................ 0.42 Chemicals................................................................ 0.49 Construction............................................................. 0.25 Data Processing.......................................................... 0.03 Electric Components...................................................... 0.10 Electronics.............................................................. 0.57 Energy................................................................... 1.42 Financial Services....................................................... 0.07 - --------------------------------------------------------------------------------
Food & House Products................................................... 0.50% Forest Products......................................................... 0.27 Goldmines............................................................... 0.03 Health & Personal Care.................................................. 0.52 Industrial Components................................................... 0.26 Insurance............................................................... 0.93 Leisure & Tourism....................................................... 0.07 Machinery & Engineering................................................. 0.13 Merchandising........................................................... 0.81 Miscellaneous Materials................................................. 0.16 Multi-Industry.......................................................... 0.96 Non-Ferrous Metals...................................................... 0.15 Real Estate............................................................. 0.06 Recreation.............................................................. 0.13 Shipping................................................................ 0.04 Steel................................................................... 0.14 Telecommunications...................................................... 0.60 Transportation.......................................................... 0.10 Utilities............................................................... 0.72 ------ Total Non-U.S. Equities.............................................. 13.61* ------ U.S. BONDS Corporate Bonds Asset-backed........................................................... 3.32 CMO.................................................................... 0.25 Consumer............................................................... 0.73 Financial.............................................................. 1.00 Floating rate.......................................................... 0.23 Industrial............................................................. 0.97 Supernational.......................................................... 0.04 Telecommunications..................................................... 1.52 Yankee................................................................. 0.23 ------ 8.29 U.S. Government Agencies................................................ 8.04 U.S. Government Obligations............................................. 8.65 International Dollar Bonds.............................................. 2.18 Municipal Bonds......................................................... 0.04 ------ Total U.S. Bonds..................................................... 27.20 ------ NON-U.S. BONDS Foreign Government Bonds................................................ 24.07 ------ SHORT-TERM INVESTMENTS.................................................. 6.84* ------ TOTAL INVESTMENTS.................................................... 100.01 LIABILITIES LESS CASH AND OTHER ASSETS.................................. (0.01) ------ NET ASSETS........................................................... 100.00% ======
LOGO * The Fund held a long position in Topix futures on December 31, 1995 which increased Japanese equity exposure from 2.87% to 5.91% and decreased the Fund's exposure to Short-Term Investments from 6.84% to 3.80%. - -------------------------------------------------------------------------------- 9 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------- ------------ Equities -- 41.90% U.S. EQUITIES -- 28.29% Aetna Life & Casualty Co............................. 34,900 $ 2,416,825 Air & Water Technologies Corp. Class A (b)......................................... 22,400 137,200 Allergan, Inc........................................ 58,300 1,894,750 Alza Corp. (b)....................................... 46,200 1,143,450 American Mobile Satellite Corp., Inc. (b)............ 8,500 260,313 Aon Corp............................................. 70,900 3,536,138 AST Research Corp. (b)............................... 13,740 116,790 Automatic Data Processing, Inc....................... 33,300 2,472,525 Avon Products, Inc................................... 51,500 3,881,812 Bard (C.R.), Inc..................................... 35,200 1,135,200 Beckman Instruments, Inc............................. 22,700 803,012 Biogen, Inc. (b)..................................... 5,200 319,800 Birmingham Steel Corp................................ 23,000 342,125 Boeing Co. .......................................... 20,600 1,64,525 Boston Technology, Inc. (b).......................... 14,000 178,500 Brinker International, Inc. (b)...................... 16,500 249,563 Burlington Northern Santa Fe......................... 65,500 5,109,000 Campbell Soup Co..................................... 18,000 1,080,000 Centerior Energy Co.................................. 9,900 87,863 CIGNA Corp........................................... 28,200 2,911,650 Citicorp............................................. 97,300 6,543,425 CMS Energy Corp...................................... 62,300 1,861,213 Coca-Cola Enterprises, Inc........................... 73,400 1,963,450 Comerica, Inc........................................ 15,700 629,963 Computer Sciences Corp. (b).......................... 3,000 210,750 Converse Technology, Inc. (b)........................ 9,100 182,000 Cooper Cameron Corp. (b)............................. 19,283 684,546 Cooper Industries, Inc............................... 22,352 821,436 Dial Corp............................................ 54,700 1,620,487 Enron Corp........................................... 89,400 3,408,375 Entergy Corp......................................... 62,700 1,833,975 Federated Department Stores (b)...................... 72,800 2,002,000 First Data Corp...................................... 34,490 2,306,505 Food Lion, Inc. Class A.............................. 92,300 527,836 Ford Motor Co........................................ 57,900 1,679,100 Forest Laboratories, Inc. (b)........................ 38,600 1,746,650 Gannett Co., Inc..................................... 20,700 1,270,463 Genzyme Corp. (b).................................... 7,400 461,575 Goodyear Tire and Rubber Co.......................... 41,300 1,873,988 Grand Metro.......................................... 60,000 1,755,000 Health Care and Retirement Corp. (b)................. 16,600 581,000 Hillenbrand Industries, Inc.......................... 1,200 40,650 Honeywell, Inc....................................... 100,800 4,901,400 Illinova Corp........................................ 12,100 363,000 Inland Steel Industries, Inc......................... 33,900 851,737 Interpublic Group of Companies, Inc.................. 22,900 993,287 Kimberly-Clark Corp.................................. 42,900 3,549,975 Kroger Co. (b)....................................... 33,100 1,241,250 Lockheed Martin Corp................................. 80,600 6,367,400 LTV Corp............................................. 33,100 455,125 Lyondell Petrochemical Co............................ 62,400 1,427,400 Magna Group, Inc..................................... 11,400 270,750 Manor Care, Inc...................................... 37,250 1,303,750 Mattel, Inc.......................................... 90,800 $ 2,792,100 Melville Corp........................................ 52,700 1,620,525 National Semiconductor Corp. (b)..................... 24,500 545,125 Nextel Communications, Inc. Class A (b).............. 50,100 738,975 Octel Communications Corp. (b)....................... 6,300 203,175 Old Republic International Corp...................... 22,100 784,550 Owens Illinois, Inc. (b)............................. 64,600 936,700 Pentair, Inc......................................... 13,300 661,675 Pfizer, Inc.......................................... 34,300 2,160,900 Philip Morris Companies, Inc......................... 16,800 1,520,400 Raychem Corp......................................... 19,800 1,126,125 RJR Nabisco Convertible Preferred "C" 184,500 1,176,187 RJR Nabisco Holdings Corp. (b)....................... 55,140 1,702,448 Schering Plough Corp................................. 67,100 3,673,725 Schlumberger Ltd..................................... 24,200 1,675,850 Schweitzer-Masuduit Intl., Inc. (b).................. 4,290 99,206 Seagate Technology (b)............................... 23,800 1,130,500 Sprint Corp.......................................... 83,800 3,341,525 State Street Boston Corp............................. 16,800 756,000 Timken Co............................................ 15,900 608,175 Tosco Corp........................................... 10,200 388,875 Transamerica Corp.................................... 29,500 2,149,813 Ultramar Corp........................................ 24,900 641,175 US Bancorp........................................... 38,800 1,304,650 USF&G Corp........................................... 55,700 939,937 Walgreen Co.......................................... 50,200 1,499,725 Westvaco Corp........................................ 15,950 442,612 WMX Technologies, Inc................................ 72,100 2,153,987 ------------ Total U.S. Equities.................................. 122,195,142 ------------ NON-U.S. EQUITIES -- 13.61% AUSTRALIA -- 0.72% Amcor Ltd............................................ 29,400 207,766 ANZ Banking Group.................................... 33,753 158,433 Broken Hill Proprietary.............................. 57,180 808,168 CRA Ltd.............................................. 20,600 302,495 David Jones Ltd. (b)................................. 74,000 112,847 Lend Lease Corp. Ltd................................. 17,623 255,634 National Australia Bank.............................. 36,947 332,559 News Corp............................................ 36,100 192,813 Pacific Dunlop Ltd................................... 47,600 111,538 Qantas Airways Ltd................................... 18,400 30,659 Santos Ltd........................................... 49,600 145,003 Western Mining Corp.................................. 19,100 122,758 Westpac Banking Corp. Ltd............................ 70,138 310,959 ------------ 3,091,632 ------------ BELGIUM -- 0.47% Dellanizo-Le Lion, S.A............................... 2,100 87,051 Electrabel........................................... 1,860 442,392 Fortis AG............................................ 1,707 207,641 Groupe Bruxelles Lambert............................. 900 124,920 Kredietbank.......................................... 1,070 292,669 Petrofina............................................ 855 261,750
- -------------------------------------------------------------------------------- 10 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------- ------------ BELGIUM (CONTINUED) Petrofina S.A. Warrants "97" (b)..................... 13 $ 173 Societe Gen De Belgique.............................. 1,553 128,489 Solvay............................................... 360 194,489 Tractebel............................................ 575 237,378 Union Mineire (b).................................... 920 61,582 ------------ 2,038,534 ------------ CANADA -- 0.67% Alcan Aluminum Ltd................................... 7,600 236,142 Bank of Montreal..................................... 16,700 379,601 Barrick Gold Corp.................................... 5,700 150,462 Canadian Pacific Ltd................................. 19,900 362,966 Imperial Oil Canada Ltd.............................. 7,800 282,391 Moore Corp. Ltd...................................... 3,900 73,279 Noranda Inc.......................................... 7,700 158,793 Norcen Energy........................................ 5,800 87,183 Northern Telecom Ltd................................. 3,400 145,531 Nova Corporation of Alberta.......................... 10,400 83,883 Royal Bank of Canada................................. 13,600 310,383 Seagram Co Ltd....................................... 6,500 224,006 Thomson Corp......................................... 17,800 247,983 TransCanada Pipelines Ltd............................ 11,200 155,008 ------------ 2,897,611 ------------ FRANCE -- 1.58% Accor................................................ 2,140 277,422 Alcatel Alsthom...................................... 2,938 253,634 Banque Nationale de Paris............................ 9,230 416,903 Carnaud Metal Box.................................... 4,780 218,934 Cep Communications................................... 1,984 164,705 Cie Bancaire S.A..................................... 1,963 219,957 Cie de Saint Gobain.................................. 3,374 373,923 Cie Fin de Suez...................................... 4,367 180,374 Colas................................................ 854 143,189 Credit Local de France............................... 5,059 405,498 GAN (b).............................................. 1,820 66,614 Generale des Eaux.................................... 4,326 432,458 LVMH (Moet-Hennessy Louis Vaitton)................... 3,029 631,738 Michelin Class B..................................... 5,660 226,025 Pechiney Cert D'Invest............................... 3,640 137,693 Peugeot S.A.......................................... 5,170 682,906 Sanofi............................................... 3,788 243,130 Societe Generale..................................... 4,386 542,578 Societe Nationale Elf Aquitaine...................... 5,434 400,889 Total Co. "B"........................................ 8,712 588,745 UAP.................................................. 9,066 237,096 ------------ 6,844,411 ------------ GERMANY -- 1.02% Allianz AG Holdings.................................. 268 527,275 BASF AG.............................................. 911 205,584 Bayer................................................ 978 260,199 Bayer Motoren Werken................................. 440 227,486 Bayer Vereinsbank.................................... 5,794 174,067 Commerzbank.......................................... 891 $ 211,965 Daimler-Benz......................................... 408 206,380 Deutsche Bank........................................ 12,811 609,536 Hoechst.............................................. 974 265,395 Kaufhof Holding AG................................... 550 167,924 Mannesmann........................................... 1,077 343,499 Muenchener Rueckver.................................. 171 369,168 Muenchener Rueckver Warrants "98" (b)................ 2 265 Preussag............................................. 742 209,438 RWE.................................................. 600 218,612 Schering............................................. 1,535 102,205 Veba................................................. 6,839 293,379 ------------ 4,392,377 ------------ ITALY -- 0.48% Assic Generali....................................... 14,300 346,573 Eni ADR (c).......................................... 10,000 342,500 Fiat Spa Priv........................................ 110,000 201,073 Instituto Mobilaire Italiano......................... 41,000 258,432 Italgas.............................................. 45,000 137,001 Mediobanca........................................... 6,000 41,582 Montedison (b)....................................... 150,000 100,599 La Rinascente Savings (Risp)......................... 9,000 25,528 Sai Di Risp.......................................... 42,000 210,629 Telecom Italia....................................... 170,000 208,095 Telecom Italia Mobile (b)............................ 170,000 178,948 ------------ 2,050,960 ------------ JAPAN -- 2.87% Amada................................................ 20,000 197,770 Asahi Glass Co....................................... 24,000 267,572 Bank of Tokyo........................................ 11,000 193,020 Canon, Inc........................................... 17,000 308,192 Canon Sales.......................................... 5,250 139,966 Citizen Watch Co..................................... 19,000 145,516 Dai Nippon Printing.................................. 19,000 322,346 Daiichi Pharmaceutical Co., Ltd...................... 8,000 114,009 Daiwa Industries..................................... 21,000 205,623 Daiwa House Industries............................... 10,000 164,809 Fanuc Co............................................. 4,300 186,340 Fujitsu.............................................. 12,000 133,786 Hitachi Ltd.......................................... 39,000 393,214 Honda Motor Co....................................... 11,000 227,145 Inax................................................. 18,000 171,013 Isetan............................................... 7,000 115,366 Ito Yokado Co........................................ 10,000 616,578 Keio Teito Electric Railway.......................... 23,000 134,009 Kinki Nippon Railway................................. 22,000 166,360 Kurin Brewery Co. Ltd................................ 11,000 130,102 Kuraray Co. Ltd...................................... 12,000 131,459 Maeda Road Construction.............................. 4,000 74,067 Marui Co............................................. 6,000 125,061 Matsushita Electric Industrial....................... 32,000 521,182 Mitsubishi Bank...................................... 8,000 188,463 Mitsubishi Paper..................................... 25,000 150,509
- -------------------------------------------------------------------------------- 11 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------- ------------ JAPAN (CONTINUED) NGK Insulators....................................... 34,000 $ 339,506 Nichii Co............................................ 14,000 185,943 Nintendo............................................. 1,900 144,595 Nippon Denso Co...................................... 13,000 243,238 Nippon Meat Packers.................................. 12,000 174,503 Nippon Steel Corp.................................... 16,000 54,910 Orix Corp............................................ 2,000 82,404 Osaka Gas Corp....................................... 81,000 280,339 Pioneer Electronics.................................. 9,000 164,905 Sankyo Co. Ltd....................................... 14,000 314,881 Secom Co............................................. 4,000 278,429 Seino Transportation................................. 7,000 117,402 Sekisui House........................................ 38,000 486,282 Shinmaywa Industries Ltd............................. 13,000 107,378 Sony Corp............................................ 5,200 312,050 Sumitomo Bank........................................ 22,000 467,087 Sumitomo Electric Industries......................... 16,000 192,341 Takeda Chemical Industries........................... 23,000 379,060 TDK Corp............................................. 5,000 255,453 Tokio Marine & Fire.................................. 18,000 235,579 Tokyo Electric Power................................. 7,979 213,495 Tokyo Steel Mfg...................................... 14,000 257,877 Tonen Corp........................................... 11,000 161,028 Toray Industries, Inc................................ 84,000 553,757 Toshiba Corp......................................... 62,000 486,263 Toyo Suisan Kaisha................................... 13,000 161,318 Toyota Motor Corp.................................... 6,000 127,387 Yawazaki Baking Co. Ltd.............................. 6,000 111,682 ------------ 12,412,569 ------------ MALAYSIA -- 0.17% Genting.............................................. 5,000 41,749 Hume Industries...................................... 11,000 52,855 Kuala Lumpur Kepong.................................. 23,000 72,922 Land & General Holdings.............................. 25,000 54,155 Malayan Bank......................................... 12,000 101,142 Nestle Malaysia...................................... 7,000 51,280 Sime Darby........................................... 39,000 103,683 Telekom Malaysia..................................... 18,000 140,370 Tenaga Nasional...................................... 28,000 110,280 ------------ 728,436 ------------ NETHERLANDS -- 1.13% ABN-AMRO Holdings.................................... 13,446 613,164 D.S.M................................................ 1,610 132,576 Internationale Nederlanden Groep NV.................. 11,798 788,987 KPN NV............................................... 9,895 359,874 Philips Electronics.................................. 4,680 169,333 Royal Dutch Petroleum................................ 10,800 1,510,518 Royal Dutch Petroleum NY Shares...................... 3,500 493,938 Unilever NV.......................................... 4,650 654,133 VNU-Ver Ned Uitger................................... 1,310 180,033 ------------ 4,902,556 ------------ NEW ZEALAND -- 0.38% Brierly Investment................................... 417,700 $ 330,424 Carter Holt Harvey................................... 175,400 378,413 Fletcher Challenge Ltd............................... 162,100 374,093 Fletcher Challenge Forest Division................... 16,333 23,278 Telecom Corp. of New Zealand Ltd..................... 91,000 392,652 Telecom Corp. of New Zealand Ltd. ADS (c)............ 2,000 138,750 ------------ 1,637,610 ------------ SPAIN -- 0.43% Banco Bilbao-Vizcaya................................. 3,800 136,873 Banco Intercontinental............................... 1,430 139,082 Banco Popular........................................ 740 136,443 Banco Santander...................................... 3,900 195,765 Empresa NAC Electric................................. 3,100 175,538 Iberdrola S.A........................................ 39,100 357,729 Repsol S.A........................................... 4,100 134,331 Repsol S.A. ADR (c).................................. 2,100 69,038 Sevillana de Electric................................ 13,200 102,489 Telefonica de Espana................................. 26,400 365,567 Viscofan............................................. 4,900 58,159 ------------ 1,871,014 ------------ SWITZERLAND -- 0.44% Ciba-Geigy (Reg.).................................... 258 227,594 CS Holdings.......................................... 1,948 200,201 Nestle (Reg) S.A..................................... 483 535,641 Roche Holdings Gen................................... 50 396,532 Schweiz Bankgesellschaft............................. 201 218,364 Societe Generale Surveillance (Br)................... 76 151,260 Zurich Insurance..................................... 569 170,611 ------------ 1,900,203 ------------ UNITED KINGDOM -- 3.25% Asda Group........................................... 90,200 154,745 Bass................................................. 39,800 444,282 B.A.T. Industries PLC................................ 46,184 406,915 BET PLC.............................................. 70,900 139,797 Booker PLC........................................... 14,100 78,370 British Gas.......................................... 167,900 662,111 British Petroleum.................................... 94,815 793,437 British Telecommunications........................... 159,500 876,619 Charter Group........................................ 20,969 280,954 Coats Viyella........................................ 66,000 179,320 FKI.................................................. 68,700 175,990 General Electric PLC................................. 191,700 1,056,567 Glaxo Holdings....................................... 26,800 380,717 Grand Metropolitan................................... 111,200 801,068 Guinness............................................. 61,000 448,905 Hanson............................................... 101,400 303,051 Hillsdown Holdings................................... 66,000 173,172 House of Fraser...................................... 153,800 427,421 Legal and General.................................... 22,300 231,968 Lloyds Abbey Life.................................... 31,300 218,677 Lloyds TSB Group..................................... 215,779 1,108,878 Lucas Industries..................................... 49,851 140,087 Marks & Spencer...................................... 46,400 324,173 Mirror Group......................................... 85,500 233,628
- -------------------------------------------------------------------------------- 12 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------- ------------- UNITED KINGDOM (CONTINUED) National Power...................................... 37,900 $ 264,494 National Westminster Bank........................... 45,800 461,484 Ocean Group......................................... 32,200 193,970 P & O............................................... 36,600 270,480 Reckitt & Colman.................................... 28,325 313,550 Redland............................................. 23,200 140,115 RJB Mining PLC...................................... 10,000 85,080 Rolls Royce......................................... 119,900 351,826 Royal Insurance..................................... 34,366 203,816 Sears PLC........................................... 160,700 259,475 Sedgwick Group...................................... 24,100 45,274 SmithKline Beecham Units............................ 27,000 294,271 Tesco............................................... 99,200 457,420 Thames Water........................................ 27,500 239,948 Unilever Ord 5P..................................... 9,600 197,187 W.H. Smith Group.................................... 29,300 192,877 ------------ 14,012,119 ------------ Total Non-U.S. Equities............................. 58,780,032 ------------ Total Equities (Cost $151,483,329).................. 180,975,174 ------------
FACE AMOUNT VALUE ------------- ------------- Bonds -- 51.27% U.S. BONDS -- 27.20% U.S. CORPORATE BONDS -- 8.29% Bell South Corp. 9.125%, due 07/01/03............................... $ 219,468 $ 241,278 0.000%, due 12/15/15............................... 4,100,000 1,085,598 Choice Credit Card 7.200%, due 03/15/98............................... 1,000,000 1,030,210 Chrysler Financial 8.500%, due 08/21/97............................... 165,000 167,034 Citicorp 9.750%, due 08/01/99............................... 150,000 168,974 Dayton Hudson Credit Card Trust 95-1 6.100%, due 09/25/98........................................... 2,000,000 2,032,100 Ford Credit Grantor Trust 95-b 5.900%, due 10/15/00............................... 194,539 193,129 GMAC 6.700%, due 04/21/97............................... 1,350,000 1,368,590 Green Tree Financial 94-2 8.300%, due 05/15/19............................... 435,000 481,084 Green Tree Acceptance Corp. 94-A 6.900%, due 02/15/04............................... 562,785 564,462 International Bank for Reconstruction and Develop- ment 9.875%, due 10/01/97............................... 175,000 187,933 ITT Destinations 7.375%, due 11/15/15............................... 1,000,000 1,010,630 Lehman Brothers Holdings, Inc. 6.650%, due 07/14/98............................... 1,960,000 1,987,714 MBNA Master Trust 6.275%, due 09/15/99............................... 3,150,000 3,149,843 News America Corp. 7.750%, due 01/20/24................................ $ 1,755,000 $ 1,820,502 Petroliam Nasional 7.125%, due 08/15/05................................ 950,000 1,002,250 Premier Auto 95-1 8.050%, due 04/04/00................................ 500,000 528,490 Premier Auto Trust 4.220%, due 03/02/99................................ 65,039 64,034 Republic Bank of New York Corp. FRN 6.025%, due 12/29/02................................ 1,000,000 996,055 RJR Nabisco Inc. 8.625%, due 12/01/02................................ 2,100,000 2,178,219 Salomon, Inc. 7.020%, due 09/25/98................................ 585,000 595,249 Signet Credit Card 1993-4A 6.375%, due 05/15/02................................ 2,000,000 2,005,420 Standard Credit Card Trust 94-I 4.650%, due 02/07/97........................... 1,065,000 1,056,139 8.500%, due 08/07/97................................ 805,000 815,521 91-3A 8.875%, due 07/07/98.......................... 2,750,000 2,950,255 8.250%, due 01/07/05................................ 500,000 569,855 Tele-Communications, Inc. 7.250%, due 08/01/05................................ 800,000 813,849 Thrift Financial Corp. 11.250%, due 01/01/16............................... 45,038 49,534 Time Warner, Inc. 9.125%, due 01/15/13................................ 2,250,000 2,531,583 USX Corp. 9.800%, due 07/01/01................................ 1,570,000 1,811,502 8.500% due 03/01/23................................. 950,000 1,042,733 WR Grace & Co. 8.000%, due 08/15/04................................ 1,195,000 1,319,025 ------------ 35,818,794 ------------ INTERNATIONAL DOLLAR BONDS -- 2.18% BBV International 7.000%, due 12/01/05................................ 2,200,000 2,191,603 City of Oslo 7.875%, due 02/03/97................................ 1,200,000 1,229,250 European Investment Bank 9.250%, due 11/15/97................................ 1,100,000 1,175,625 GMAC Euro 7.250%, due 10/17/97................................ 325,000 333,531 Hanson PLC Notes 6.750%, due 09/15/05................................ 790,000 817,725 Hong Kong Shanghai Perpetual FRN 6.500%, due 07/30/49................................ 1,700,000 1,318,945 Japanese Development Bank 8.375%, due 02/15/01................................ 1,000,000 1,109,375 Republic of Italy 6.875%, due 09/27/23................................ 150,000 146,625 Republic of South Africa 9.625%, due 12/15/99................................ 1,000,000 1,080,000 ------------ 9,402,679 ------------
- -------------------------------------------------------------------------------- 13 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
FACE AMOUNT VALUE ------------- ------------- U.S. GOVERNMENT AGENCIES -- 8.08% Federal Home Loan Mortgage Corp. 9.200%, due 08/25/97............................... $ 200,000 $ 211,839 9.000%, due 03/01/17............................... 521,086 553,055 7.000%, due 10/15/21............................... 735,000 734,311 7.500%, due 07/15/22............................... 2,575,000 2,703,003 Federal Home Loan Mortgage Corp. Gold 9.500%, due 10/01/20............................... 695,580 742,789 9.000%, due 05/01/24............................... 1,434,965 1,571,734 Federal National Mortgage Association 7.600%, due 01/10/97............................... 200,000 204,575 5.000%, due 06/01/01............................... 1,843,425 1,768,987 7.000%, due 06/17/17............................... 895,000 924,078 10.000%, due 06/25/19.............................. 492,597 546,427 9.000%, due 08/01/21............................... 395,756 420,772 8.200%, due 08/25/21............................... 74,865 77,263 8.000%, due 05/01/22............................... 185,388 191,934 8.500%, due 07/01/22............................... 945,009 994,810 6.500%, due 09/01/24............................... 5,400,000 5,335,875 7.000%, due 09/01/24............................... 115,000 115,899 7.500%, due 05/01/25............................... 2,107,869 2,159,248 8.500%, due 05/01/25............................... 502,612 524,287 Federal National Mortgage Association Dwarf 7.000%, 12/01/09........................................... 4,600,000 4,683,375 Federal National Mortgage Association Principal 0.000%, due 11/01/01............................... 225,000 214,051 Government National Mortgage Association 9.000%, due 12/15/09............................... 2,032,780 2,152,693 11.000%, due 09/15/15.............................. 313,073 353,381 9.000%, due 12/15/17............................... 2,040,194 2,172,032 8.500%, due 05/15/21............................... 76,145 79,905 8.000%, due 11/15/22............................... 582,554 603,672 8.000%, due 12/15/22............................... 1,981,496 2,055,493 8.000%, due 09/15/24............................... 1,050,000 1,093,312 5.500%, due 10/20/25............................... 1,580,440 1,580,915 Tennessee Valley Authority 6.875%, due 12/15/43............................... 170,000 168,565 ------------- 34,884,280 ------------- U.S. GOVERNMENT OBLIGATIONS-- 8.65% U.S. Treasury Bonds 8.125%, due 05/15/21............................... 4,355,000 5,739,609 U.S. Treasury Coupon Strips 0.000%, due 02/15/03............................... 225,000 152,375 0.000%, due 11/15/19............................... 1,785,000 405,195 U.S. Treasury Notes 6.625%, due 03/31/97............................... 9,400,000 9,561,558 5.500%, due 11/15/98............................... 1,500,000 1,510,780 6.250%, due 08/31/00............................... 4,070,000 4,212,450 7.250%, due 05/15/04............................... 13,840,000 15,397,000 U.S. Treasury Principal Strips 0.000%, due 05/15/20............................... $ 1,855,000 $ 411,105 ------------ 37,390,072 ------------ Total U.S. Bonds................................... 117,495,825 ------------ Non-U.S. Bonds -- 24.07% BELGIUM -- 1.19% Kingdom of Belgium 8.250%, due 06/01/99............................... BEF 24,000,000 896,527 8.750%, due 06/25/02............................... 32,000,000 1,240,166 9.000%, due 03/28/03............................... 54,000,000 2,121,036 8.500%, due 10/01/07............................... 23,000,000 873,239 ------------ 5,130,968 ------------ CANADA -- 2.38% Government of Canada 7.500%, due 09/01/00............................... CAD 4,350,000 3,309,228 9.000%, due 06/01/25............................... 1,800,000 1,537,668 Government of Canada 4.250%, due 12/01/21 (d)........................... 7,200,000 5,450,096 ------------ 10,296,992 ------------ DENMARK -- 2.32% Kingdom of Denmark 9.000%, due 11/15/98............................... DKR 8,300,000 1,631,366 9.000%, due 11/15/00............................... 14,600,000 2,930,748 8.000%, due 05/15/03............................... 12,000,000 2,301,871 7.000%, due 12/15/04............................... 17,500,000 3,145,017 ------------ 10,009,002 ------------ FRANCE -- 4.01% Government of France (OAT) 8.500%, due 03/28/00............................... FRF 3,300,000 742,307 9.500%, due 01/25/01............................... 15,700,000 3,703,012 8.500%, due 04/25/03............................... 6,500,000 1,485,912 8.250%, due 02/27/04............................... 10,700,000 2,426,786 6.750%, due 10/25/04............................... 27,000,000 5,576,003 8.500%, due 12/26/12............................... 14,500,000 3,387,959 ------------ 17,321,979 ------------ GERMANY -- 5.77% Bundesrepublik Deutscheland 6.250%, due 02/20/98............................... DEM 3,260,000 2,382,422 7.000%, due 09/20/99............................... 7,000,000 5,277,999 8.500%, due 08/21/00............................... 2,600,000 2,074,841 8.375%, due 05/21/01............................... 1,900,000 1,519,549 8.000%, due 07/22/02............................... 1,950,000 1,537,875 6.500%, due 07/15/03............................... 7,600,000 5,530,748 6.750%, due 07/15/04............................... 5,900,000 4,330,294 Treuhandanstalt 7.750%, due 10/01/02............................... 2,950,000 2,297,467 ------------ 24,951,195 ------------
- -------------------------------------------------------------------------------- 14 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------------- ------------ ITALY -- 1.22% Republic of Italy (BTP) 9.000%, due 10/01/96........................... ITL 2,100,000,000 $ 1,314,279 8.500%, due 01/01/99........................... 3,100,000,000 1,881,701 9.500%, due 12/01/99........................... 1,200,000,000 741,259 9.000%, due 10/01/03........................... 2,300,000,000 1,333,762 ------------ 5,271,001 ------------ JAPAN -- 0.43% International Bank of Reconstruction and Developmentt 6.750%, due 03/15/00........................... JPY 84,000,000 976,200 Export Import Bank of Japan 4.375%, due 10/01/03........................... 82,000,000 873,461 ------------ 1,849,661 ------------ NETHERLANDS -- 3.20% Government of Nederlands 6.250%, due 07/15/98........................... NLG 1,400,000 914,847 8.500%, due 03/15/01........................... 1,000,000 714,597 8.750%, due 09/15/01........................... 1,300,000 944,791 6.500%, due 04/15/03........................... 1,000,000 654,086 8.500%, due 06/01/06........................... 8,650,000 6,356,644 8.250%, due 02/15/07........................... 4,900,000 3,542,795 7.500%, due 04/15/10........................... 1,000,000 685,115 ------------ 13,812,875 ------------ SPAIN -- 1.36% Government of Spain 7.400%, due 07/30/99........................... SPN 625,000,000 4,434,682 11.300%, due 01/15/02.......................... 60,000,000 531,635 8.200%, due 02/28/09........................... 70,000,000 511,770 ------------ 5,878,087 ------------ UNITED KINGDOM -- 2.19% UK Treasury 7.000%, due 11/06/01........................... GBP 1,305,000 2,028,616 8.000%, due 06/10/03........................... 2,040,000 3,310,724 8.500%, due 12/07/05........................... 2,470,000 4,121,220 ------------ 9,460,560 ------------ Total Non-U.S. Bonds............................ 103,982,320 ------------ Total Bonds (Cost $209,790,002)............................ 221,478,145 ------------ Short-Term Investments -- 6.84% COMMERCIAL PAPER -- 6.76% Baxter International, Inc. 6.050%, due 01/02/96......................... $ 1,177,000 $ 1,176,802 Burlington Northern Santa Fe 6.050%, due 01/03/96......................... 3,500,000 3,498,824 6.150%, due 01/31/96......................... 2,500,000 2,487,187 Conagra, Inc. 5.910%, due 01/04/96......................... 1,000,000 999,508 6.050%, due 01/11/96......................... 3,210,000 3,204,605 Crown Cork & Seal Co., Inc. 6.060%, due 01/09/96......................... 2,000,000 1,997,307 CSX Corp. 6.000%, due 01/08/96......................... 2,000,000 1,997,667 General American Transportation Corp. 6.200%, due 01/18/96......................... 5,000,000 4,985,361 Nabisco, Inc. 5.850%, due 01/03/96......................... 2,163,000 2,162,297 P.S. Colorado Credit Corp. 6.030%, due 01/04/96..................................... 2,500,000 2,498,744 Texas Utilities Electric Co. 6.300%, due 01/05/96......................... 2,000,000 1,998,600 Trinova Corp. 6.100%, due 01/10/96......................... 1,500,000 1,497,713 6.200%, 01/10/96............................. 700,000 698,915 ------------- 29,203,530 ------------- FOREIGN TIME DEPOSIT -- 0.08% Bankers Trust Japanese Yen -- 0.08%, 1.125%, due 01/02/96......................... JPN 36,699,859 355,791 ------------- Total Short-Term Investments (Cost $29,559,321)........................... 29,559,321 ------------- Total Investments (Cost $390,823,651) -- 100.01% (a)................................. 432,012,640 ------------- Liabilities, less cash and other assets -- (0.01%)...................................... (53,884) ------------- Net Assets -- 100%............................ $ 431,958,756 =============
See accompanying notes to schedule of investments. - -------------------------------------------------------------------------------- 15 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a)Aggregate cost for federal income tax purposes was $390,832,651; and net unrealized appreciation consisted of: Gross unrealized appreciation................................ $44,301,030 Gross unrealized depreciation................................ (3,121,041) ----------- Net unrealized appreciation.............................. $41,179,989 ===========
(b)Non-income producing security. (c)Denominated in U.S. dollars. (d)Linked to Canadian's retail price index. Reset semi-annually. FRN: Floating rate note--The rate disclosed is that in effect at December 31, 1995. MTN: Medium Term Note FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4) The Global Fund had the following open forward foreign currency contracts as of December 31, 1995:
SETTLEMENT LOCAL CURRENT UNREALIZED DATE CURRENCY VALUE GAIN/(LOSS) ---------- ------------- ----------- ---------- FORWARD FOREIGN CURRENCY BUY CONTRACTS Australian Dollar............ 06/05/96 6,800,000 $ 5,037,578 $ 5,918 British Pound................ 06/05/96 4,000,000 6,157,418 (63,782) Canadian Dollar.............. 06/05/96 15,600,000 11,432,505 (121,553) Danish Krone................. 06/04/96 3,000,000 542,980 (7,832) Dutch Guilder................ 06/05/96 2,000,000 1,258,173 (23,656) French Franc................. 06/05/96 7,000,000 1,434,031 (8,109) Italian Lira................. 06/05/96 5,400,000,000 3,337,254 25,488 Swedish Krone................ 06/05/96 34,300,000 5,114,447 (67,761) FORWARD FOREIGN CURRENCY SALE CONTRACTS Belgian Franc................ 06/05/96 200,000,000 6,830,383 142,145 British Pound................ 06/05/96 10,000,000 15,524,500 130,955 Danish Krone................. 06/04/96 58,000,000 10,497,618 146,733 Dutch Guilder................ 06/05/96 29,000,000 18,582,001 338,493 French Franc................. 06/05/96 125,000,000 25,607,692 119,305 German Mark.................. 06/05/96 40,000,000 28,163,121 417,255 Japanese Yen................. 06/05/96 1,430,000,000 14,166,487 327,149 Swedish Krone................ 06/05/96 34,300,000 5,114,447 (99,534) ---------- Total...................... $1,261,214 ==========
FUTURES CONTRACTS (NOTE 5) INDEX FUTURES CONTRACTS: The Global Fund had the following open index futures contracts as of December 31, 1995:
SETTLEMENT CURRENT UNREALIZED DATE COST VALUE GAIN ---------- ----------- ----------- ---------- INDEX FUTURES BUY CONTRACTS Topix, 86 contracts.............. March 1996 $12,136,016 $13,123,024 $987,008 ========
The segregated cash pledged to cover margin requirements for the open futures positions at December 31, 1995 was $2,170,000. See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 16 GLOBAL FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $390,832,651) (Note 1).............. $432,012,640 Cash............................................................ 2,635,056 Foreign currency, at value (Cost $2,583,346).................... 2,589,281 Receivables: Investment securities sold..................................... 3,519,944 Dividends...................................................... 243,260 Interest....................................................... 4,869,024 Fund shares sold............................................... 1,026,190 Variation Margin (Note 5)...................................... 1,202,454 Net unrealized appreciation on forward foreign currency con- tracts......................................................... 1,261,214 Deferred organization costs, net of amortization (Note 1)....... 25,375 Other assets.................................................... 58,220 ------------ TOTAL ASSETS................................................. 449,442,658 ------------ LIABILITIES: Payables: Investment securities purchased................................ 16,976,226 Investment advisory fees (Note 2).............................. 286,282 Accrued expenses............................................... 221,394 ------------ TOTAL LIABILITIES............................................ 17,483,902 ------------ NET ASSETS....................................................... $431,958,756 ============ NET ASSETS CONSIST OF: Paid in capital (Note 7)........................................ $388,721,692 Accumulated undistributed net investment income................. 1,301,114 Accumulated net realized loss................................... (1,496,517) Net unrealized appreciation..................................... 43,432,467 ------------ NET ASSETS................................................... $431,958,756 ============ OFFERING PRICE PER SHARE: Brinson Class: Net asset value, offering price and redemption price per share (Based on net assets of $430,112,118 and 36,388,462 shares is- sued and outstanding) (Note 7)................................ $ 11.82 ============ SwissKey Class: Net asset value, offering price and redemption price per share (Based on net assets of $1,846,638 and 156,484 shares issued and outstanding) (Note 7)..................................... $ 11.80 ============
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 17 GLOBAL FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME: Interest.......................................................... $ 7,985,393 Dividends (net of $63,572 for foreign taxes withheld)............. 1,819,381 ----------- TOTAL INCOME................................................... 9,804,774 ----------- EXPENSES: Advisory (Note 2)................................................. 1,610,179 Administration.................................................... 139,310 Custodian......................................................... 136,000 Amortization of organization costs (Note 1)....................... 7,739 Distribution (Note 6)............................................. 1,692 Other............................................................. 290,457 ----------- TOTAL EXPENSES................................................. 2,185,377 ----------- NET INVESTMENT INCOME ......................................... 7,619,397 ----------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain on: Investments...................................................... 9,168,219 Futures contracts................................................ 240,485 Foreign currency transactions.................................... 2,269,816 ----------- Net realized gain.............................................. 11,678,520 ----------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency................................. 19,027,030 Futures contracts................................................ 987,009 Forward contracts................................................ 3,246,227 Translation of other assets and liabilities denominated in for- eign currency................................................... (83,519) ----------- Change in net unrealized appreciation or depreciation.......... 23,176,747 ----------- Net realized and unrealized gain.................................. 34,855,267 ----------- Net increase in net assets resulting from operations.............. $42,474,664 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 18 GLOBAL FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR DECEMBER 31, 1995 ENDED (UNAUDITED) JUNE 30, 1995 ----------------- ------------- OPERATIONS: Net investment income......................... $ 7,619,397 $ 14,388,762 Net realized gain............................. 11,678,520 2,567,030 Change in net unrealized appreciation or de- preciation................................... 23,176,747 23,779,745 ------------ ------------ Net increase in net assets resulting from op- erations..................................... 42,474,664 40,735,537 ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income...... (16,328,500) (8,427,640) Distributions from net realized gain.......... (9,441,309) (2,567,030) Distributions in excess of net realized gain.. (1,496,517) (275,888) ------------ ------------ Total distributions to shareholders*.......... (27,266,326) (11,270,558) ------------ ------------ CAPITAL SHARE TRANSACTIONS: Shares sold................................... 59,719,842 124,484,442 Shares issued on reinvestment of distribu- tions........................................ 26,139,635 10,276,565 Shares redeemed............................... (34,786,984) (77,406,972) ------------ ------------ Net increase in net assets resulting from cap- ital share transactions (Note 7)............. 51,072,493 57,354,035 ------------ ------------ TOTAL INCREASE IN NET ASSETS............... 66,280,831 86,819,014 NET ASSETS: Beginning of year............................. 365,677,925 278,858,911 ------------ ------------ End of year (including accumulated undistrib- uted net investment income of $1,301,114 and $4,495,172, respectively)..... $431,958,756 $365,677,925 ============ ============ *DISTRIBUTIONS BY CLASS: Distributions from net investment income: Brinson Class................................. $(16,262,552) $ (8,427,640) SwissKey Class................................ (65,948) -- Distributions from and in excess of net real- ized gain: Brinson Class................................. (10,892,522) (2,842,918) SwissKey Class................................ (45,304) -- ------------ ------------ $(27,266,326) $(11,270,558) ============ ============
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 19 GLOBAL FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
SIX MONTHS ENDED YEAR YEAR AUGUST 31, 1992* DECEMBER 31, 1995 ENDED ENDED THROUGH BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994 JUNE 30, 1993 - ---------------------------------------------------------------------------------------- Net asset value, begin- ning of period......... $ 11.35 $ 10.43 $ 10.87 $ 10.00 -------- -------- -------- -------- Income from investment operations: Net investment income.. 0.20 0.43 0.33 0.26 Net realized and unrealized gain (loss)................ 1.07 0.86 (0.23) 0.81 -------- -------- -------- -------- Total income from investment opera- tions.............. 1.27 1.29 0.10 1.07 -------- -------- -------- -------- Less distributions: Distributions from net investment income..... (0.48) (0.27) (0.27) (0.20) Distributions from and in excess of net real- ized gain............. (0.32) (0.10) (0.27) -- -------- -------- -------- -------- Total distributions. (0.80) (0.37) (0.54) (0.20) -------- -------- -------- -------- Net asset value, end of period................. $ 11.82 $ 11.35 $ 10.43 $ 10.87 ======== ======== ======== ======== Total return (non- annualized)............ 11.29% 12.57% 0.77% 10.76% Ratios/Supplemental data Net assets, end of pe- riod (in 000s)........ $430,112 $365,678 $278,859 $191,389 Ratio of expenses to average net assets: Before expense reim- bursement............ 1.10%** 1.09% 1.14% 1.35%** After expense reim- bursement............ N/A N/A 1.10% 1.05%** Ratio of net investment income to average net assets: Before expense reim- bursement............ 3.82%** 4.27% 3.21% 3.26%** After expense reim- bursement............ N/A N/A 3.25% 3.56%** Portfolio turnover rate.................. 79% 238% 231% 149%
* Commencement of investment operations ** Annualized N/A = Not Applicable See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 20 GLOBAL FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
JULY 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $11.60 ------ Income from investment operations: Net investment income........................................ 0.18 Net realized and unrealized gain............................. 0.81 ------ Total income from investment operations................... 0.99 ------ Less distributions: Distributions from and in excess of net investment income.... (0.47) Distributions from net realized gain......................... (0.32) ------ Total distributions....................................... (0.79) ------ Net asset value, end of period................................ $11.80 ====== Total return (non-annualized)................................. 8.61% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $1,847 Ratio of expenses to average net assets...................... 1.75** Ratio of net investment income to average net assets......... 3.17** Portfolio turnover rate...................................... 79%
* Commencement of SwissKey Class distribution ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 21 GLOBAL EQUITY FUND - -------------------------------------------------------------------------------- LOGO The Global Equity Fund is an actively managed portfolio that provides integrated asset management across and within world equity markets. The investment process is strategic in nature and is driven by deviations of market price from fundamental value. This philosophy offers the greatest potential for achieving enhanced long-term returns, while maintaining control of risk. The Global Equity Fund has provided an annualized return of 8.37% since January 31, 1994 (performance inception date), compared to the 9.99% return of its benchmark, the MSCI World Equity (Free) Index; on a currency hedged basis the benchmark returned 7.39%. In 1995, the Fund returned 21.93%, while the benchmark returned 25.42%. For the second half of 1995, the Fund returned 15.39% compared to the Index return of 10.84%. Currency allocation and equity management strategies contributed positively to Fund performance during the year. Market allocation strategies, notable for a U.S. equity market underweight and cash risk hedge, detracted from performance. Global equity markets were generally strong in 1995, with the U.S. and Switzerland providing the highest returns of 38.19% and 30.58%, respectively, on a U.S. dollar hedged basis. Many other markets posted double-digit returns. The weakest markets were Austria and Italy with respective currency hedged declines of 10.68% and 4.65%. Amidst this general market strength, Japanese equities were notable underperformers. The Japanese market rallied by 9.16% in U.S. dollar hedged terms. The first half of 1995 saw the Japanese market decline by about 20%, only to recover more than 35% in the last half. The Global Equity Fund began the year with a large Japan underweight and shifted to a near neutral strategy during the year. Currency movements, especially the Japanese yen, contributed significantly to index volatility during the year. The yen appreciated by more than 20% early in the year, reaching a peak of 80 yen/U.S. dollar in mid-April. It depreciated through the rest of the year to end about unchanged at roughly 100 yen/U.S. dollar. The yen underweight and U.S. dollar overweight added value through the extreme interest rate differential between the U.S. and Japan. A partial offset to this value added came from underweights of the core European currencies. These currencies appreciated in the early part of 1995, but, unlike the yen, remained steady for the year's duration. The European currencies as well as the yen ended the year overpriced relative to fundamental values. Consequently, the Fund remains underweighted in these currencies with offsetting overweights in the U.S. and Canadian dollars. Security selection derived most of its added value from equity management in the U.S. and Japan. The extra return in the U.S. in 1995 was attributable to a number of favorable industry positions. Favorable industry exposures included overweights in defense/aerospace, bank and insurance stocks. Positive contributions from equity management in Japan were attributable to the Fund's exposure to high quality defensive issues and exporters, and underweights to cyclicals in an environment of market decline. ------------------------------------------------------------ 22 GLOBAL EQUITY FUND - -------------------------------------------------------------------------------- LOGO TOTAL RETURN
Annualized 6 months 1 year 1/31/94* ended ended to 12/31/95 12/31/95 12/31/95 - ---------------------------------------------------------------------- BRINSON GLOBAL EQUITY FUND 15.39% 21.93% 8.37% MSCI World Equity (Free) Index (currency unhedged)** 10.84 21.29 9.99 MSCI World Equity (Free) Index (currency hedged)** 17.35 21.54 7.39 - ----------------------------------------------------------------------
*Inception date of the Brinson Global Equity Fund was January 28, 1994. **Performance is net of withholding taxes on dividends. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000 This chart shows the growth in the value of an investment in the Brinson Global Equity Fund and the MSCI World Equity (Free) Index (currency unhedged and hedged) if you had invested $100,000 on January 31, 1994, and had reinvested all your income dividends and capital gain distributions through December 31, 1995. 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 VS. MSCI WORLD EQUITY (FREE) INDEX (CURRENCY UNHEDGED AND HEDGED) Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] - ------------------------------------------------------------------ 1/31/94 12/31/95 ------- -------- Brinson Global Equity Fund $100,000 $116,632 MSCI World Equity (Free) Index (currenty unhedged) $100,000 $120,024 MSCI World Equity (Free) (currency hedged) $100,000 $114,647 1/31/94 = $100,000 Data through 12/31/95 Fund returns are net of all fees and costs, while the Index returns are based solely on the market returns without deduction for fees or transaction costs for rebalancing. ------------------------------------------------------------- 23 GLOBAL EQUITY FUND - -------------------------------------------------------------------------------- LOGO MARKET ALLOCATION As of December 31, 1995 (Unaudited)
Current Benchmark Strategy - --------------------------------- U.S. 40.7% 33.4% Japan 23.3 22.5 Australia 1.5 2.4 Belgium 0.6 1.6 Canada 2.2 2.0 France 3.6 4.8 Germany 3.9 3.4 Hong Kong 1.8 0.0 Italy 1.3 1.3 Malaysia 1.3 0.6 Netherlands 2.3 3.6 New Zealand 0.2 1.3 Spain 1.0 1.6 Sweden 1.1 0.0 Switzerland 3.4 1.3 U.K. 9.6 10.2 Other Markets 2.2 0.0 Cash Reserves 0.0 10.0 - --------------------------------- 100.0% 100.0%
TOP TEN U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
Percent of Net Assets - --------------------------------- 1. Citicorp 2.45% 2. Lockheed Martin Corp. 2.39 3. Burlington Northern, Santa Fe 1.91 4. Honeywell,Inc. 1.84 5. Avon Products, Inc. 1.45 6. Schering Plough Corp. 1.38 7. AON Corp. 1.33 8. Kimberly-Clark Corp. 1.33 9. Enron Corp. 1.27 10. Sprint Corp. 1.23 - ---------------------------------
CURRENCY ALLOCATION As of December 31, 1995 (Unaudited)
Current Benchmark Strategy - --------------------------------- U.S. 40.7% 70.6% Japan 23.3 0.0 Australia 1.5 2.4 Belgium 0.6 0.0 Canada 2.2 10.8 France 3.6 0.0 Germany 3.9 0.0 Hong Kong 1.8 0.0 Italy 1.3 3.1 Malaysia 1.3 0.6 Netherlands 2.3 0.0 New Zealand 0.2 1.3 Spain 1.0 1.6 Sweden 1.1 0.0 Switzerland 3.4 0.0 U.K. 9.6 9.6 Other Markets 2.2 0.0 - --------------------------------- 100.0% 100.0%
TOP TEN NON-U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
Percent of Net Assets - --------------------------------- 1. Royal Dutch Petroleum 1.01% 2. Lloyds TSB Group 0.77 3. Broken Hill Proprietary 0.76 4. General Electric PLC 0.75 5. Ito Yokado Co. 0.74 6. Toray Industries, Inc. 0.63 7. Matsushita Electric Industrial 0.62 8. Sekisui House 0.59 9. Toshiba Corp. 0.58 10. British Telecommunications 0.57 - ---------------------------------
------------------------------------------------------------ 24 GLOBAL EQUITY FUND - -------------------------------------------------------------------------------- LOGO INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- U.S. EQUITIES Basic Industries Chemicals............................................................... 0.36% Housing/Paper........................................................... 1.48 Metals.................................................................. 0.64 ----- 2.48 Capital Investments Capital Goods........................................................... 4.03 Technology.............................................................. 2.53 ----- 6.56 Consumer Autos/Durables.......................................................... 0.47 Discretionary........................................................... 2.42 Health: Drugs........................................................... 4.30 Health: Non-Drugs....................................................... 1.39 Non-Durables............................................................ 4.49 Retail/Apparel.......................................................... 2.78 ----- 15.85 Energy................................................................... 2.73 Financial Banks................................................................... 3.58 Non-Banks............................................................... 4.39 ----- 7.97 Services................................................................. 3.55 Transportation........................................................... 1.94 Utilities................................................................ 2.90 Miscellaneous............................................................ 1.04 ----- Total U.S. Equities................................................... 45.02* -----
- ------------------------------------------------------------ NON-U.S. EQUITIES Aerospace & Military.................................................... 0.22% Airlines................................................................ 0.01 Appliances & Household Durables......................................... 1.33 Automobiles............................................................. 1.47 Banking................................................................. 6.79 Beverages & Tobacco..................................................... 1.39 Broadcasting & Publishing............................................... 0.78 Building Materials...................................................... 0.35 Business & Public Service............................................... 1.62 Chemicals............................................................... 2.04 Construction............................................................ 1.01 Data Processing......................................................... 0.52 Electric Components..................................................... 0.59 Electronics............................................................. 2.16 Energy.................................................................. 4.62 Financial Services...................................................... 0.78 Food & House Products................................................... 2.53 Forest Products......................................................... 1.03 Goldmines............................................................... 0.11 Health & Personal Care.................................................. 1.48 Industrial Components................................................... 1.17 Insurance............................................................... 2.55 Leisure & Tourism....................................................... 0.22 Machinery & Engineering................................................. 0.77 Merchandising........................................................... 2.79 Miscellaneous Materials................................................. 0.63 Multi-Industry.......................................................... 2.34 Non-Ferrous Metal....................................................... 0.54 Real Estate............................................................. 0.18 Recreation.............................................................. 0.35 Shipping................................................................ 0.32 Steel................................................................... 0.62 Telecommunications...................................................... 1.47 Textiles & Apparel...................................................... 0.14 Transportation.......................................................... 0.50 Utilities............................................................... 2.80 ------ Total Non-U.S. Equities.............................................. 48.22* ------ SHORT-TERM INVESTMENTS.................................................. 2.52* ------ TOTAL INVESTMENTS.................................................... 95.76 CASH AND OTHER ASSETS, LESS LIABILITIES................................. 4.24 ------ NET ASSETS........................................................... 100.00% ======
* The Fund held a short position in stock index futures on December 31, 1995 which reduced U.S. Equity exposure from 45.02% to 32.62%. The Fund held a long position in Topix futures which increased Japanese Equity exposure from 14.96% to 22.00%. These two adjustments result in a net increase in the Fund's exposure to Short-Term Investments from 2.52% to 7.88%. ------------------------------------------------------------ 25 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE -------- ----------- Equities -- 93.24% U.S. EQUITIES -- 45.02% Aetna Life & Casualty Co................................. 6,500 $ 450,125 Air & Water Technologies Corp. (b)....................... 2,300 14,088 Allergan, Inc............................................ 11,000 357,500 Alza Corp. (b)........................................... 8,700 215,325 American Mobile Satellite Corp., Inc. (b)................ 1,600 49,000 Aon Corp................................................. 13,300 663,338 AST Research Corp. (b)................................... 1,588 13,498 Automatic Data Processing, Inc........................... 6,300 467,775 Avon Products, Inc....................................... 9,600 723,600 Bard (C.R.), Inc......................................... 6,600 212,850 Beckman Instruments, Inc................................. 4,300 152,113 Biogen, Inc. (b)......................................... 1,000 61,500 Birmingham Steel Corp.................................... 4,200 62,475 Boeing Co................................................ 3,900 305,663 Boston Technology, Inc. (b).............................. 2,600 33,150 Brinker International, Inc. (b).......................... 3,100 46,887 Burlington Northern Santa Fe............................. 12,200 951,600 Campbell Soup Co......................................... 3,300 198,000 Centerior Energy Co...................................... 1,800 15,975 CIGNA Corp............................................... 5,300 547,225 Citicorp................................................. 18,200 1,223,950 CMS Energy Corp.......................................... 11,600 346,550 Coca-Cola Enterprises, Inc............................... 13,600 363,800 Comerica, Inc............................................ 2,900 116,362 Computer Sciences Corp. (b).............................. 700 49,175 Converse Technology, Inc. (b)............................ 1,700 34,000 Cooper Cameron Corp. (b)................................. 3,600 127,800 Cooper Industries, Inc................................... 2,333 85,738 Dial Corp................................................ 10,200 302,175 Enron Corp............................................... 16,600 632,875 Entergy Corp............................................. 11,800 345,150 Federal Department Stores (b)............................ 13,700 376,750 First Data Corp.......................................... 6,502 434,834 Food Lion, Inc. Class A.................................. 17,100 97,790 Ford Motor Co............................................ 10,800 313,200 Forest Laboratories, Inc. (b)............................ 7,200 325,800 Gannett Co., Inc......................................... 4,100 251,638 Genzyme Corp. (b)........................................ 1,400 87,325 Goodyear Tire & Rubber Co................................ 7,800 353,925 Health Care and Retirement Corp. (b)..................... 2,300 80,500 Hillenbrand Industries, Inc.............................. 400 13,550 Honeywell, Inc........................................... 18,900 919,012 Illinova Corp............................................ 2,200 66,000 Inland Steel Industries, Inc............................. 6,300 158,288 Interpublic Group of Companies, Inc...................... 4,300 186,513 Kimberly-Clark Corp...................................... 8,000 662,000 Kroger Co. (b)........................................... 6,200 232,500 Lockheed Martin Corp..................................... 15,100 1,192,900 LTV Corp................................................. 6,200 85,250 Lyondell Petrochemical Co................................ 11,700 267,637 Magna Group Inc.......................................... 2,100 49,875 Manor Care, Inc.......................................... 6,900 241,500 Mattel, Inc.............................................. 16,700 513,525 Melville Corp............................................ 9,000 276,750 National Semiconductor Corp. (b)......................... 4,500 100,125 Nextel Communications, Inc. Class A (b).................. 9,400 138,650 Octel Communications Corp. (b)........................... 1,100 35,475 Old Republic International Corp.......................... 4,100 145,550 Owens Illinois Inc. (b).................................. 12,200 176,900 Pentair, Inc............................................. 2,500 124,375 Pfizer, Inc.............................................. 6,500 409,500 Philip Morris Companies, Inc............................. 3,200 289,600 Raychem Corp............................................. 3,800 216,125 RJR Nabisco Convertible Preferred "C".................... 34,600 220,575 RJR Nabisco Holdings Corp. (b)........................... 10,400 321,100 Schering Plough Corp..................................... 12,600 689,850 Schlumberger Ltd......................................... 4,500 311,625 Schweitzer Manduit International, Inc. (b)............... 800 18,500 Seagate Technology (b)................................... 4,400 209,000 Sprint Corp.............................................. 15,700 626,037 State Street Boston Corp................................. 3,100 139,500 Timken Co................................................ 3,000 114,750 Tosco Corp............................................... 1,900 72,437 Transamerica Corp........................................ 5,900 429,962 Ultramar Corp............................................ 4,700 121,025 US Bancorp............................................... 7,200 242,100 USF&G Corp............................................... 10,200 172,125 Walgreen Co.............................................. 9,600 286,800 Westvaco Corp............................................ 3,350 92,962 WMX Technologies, Inc.................................... 13,500 403,312 ----------- Total U.S. Equities...................................... 22,464,284 ----------- NON-U.S. EQUITIES -- 48.22% AUSTRALIA -- 2.55% Amcor Ltd. .............................................. 10,100 71,376 ANZ Banking Group........................................ 8,947 41,996 Broken Hill Proprietary.................................. 26,750 378,076 CRA Ltd.................................................. 7,500 110,132 David Jones Ltd. (b)..................................... 22,000 33,549 Lend Lease Corp. Ltd..................................... 6,049 87,745 National Australia Bank.................................. 18,275 164,493 News Corp................................................ 14,500 77,446 Pacific Dunlop Ltd....................................... 40,000 93,729 Qantas Airways Ltd....................................... 4,000 6,665 Santos Ltd............................................... 17,000 49,699 Western Mining Corp...................................... 7,300 46,918 Westpac Banking Corp. Ltd................................ 24,545 108,821 ----------- 1,270,645 ----------- BELGIUM -- 1.42% Delhaize-Le Lion, S.A.................................... 600 24,872 Electrabel............................................... 650 154,599 Fortis AG................................................ 580 70,552 Groupe Bruxelles Lambert................................. 380 52,744 Kredietbank.............................................. 365 99,835 Petrofina................................................ 290 88,781 Petrofina S.A. Warrants "97" (b)......................... 10 133 Societe Gen De Belgique.................................. 540 44,678 Solvay................................................... 115 62,128 - --------------------------------------------------------------------------------
26 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
BELGIUM (CONTINUED) SHARES VALUE -------- ----------- Tractebel................................................. 200 $ 82,566 Union Miniere (b)......................................... 420 28,113 ----------- 709,001 ----------- CANADA -- 2.17% Alcan Aluminium Ltd....................................... 2,800 87,000 Bank of Montreal.......................................... 6,100 138,657 Barrick Gold Corp......................................... 2,100 55,433 Canadian Pacific Ltd...................................... 7,300 133,148 Imperial Oil Canada Ltd................................... 2,900 104,992 Moore Corp. Ltd........................................... 1,800 33,821 Noranda, Inc.............................................. 2,800 57,743 Norcen Energy............................................. 2,500 37,579 Northern Telecom Ltd...................................... 1,400 59,924 Nova Corporation of Alberta............................... 4,300 34,682 Royal Bank of Canada...................................... 4,800 109,547 Seagram Co. Ltd........................................... 2,400 82,710 Thomson Corp.............................................. 6,500 90,556 TransCanada Pipelines Ltd................................. 4,000 55,360 ----------- 1,081,152 ----------- FRANCE -- 4.75% Accor..................................................... 760 98,524 Alcatel Alsthom........................................... 1,044 90,127 Banque Nationale de Paris................................. 3,280 148,152 Cep Communications........................................ 704 58,444 Cie Bancaire S.A.......................................... 680 76,195 Cie de Saint Gobain....................................... 1,228 136,093 Cie Fin de Suez........................................... 1,651 68,192 Colas..................................................... 330 55,331 Credit Local de France.................................... 1,803 144,517 GAN (b)................................................... 650 23,791 Generale des Eaux......................................... 1,534 153,350 LVMH (Moet-Hennessy Louis Vaitton)........................ 1,080 225,248 Michelin Class B (b)...................................... 2,010 80,267 Pechiney Cert D'Invest.................................... 1,350 51,067 Pechiney Cert D'Invest Warrants (b)....................... 1,350 3 Peuegot S.A............................................... 1,840 243,046 Sanofi.................................................... 1,344 86,264 Societe Generale.......................................... 1,562 193,230 Societe Nationale Elf Aquitaine........................... 1,950 143,860 Total Co. "B"............................................. 3,090 208,818 UAP....................................................... 3,219 84,183 ----------- 2,368,702 ----------- GERMANY -- 3.38% Allianz AG Holdings....................................... 115 226,256 BASF AG................................................... 390 88,011 Bayer..................................................... 390 103,760 Bayer Motoren Worken...................................... 170 87,892 Bayer Vereinsbank......................................... 2,000 60,085 Commerzbank............................................... 330 78,506 Daimler-Benz.............................................. 160 80,933 Deutsche Bank............................................. 4,950 235,517 Hoechst................................................... 340 92,643 Kaufhof Holding AG......................................... 205 $ 62,590 Mannesmann................................................. 430 137,145 Muenchener Rueckver........................................ 57 123,056 Muenchener Rueckver Warrants "98" (b)...................... 3 397 Preussag................................................... 260 73,388 RWE........................................................ 220 80,158 Schering................................................... 650 43,279 Veba....................................................... 2,650 113,679 ----------- 1,687,295 ----------- ITALY -- 1.57% Assic Generali............................................. 6,200 150,263 Eni ADR (c)................................................ 4,300 147,275 Fiat Spa Priv.............................................. 43,000 78,601 Instituto Mobilaire Italiano............................... 15,000 94,548 Italgas.................................................... 13,000 39,578 La Rinascente.............................................. 5,000 30,287 La Rinascente Savings (Risp)............................... 6,000 17,019 Mediobanca................................................. 2,800 19,405 Montedison (b)............................................. 44,000 29,509 Sai Di Risp................................................ 7,000 29,077 Telecom Italia............................................. 61,000 74,669 Telecom Italia Mobile (b).................................. 67,000 70,527 ----------- 780,758 ----------- JAPAN -- 14.96% Amada...................................................... 12,000 118,662 Asahi Glass Co. ........................................... 14,000 156,083 Bank of Tokyo.............................................. 7,000 122,831 Canon, Inc. ............................................... 10,000 181,289 Canon Sales................................................ 3,200 85,313 Citizen Watch Co. ......................................... 12,000 91,905 Dai Nippon Printing........................................ 11,000 186,621 Daiichi Pharmaceutical Co. Ltd............................. 4,000 57,004 Daikin Kogyo Co. .......................................... 13,000 127,290 Daiwa House Industries..................................... 6,000 98,885 Fanuc Co. ................................................. 3,200 138,672 Fujitsu.................................................... 7,000 78,042 Hitachi Ltd. .............................................. 18,000 181,483 Honda Motor Co. ........................................... 7,000 144,547 Inax....................................................... 12,000 114,009 Isetan..................................................... 4,000 65,923 Ito Yokado Co. ............................................ 6,000 369,947 Keio Teito Electric Railway ............................... 14,000 81,571 Kinki Nippon Railway ...................................... 14,000 105,865 Kirin Brewery Co. Ltd...................................... 8,000 94,619 Kuraray Co. Ltd. .......................................... 6,000 65,730 Maeda Road Construction.................................... 3,000 55,550 Marui Co................................................... 4,000 83,374 Matsushita Electric Industrial............................. 19,000 309,452 Mitsubishi Bank............................................ 5,000 117,790 Mitsubishi Paper........................................... 16,000 96,326 NGK Insulators............................................. 19,000 189,724 Nichii Co. ................................................ 9,000 119,535 Nintendo................................................... 1,100 83,713 Nippon Denso Co. .......................................... 8,000 149,685
- -------------------------------------------------------------------------------- 27 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
JAPAN (CONTINUED) SHARES VALUE -------- ----------- Nippon Meat Packers....................................... 7,000 $ 101,794 Nippon Steel Corp. ....................................... 10,000 34,319 Orix Corp. ............................................... 1,000 41,202 Osaka Gas Corp. .......................................... 48,000 166,127 Pioneer Electronics....................................... 5,000 91,614 Sankyo Co. Ltd. .......................................... 9,000 202,424 Secom Co. ................................................ 3,000 208,822 Seino Transportation...................................... 4,000 67,087 Sekisui House............................................. 23,000 294,329 Shimmaywa Industries Ltd.................................. 7,000 57,819 Sony Corp. ............................................... 3,400 204,033 Suisan Kaisah ............................................ 6,000 74,455 Sumitomo Bank ............................................ 12,000 254,775 Sumitomo Electric Industries.............................. 10,000 120,213 Takeda Chemical Industries................................ 13,000 214,251 TDK Corp.................................................. 3,000 153,272 Tokio Marine & Fire ...................................... 11,000 143,965 Tokyo Electric Power ..................................... 5,454 145,934 Tokyo Steel Mfg. ......................................... 9,000 165,778 Tonen Corp. .............................................. 6,000 87,833 Toray Industries, Inc. ................................... 48,000 316,432 Toshiba Corp. ............................................ 37,000 290,189 Toyota Motor Corp. ....................................... 4,000 84,924 Yamazaki Baking Co. Ltd................................... 4,000 74,454 ----------- 7,467,485 ----------- MALAYSIA -- 0.51% Genting................................................... 1,000 8,350 Hume Industries........................................... 4,000 19,220 Kuala Lumpur Kepong....................................... 8,000 25,364 Land & General Holdings................................... 9,000 19,496 Malayan Bank.............................................. 5,000 42,143 Nestle Malaysia........................................... 2,000 14,651 Sime Darby................................................ 14,000 37,219 Telekom Malaysia.......................................... 6,000 46,790 Tenaga Nasional........................................... 10,000 39,386 ----------- 252,619 ----------- NETHERLANDS -- 3.42% ABN-AMRO Holdings......................................... 4,772 217,613 D.S.M..................................................... 680 55,995 Internationale Nederlanden Groep NV....................... 4,075 272,514 KPN NV.................................................... 2,778 101,034 Philips Electronics....................................... 1,600 57,891 Royal Dutch Petroleum..................................... 3,600 503,506 Royal Dutch Petroleum NY Shares........................... 1,200 169,350 Unilever NV............................................... 1,750 246,179 VNU-Ver Ned Uitger........................................ 600 82,458 ----------- 1,706,540 ----------- NEW ZEALAND -- 1.14% Brierly Investment........................................ 141,000 111,539 Carter Holt Harvey........................................ 59,500 128,367 Fletcher Challenge Ltd.................................... 55,000 126,928 Fletcher Challenge Forest Division........................ 7,803 $ 11,121 Telecom Corp. of New Zeland Ltd........................... 26,000 112,186 Telecom Corp. of New Zealand Ltd. ADS (c)................. 1,100 76,312 ----------- 566,453 ----------- SPAIN -- 1.60% Banco Bilbao-Vizcaya...................................... 1,800 64,835 Banco Intercontinental.................................... 600 58,356 Banco Popular............................................. 300 55,315 Banco Santander........................................... 1,600 80,314 Empresa NAC Electric...................................... 1,350 76,444 Iberorola S.A............................................. 16,200 148,215 Repsol S.A................................................ 2,600 85,185 Sevillana de Electric..................................... 6,300 48,915 Telefonica de Espana...................................... 10,900 150,935 Viscofan.................................................. 2,300 27,299 ----------- 795,813 ----------- SWITZERLAND -- 1.37% Ciba Geigy (Reg.)......................................... 95 83,804 CS Holdings............................................... 696 71,530 Nestle (Reg.)............................................. 173 191,855 Roche Holdings Gen........................................ 18 142,752 Schweiz Bankgesellschaft.................................. 72 78,220 Societe Generale Surveillance (Br)........................ 27 53,737 Zurich Insurance.......................................... 203 60,868 ----------- 682,766 ----------- UNITED KINGDOM -- 9.38% Asda Group................................................ 26,000 44,605 Bass...................................................... 12,800 142,885 B.A.T. Industries PLC..................................... 16,000 140,972 BET PLC................................................... 24,500 48,308 Booker PLC................................................ 6,500 36,128 British Gas............................................... 53,500 210,977 British Petroleum......................................... 30,278 253,374 British Telecommunications................................ 52,000 285,794 Charter Group............................................. 7,236 96,952 Coats Viyella............................................. 25,000 67,924 FKI....................................................... 30,875 79,093 General Electric PLC...................................... 68,000 374,787 Glaxo Holdings............................................ 6,500 92,338 Grand Metropolitan........................................ 35,000 252,135 Guinness.................................................. 19,500 143,503 Hanson.................................................... 35,000 104,603 Hillsdown Holdings........................................ 25,000 65,595 House of Fraser........................................... 47,000 130,616 Legal and General......................................... 7,700 80,096 Lloyds Abbey Life......................................... 10,500 73,358 Lloyds TSB Group.......................................... 74,630 383,520 Lucas Industries.......................................... 15,500 43,557 Marks & Spencer........................................... 15,500 108,291 Mirror Group.............................................. 28,200 77,056 National Power............................................ 12,000 83,745 National Westminster Bank................................. 16,600 167,263
- -------------------------------------------------------------------------------- 28 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
UNITED KINGDOM--(CONTINUED) SHARES VALUE -------- ----------- Ocean Group............................................... 11,500 $ 69,275 P & O..................................................... 12,000 88,682 Reckitt & Colman.......................................... 8,500 94,093 Redland................................................... 6,500 39,256 RJB Mining PLC............................................ 5,000 42,540 Rolls Royce............................................... 37,400 109,744 Royal Insurance........................................... 11,900 70,576 Sears PLC................................................. 52,000 83,962 Sedgwick Group............................................ 11,000 20,664 SmithKline Beecham Units.................................. 9,900 107,899 Tesco..................................................... 34,000 156,777 Thames Water.............................................. 10,000 87,254 Unilever Ord 5P........................................... 3,000 61,621 W.H. Smith Group.......................................... 9,000 59,245 ----------- 4,679,063 ----------- Total Non-U.S. Equities................................... 24,048,292 ----------- Total Equities (Cost $41,929,255)....................................... $46,512,576 -----------
FACE AMOUNT VALUE -------- ----------- Short-Term Investments -- 2.52% U.S. GOVERNMENT OBLIGATIONS -- 0.49% U.S. Treasury Bills 5.275%, due 05/30/96.................. $250,000 $ 244,878 ----------- COMMERCIAL PAPER -- 2.03% Baxter International, Inc. 6.050%, due 01/02/96..................................... 514,000 513,914 Crown Cork & Seal Co., Inc. 6.060%, due 01/09/96..................................... 500,000 499,327 ----------- 1,013,241 ----------- Total Short-Term Investments (Cost $1,257,746)........................................ 1,258,119 ----------- Total Investments (Cost $43,187,001) -- 95.76% (a)......................... 47,770,695 ----------- Cash and other assets, less liabilities -- 4.24%.......... 2,116,641 ----------- Net Assets -- 100%........................................ $49,887,336 ===========
See accompanying notes to schedules of investments. - -------------------------------------------------------------------------------- 29 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a)Aggregate cost for federal income tax purposes was $43,187,001; and net unrealized appreciation consisted of: Gross unrealized appreciation................................. $5,660,488 Gross unrealized depreciation................................. (1,076,794) ---------- Net unrealized appreciation............................... $4,583,694 ==========
(b)Non-income producing security (c)Denominated in U.S. dollars FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4) The Global Equity Fund had the following open forward foreign currency contracts as of December 31, 1995:
SETTLEMENT LOCAL CURRENT UNREALIZED DATE CURRENCY VALUE GAIN/(LOSS) ---------- ------------- ---------- ----------- FORWARD FOREIGN CURRENCY BUY CONTRACTS British Pound............... 06/04/96 1,150,000 $1,770,355 $ 8,555 Canadian Dollar............. 06/04/96 6,100,000 4,470,443 (37,141) Italian Lira................ 06/04/96 1,500,000,000 927,128 8,320 Swedish Krone............... 06/04/96 6,750,000 1,006,562 (8,842) Swiss Franc................. 06/04/96 400,000 353,239 (3,617) FORWARD FOREIGN CURRENCY SALE CONTRACTS Belgian Franc............... 06/04/96 19,000,000 648,869 11,770 British Pound............... 06/04/96 1,150,000 1,770,355 7,114 Dutch Guilder............... 06/04/96 2,500,000 1,572,638 24,679 French Franc................ 06/04/96 11,250,000 2,309,981 5,302 German Mark................. 06/04/96 2,250,000 1,584,097 21,902 Japanese Yen................ 06/04/96 740,000,000 7,329,981 142,314 Swedish Krone............... 06/04/96 6,750,000 1,006,562 (20,008) Swiss Franc................. 06/04/96 1,100,000 971,408 11,481 -------- Total................... $171,829 ========
FUTURES CONTRACTS (NOTE 5) INDEX FUTURES CONTRACTS: The Global Equity Fund had the following open index futures contracts as of December 31, 1995:
SETTLEMENT CURRENT UNREALIZED DATE COST/PROCEEDS VALUE GAIN ---------- ------------- ---------- ---------- INDEX FUTURES BUY CONTRACTS Topix, 23 contracts............. March 1996 $3,250,218 $3,509,646 $259,428 INDEX FUTURES SALES CONTRACTS Standard & Poor's 500, 20 con- tracts......................... March 1996 6,252,000 6,184,500 67,500 -------- Total........................ $326,928 ========
The segregated cash and market value of investments pledged to cover margin requirements for the open futures positions at December 31, 1995 was $540,000 and $244,878 respectively. See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 30 GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $43,187,001) (Note 1)................. $47,770,695 Cash.............................................................. 541,499 Foreign currency, at value (Cost $456,324)........................ 457,770 Receivables: Investment securities sold....................................... 575,031 Dividends........................................................ 131,314 Fund shares sold................................................. 1,136 Due From Advisor (Note 2)........................................ 200,332 Variation Margin (Note 5)........................................ 381,325 Unrealized appreciation on forward foreign currency contracts.... 171,829 Deferred organization costs, net of amortization (Note 1)......... 8,354 Other assets...................................................... 2,000 ----------- TOTAL ASSETS................................................... 50,241,285 ----------- LIABILITIES: Payables: Investment securities purchased.................................. 94,731 Accrued expenses................................................. 259,218 ----------- TOTAL LIABILITIES.............................................. 353,949 ----------- NET ASSETS......................................................... $49,887,336 =========== NET ASSETS CONSIST OF: Paid in capital (Note 7).......................................... $43,829,785 Accumulated undistributed net investment income................... 135,636 Accumulated net realized gain..................................... 840,052 Net unrealized appreciation....................................... 5,081,863 ----------- NET ASSETS..................................................... $49,887,336 =========== OFFERING PRICE PER SHARE: Brinson Class: Net asset value, offering price and redemption price per share (Based on net assets of $23,255,087 and 2,177,398 shares issued and outstanding) (Note 7)....................................... $ 10.68 =========== SwissKey Class: Net asset value, offering price and redemption price per share (Based on net assets of $26,632,249 and 2,494,075 shares issued and outstanding) (Note 7)....................................... $ 10.68 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 31 GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME: Dividends (net of $28,115 for foreign taxes withheld)............. $ 407,714 Interest.......................................................... 50,034 ---------- TOTAL INCOME................................................... 457,748 ---------- EXPENSES: Advisory (Note 2)................................................. 175,156 Custodian......................................................... 100,000 Distribution (Note 6)............................................. 82,708 Accounting........................................................ 54,946 Professional...................................................... 54,574 Printing.......................................................... 38,644 Amortization of organization costs (Note 1)....................... 1,404 Other............................................................. 68,198 ---------- TOTAL EXPENSES................................................. 575,630 Expenses deferred and reimbursed by Advisor (Note 2)........... (273,977) ---------- NET EXPENSES................................................... 301,653 ---------- NET INVESTMENT INCOME ......................................... 156,095 ---------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments...................................................... 3,890,805 Futures contracts................................................ (463,130) Foreign currency transactions.................................... 1,519,282 ---------- Net realized gain.............................................. 4,946,957 ---------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency................................. 3,724,923 Futures contracts................................................ 353,828 Forward contracts................................................ 221,046 Translation of other assets and liabilities denominated in for- eign currency................................................... (501) ---------- Change in net unrealized appreciation or depreciation.......... 4,299,296 ---------- Net realized and unrealized gain................................... 9,246,253 ---------- Net increase in net assets resulting from operations............... $9,402,348 ==========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 32 GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
YEAR SIX MONTHS ENDED ENDED DECEMBER 31, 1995 JUNE 30, (UNAUDITED) 1995 ----------------- ----------- OPERATIONS: Net investment income.......................... $ 156,095 $ 361,529 Net realized gain (loss)....................... 4,946,957 (947,502) Change in net unrealized appreciation or depreciation.................................. 4,299,296 1,778,802 ----------- ----------- Net increase in net assets resulting from oper- ations........................................ 9,402,348 1,192,829 ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income....... (153,514) (72,633) Distributions from net realized gain........... (3,021,585) -- Distributions in excess of net realized gain... -- (198,395) ----------- ----------- Total distributions to shareholders*........... (3,175,099) (271,028) ----------- ----------- CAPITAL SHARE TRANSACTIONS: Shares sold.................................... 23,863,166 133,064 Shares issued on reinvestment of distributions. 3,155,021 271,028 Shares redeemed................................ (4,063,665) (1,262,526) ----------- ----------- Net increase (decrease) in net assets resulting from capital share transactions (Note 7)......................... 22,954,522 (858,434) ----------- ----------- TOTAL INCREASE IN NET ASSETS................ 29,181,771 63,367 ----------- ----------- NET ASSETS: Beginning of period............................ 20,705,565 20,642,198 ----------- ----------- End of period (including accumulated undistrib- uted net investment income of $135,636 and $59,734, respectively)........................ $49,887,336 $20,705,565 =========== =========== *DISTRIBUTIONS BY CLASS: Distributions from net investment income: Brinson Class.................................. $ (153,514) $ (72,633) SwissKey Class................................. -- -- Distributions from and in excess of net realized gain: Brinson Class.................................. (1,399,995) (198,395) SwissKey Class................................. (1,621,590) -- ----------- ----------- $(3,175,099) $ (271,028) =========== ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 33 GLOBAL EQUITY FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
SIX MONTHS ENDED YEAR JANUARY 28, 1994* DECEMBER 31, 1995 ENDED THROUGH BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994 - -------------------------------------------------------------------------------- Net asset value, beginning of period...................... $ 9.93 $ 9.49 $ 10.00 ------- ------- ------- Income from investment oper- ations: Net investment income (loss)..................... (0.05) 0.18 0.07 Net realized and unrealized gain (loss)................ 1.57 0.39 (0.54) ------- ------- ------- Total income (loss) from investment operations... 1.52 0.57 (0.47) ------- ------- ------- Less distributions: Distributions from net in- vestment income............ (0.08) (0.04) (0.04) Distributions from and in excess of net realized gain....................... (0.69) (0.09) -- ------- ------- ------- Total distributions...... (0.77) (0.13) (0.04) ------- ------- ------- Net asset value, end of peri- od.......................... $ 10.68 $ 9.93 $ 9.49 ======= ======= ======= Total return (non- annualized)................. 15.39% 6.06% (4.70%) Ratios/Supplemental data Net assets, end of period (in 000s).................. $23,255 $20,706 $20,642 Ratio of expenses to average net assets: Before expense reimburse- ment...................... 2.26%** 2.06% 2.65%** After expense reimburse- ment...................... 1.00%** 1.00% 1.00%** Ratio of net investment in- come to average net assets: Before expense reimburse- ment...................... (0.16%)** 0.71% 0.24%** After expense reimburse- ment...................... 1.10%** 1.77% 1.89%** Portfolio turnover rate..... 59% 36% 21%
* Commencement of investment operations ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 34 GLOBAL EQUITY FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
JULY 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $ 10.35 ------- Income from investment operations: Net investment loss.......................................... (0.16) Net realized and unrealized gain............................. 1.18 ------- Total income from investment operations................... 1.02 ------- Less distributions: Distributions from net investment income..................... -- Distributions from net realized gain......................... (0.69) Distributions in excess of net realized gain................. -- ------- Total distributions....................................... (0.69) ------- Net asset value, end of period................................ $ 10.68 ======= Total return (non-annualized)................................. 9.93% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $26,632 Ratio of expenses to average net assets: Before expense reimbursement................................ 3.02%** After expense reimbursement................................. 1.76%** Ratio of net investment income to average net assets: Before expense reimbursement................................ (0.92%)** After expense reimbursement................................. 0.34%** Portfolio turnover rate...................................... 59%
* Commencement of SwissKey Class distribution ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 35 GLOBAL BOND FUND - -------------------------------------------------------------------------------- LOGO The Global Bond Fund is an actively managed portfolio that provides integrated asset management across and within world fixed income markets. The investment process is strategic in nature and is driven by deviations of market price from fundamental value. This philosophy offers the greatest potential for achieving enhanced long-term returns, while maintaining control of risk. The Brinson Global Bond Fund has provided an annualized return of 8.05% since July 31, 1993 (performance inception date). Its benchmark, the Salomon World Government Bond Index, returned 10.37%; on a currency hedged basis, the benchmark returned 7.48%. In 1995, the Fund returned 20.32%, while the benchmark returned 19.04%. In the second half of 1995, the Fund produced a return of 9.19% compared to the 1.87% return of the benchmark. Market and currency allocation and bond management strategies all contributed positively to portfolio performance in 1995. Market allocation contributions were broadly derived from European and Canadian bond market overweights against U.S. and Japanese underweights. The yen underweight provided for the currency allocation contribution. Bond management added value in nearly every country. The foundation for the bond market strength was established in 1994 as global bond prices retreated from historically high levels. Yield increases, built on fears of higher inflation and excessive demand for capital, created large discrepancies between prices and fundamental values. These discrepancies were largely erased during 1995 as economies began to languish and inflation fears evaporated. During the course of the year global bondmarkets staged an almost uninterrupted rally. The year's hedged return of 17.83% was the largest calendar year return since 1982. No single market provided a negative return and the Dutch market, the Fund's largest overweight during the year, paced the index with a U.S. dollar hedged return of 20.36%. Currency movements, especially the Japanese yen, contributed significantly to index volatility during the year. The yen appreciated by more than 20% early in the year, reaching a peak of 80 yen/U.S. dollar in mid-April. It depreciated through the rest of the year to end about unchanged at roughly 100 yen/U.S. dollar. The yen underweight and U.S. dollar overweight added value through the extreme interest rate differential between the U.S. and Japan. A partial offset to this value-added came from underweights of the core European currencies. These currencies appreciated in the early part of 1995, but, unlike the yen, remained steady for the year's duration. The European currencies as well as the yen ended the year overpriced relative to fundamental value. Consequently, the Fund remains underweighted in these currencies with offsetting overweights in the U.S. and Canadian dollars. Bond management added value in nearly every country. In the U.S., added value is attributable to non-government debt exposures. Long duration strategies in most non-U.S. markets added to relative performance in 1995. ------------------------------------------------------------ 36 GLOBAL BOND FUND - -------------------------------------------------------------------------------- LOGO TOTAL RETURN
6 months 1 year Annualized ended ended 7/31/93* 12/31/95 12/31/95 to 12/31/95 - --------------------------------------------------------------------------- BRINSON GLOBAL BOND FUND 9.19% 20.32% 8.05% Salomon World Government Bond Index (currency unhedged) 1.87 19.04 10.37 Salomon World Government Bond Index (currency hedged) 7.12 17.83 7.48 - ---------------------------------------------------------------------------
*Performance inception date of the Brinson Global Bond Fund. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000 This chart shows the growth in the value of an investment in the Brinson Global Bond Fund and the Salomon World Government Bond Index (currency unhedged and hedged) if you had invested $100,000 on July 31, 1993, and had reinvested all your income dividends and capital gain distributions through December 31, 1995. 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 VS. SALOMON WORLD GOVERNMENT BOND INDEX (CURRENCY UNHEDGED AND HEDGED) Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] - ------------------------------------------------------------------ 7/31/93 12/31/94 ------- -------- Brinson Global Bond Fund $100,000 $120,612 Salomon World Gov't. Bond Index (currency unhedged) $100,000 $126,918 Salomon World Gov't. Bond Index (currency hedged) $100,000 $119,043 7/31/93 = $100,000 Data through 12/31/94 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. ------------------------------------------------------------- 37 GLOBAL BOND FUND - -------------------------------------------------------------------------------- LOGO ASSET ALLOCATION As of December 31, 1995 (Unaudited)
Current Benchmark Strategy - ------------------------------- U.S. 34.3% 28.3% Japan 19.9 7.4 Australia 1.0 0.0 Austria 0.8 0.0 Belgium 2.7 3.0 Canada 2.9 6.6 Denmark 1.7 6.4 France 7.2 11.3 Germany 10.6 15.2 Italy 5.9 3.7 Netherlands 3.5 8.6 Spain 2.4 3.6 Sweden 1.8 0.0 U.K. 5.3 5.9 - ------------------------------- 100.0% 100.0%
INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- U.S. BONDS Corporate Bonds Asset-backed........................................................... 1.34% CMO.................................................................... 0.18 Consumer............................................................... 1.58 Financial.............................................................. 2.71 Floating rate.......................................................... 0.65 Industrial............................................................. 0.70 Telecommunications..................................................... 0.75 Transportation......................................................... 0.26 Yankee................................................................. 0.79 ------ 8.96 International Dollar Bonds............................................. 0.36 U.S. Government Agencies............................................... 9.36 U.S. Government Obligations............................................ 7.86 ------ Total U.S. Bonds..................................................... 26.54 ------ NON-U.S. BONDS Foreign Financial Bonds................................................. 32.11 Foreign Government Bonds................................................ 32.93 ------ Total Non-U.S. Bonds................................................. 65.04 ------ SHORT-TERM INVESTMENTS.................................................. 4.83 ------ TOTAL INVESTMENTS.................................................... 96.41 CASH AND OTHER ASSETS, LESS LIABILITIES................................. 3.59 ------ NET ASSETS........................................................... 100.00% ====== - --------------------------------------------------------------------------------
CURRENCY ALLOCATION As of December 31, 1995 (Unaudited)
Current Benchmark Strategy - ------------------------------- U.S. 34.3% 67.9% Japan 19.9 0.0 Australia 1.0 3.2 Austria 0.8 0.0 Belgium 2.7 0.0 Canada 2.9 11.5 Denmark 1.7 0.0 France 7.2 0.0 Germany 10.6 0.0 Italy 5.9 8.5 Netherlands 3.5 0.0 Spain 2.4 3.6 Sweden 1.8 0.0 U.K. 5.3 5.3 - ------------------------------- 100.0% 100.0%
------------------------------------------------------------ 38 GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------- ----------- Bonds -- 91.58% U.S. BONDS -- 26.54% U.S. CORPORATE BONDS -- 8.96% Burlington Northern Santa Fe 7.000%, due 12/15/25................................... $ 100,000 $ 98,778 Chrysler Financial Corp. 6.007%, due 07/31/97................................... 150,000 150,042 6.500%, due 08/21/97................................... 165,000 167,034 Dayton Hudson Credit Card Trust 95-1A 6.100%, due 09/25/98................................... 100,000 101,605 Farmers Insurance Exchange 144-A 8.625%, due 05/01/24................................... 250,000 253,547 Ford Credit Grantor Trust 95-b 5.900%, due 10/15/00................................... 102,133 102,046 Ford Credit Auto Lease Trust 6.350%, due 10/15/98................................... 200,000 201,250 GMAC MTN 6.750%, due 06/10/02................................... 200,000 206,192 Green Tree Financial 94-2 8.300%, due 05/15/19................................... 25,000 27,649 Green Tree Acceptance Corp. 94-A 6.900%, due 02/15/04................................... 40,199 40,319 Korean Development Bank 6.500%, due 11/15/02................................... 295,000 299,201 News America Corp. 7.750%, due 01/20/24................................... 275,000 285,264 Republic Bank of New York Corp. FRN 3.942%, due 12/29/02................................... 255,000 247,350 RJR Nabisco, Inc. 8.625%, due 12/01/02................................... 250,000 259,312 Standard Credit Card Trust 94-1A 4.650%, due 02/07/97................................... 250,000 247,920 The Money Store 94-A3 5.525%, due 05/15/97................................... 105,000 103,786 Time Warner, Inc. 9.125%, due 01/15/13................................... 210,000 236,281 USX Corp. 9.800%, due 07/01/01................................... 145,000 167,304 8.500%, due 03/01/23................................... 90,000 98,785 Woolworth Corp. 7.000%, due 10/15/02................................... 105,000 107,341 ----------- 3,401,006 ----------- INTERNATIONAL DOLLAR BONDS -- 0.36% Republic of South Africa 9.625%, due 12/15/99................................... 125,000 135,000 ----------- U.S. GOVERNMENT AGENCIES -- 9.36% Federal Home Loan Mortgage Corp. 7.000%, due 04/15/07................................... 180,831 182,187 7.000%, due 10/15/21................................... 200,000 199,813 7.500%, due 07/15/22................................... 130,000 136,462 Federal Home Loan Mortgage Corp. Gold 9.000%, due 05/01/24................................... 407,235 430,725 8.500%, due 08/01/24................................... 231,607 241,668 Federal National Mortgage Association 6.240%, due 01/28/04................................... 75,000 74,620 7.400%, due 07/01/04................................... $ 305,000 $ 336,301 7.000%, due 06/17/17................................... 80,000 82,599 9.000%, due 08/01/21................................... 39,575 42,076 8.500%, due 07/01/22................................... 27,713 29,173 7.000%, due 09/01/24................................... 275,000 277,149 7.500%, due 05/01/25................................... 426,419 436,814 Government National Mortgage Association 9.000%, due 12/15/09................................... 272,604 288,685 9.000%, due 12/15/17................................... 195,593 208,232 8.000%, due 12/15/22................................... 197,188 204,551 7.000%, due 09/15/24................................... 105,000 107,953 5.500%, due 10/20/25................................... 210,400 210,463 Tennessee Valley Authority 6.875%, due 12/15/43................................... 65,000 64,451 ----------- 3,553,922 ----------- U.S. GOVERNMENT OBLIGATIONS -- 7.86% U.S. Treasury Bond 8.125%, due 05/15/21................................... 265,000 335,391 U.S. Treasury Coupon Strips 0.000%, due 11/15/19................................... 920,000 208,840 U.S. Treasury Notes 6.625%, due 03/31/97................................... 710,000 722,203 5.500%, due 11/15/98................................... 410,000 412,947 6.250%, due 08/31/00................................... 755,000 781,425 7.250%, due 05/15/04................................... 435,000 483,938 U.S. Treasury Principal Strips 0.000%, due 05/15/20................................... 170,000 37,675 ----------- 2,982,419 ----------- Total U.S. Bonds........................................ 10,072,347 ----------- NON-U.S. BONDS -- 65.04% BELGIUM -- 2.78% Kingdom of Belgium 8.750%, due 06/25/02............................... BEF 14,000,000 542,572 9.000%, due 03/28/03................................... 13,000,000 510,620 ----------- 1,053,192 ----------- CANADA -- 6.25% Quebec Province 7.500%, due 12/01/03............................... CAD 1,600,000 1,162,194 Government of Canada 4.250%, due 12/01/21................................... 1,600,000 1,211,132 ----------- 2,373,326 ----------- DENMARK -- 5.87% Kingdom of Denmark 9.000%, due 11/15/00............................... DKR 2,200,000 441,620 Great Belt 7.000%, due 09/02/03................................... 9,900,000 1,786,326 ----------- 2,227,946 -----------
- -------------------------------------------------------------------------------- 39 GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
FACE AMOUNT VALUE ---------------- ----------- FRANCE -- 10.95% Eurofima 8.625%, due 09/01/99............................. FRF 5,100,000 $ 1,138,626 Government of France (OAT) 8.500%, due 12/26/12............................. 3,600,000 841,148 8.500%, due 04/25/23............................. 2,400,000 554,779 KFW International Finance 7.750%, due 02/17/98............................. 1,600,000 342,494 Republic of Finland 9.000%, due 08/13/03............................. 5,500,000 1,276,428 ----------- 4,153,475 ----------- GERMANY -- 14.18% Bundesrepublik Deutscheland 8.000%, due 07/22/02............................. DEM 700,000 552,058 6.250%, due 01/04/24............................. 450,000 292,863 Deutsche Bundesbahn 9.000%, due 12/01/00............................. 900,000 727,835 6.125%, due 10/28/03............................. 400,000 280,444 European Economic Community 6.500%, due 03/10/00............................. 2,950,000 2,176,483 Kingdom of Norway 6.125%, due 05/05/98............................. 1,040,000 757,856 LKB Baden-Wurt Finance 6.500%, due 09/15/08............................. 850,000 590,600 ----------- 5,378,139 ----------- ITALY -- 3.06% Deutsche Bank 11.750%, due 02/23/98............................ ITL 900,000,000 589,273 European Investment Bank 12.750%, due 02/15/00............................ 280,000,000 190,830 Nordic Investment Bank 10.800%, due 05/24/03............................ 600,000,000 381,975 ----------- 1,162,078 ----------- JAPAN -- 7.75% Government of Japan No. 130 6.700%, due 06/20/00............................. JPY 80,000,000 936,345 Government of Japan No. 140 6.600%, due 06/20/01............................. 24,000,000 284,347 International Bank of Reconstruction & Development 4.750%, due 12/20/04............................. 104,000,000 1,151,915 Republic of Italy 3.500%, due 06/20/01............................. 56,000,000 569,704 ----------- 2,942,311 ----------- NETHERLANDS -- 5.75% Austria Republic 6.250%, due 02/28/24.............................. NLG 825,000 $ 465,767 Government of Nederlands 8.500%, due 06/01/06.............................. 325,000 238,833 8.250%, due 09/15/07.............................. 820,000 593,388 Rabobank 6.750%, due 06/25/03.............................. 1,350,000 885,122 ----------- 2,183,110 ----------- SPAIN -- 3.02% European Investment Bank 11.250%, due 03/15/00............................. SPN 130,000,000 1,147,857 ----------- 1,147,857 ----------- UNITED KINGDOM -- 5.43% Abbey National 8.750%, due 05/24/04.............................. GBP 400,000 645,862 British Gas PLC 8.125%, due 03/31/03.............................. 640,000 1,007,844 UK Treasury 8.000%, due 06/10/03.............................. 80,000 129,832 8.500%, due 12/07/05.............................. 165,000 275,305 ----------- 2,058,843 ----------- Total Non-U.S. Bonds............................... 24,680,277 ----------- Total Bonds (Cost $32,227,439)................................ 34,752,624 ----------- Short-Term Investments -- 4.83% COMMERCIAL PAPER -- 4.83% Crown Cork & Seal Co., Inc. 6.060%, due 01/09/96.............................. 400,000 399,461 General American Transportation Corp. 6.200%, due 01/18/96.............................. 400,000 398,829 Trinova Corp. 6.200%, due 01/10/96.............................. 500,000 499,225 Whitman Corp. 5.950%, due 01/02/96.............................. 534,000 533,912 ----------- Total Short-Term Investments (Cost $1,831,427)................................. 1,831,427 ----------- Total Investments (Cost $34,058,866) -- 96.41% (a) 36,584,051 ----------- Cash and other assets, less liabilities -- 3.59%......................... 1,362,418 ----------- Net Assets -- 100%................................. $37,946,469 ===========
See accompanying notes to schedule of investments. - -------------------------------------------------------------------------------- 40 GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a)Aggregate cost for federal income tax purposes was $34,058,866; and net unrealized appreciation consisted of: Gross unrealized appreciation................................. $2,566,208 Gross unrealized depreciation................................. (41,023) ---------- Net unrealized appreciation................................ $2,525,185 ==========
FRN: Floating Rate Note--The rate disclosed is that in effect at December 31, 1995. MTN: Medium Term Note FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4) The Global Bond Fund had the following open forward foreign currency contracts as of December 31, 1995:
SETTLEMENT LOCAL CURRENT UNREALIZED DATE CURRENCY VALUE GAIN/(LOSS) ---------- ------------- ---------- ---------- FORWARD FOREIGN CURRENCY BUY CONTRACTS Australian Dollar....... 06/05/96 1,690,000 $1,251,986 $ 1,471 British Pound........... 06/05/96 1,000,000 1,539,210 14,144 Canadian Dollar......... 06/05/96 2,600,000 1,905,418 (20,259) Dutch Guilder........... 06/04/96 1,500,000 943,583 2,005 Italian Lira............ 06/05/96 3,000,000,000 1,854,030 14,160 Swedish Krone........... 06/05/96 6,800,000 1,013,943 (13,434) FORWARD FOREIGN CURRENCY SALE CONTRACTS Belgian Franc........... 06/05/96 31,000,000 1,058,709 22,032 British Pound........... 06/05/96 1,000,000 1,539,354 13,096 Danish Kroner........... 06/04/96 12,500,000 2,262,418 31,623 Dutch Guilder........... 06/05/96 5,000,000 3,145,432 58,361 French Franc............ 06/05/96 19,000,000 3,892,369 20,195 German Mark............. 06/05/96 7,500,000 5,280,585 75,594 Japanese Yen............ 06/05/96 300,000,000 2,971,990 68,633 Sweden Krone............ 06/05/96 6,800,000 1,013,943 (19,732) -------- Total................ $267,889 ========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 41 GLOBAL BOND FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $34,058,866) (Note 1)................ $36,584,051 Cash............................................................. 10,721 Foreign currency, at value (Cost $528,746)....................... 533,662 Receivables: Investment securities sold...................................... 131,666 Interest........................................................ 970,606 Fund shares sold................................................ 50 Due from Advisor (Note 2)....................................... 120,218 Net unrealized appreciation on forward foreign currency con- tracts......................................................... 267,889 Deferred organization costs, net of amortization (Note 1)........ 7,245 Other assets..................................................... 858 ----------- TOTAL ASSETS.................................................. 38,626,966 ----------- LIABILITIES: Payables: Investment securities purchased................................. 514,286 Accrued expenses................................................ 166,211 ----------- TOTAL LIABILITIES............................................. 680,497 ----------- NET ASSETS........................................................ $37,946,469 =========== NET ASSETS CONSIST OF: Paid in capital (Note 7)......................................... $36,504,078 Accumulated undistributed net investment income.................. 311,700 Accumulated net realized loss.................................... (1,666,332) Net unrealized appreciation...................................... 2,797,023 ----------- NET ASSETS.................................................... $37,946,469 =========== OFFERING PRICE PER SHARE: Brinson Class: Net asset value, offering price and redemption price per share (Based on net assets of $36,184,017 and 3,619,391 shares issued and outstanding) (Note 7)....................................... $ 10.00 =========== SwissKey Class: Net asset value, offering price and redemption price per share (Based on net assets of $1,762,452 and 176,423 shares issued and outstanding) (Note 7)........................................... $ 9.99 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 42 GLOBAL BOND FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME: Interest.......................................................... $1,364,857 ---------- TOTAL INCOME................................................... 1,364,857 ---------- EXPENSES: Advisory (Note 2)................................................. 151,282 Custodian......................................................... 57,000 Accounting........................................................ 53,023 Professional...................................................... 38,391 Printing.......................................................... 24,900 Amortization of organization costs (Note 1)....................... 7,413 Distribution (Note 6)............................................. 1,925 Other............................................................. 60,754 ---------- TOTAL EXPENSES................................................. 394,688 Expenses deferred and reimbursed by Advisor (Note 2)........... (211,225) ---------- NET EXPENSES................................................... 183,463 ---------- NET INVESTMENT INCOME.......................................... 1,181,394 ---------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain on: Investments...................................................... 1,131,117 Foreign currency transactions.................................... 715,863 ---------- Net realized gain............................................... 1,846,980 ---------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency................................. (489,604) Forward contracts................................................ 988,559 Translation of other assets and liabilities denominated in for- eign currency................................................... (24,839) ---------- Change in net unrealized appreciation or depreciation........... 474,116 ---------- Net realized and unrealized gain.................................. 2,321,096 ---------- Net increase in net assets resulting from operations.............. $3,502,490 ==========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 43 GLOBAL BOND FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
YEAR SIX MONTHS ENDED ENDED DECEMBER 31, 1995 JUNE 30, (UNAUDITED) 1995 ----------------- ----------- OPERATIONS: Net investment income.......................... $ 1,181,394 $ 2,663,927 Net realized gain (loss)....................... 1,846,980 (467,411) Change in net unrealized appreciation or depre- ciation ...................................... 474,116 2,879,443 ----------- ----------- Net increase in net assets resulting from oper- ations........................................ 3,502,490 5,075,959 ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income Brinson Class................................. (4,048,340) (1,146,710) SwissKey Class................................ (192,535) -- Distributions from net realized gains Brinson Class................................. (338,786) -- SwissKey Class................................ (16,271) -- ----------- ----------- Total distributions to shareholders............ (4,595,932) (1,146,710) ----------- ----------- CAPITAL SHARE TRANSACTIONS: Shares sold.................................... 1,828,373 15,734,111 Shares issued on reinvestment of distributions. 3,493,217 824,053 Shares redeemed................................ (18,144,197) (5,474,354) ----------- ----------- Net increase (decrease) in net assets resulting from capital share transactions (Note 7)...... (12,822,607) 11,083,810 ----------- ----------- TOTAL INCREASE (DECREASE) IN NET ASSETS..... (13,916,049) 15,013,059 ----------- ----------- NET ASSETS: Beginning of period............................ 51,862,518 36,849,459 ----------- ----------- End of period (including accumulated undistrib- uted net investment income of $311,700 and $1,095,344, respectively)..................... $37,946,469 $51,862,518 =========== ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 44 GLOBAL BOND FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
SIX MONTHS ENDED YEAR JULY 30, 1993* DECEMBER 31, 1995 ENDED THROUGH BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994 - ------------------------------------------------------------------------------- Net asset value, beginning of period......................... $ 10.39 $ 9.55 $ 10.00 ------- ------- ------- Income (loss) from investment operations: Net investment income ......... 0.88 0.50 0.45 Net realized and unrealized gain (loss)................... 0.07 0.58 (0.52) ------- ------- ------- Total income (loss) from in- vestment operations........ 0.95 1.08 (0.07) ------- ------- ------- Less distributions: Distributions from net invest- ment income................... (1.24) (0.24) (0.28) Distributions from and in ex- cess of net realized gain..... (0.10) -- (0.10) ------- ------- ------- Total distributions......... (1.34) (0.24) (0.38) ------- ------- ------- Net asset value, end of period.. $ 10.00 $ 10.39 $ 9.55 ======= ======= ======= Total return (non-annualized)... 9.19% 11.34% (0.79%) Ratios/Supplemental data Net assets, end of period (in 000s)......................... $36,184 $51,863 $36,849 Ratio of expenses to average net assets: Before expense reimbursement.. 1.96%** 1.43% 1.78%** After expense reimbursement... 0.90%** 0.90% 0.90%** Ratio of net investment income to average net assets: Before expense reimbursement.. 4.88%** 5.53% 4.03%** After expense reimbursement... 5.94%** 6.06% 4.91%** Portfolio turnover rate........ 88% 199% 189%
* Commencement of investment operations ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 45 GLOBAL BOND FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
JULY 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $10.56 ------ Income from investment operations: Net investment income........................................ 0.85 Net realized and unrealized loss............................. (0.10) ------ Total income from investment operations................... 0.75 ------ Less distributions: Distributions from net investment income..................... (1.22) Distributions from net realized gain......................... (0.10) ------ Total distributions....................................... (1.32) ------ Net asset value, end of period................................ $ 9.99 ====== Total return (non-annualized)................................. 7.22% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $1,762 Ratio of expenses to average net assets: Before expense reimbursement................................ 2.45%** After expense reimbursement................................. 1.39%** Ratio of net investment income to average net assets: Before expense reimbursement................................ 4.39%** After expense reimbursement................................. 5.45%** Portfolio turnover rate...................................... 88%
* Commencement of SwissKey Class distribution ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 46 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 ten series: Global Fund, Global Equity Fund, Global Bond Fund, Short-Term Global Income Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Bond Fund, U.S. Cash Management Fund, Non-U.S. Equity Fund and Non-U.S. Bond Fund. Each Fund has outstanding two classes of shares, Brinson Class and SwissKey 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 following is a summary of significant accounting policies consistently followed by the Global Fund, the Global Equity Fund and the Global Bond Fund (each a "Fund" and collectively, the "Funds") in the preparation of their financial statements. A. INVESTMENT VALUATION: Securities for which 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. 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. Fixed income/debt securities are valued by using market quotations or independent services that use prices provided by market makers or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics. Futures contracts are valued at the settlement price established each day on the exchange on which they are traded. Forward 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 at the bid prices of such currencies against the U.S. dollar as of the date of valuation. Purchases and sales of portfolio securities, commitments under forward foreign currency contracts, income receipts and expense accruals are translated at the prevailing exchange rate on the date of each transaction. Realized and unrealized foreign exchange gains or losses on investments are included as a component of net realized and unrealized gain or loss 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 have met the requirements of the Code applicable to regulated investment companies for the six months ended December 31, 1995. Therefore, no federal income tax provision was required. At December 31, 1995, the Global Equity Fund had a capital loss carryforward of approximately $1,069,000, of which $251,000 will expire on June 30, 2003 and $818,000 will expire on June 30, 2004 and the Global Bond Fund had a capital loss carryforward of approximately $55,000 which will expire on June 30, 2004. F. ORGANIZATION COSTS: Organization costs are being amortized on a straight-line basis over five years from each Fund's respective commencement of operations. G. 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 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 - -------------------------------------------------------------------------------- 47 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- share between the classes are due to different class expenses. Amounts equal to 17.54% and 100.00% of the amount taxable as ordinary income qualify for the dividends received deduction available to corporate shareholders for the Global Fund and the Global Equity Fund, respectively. H.INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by the Fund, will be borne on a pro rata basis by each of the classes except that the Brinson Class shares will not incur any of the 12b-1 expenses. 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, the Funds pay 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 total annualized expenses exceed a specified percentage of each Fund's respective average daily net assets. Investment advisory fees and other transactions with affiliates, for the six months ended December 31, 1995, were as follows:
FEES ADVISORY BRINSON CLASS SWISSKEY CLASS ADVISORY DEFERRED AND/OR DUE FROM FEE EXPENSE CAP EXPENSE CAP FEES REIMBURSED ADVISOR -------- ------------- -------------- ---------- --------------- -------- Global Fund............. 0.80% 1.10% 1.75% $1,610,179 $ -- $ -- Global Equity Fund...... 0.80 1.00 1.76 175,156 273,977 200,332 Global Bond Fund........ 0.75 0.90 1.39 151,282 211,225 120,218
Certain officers of the Funds are also officers and directors of the Advisor. All officers serve without direct compensation from the Funds. Trustees' fees paid to unaffiliated trustees were $5,790, $2,139 and $2,266 for the Brinson Global Fund, Brinson Global Equity Fund and Brinson Global Bond Fund, respectively. 3.INVESTMENT TRANSACTIONS Investment transactions for the six months ended December 31, 1995, excluding short-term investments, are as follows:
PROCEEDS PURCHASES FROM SALES ------------ ------------ Global Fund........................................... $335,226,000 $293,096,250 Global Equity Fund.................................... 41,086,752 24,255,982 Global Bond Fund...................................... 32,218,194 41,468,914
4.FORWARD FOREIGN CURRENCY CONTRACTS The Funds engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. Foward 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 the Fund on a foward 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 at December 31, 1995 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 - -------------------------------------------------------------------------------- 48 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- illiquid market and 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 in an amount (initial margin) based on the number of open contracts. 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. 6.DISTRIBUTION PLAN The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940 (the "Act"). The Plan governs payments made for the expenses incurred in the promotion and distribution of the SwissKey Class of shares. Annual fees under the Plan of 0.65%, 0.76% and 0.49% of the average daily net assets of the SwissKey Class of the Global Fund, Global Equity Fund and Global Bond Fund, respectively, are accrued daily. 7.CAPITAL TRANSACTIONS Capital stock transactions were as follows:
GLOBAL FUND --------------------------------------------- SIX MONTHS ENDED DECEMBER 31, 1995 YEAR ENDED (UNAUDITED) JUNE 30, 1995 --------------------- ----------------------- SHARES VALUE SHARES VALUE --------- ----------- ---------- ------------ Sales: Brinson Class.................... 4,859,379 $57,939,772 11,726,672 $124,484,442 SwissKey Class................... 147,037 1,780,070 -- -- --------- ----------- ---------- ------------ Total Sales................... 5,006,416 $59,719,842 11,726,672 $124,484,442 ========= =========== ========== ============ Dividend Reinvestment: Brinson Class.................... 2,228,457 $26,028,383 960,415 $ 10,276,565 SwissKey Class................... 9,533 111,252 -- -- --------- ----------- ---------- ------------ Total Dividend Reinvestment... 2,237,990 $26,139,635 960,415 $ 10,276,565 ========= =========== ========== ============ Redemptions: Brinson Class.................... 2,907,523 $34,785,958 7,205,445 $ 77,406,972 SwissKey Class................... 86 1,026 -- -- --------- ----------- ---------- ------------ Total Redemptions............. 2,907,609 $34,786,984 7,205,445 $ 77,406,972 ========= =========== ========== ============
- -------------------------------------------------------------------------------- 49 THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS - --------------------------------------------------------------------------------
GLOBAL EQUITY FUND ------------------------------------------- SIX MONTHS ENDED DECEMBER 31, 1995 YEAR ENDED (UNAUDITED) JUNE 30, 1995 --------------------- --------------------- SHARES VALUE SHARES VALUE --------- ----------- --------- ----------- Sales: Brinson Class...................... 19,449 $ 219,994 13,700 $ 133,064 SwissKey Class..................... 2,645,256 23,643,172 -- -- --------- ----------- --------- ----------- Total Sales..................... 2,664,705 $23,863,166 13,700 $ 133,064 ========= =========== ========= =========== Dividend Reinvestment: Brinson Class...................... 147,823 $ 1,553,509 28,495 $ 271,028 SwissKey Class..................... 152,235 1,601,512 -- -- --------- ----------- --------- ----------- Total Dividend Reinvestment..... 300,058 $ 3,155,021 28,495 $ 271,028 ========= =========== ========= =========== Redemptions: Brinson Class...................... 74,980 $ 797,564 131,587 $ 1,262,526 SwissKey Class..................... 303,416 3,266,101 -- -- --------- ----------- --------- ----------- Total Redemptions............... 378,396 $ 4,063,665 131,587 $ 1,262,526 ========= =========== ========= =========== GLOBAL BOND FUND ------------------------------------------- SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 1995 JUNE 30, 1995 --------------------- --------------------- SHARES VALUE SHARES VALUE --------- ----------- --------- ----------- Sales: Brinson Class...................... 10,065 $ 107,043 1,615,817 $15,734,111 SwissKey Class..................... 158,111 1,721,330 -- -- --------- ----------- --------- ----------- Total Sales..................... 168,176 $ 1,828,373 1,615,817 $15,734,111 ========= =========== ========= =========== Dividend Reinvestment: Brinson Class...................... 333,396 $ 3,310,623 80,422 $ 824,053 SwissKey Class..................... 18,407 182,594 -- -- --------- ----------- --------- ----------- Total Dividend Reinvestment..... 351,803 $ 3,493,217 80,422 $ 824,053 ========= =========== ========= =========== Redemptions: Brinson Class...................... 1,715,619 $18,143,201 564,413 $ 5,474,354 SwissKey Class..................... 95 996 -- -- --------- ----------- --------- ----------- Total Redemptions............... 1,715,714 $18,144,197 564,413 $ 5,474,354 ========= =========== ========= ===========
- -------------------------------------------------------------------------------- 50 DISTRIBUTED BY: FUND/PLAN BROKER SERVICES, INC. 2 W. ELM STREET CONSHOHOCKEN, PA 19428 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 Funds' objectives, policies, expenses and other information. - -------------------------------------------------------------------------------- THE BRINSON FUNDS - -------------------------------------------------------------------------------- 209 South LaSalle Street . Chicago, Illinois 60604-1295 . Tel: (800) 448-2430 ----------------------------- THE BRINSON FUNDS BRINSON NON-U.S. EQUITY FUND SEMI-ANNUAL REPORT DECEMBER 31, 1995 GLOBAL INSTITUTIONAL ASSET MANAGEMENT ----------------------------- CHICAGO.BASEL.LONDON.MELBOURNE.NEW YORK.PARIS.SINGAPORE.SYDNEY.TOKYO TRUSTEES AND OFFICERS - -------------------------------------------------------------------------------- LOGO TRUSTEES Walter E. Auch Frank K. Reilly, CFA Edward M. Roob OFFICERS Frank K. Reilly, CFA Carolyn M. Burke, CPA Chairman of the Board Assistant Secretary E. Thomas McFarlan Catherine E. Macrae President and Treasurer Assistant Secretary Debra L. Nichols Thomas J. Digenan, CPA Assistant Secretary Assistant Treasurer Bruce G. Leto Secretary ------------------------------------------------------------ 1 THE FUND'S ADVISOR -- BRINSON PARTNERS, INC. - -------------------------------------------------------------------------------- LOGO Brinson Partners, Inc. is an institutional investment management firm structured around teams of investment specialists covering major world asset classes. We specialize in managing multiple asset portfolios that provide clients with the opportunity to participate in all major world asset classes. It is important that investment decisions, whether they pertain to a global portfolio or a single asset class portfolio, be made within the context of a global capital market perspective. Our coordinated application of investment strategies distinguishes Brinson Partners, Inc. as a leader in global investment management of institutional assets. We firmly believe that asset allocation is portfolio management at its highest and most important level. Performance is maximized through a comprehensive understanding of global investment markets and their interrelationships. Portfolio structure is tailored to specific client objectives and focused upon both risk and return considerations in the context of full long-term investment cycles. At Brinson Partners, Inc. our investment decisions are based on fundamental research, internally developed valuation systems and seasoned judgment. Our independent team approach allows for rapid responses to market changes, while providing each client with the benefit of our best talent and the flexibility to customize portfolios to meet unique requirements. ------------------------------------------------------------ 2 TABLE OF CONTENTS - -------------------------------------------------------------------------------- LOGO Shareholder Letter............................................................ 4 Global Economic and Market Highlights......................................... 5 Non-U.S. Equity Fund.......................................................... 6 Schedule of Investments....................................................... 9 Financial Statements..........................................................13 Financial Highlights..........................................................16 Notes to Financial Statements.................................................18 ------------------------------------------------------------ 3 SHAREHOLDER LETTER - -------------------------------------------------------------------------------- LOGO February 22, 1996 Dear Shareholder: We appreciate the confidence you have placed in us and are pleased to present you with the December 31, 1995 Semi-Annual Report for the Non-U.S. Equity Fund. This Report presents our current global economic and market outlook, as well as the Fund's recent investment strategies and performance. To summarize this information: The Brinson Non-U.S. Equity Fund paid a dividend of $0.667 per share on December 29 to shareholders of record on December 20, 1995. For the period from August 31, 1993 (inception date of the Fund) to December 31, 1995, the Fund provided an annualized total return of 5.22%. For the calendar year 1995, the Fund returned 15.55%. In the second half of 1995, the Fund returned 15.55%. Market Strategy Although the Japanese equities are still overvalued, the Fund is only modestly underweight in Japan as the downward adjustment of the yen should benefit the equity market. The Fund currently holds a 4% cash hedge. Currency Strategy Currency strategy continues to focus on reducing the risk of exposure to the yen and DM-bloc currencies. Even after their declines from the peaks reached last April, the levels of these currencies are still above fair value. On December 31, 1995, the Non-U.S. Equity Fund had net assets of $171,465,487. We look forward to the challenges of 1996 and, as always, welcome your thoughts and comments. Sincerely, Gary P. Brinson, CFA /s/ Gary P. Brinson, CFA President and Chief Investment Officer Brinson Partners, Inc. ------------------------------------------------------------ 4 GLOBAL ECONOMIC AND MARKET HIGHLIGHTS - -------------------------------------------------------------------------------- [BRINSON LOGO] Relative to the U.S. dollar, the yen and deutschemark have weakened from the highs reached earlier this year. These currencies are, however, still above equilibrium values. Currency strength has dampened economic activity in Germa- ny, and has contributed to the suspension of growth and to price deflation in Japan. With continued modest growth in most countries, unemployment has tended to de- cline, albeit slowly. The exception is Japan, where the reported unemployment rate hit new highs and is expected to continue upward. As businesses attempt to cut costs, in part by shifting production overseas, the demand for labor has weakened substantially. The unemployment rate, if calculated by other coun- tries' standards, would be several times higher than reported. Inflation in most developed countries remains under control, owing both to in- creased central bank vigilance and to a lack of major cost shocks. Inflation has risen in Italy recently and has stayed higher in Spain than elsewhere. Both these countries have demonstrated less than responsible fiscal policy and poor monetary discipline. NON-U.S. EQUITY ENVIRONMENT MAJOR MARKETS
Total Return in 6 months 1 year Annualized U.S. Dollar ended ended 8/31/93* Hedged Terms 12/31/95 12/31/95 to 12/31/95 - ----------------------------------------------- Japan 37.03% 9.16% 2.22% U.K. 11.95 21.83 9.79 Germany 8.03 9.19 6.00 France 1.68 4.15 -3.66 Canada 4.15 14.11 9.51 Netherlands 15.44 20.15 12.51 Australia 6.52 14.67 7.02 - ----------------------------------------------- MAJOR CURRENCIES
Annualized Percent Change 6 months 1 year 8/31/93* Relative to ended ended to U.S. Dollars 12/31/95 12/31/95 12/31/95 - --------------------------------------------- Yen -17.70% -3.28% 0.64% Pound -2.41 -0.76 1.85 Deutschemark -3.30 8.29 7.05 Canadian Dollar 0.73 -1.48 -1.36 - ---------------------------------------------
*Inception date of the Non-U.S. Equity Fund - ------------------------------------------------------------------------------- 5 NON-U.S. EQUITY FUND - -------------------------------------------------------------------------------- LOGO The Non-U.S. Equity Fund invests in the common stocks of companies headquartered in the established non-U.S. stock markets. This exposure to the full range of investable developed non-U.S. equity markets helps provide the foundation for enhanced investment performance. Since its inception on August 31, 1993, the Non-U.S. Equity Fund has earned an annualized return of 5.22% versus a benchmark return of 7.64% for the MSCI Non- U.S. Equity (Free) Index; on a currency hedged basis the benchmark returned 5.20%. For the year ended December 31, 1995, the Fund returned 15.55%, while the benchmark returned 11.73% on an unhedged basis and 12.23% on a hedged basis. For the six months ended December 31, 1995, the Fund returned 15.55% versus the benchmark return of 8.39%. During 1995, the best performing markets in dollar-hedged terms were Switzerland, gaining 30.58%; Hong Kong, rising 22.28%; the U.K., up 21.83%; and the Netherlands, increasing 20.15%. Many other markets registered double-digit returns. Within this environment of general market strength, Japan was the underperformer, with a dollar-hedged return of 9.16%. In sharp contrast, Austria declined 10.68%, while Italy and Finland were also weak, declining 4.65% and 3.85%, respectively. Market allocation contributed significantly to performance in 1995. Overweights in several Anglo-Saxon markets were successful, but the Fund gained most, particularly in the first half of the year, from its underweight of Japan, Finland, Norway and Austria. The overall impact of strategic cash was neutral: a result of varying cash strategies and the widely differing performance of the non-U.S. markets at various points throughout the year. Currency allocation was the greatest positive contributor to performance, helped by the strength of the U.S. dollar against the yen, as well as the positive performance of the Canadian dollar, the New Zealand dollar and most of the other currencies (the Italian lira, the Spanish peseta and the Swedish krona), where the Fund was overweighted. In contrast, the U.S. dollar's 5.58% decline against the core DM-bloc currencies detracted from performance. The current U.S. dollar overweight and, to a lesser extent, that of the Canadian dollar are driven by a minimal exposure to the Japanese yen and the DM-bloc currencies. The latter currencies continue to be overvalued and pose an ongoing risk to the portfolio. Stock selection was neutral. Positive stock selection from Japan resulted from the portfolio's exposure to high quality defensive issues and exporters, and underexposure to cyclicals in an environment of market decline. This was offset by a negative contribution from overweighting European financials. ------------------------------------------------------------ 6 NON-U.S. EQUITY FUND - -------------------------------------------------------------------------------- LOGO TOTAL RETURN
Annualized 6 months 1 year 8/31/93* ended ended to 12/31/95 12/31/95 12/31/95 - ------------------------------------------------------------------------- BRINSON NON-U.S. EQUITY FUND 15.55% 15.55% 5.22% MSCI Non-U.S. Equity (Free) Index (currency unhedged)** 8.39 11.73 7.64 MSCI Non-U.S. Equity (Free) Index (currency hedged)** 19.10 12.23 5.20 - -------------------------------------------------------------------------
*Inception date of the Brinson Non-U.S. Equity Fund **Performance is net of withholding taxes on dividends. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000 This chart shows the growth No adjustment has been made in the value of an for any income taxes payable investment in the Brinson by shareholders on income Non-U.S. Equity Fund and the dividends and capital gain MSCI Non-U.S. Equity (Free) distributions. Past Index (currency unhedged and performance is no guarantee hedged) if you had invested of future results. Share $100,000 on August 31, 1993, price and return will vary and had reinvested all your with market conditions; income dividends and capital investors may realize a gain gain distributions through or loss upon redemption. December 31, 1995. BRINSON NON-U.S. EQUITY FUND VS. MSCI NON-U.S. EQUITY (FREE) INDEX (CURRENCY UNHEDGED AND HEDGED) Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] 8/31/93 12/31/95 -------- -------- BRINSON NON-U.S. EQUITY FUND $100,000 $112,610 MSCI NON-U.S. EQUITY (FREE) INDEX (UNHEDGED) $100,000 $118,746 MSCI NON-U.S. EQUITY (FREE) INDEX (HEDGED) $100,000 $112,544 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. ------------------------------------------------------------- 7 NON-U.S. EQUITY FUND - -------------------------------------------------------------------------------- LOGO INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - --------------------------------------- NON-U.S. EQUITIES Aerospace & Military 0.43% Airlines 0.13 Appliances & Household Durables 2.23 Automobiles 2.54 Banking 11.46 Beverages & Tobacco 2.41 Broadcasting & Publishing 1.36 Building Materials 0.60 Business & Public Service 2.84 Chemicals 2.86 Construction 1.69 Data Processing 0.94 Electric Components 1.09 Electronics 4.00 Energy 7.65 Financial Services 1.38 Food & House Products 4.36 Forest Products 1.43 Goldmines 0.18 Health & Personal Care 3.67 Industrial Components 2.05 Insurance 3.88 - ---------------------------------------
Leisure & Tourism 0.31% Machinery & Engineering 1.28 Merchandising 5.03 Miscellaneous Materials 1.47 Multi-Industry 3.64 Non-Ferrous Metals 0.90 Real Estate 0.31 Recreation 0.58 Shipping 0.58 Steel 1.04 Telecommunications 3.13 Textiles & Apparel 0.26 Transportation 0.83 Utilities 4.84 ------ Total Non-U.S. Equities 83.38* ------ SHORT-TERM INVESTMENTS 11.64* ------ TOTAL INVESTMENTS 95.02 CASH AND OTHER ASSETS, LESS LIABILITIES 4.98 ------ NET ASSETS 100.00% ======
MARKET AND CURRENCY STRATEGY As of December 31, 1995 (Unaudited)
Portfolio ----------------- Market Currency Strategy Strategy Index - --------------------------------------- U.S. Dollar 0.0% 42.5% 0.0% Japan 37.3 11.3 39.3 Australia 4.1 4.1 2.5 Belgium 2.7 0.7 1.1 Canada 3.6 12.0 3.7 France 8.2 0.7 6.0 Germany 5.8 0.3 6.6 Hong Kong 0.0 0.0 3.0 Italy 2.3 5.8 2.1 Malaysia 1.0 1.0 2.1 Netherlands 6.1 0.2 3.8 New Zealand 2.2 2.2 0.4 Spain 2.8 2.8 1.7 Sweden 0.0 0.0 1.9 Switzerland 2.3 0.3 5.7 U.K. 17.6 16.1 16.2 Cash Reserves 4.0 0.0 0.0 Other Markets 0.0 0.0 3.9 - --------------------------------------- 100.0% 100.0% 100.0%
TOP TEN NON-U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
Percent of Net Assets - ----------------------- 1. Royal Dutch Petroleum 1.92% 2. General Electric PLC 1.39 3. Lloyds TSB Group 1.33 4. Ito-Yokado Co. 1.26 5. Toray Industries, Inc. 1.12 6. British Telecommunications 1.08 7. Matsushita Electric Industrial 1.07 8. Toshiba Corp. 1.02 9. Sekisui House 1.02 10. Grand Metropolitan 0.98 - -----------------------------------------
*The Fund held a long position in Topix futures on December 31, 1995 which increased Japanese equity exposure from 26.10% to 37.58% and decreased the Fund's exposure to Short Term Investments from 11.64% to 0.16% ------------------------------------------------------------ 8 NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------- ------------ Non-U.S. Equities -- 83.38% AUSTRALIA -- 3.82% Amcor Ltd................................................. 60,700 $ 428,959 ANZ Banking Group......................................... 74,319 348,845 Broken Hill Proprietary................................... 118,970 1,681,492 CRA Ltd................................................... 42,800 628,485 David Jones Ltd. (b)...................................... 146,000 222,644 Lend Lease Corp........................................... 36,188 524,932 National Australia Bank................................... 76,448 688,106 News Corp................................................. 83,000 443,309 Pacific Dunlop Ltd........................................ 70,000 164,026 Qantas Airways Ltd........................................ 131,900 219,784 Santos Ltd................................................ 102,300 299,070 Western Mining Corp....................................... 38,700 248,730 Westpac Banking Corp. Ltd................................. 144,951 642,645 ------------ 6,541,027 ------------ BELGIUM -- 2.64% Delhaize-Le Lion, S.A..................................... 7,500 310,898 Electrabel................................................ 3,565 847,918 Fortis AG................................................. 3,710 451,288 Groupe Bruxelles Lambert.................................. 2,430 337,283 Kredietbank............................................... 2,310 631,836 Petrofina................................................. 1,875 574,014 Petrofina S.A. Warrants '97 (b)........................... 57 755 Societe Generale de Belgique.............................. 3,428 283,619 Solvay.................................................... 735 397,083 Tractebel................................................. 1,250 516,039 Union Mineire (b)......................................... 2,680 179,390 ------------ 4,530,123 ------------ CANADA -- 3.60% Alcan Aluminium Ltd....................................... 15,600 484,712 Bank of Montreal.......................................... 34,800 791,025 Barrick Gold Corp......................................... 12,000 316,762 Canadian Pacific Ltd...................................... 41,300 753,291 Imperial Oil Canada Ltd................................... 16,200 586,505 Moore Corp. Ltd........................................... 10,000 187,894 Noranda, Inc.............................................. 15,500 319,649 Norcen Energy............................................. 13,900 208,938 Northern Telecom Ltd...................................... 7,900 338,145 Nova Corporation of Alberta............................... 24,400 196,803 Royal Bank of Canada...................................... 27,900 636,741 Seagram Co. Ltd........................................... 13,700 472,137 Thomson Corp.............................................. 41,100 572,591 TransCanada Pipeline Ltd.................................. 22,500 311,400 ------------ 6,176,593 ------------ FRANCE -- 8.29% Accor..................................................... 3,470 449,838 Alcatel Alsthom........................................... 6,114 527,815 Banque Nationale de Paris................................. 19,230 868,586 Carnaud Metal Box......................................... 10,710 490,541 Cep Communications........................................ 4,400 365,272 Cie Bancaire S.A. ........................................ 3,697 414,255 Cie de Saint Gobain....................................... 7,020 777,990 Cie Fin de Suez........................................... 10,427 430,674 Colas...................................................... 1,777 $ 297,947 Credit Local de France..................................... 10,550 845,622 GAN (b).................................................... 3,480 127,371 Generale des Eaux.......................................... 9,019 901,605 LVMH (Moet-Hennessy Louis Vuitton)......................... 6,315 1,317,078 Michelin Class B........................................... 11,800 471,218 Pechiney Cert D'Invest..................................... 8,010 303,000 Peugeot S.A................................................ 10,780 1,423,932 Sanofi..................................................... 7,901 507,121 Societe Generale........................................... 9,136 1,130,184 Societe Nationale Elf Aquitaine............................ 11,334 836,157 Total Co. "B".............................................. 18,160 1,227,228 UAP........................................................ 18,891 494,041 ----------- 14,207,475 ----------- GERMANY -- 5.21% Allianz AG Holding......................................... 588 1,156,856 BASF AG.................................................... 1,733 391,084 Bayer...................................................... 1,824 485,279 Bayer Motoren Werken....................................... 800 413,610 Bayer Vereinsbank.......................................... 10,914 327,885 Commerzbank................................................ 1,664 395,858 Daimler-Benz............................................... 810 409,726 Deutsche Bank.............................................. 26,257 1,249,285 Hoechst.................................................... 1,808 492,643 Kaufhof Holding AG......................................... 1,222 373,097 Mannesmann................................................. 2,427 774,070 Munchener Ruck............................................. 322 695,158 Munchener Ruck Warrants '98 (b)............................ 12 1,589 Preussag................................................... 1,319 372,302 RWE........................................................ 1,350 491,878 Schering................................................... 3,442 229,178 Veba....................................................... 15,588 668,695 ----------- 8,928,193 ----------- ITALY -- 2.47% Assic Generali............................................. 31,500 763,431 Eni ADR (c)................................................ 22,100 756,925 Fiat Spa Priv.............................................. 231,000 422,253 Instituto Mobilaire Italiano............................... 83,000 523,167 Italgas.................................................... 95,000 289,223 LaRinascente............................................... 27,000 163,550 LaRinascente Savings (Risp)................................ 29,000 82,257 Mediobanca................................................. 15,000 103,956 Montedison (b)............................................. 242,000 162,300 Sai Di Risp................................................ 37,000 153,692 Telecom Italia............................................. 357,000 436,998 Telecom Italia Mobile (b).................................. 357,000 375,792 ----------- 4,233,544 ----------- JAPAN -- 26.10% Amada...................................................... 72,000 711,973 Asahi Glass Co............................................. 86,000 958,798 Bank of Tokyo.............................................. 42,000 736,985 Canon, Inc................................................. 62,000 1,123,994 Canon Sales................................................ 22,050 587,857 Citizen Watch Co........................................... 66,000 505,477 Dai Nippon Printing........................................ 65,000 1,102,763 Daiichi Pharmaceutical Co. Ltd............................. 30,000 427,533
- -------------------------------------------------------------------------------- 9 NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------- ------------ JAPAN (CONTINUED) Daikin Kogyo Co........................................... 71,000 $ 695,201 Daiwa House Industries.................................... 36,000 593,311 Fanuc Co.................................................. 18,200 788,696 Fujitsu................................................... 43,000 479,399 Hitachi Ltd............................................... 140,000 1,411,537 Honda Motor Co............................................ 42,000 867,281 Inax...................................................... 69,000 655,550 Isetan.................................................... 24,000 395,540 Ito Yokado Co............................................. 35,000 2,158,022 Keio Teito Electric Railway............................... 75,000 436,985 Kinki Nippon Railway...................................... 80,000 604,944 Kirin Brewery Co. Ltd..................................... 37,000 437,615 Kuraray Co. Ltd........................................... 39,000 427,242 Maeda Road Construction................................... 14,000 259,234 Marui Co.................................................. 21,000 437,712 Matsushita Electric Industrial............................ 113,000 1,840,427 Mitsubishi Bank........................................... 30,000 706,738 Mitsubishi Paper.......................................... 88,000 529,792 NGK Insulators............................................ 115,000 1,148,328 Nichii Co................................................. 54,000 717,208 Nintendo.................................................. 6,500 494,668 Nippon Denso Co........................................... 49,000 916,820 Nippon Meat Packers....................................... 45,000 654,387 Nippon Steel Corp......................................... 52,000 178,459 Orix Corp................................................. 7,000 288,415 Osaka Gas Corp............................................ 292,000 1,010,606 Pioneer Electronics....................................... 32,000 586,331 Sankyo Co. Ltd. .......................................... 52,000 1,169,559 Secom Co.................................................. 17,000 1,183,325 Seino Transportation...................................... 24,000 402,521 Sekisui House............................................. 137,000 1,753,175 Shinmaywa Industries Ltd. ................................ 44,000 363,432 Sony Corp................................................. 17,300 1,038,168 Sumitomo Bank............................................. 75,000 1,592,341 Sumitomo Electric Industries.............................. 59,000 709,258 Takeda Chemical Industries................................ 80,000 1,318,468 TDK Corp.................................................. 21,000 1,072,904 Tokio Marine & Fire....................................... 65,000 850,703 Tokyo Electric Power...................................... 31,512 843,171 Tokyo Steel Mfg........................................... 52,700 970,722 Tonen Corp................................................ 38,000 556,277 Toray Industries, Inc..................................... 291,000 1,918,371 Toshiba Corp.............................................. 224,000 1,756,820 Toyo Suisan Kaisha........................................ 41,000 508,774 Toyota Motor Corp......................................... 21,000 445,855 Yamazaki Baking Co. Ltd. ................................. 23,000 428,114 ------------ 44,757,786 ------------ MALAYSIA -- 0.87% Genting................................................... 10,000 83,497 Hume Industries........................................... 23,000 110,516 Kuala Lumpur Kepong....................................... 48,000 152,186 Land & General Holdings................................... 51,500 111,560 Malayan Bank.............................................. 24,000 202,284 Nestle Malaysia........................................... 15,000 $ 109,886 Sime Darby................................................ 77,000 204,707 Telekom Malaysia.......................................... 37,000 288,539 Tenaga Nasional........................................... 60,000 236,313 ------------ 1,499,488 ------------ NETHERLANDS -- 6.07% ABN-AMRO Holdings......................................... 28,424 1,296,191 D.S.M..................................................... 4,150 341,734 Internationale Nederlanden Groep NV....................... 24,818 1,659,694 KPN NV.................................................... 16,627 604,712 Philips Electronics....................................... 10,000 361,822 Royal Dutch Petroleum..................................... 23,630 3,304,957 Royal Dutch Petroleum New York Shares..................... 6,200 874,975 Unilever NV............................................... 10,740 1,510,836 VNU-Ver Ned Uitger........................................ 3,350 460,390 ------------ 10,415,311 ------------ NEW ZEALAND -- 1.82% Brierly Investment........................................ 798,600 631,738 Carter Holt Harvey........................................ 333,600 719,718 Fletcher Challenge Ltd.................................... 306,200 706,646 Fletcher Challenge Forest Division........................ 43,445 61,918 Telecom Corp. of New Zealand Ltd.......................... 62,200 268,384 Telecom Corp. of New Zealand Ltd. ADS (c)................. 10,500 728,438 ------------ 3,116,842 ------------ SPAIN -- 2.44% Banco Bilbao-Vizcaya...................................... 8,700 313,368 Banco Intercontinental.................................... 3,020 293,726 Banco Popular............................................. 1,680 309,763 Banco Santander........................................... 9,500 476,864 Empresa NAC Electric...................................... 6,400 362,402 Iberdrola S.A............................................. 89,400 817,926 Repsol S.A................................................ 1,200 39,316 Repsol S.A. ADR (c)....................................... 11,300 371,487 Sevillana de Electric..................................... 30,900 239,918 Telefonica de Espana...................................... 59,500 823,910 Viscofan.................................................. 11,300 134,120 ------------ 4,182,800 ------------ SWITZERLAND -- 2.30% Ciba-Geigy (Reg.)......................................... 503 443,721 CS Holdings............................................... 4,078 419,106 Nestle (Reg.) S.A......................................... 1,011 1,121,185 Roche Holdings Gen........................................ 104 824,787 Schweiz Bankgesellschaft.................................. 420 456,284 Societe Generale Surveillance (Br)........................ 160 318,443 Zurich Insurance.......................................... 1,191 357,114 ------------ 3,940,640 ------------
- -------------------------------------------------------------------------------- 10 NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------- ------------ UNITED KINGDOM -- 17.75% Asda Group................................................ 152,200 $ 261,110 Bass...................................................... 84,000 937,680 B.A.T. Industries PLC..................................... 106,000 933,939 BET PLC................................................... 160,400 316,268 Booker PLC................................................ 34,500 191,756 British Gas............................................... 355,300 1,401,121 British Petroleum......................................... 198,756 1,663,243 British Telecommunications................................ 337,000 1,852,166 Charter Group............................................. 43,280 579,889 Coats Viyella............................................. 163,100 443,138 FKI....................................................... 174,625 447,339 General Electric PLC...................................... 432,400 2,383,201 Glaxo Holdings............................................ 70,500 1,001,514 Grand Metropolitan........................................ 233,700 1,683,540 Guinness.................................................. 129,300 951,532 Hanson.................................................... 209,500 626,126 Hillsdown Holdings........................................ 162,900 427,420 House of Fraser........................................... 293,800 816,491 Legal and General......................................... 50,000 520,106 Lloyds Abbey Life......................................... 72,100 503,726 Lloyds TSB Group.......................................... 443,185 2,277,507 Lucas Industries.......................................... 104,683 294,172 Marks & Spencer........................................... 104,900 732,883 Mirror Group.............................................. 179,600 490,756 National Power............................................ 83,500 582,724 National Westminster Bank................................. 100,300 1,010,630 Ocean Group............................................... 67,800 408,421 P & O..................................................... 78,700 581,605 Reckitt & Colman.......................................... 58,575 648,408 Redland................................................... 45,600 275,398 RJB Mining PLC............................................ 18,000 153,144 Rolls Royce............................................... 251,500 737,983 Royal Insurance........................................... 78,300 464,378 Sears PLC................................................. 344,700 556,572 Sedgwick Group............................................ 66,600 125,114 SmithKline Beecham Unit................................... 74,800 815,240 Tesco..................................................... 206,900 954,034 Thames Water.............................................. 66,600 581,109 Unilever Ord 5p........................................... 18,900 388,211 W.H. Smith Group.......................................... 62,500 411,427 ------------ 30,431,021 ------------ Total Non-U.S. Equities (Cost $133,708,210)............... 142,960,843 ------------
FACE AMOUNT VALUE ------------ ------------ Short-Term Investments -- 11.64% COMMERCIAL PAPER -- 11.64% Baxter International, Inc. 6.05%, due 01/02/96................................. $ 858,000 $ 857,856 Burlington Northern Santa Fe 6.05%, due 01/03/96................................. 3,500,000 3,498,824 Conagra, Inc. 5.91%, due 01/04/96................................. 1,449,000 1,448,286 6.05%, due 01/11/96................................. 2,000,000 1,996,639 CSX Corp. 6.00%, due 01/08/96................................. 1,000,000 998,833 General American Transportation Corp. 6.20%, due 01/18/96............................................ 1,500,000 1,495,608 Nabisco Holdings Corp. 5.85% due 01/03/96.................................. 2,000,000 1,999,350 6.04% due 01/19/96.................................. 2,000,000 1,993,960 P.S. Colorado Credit Corp. 6.03%, due 01/04/96................................. 1,000,000 999,498 Texas Utilities Electric Co. 6.30%, due 01/05/96................................. 1,580,000 1,578,894 Trinova Corp. 6.10%, due 01/10/96................................. 1,500,000 1,497,713 Whitman Corp. 5.95%, due 01/02/96................................. 1,590,000 1,589,737 ------------ Total Short-Term Investments (Cost $19,955,198).................................. 19,955,198 ------------ Total Investments (Cost $153,663,408) -- 95.02% (a)................... 162,916,041 ------------ Cash and other assets, less liabilities -- 4.98%........................... 8,549,446 ------------ Net Assets -- 100%................................... $171,465,487 ============
See accompanying notes to schedule of investments. - -------------------------------------------------------------------------------- 11 NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $153,663,408; net unrealized appreciation consisted of: Gross unrealized appreciation................................ $13,386,676 Gross unrealized depreciation................................ (4,134,043) ----------- Net unrealized appreciation................................ $ 9,252,633 ===========
(b) Non-income producing security (c) Denominated in U.S. dollars FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4) The Non-U.S. Equity Fund had the following open forward foreign currency contracts as of December 31, 1995:
SETTLEMENT LOCAL CURRENT UNREALIZED DATE CURRENCY VALUE GAIN/(LOSS) ---------- ------------- ----------- ---------- FORWARD FOREIGN CURRENCY BUY CONTRACTS British Pound........... 02/23/96 4,349,179 $ 6,731,818 $ 61,594 Canadian Dollar......... 02/23/96 18,400,000 13,490,660 (212,050) Italian Lira............ 02/23/96 9,100,000,000 5,695,748 117,888 Swedish Krone........... 02/23/96 45,000,000 6,760,544 342,059 Swiss Franc............. 02/23/96 1,900,000 1,660,381 (17,323) FORWARD FOREIGN CURRENCY SALE CONTRACTS Belgian Franc........... 02/23/96 95,000,000 3,234,815 25,868 British Pound........... 02/23/96 5,600,000 8,667,884 113,620 Dutch Guilder........... 02/23/96 14,500,000 9,073,927 60,437 French Franc............ 02/23/96 63,500,000 12,996,665 (233,672) German Mark............. 02/23/96 11,000,000 7,706,385 50,409 Japanese Yen............ 02/23/96 2,480,000,000 24,227,645 995,474 Swedish Krone........... 02/23/96 45,000,000 6,760,544 (90,320) Swiss Franc............. 02/23/96 5,800,000 5,068,532 9,734 ---------- Total................. $1,223,718 ========== FUTURES CONTRACTS (NOTE 5) INDEX FUTURES CONTRACTS: The Non-U.S. Equity Fund had the following open index futures contracts as of December 31, 1995: SETTLEMENT CURRENT UNREALIZED DATE COST VALUE GAIN ---------- ------------- ----------- ---------- INDEX FUTURES BUY CON- TRACTS Topix, 129 contracts.... March 1996 $ 18,731,071 $19,684,537 $ 953,466 ==========
The aggregate market value of investments pledged to cover margin requirements for the open futures positions at December 31, 1995 was $3,410,000. See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 12 NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $153,663,408) (Note 1).............. $162,916,041 Cash............................................................ 8,984,132 Foreign currency, at value (Cost $1,586,415).................... 1,587,196 Receivables: Investment securities sold..................................... 296,568 Dividends...................................................... 369,100 Variation Margin (Note 5) ..................................... 1,713,031 Fund shares sold............................................... 30,501 Due from Advisor (Note 2)...................................... 136,513 Net unrealized appreciation on forward foreign currency con- tracts......................................................... 1,223,718 Deferred organization costs, net of amortization (Note 1)....... 52,471 Other assets.................................................... 5,691 ------------ TOTAL ASSETS................................................. 177,314,962 ------------ LIABILITIES: Payables: Investment securities purchased................................ 5,557,261 Fund shares redeemed........................................... 10,985 Accrued expenses............................................... 281,229 ------------ TOTAL LIABILITIES............................................ 5,849,475 ------------ NET ASSETS....................................................... $171,465,487 ============ NET ASSETS CONSIST OF: Paid in capital (Note 7)........................................ $159,325,358 Accumulated distributions in excess of net investment income.... (8,402) Accumulated net realized gain................................... 712,468 Net unrealized appreciation..................................... 11,436,063 ------------ NET ASSETS................................................... $171,465,487 ============ OFFERING PRICE PER SHARE: Brinson Class: Net asset value, offering price and redemption price per share (Based on net assets of $171,172,601 and 16,293,814 shares is- sued and outstanding) (Note 7)................................ $ 10.51 ============ SwissKey Class: Net asset value, offering price and redemption price per share (Based on net assets of $292,886 and 27,957 shares issued and outstanding) (Note 7)......................................... $ 10.48 ============
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 13 NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME: Dividends (net of $170,023 for foreign taxes withheld)........... $ 1,328,093 Interest......................................................... 550,191 ----------- TOTAL INCOME.................................................. 1,878,284 ----------- EXPENSES: Advisory (Note 2)................................................ 656,481 Custodian........................................................ 148,000 Professional..................................................... 72,177 Accounting....................................................... 68,112 Amortization of organization costs (Note 1)...................... 1,411 Distribution (Note 6)............................................ 367 Other............................................................ 202,366 ----------- TOTAL EXPENSES................................................ 1,148,914 Expenses deferred by Advisor (Note 2)......................... (327,946) ----------- NET EXPENSES.................................................. 820,968 ----------- NET INVESTMENT INCOME ........................................ 1,057,316 ----------- NET REALIZED AND UNREALIZED GAIN: Net realized gain on: Investments..................................................... 3,674,620 Futures contracts............................................... 759,566 Foreign currency transactions................................... 10,968,352 ----------- Net realized gain............................................. 15,402,538 ----------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency ............................... 5,466,900 Futures contracts .............................................. 953,466 Forward contracts............................................... 600,102 Translation of other assets and liabilities denominated in for- eign currency.................................................. (1,401) ----------- Change in net unrealized appreciation or depreciation......... 7,019,067 ----------- Net realized and unrealized gain.................................. 22,421,605 ----------- Net increase in net assets resulting from operations.............. $23,478,921 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 14 NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR DECEMBER 31, 1995 ENDED (UNAUDITED) JUNE 30, 1995 ----------------- ------------- OPERATIONS: Net investment income........................ $ 1,057,316 $ 2,518,556 Net realized gain (loss)..................... 15,402,538 (5,050,764) Change in net unrealized appreciation or de- preciation ................................. 7,019,067 2,039,362 ------------ ------------ Net increase (decrease) in net assets result- ing from operations......................... 23,478,921 (492,846) ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income..... (1,643,189) -- Distributions in excess of net investment in- come........................................ (8,402) -- Distributions from net realized gain......... (8,647,449) -- ------------ ------------ Total distributions to shareholders*......... (10,299,040) -- ------------ ------------ CAPITAL SHARE TRANSACTIONS: Shares sold.................................. 40,108,628 110,628,882 Shares issued on reinvestment of distribu- tions....................................... 9,252,205 -- Shares redeemed.............................. (39,393,763) (33,361,344) ------------ ------------ Net increase in net assets resulting from capital share transactions (Note 7)......... 9,967,070 77,267,538 ------------ ------------ TOTAL INCREASE IN NET ASSETS............... 23,146,951 76,774,692 ------------ ------------ NET ASSETS: Beginning of period.......................... 148,318,536 71,543,844 ------------ ------------ End of period (including accumulated undis- tributed net investment income of ($8,402) and $632,906, respectively)................. $171,465,487 $148,318,536 ============ ============ *DISTRIBUTIONS BY CLASS: Distributions from and in excess of net in- vestment income: Brinson Class................................ $ (1,649,171) -- SwissKey Class............................... (2,420) -- Distributions from net realized gain: Brinson Class................................ (8,632,718) -- SwissKey Class............................... (14,731) -- ------------ ------------ $(10,299,040) -- ============ ============
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 15 NON-U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
SIX MONTHS ENDED YEAR AUGUST 31, 1993* DECEMBER 31, 1995 ENDED THROUGH BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994 - -------------------------------------------------------------------------------- Net asset value, beginning of period....................... $ 9.68 $ 9.69 $ 10.00 -------- -------- ------- Income from investment opera- tions: Net investment income (loss). (0.07) 0.15 0.10 Net realized and unrealized gain (loss)................. 1.57 (0.16) (0.34) -------- -------- ------- Total income (loss) from investment operations.... 1.50 (0.01) (0.24) -------- -------- ------- Less distributions: Distributions from and in ex- cess of net investment in- come........................ (0.11) -- (0.07) Distributions from net real- ized gain................... (0.56) -- -- -------- -------- ------- Total distributions....... (0.67) -- (0.07) -------- -------- ------- Net asset value, end of peri- od........................... $ 10.51 $ 9.68 $ 9.69 ======== ======== ======= Total return (non-annualized). 15.55% (0.10%) (2.45%) Ratios/Supplemental data Net assets, end of period (in 000s)....................... $171,173 $148,319 $71,544 Ratio of expenses to average net assets: Before expense reimburse- ment....................... 1.40%** 1.23% 1.60%** After expense reimbursement. 1.00%** 1.00% 1.00%** Ratio of net investment in- come to average net assets: Before expense reimburse- ment....................... 0.89%** 1.93% 1.28%** After expense reimbursement. 1.29%** 2.16% 1.88%** Portfolio turnover rate...... 14% 14% 12%
* Commencement of investment operations ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 16 NON-U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
JULY 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $10.26 ------ Income from investment operations: Net investment loss.......................................... (0.09) Net realized and unrealized gain............................. 0.96 ------ Total income from investment operations................... 0.87 ------ Less distributions: Distributions from net investment income..................... (0.09) Distributions from net realized gain......................... (0.56) ------ Total distributions....................................... (0.65) ------ Net asset value, end of period................................ $10.48 ====== Total return (non-annualized)................................. 8.58% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $ 293 Ratio of expenses to average net assets: Before expense reimbursement................................ 2.24%** After expense reimbursement................................. 1.84%** Ratio of net investment income to average net assets: Before expense reimbursement................................ 0.05%** After expense reimbursement................................. 0.45%** Portfolio turnover rate...................................... 14%
* Commencement of SwissKey Class distribution ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 17 NON-U.S. EQUITY FUND -- 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 ten series: Global Fund, Global Equity Fund, Global Bond Fund, Short-Term Global Income Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Bond Fund, U.S. Cash Management Fund, Non-U.S. Equity Fund and Non-U.S. Bond Fund. The Fund has outstanding two classes of common shares, Brinson Class and SwissKey Class. There are an unlimited number of shares of each class with par value of $0.001 authorized. Each share of the Fund represents an identical interest in the investments of the Fund and has the same rights. The following is a summary of significant accounting policies consistently followed by the Non-U.S. Equity Fund (the "Fund") in the preparation of its 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. 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 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: Investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the bid prices of such currencies against the U.S. dollar as of the date of valuation. Purchases and sales of portfolio securities, commitments under forward foreign currency contracts, income receipts and expense accruals are translated at the prevailing exchange rate on the date of each transaction. Realized and unrealized foreign exchange gains or losses on investments are included as a component of net realized and unrealized gain or loss 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 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 Fund to comply with all requirements of the Internal Revenue Code (the "Code") applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. The Fund has met the requirements of the Code applicable to regulated investment companies for the six months ended December 31, 1995, therefore, no federal income tax provision was required. At December 31, 1995, the Fund had a capital loss carryforward of approximately $5,400,000, of which $260,000, $1,180,000 and $3,960,000 will expire on June 30, 2002, June 30, 2003 and June 30, 2004, respectively. F.ORGANIZATION COSTS: Organization costs are being amortized on a straight-line basis over five years from the commencement of operations. G.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Fund to distribute its 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 different class expenses. - -------------------------------------------------------------------------------- 18 NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- H.INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by the Fund will be borne on a pro rata basis by each of the classes except that the Brinson Class shares will not incur any of the 12b-1 expenses. 2.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES Brinson Partners, Inc. (the "Advisor"), a registered investment advisor, provides the Fund with investment management services. As compensation for these services, the Fund pays the Advisor a monthly fee based on the Fund's average daily net assets. The Advisor has agreed to waive its fees and reimburse the Fund to the extent total annualized expenses exceed a specified percentage of the Fund's average daily net assets. The expense cap is 1.00% and 1.84% of the average daily net assets of the Brinson Class and SwissKey Class, respectively. Investment advisory fees and other transactions with affiliates for the six months ended December 31, 1995, were as follows:
ADVISORY ADVISORY FEES DUE FROM FEE FEES DEFERRED ADVISOR -------- -------- -------- -------- Non-U.S. Equity Fund........................ 0.80% $656,481 $327,946 $136,513
Certain officers of the Fund are also officers of the Advisor. All officers serve without direct compensation from the Fund. Trustees' fees paid to unaffiliated trustees were $3,489. 3.INVESTMENT TRANSACTIONS Investment transactions for the six months ended December 31, 1995, excluding short-term investments, were as follows:
PROCEEDS PURCHASES FROM SALES ----------- ----------- Non-U.S. Equity Fund.................................... $44,410,789 $19,198,934
4.FORWARD FOREIGN CURRENCY CONTRACTS The Fund engages 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 the 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 Fund realizes 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 at December 31, 1995 was the Fund's custodian. 5.FUTURES CONTRACTS The Fund may purchase or sell exchange-traded futures contracts, which are contracts that obligate the Fund 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 Fund enters into such contracts to hedge a portion of its portfolio. Risks of entering into futures contracts include the possibility that there may be an illiquid market and 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 Fund is required to deposit either cash or securities in an amount (initial margin) based on the number of open contracts. Subsequent payments (variation margin) are made or received by the Fund, 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 Fund recognizes a realized gain or loss when the contract is closed or expires. The statement of operations reflects realized and unrealized gains and losses on these contracts. - -------------------------------------------------------------------------------- 19 NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- 6.DISTRIBUTION PLAN The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940. The Plan governs payments made for the expenses incurred in the promotion and distribution of the SwissKey Class of shares. Annual fees under the Plan of 0.84% of the average daily net asset of the SwissKey Class are accrued daily. 7. CAPITAL TRANSACTIONS Capital stock transactions were as follows:
SIX MONTHS ENDED DECEMBER 31, 1995 YEAR ENDED (UNAUDITED) JUNE 30, 1995 --------------------- ----------------------- SHARES VALUE SHARES VALUE --------- ----------- ---------- ------------ Sales: Brinson Class.................... 3,842,433 $39,699,672 11,370,317 $110,628,882 SwissKey Class................... 38,337 408,956 -- -- --------- ----------- ---------- ------------ Total Sales................... 3,880,770 $40,108,628 11,370,317 $110,628,882 ========= =========== ========== ============ Dividend Reinvestment: Brinson Class.................... 889,697 $ 9,235,055 -- -- SwissKey Class................... 1,657 17,150 -- -- --------- ----------- ---------- ------------ Total Dividend Reinvestment... 891,354 $ 9,252,205 -- -- ========= =========== ========== ============ Redemptions: Brinson Class.................... 3,753,166 $39,262,830 3,435,839 $ 33,361,344 SwissKey Class................... 12,037 130,933 -- -- --------- ----------- ---------- ------------ Total Redemptions............. 3,765,203 $39,393,763 3,435,839 $ 33,361,344 ========= =========== ========== ============
- -------------------------------------------------------------------------------- 20 DISTRIBUTED BY: FUND/PLAN BROKER SERVICES, INC. 2 W. ELM STREET CONSHOHOCKEN, PA 19428 This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective Prospectus which includes details regarding the Fund's objectives, policies, expenses and other information. - -------------------------------------------------------------------------------- THE BRINSON FUNDS - -------------------------------------------------------------------------------- 209 South LaSalle Street . Chicago, Illinois 60604-1295 . Tel: (800) 448-2430 LOGO SWISSKEY NON-U.S. EQUITY FUND SEMI-ANNUAL REPORT DECEMBER 31, 1995 TRUSTEES AND OFFICERS - -------------------------------------------------------------------------------- LOGO TRUSTEES Walter E. Auch Frank K. Reilly, CFA Edward M. Roob OFFICERS Frank K. Reilly, CFA Carolyn M. Burke, CPA Chairman of the Board Assistant Secretary Catherine E. Macrae E. Thomas McFarlan Assistant Secretary President and Treasurer Debra L. Nichols Thomas J. Digenan, CPA Assistant Secretary Assistant Treasurer Bruce G. Leto Secretary ------------------------------------------------------------ 1 THE FUND'S ADVISOR -- BRINSON PARTNERS, INC. - -------------------------------------------------------------------------------- LOGO Brinson Partners, Inc. is an institutional investment management firm structured around teams of investment specialists covering major world asset classes. We specialize in managing multiple asset portfolios that provide clients with the opportunity to participate in all major world asset classes. It is important that investment decisions, whether they pertain to a global portfolio or a single asset class portfolio, be made within the context of a global capital market perspective. Our coordinated application of investment strategies distinguishes Brinson Partners, Inc. as a leader in global investment management of institutional assets. We firmly believe that asset allocation is portfolio management at its highest and most important level. Performance is maximized through a comprehensive understanding of global investment markets and their interrelationships. Portfolio structure is tailored to specific client objectives and focused upon both risk and return considerations in the context of full long-term investment cycles. At Brinson Partners, Inc. our investment decisions are based on fundamental research, internally developed valuation systems and seasoned judgment. Our independent team approach allows for rapid responses to market changes, while providing each client with the benefit of our best talent and the flexibility to customize portfolios to meet unique requirements. ------------------------------------------------------------ 2 TABLE OF CONTENTS - -------------------------------------------------------------------------------- LOGO Shareholder Letter............................................................ 4 International Economic Review and Outlook..................................... 5 Non-U.S. Equity Fund.......................................................... 6 Schedule of Investments....................................................... 9 Financial Statements..........................................................13 Financial Highlights..........................................................16 Notes to Financial Statements.................................................18 ------------------------------------------------------------ 3 SHAREHOLDER LETTER - -------------------------------------------------------------------------------- LOGO February 22, 1996 Dear Shareholder: Thank you for investing in the SwissKey Non-U.S. Equity Fund. We appreciate the confidence you have placed in us. As we begin the first quarter of 1996, we are pleased to present you with the December 31, 1995 Semi-Annual Report for the SwissKey Non-U.S. Equity Fund. A COMPELLING COMBINATION OF TWO GLOBAL INVESTMENT LEADERS In the world of global investing, the combination of Swiss Bank Corporation and Brinson Partners, Inc. adds world class value to our clients' investments. Swiss Bank Corporation, founded in 1872, is a global financial institution serving the needs of worldwide corporate, public and private clients. With more than $191 billion in assets and a strong presence in 40 countries, Swiss Bank Corporation is the largest fund manager in Switzerland and is among the top money managers worldwide. Swiss Bank Corporation holds membership in the world's leading stock exchanges. Brinson Partners, Inc. currently manages over $53 billion in assets for clients which include employee benefit plans and other institutional investors. The firm is the largest U.S. active manager of global assets and has operated under the same investment philosophy and senior management for almost two decades. Fund Performance Since the commencement of the SwissKey Class distribution on July 31, 1995, the SwissKey Non-U.S. Equity Fund has provided a total return of 8.58% versus the benchmark return of 2.20% for the MSCI Non-U.S. Equity (Free) Index. Current Strategy Although the Japanese equities are still overvalued, the Fund is only modestly underweight in Japan as downward adjustment of the yen should benefit the equity market. The Fund currently holds a 4% cash hedge. Currency strategy continues to focus on reducing the risk of exposure to the yen and DM-bloc currencies. Even after their declines from the peaks reached last April, the levels of these currencies are still above fair value. We look forward to the challenges ahead and, as always, welcome your thoughts and comments. Sincerely, /s/ Raoul Weil /s/ Raymond Simon Raoul Weil Raymond Simon Executive Director Executive Director Private Investors & Private Investors & Asset Management Asset Management ------------------------------------------------------------ 4 INTERNATIONAL ECONOMIC REVIEW AND OUTLOOK - ------------------------------------------------------------------------------- LOGO Interest rates declined across the globe in 1995 but the underlying real rates remained high. The motives varied across countries but the common theme of the monetary authorities was vigilance against excess liquidity. The problem areas in the real economies were left to fend for themselves, without access to the monetary printing presses that had been so readily available in the past. As a result, inflation remains modest but structural unemployment remains high and economic growth has slowed in most countries. Whether this new separation between nominal and real economic policies is maintained is the great uncertainty in the international outlook. In Europe, the move toward economic and monetary union is the dominant force as the monetary rules continue to be set by the Bundesbank with its unrelenting pursuit of deutschemark integrity. Other countries that remain committed to the requirements of the Exchange Rate Mechanism have kept their currencies in line with the DM. On the plus side, those countries that have kept their currencies most closely tied to the DM now have inflation rates of 2% or less. But this has also worked to keep most European currencies, including the DM, significantly overpriced in world markets, aggravating the already severe competitive problems that result from the generally high labor costs and extensive government involvement in economic affairs that characterize the region. The result has been a slowing of economic growth and persistently high rates of unemployment. The planned move to a single currency (Euro), managed by a single European central bank, has probably been a major factor in this situation. On the one hand, the credibility of a single European currency requires the various governments to show a commitment to consistent, sound monetary policies. On the other hand, however, the Germans remain suspicious of losing the proven discipline of the Bundesbank. Thus, the German central bank presses hard to wring as much inflation out of the system ahead of the adoption of the single currency and the other governments see themselves as forced to go along. While it will be a new game if and when the Bundesbank relinquishes its duties, the near-term outlook for Europe is that monetary policy will continue to focus on price stability while economic growth prospects will depend primarily on structural reform. The paper wealth that the Japanese created for themselves with the speculative bubble in their domestic asset prices ultimately led to both a collapse of asset prices within Japan and a surge in the value of the yen against most other currencies. This wiped out a significant portion of the yen value of the non-Japanese assets that they had accumulated. Inside Japan, the appreciation of the yen produced a wealth transfer from investors to consumers, effectively offsetting the pro-capital, anti-consumption policy of the government. The large volume of trade between the U.S. and Japan, plus the large capital flows, gave the appearance that the strength of the yen was actually a problem of a weak dollar which, in turn, reflected heavy U.S. borrowing abroad. Ergo, the focus on the Federal budget deficit as the source of the problem. While little good has resulted from the explosive growth of the Federal budget, its contribution to the problems of the dollar into early 1995 was coincidental. Instead, the lead role was played by the Japanese, as the government steadfastly refused to recognize the aggregate wealth loss that was necessary to clean up the excesses of the speculative bubble of the late 1980s. In using official powers, including the Bank of Japan to soften the adjustment, market forces took the lead in correcting the situation. That meant sharp, real appreciation of the yen and a period of prolonged economic weakness that continues into 1996. ------------------------------------------------------------ 5 NON-U.S. EQUITY FUND - -------------------------------------------------------------------------------- LOGO The Non-U.S. Equity Fund invests in the common stocks of companies headquartered in the established non-U.S. stock markets. This exposure to the full range of investable developed non-U.S. equity markets helps provide the foundation for enhanced investment performance. Since its inception on July 31, 1995, the Non-U.S. Equity Fund has earned an unannualized return of 8.58% versus a benchmark return of 2.20% for the MSCI Non-U.S. Equity (Free) Index. Below is a discussion of the 1995 international equity markets activity, as well our current investment strategies. During 1995, the best performing markets in dollar-hedged terms were Switzerland, gaining 30.58%; Hong Kong, rising 22.28%; the U.K., up 21.83%; and the Netherlands, increasing 20.15%. Many other markets registered double-digit returns. Within this environment of general market strength, Japan was the underperformer, with a dollar-hedged return of 9.16%. In sharp contrast, Austria declined 10.68%, while Italy and Finland were also weak, declining 4.65% and 3.85%, respectively. Market allocation contributed significantly to performance. Overweights in several Anglo-Saxon markets were successful. The overall impact of strategic cash was neutral: a result of varying cash strategies and the widely differing performance of the non-U.S. markets at various points throughout the year. Currency allocation was the greatest positive contributor to performance, helped by the strength of the U.S. dollar against the yen, as well as the positive performance of the Canadian dollar, the New Zealand dollar and most of the other currencies (the Italian lira, the Spanish peseta and the Swedish krona), where the Fund was overweighted. The current U.S. dollar overweight and, to a lesser extent, that of the Canadian dollar are driven by a minimal exposure to the Japanese yen and the DM-bloc currencies. The latter currencies continue to be overvalued and pose an ongoing risk to the portfolio. Stock selection was neutral. Positive stock selection from Japan resulted from the portfolio's exposure to high quality defensive issues and exporters, and underexposure to cyclicals in an environment of market decline. This was offset by a negative contribution from overweighting European financials. ------------------------------------------------------------ 6 NON-U.S. EQUITY FUND - -------------------------------------------------------------------------------- LOGO TOTAL RETURN
Since Quarter Inception* - ----------------------------------------------------- SWISSKEY NON-U.S. EQUITY FUND 5.40% 8.58% MSCI Non-U.S. Equity (Free) Index 4.11 2.20 - -----------------------------------------------------
*Inception date of the SwissKey Non-U.S. Equity Fund Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000 This chart shows the growth No adjustment has been made in the value of an for any income taxes payable investment in the SwissKey by shareholders on income Non-U.S. Equity Fund and the dividends and capital gain MSCI Non-U.S. Equity (Free) distributions. Past Index if you had invested performance is no guarantee $10,000 on July 31, 1995, of future results. Share and had reinvested all your price and return will vary income dividends and capital with market conditions; gain distributions through investors may realize a gain December 31, 1995. or loss upon redemption. SWISSKEY NON-U.S. EQUITY FUND VS. MSCI NON-U.S. EQUITY (FREE) INDEX Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE] SwissKey MSCI Non-U.S. Non-U.S. Equity Fund Equity (Free) Index ----------- ------------------- 7/31/95 $10,000 $10,000 8/31/95 10,146 9,632 9/30/95 10,302 9,817 10/31/95 10,205 9,563 11/30/95 10,448 9,835 12/31/95 10,858 10,220 7/31/95=$10,000 Data through 12/31/95 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. ------------------------------------------------------------- 7 NON-U.S. EQUITY FUND - -------------------------------------------------------------------------------- LOGO INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - --------------------------------------- NON-U.S. EQUITIES Aerospace & Military 0.43% Airlines 0.13 Appliances & Household Durables 2.23 Automobiles 2.54 Banking 11.46 Beverages & Tobacco 2.41 Broadcasting & Publishing 1.36 Building Materials 0.60 Business & Public Service 2.84 Chemicals 2.86 Construction 1.69 Data Processing 0.94 Electric Components 1.09 Electronics 4.00 Energy 7.65 Financial Services 1.38 Food & House Products 4.36 Forest Products 1.43 Goldmines 0.18 Health & Personal Care 3.67 Industrial Components 2.05 Insurance 3.88 - ---------------------------------------
Leisure & Tourism 0.31% Machinery & Engineering 1.28 Merchandising 5.03 Miscellaneous Materials 1.47 Multi-Industry 3.64 Non-Ferrous Metals 0.90 Real Estate 0.31 Recreation 0.58 Shipping 0.58 Steel 1.04 Telecommunications 3.13 Textiles & Apparel 0.26 Transportation 0.83 Utilities 4.84 ------ Total Non-U.S. Equities 83.38* ------ SHORT-TERM INVESTMENTS 11.64* ------ TOTAL INVESTMENTS 95.02 CASH AND OTHER ASSETS, LESS LIABILITIES 4.98 ------ NET ASSETS 100.00% ======
MARKET AND CURRENCY STRATEGY As of December 31, 1995 (Unaudited)
Portfolio ----------------- Market Currency Strategy Strategy Index - --------------------------------------- U.S. Dollar 0.0% 42.5% 0.0% Japan 37.3 11.3 39.3 Australia 4.1 4.1 2.5 Belgium 2.7 0.7 1.1 Canada 3.6 12.0 3.7 France 8.2 0.7 6.0 Germany 5.8 0.3 6.6 Hong Kong 0.0 0.0 3.0 Italy 2.3 5.8 2.1 Malaysia 1.0 1.0 2.1 Netherlands 6.1 0.2 3.8 New Zealand 2.2 2.2 0.4 Spain 2.8 2.8 1.7 Sweden 0.0 0.0 1.9 Switzerland 2.3 0.3 5.7 U.K. 17.6 16.1 16.2 Cash Reserves 4.0 0.0 0.0 Other Markets 0.0 0.0 3.9 - --------------------------------------- 100.0% 100.0% 100.0%
TOP TEN NON-U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
Percent of Net Assets - ----------------------- 1. Royal Dutch Petroleum 1.92% 2. General Electric PLC 1.39 3. Lloyds TSB Group 1.33 4. Ito-Yokado Co. 1.26 5. Toray Industries, Inc. 1.12 6. British Telecommunications 1.08 7. Matsushita Electric Industrial 1.07 8. Toshiba Corp. 1.02 9. Sekisui House 1.02 10. Grand Metropolitan 0.98 - -----------------------------------------
*The Fund held a long position in Topix futures on December 31, 1995 which increased Japanese equity exposure from 26.10% to 37.58% and decreased the Fund's exposure to Short Term Investments from 11.64% to 0.16% ------------------------------------------------------------ 8 NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------- ------------ Non-U.S. Equities -- 83.38% AUSTRALIA -- 3.82% Amcor Ltd................................................. 60,700 $ 428,959 ANZ Banking Group......................................... 74,319 348,845 Broken Hill Proprietary................................... 118,970 1,681,492 CRA Ltd................................................... 42,800 628,485 David Jones Ltd. (b)...................................... 146,000 222,644 Lend Lease Corp........................................... 36,188 524,932 National Australia Bank................................... 76,448 688,106 News Corp................................................. 83,000 443,309 Pacific Dunlop Ltd........................................ 70,000 164,026 Qantas Airways Ltd........................................ 131,900 219,784 Santos Ltd................................................ 102,300 299,070 Western Mining Corp....................................... 38,700 248,730 Westpac Banking Corp. Ltd................................. 144,951 642,645 ------------ 6,541,027 ------------ BELGIUM -- 2.64% Delhaize-Le Lion, S.A..................................... 7,500 310,898 Electrabel................................................ 3,565 847,918 Fortis AG................................................. 3,710 451,288 Groupe Bruxelles Lambert.................................. 2,430 337,283 Kredietbank............................................... 2,310 631,836 Petrofina................................................. 1,875 574,014 Petrofina S.A. Warrants '97 (b)........................... 57 755 Societe Generale de Belgique.............................. 3,428 283,619 Solvay.................................................... 735 397,083 Tractebel................................................. 1,250 516,039 Union Mineire (b)......................................... 2,680 179,390 ------------ 4,530,123 ------------ CANADA -- 3.60% Alcan Aluminium Ltd....................................... 15,600 484,712 Bank of Montreal.......................................... 34,800 791,025 Barrick Gold Corp......................................... 12,000 316,762 Canadian Pacific Ltd...................................... 41,300 753,291 Imperial Oil Canada Ltd................................... 16,200 586,505 Moore Corp. Ltd........................................... 10,000 187,894 Noranda, Inc.............................................. 15,500 319,649 Norcen Energy............................................. 13,900 208,938 Northern Telecom Ltd...................................... 7,900 338,145 Nova Corporation of Alberta............................... 24,400 196,803 Royal Bank of Canada...................................... 27,900 636,741 Seagram Co. Ltd........................................... 13,700 472,137 Thomson Corp.............................................. 41,100 572,591 TransCanada Pipeline Ltd.................................. 22,500 311,400 ------------ 6,176,593 ------------ FRANCE -- 8.29% Accor..................................................... 3,470 449,838 Alcatel Alsthom........................................... 6,114 527,815 Banque Nationale de Paris................................. 19,230 868,586 Carnaud Metal Box......................................... 10,710 490,541 Cep Communications........................................ 4,400 365,272 Cie Bancaire S.A. ........................................ 3,697 414,255 Cie de Saint Gobain....................................... 7,020 777,990 Cie Fin de Suez........................................... 10,427 430,674
SHARES VALUE ------- ----------- Colas...................................................... 1,777 $ 297,947 Credit Local de France..................................... 10,550 845,622 GAN (b).................................................... 3,480 127,371 Generale des Eaux.......................................... 9,019 901,605 LVMH (Moet-Hennessy Louis Vuitton)......................... 6,315 1,317,078 Michelin Class B........................................... 11,800 471,218 Pechiney Cert D'Invest..................................... 8,010 303,000 Peugeot S.A................................................ 10,780 1,423,932 Sanofi..................................................... 7,901 507,121 Societe Generale........................................... 9,136 1,130,184 Societe Nationale Elf Aquitaine............................ 11,334 836,157 Total Co. "B".............................................. 18,160 1,227,228 UAP........................................................ 18,891 494,041 ----------- 14,207,475 ----------- GERMANY -- 5.21% Allianz AG Holding......................................... 588 1,156,856 BASF AG.................................................... 1,733 391,084 Bayer...................................................... 1,824 485,279 Bayer Motoren Werken....................................... 800 413,610 Bayer Vereinsbank.......................................... 10,914 327,885 Commerzbank................................................ 1,664 395,858 Daimler-Benz............................................... 810 409,726 Deutsche Bank.............................................. 26,257 1,249,285 Hoechst.................................................... 1,808 492,643 Kaufhof Holding AG......................................... 1,222 373,097 Mannesmann................................................. 2,427 774,070 Munchener Ruck............................................. 322 695,158 Munchener Ruck Warrants '98 (b)............................ 12 1,589 Preussag................................................... 1,319 372,302 RWE........................................................ 1,350 491,878 Schering................................................... 3,442 229,178 Veba....................................................... 15,588 668,695 ----------- 8,928,193 ----------- ITALY -- 2.47% Assic Generali............................................. 31,500 763,431 Eni ADR (c)................................................ 22,100 756,925 Fiat Spa Priv.............................................. 231,000 422,253 Instituto Mobilaire Italiano............................... 83,000 523,167 Italgas.................................................... 95,000 289,223 LaRinascente............................................... 27,000 163,550 LaRinascente Savings (Risp)................................ 29,000 82,257 Mediobanca................................................. 15,000 103,956 Montedison (b)............................................. 242,000 162,300 Sai Di Risp................................................ 37,000 153,692 Telecom Italia............................................. 357,000 436,998 Telecom Italia Mobile (b).................................. 357,000 375,792 ----------- 4,233,544 ----------- JAPAN -- 26.10% Amada...................................................... 72,000 711,973 Asahi Glass Co............................................. 86,000 958,798 Bank of Tokyo.............................................. 42,000 736,985 Canon, Inc................................................. 62,000 1,123,994 Canon Sales................................................ 22,050 587,857 Citizen Watch Co........................................... 66,000 505,477 Dai Nippon Printing........................................ 65,000 1,102,763 Daiichi Pharmaceutical Co. Ltd............................. 30,000 427,533
- -------------------------------------------------------------------------------- 9 NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------- ------------ JAPAN (CONTINUED) Daikin Kogyo Co........................................... 71,000 $ 695,201 Daiwa House Industries.................................... 36,000 593,311 Fanuc Co.................................................. 18,200 788,696 Fujitsu................................................... 43,000 479,399 Hitachi Ltd............................................... 140,000 1,411,537 Honda Motor Co............................................ 42,000 867,281 Inax...................................................... 69,000 655,550 Isetan.................................................... 24,000 395,540 Ito Yokado Co............................................. 35,000 2,158,022 Keio Teito Electric Railway............................... 75,000 436,985 Kinki Nippon Railway...................................... 80,000 604,944 Kirin Brewery Co. Ltd..................................... 37,000 437,615 Kuraray Co. Ltd........................................... 39,000 427,242 Maeda Road Construction................................... 14,000 259,234 Marui Co.................................................. 21,000 437,712 Matsushita Electric Industrial............................ 113,000 1,840,427 Mitsubishi Bank........................................... 30,000 706,738 Mitsubishi Paper.......................................... 88,000 529,792 NGK Insulators............................................ 115,000 1,148,328 Nichii Co................................................. 54,000 717,208 Nintendo.................................................. 6,500 494,668 Nippon Denso Co........................................... 49,000 916,820 Nippon Meat Packers....................................... 45,000 654,387 Nippon Steel Corp......................................... 52,000 178,459 Orix Corp................................................. 7,000 288,415 Osaka Gas Corp............................................ 292,000 1,010,606 Pioneer Electronics....................................... 32,000 586,331 Sankyo Co. Ltd. .......................................... 52,000 1,169,559 Secom Co.................................................. 17,000 1,183,325 Seino Transportation...................................... 24,000 402,521 Sekisui House............................................. 137,000 1,753,175 Shinmaywa Industries Ltd. ................................ 44,000 363,432 Sony Corp................................................. 17,300 1,038,168 Sumitomo Bank............................................. 75,000 1,592,341 Sumitomo Electric Industries.............................. 59,000 709,258 Takeda Chemical Industries................................ 80,000 1,318,468 TDK Corp.................................................. 21,000 1,072,904 Tokio Marine & Fire....................................... 65,000 850,703 Tokyo Electric Power...................................... 31,512 843,171 Tokyo Steel Mfg........................................... 52,700 970,722 Tonen Corp................................................ 38,000 556,277 Toray Industries, Inc..................................... 291,000 1,918,371 Toshiba Corp.............................................. 224,000 1,756,820 Toyo Suisan Kaisha........................................ 41,000 508,774 Toyota Motor Corp......................................... 21,000 445,855 Yamazaki Baking Co. Ltd. ................................. 23,000 428,114 ------------ 44,757,786 ------------ MALAYSIA -- 0.87% Genting................................................... 10,000 83,497 Hume Industries........................................... 23,000 110,516 Kuala Lumpur Kepong....................................... 48,000 152,186 Land & General Holdings................................... 51,500 111,560 Malayan Bank.............................................. 24,000 202,284
SHARES VALUE ------- ------------ Nestle Malaysia................................ 15,000 $ 109,886 Sime Darby..................................... 77,000 204,707 Telekom Malaysia............................... 37,000 288,539 Tenaga Nasional................................ 60,000 236,313 ------------ 1,499,488 ------------ NETHERLANDS -- 6.07% ABN-AMRO Holdings.............................. 28,424 1,296,191 D.S.M.......................................... 4,150 341,734 Internationale Nederlanden Groep NV............ 24,818 1,659,694 KPN NV......................................... 16,627 604,712 Philips Electronics............................ 10,000 361,822 Royal Dutch Petroleum.......................... 23,630 3,304,957 Royal Dutch Petroleum New York Shares.......... 6,200 874,975 Unilever NV.................................... 10,740 1,510,836 VNU-Ver Ned Uitger............................. 3,350 460,390 ------------ 10,415,311 ------------ NEW ZEALAND -- 1.82% Brierly Investment............................. 798,600 631,738 Carter Holt Harvey............................. 333,600 719,718 Fletcher Challenge Ltd......................... 306,200 706,646 Fletcher Challenge Forest Division............. 43,445 61,918 Telecom Corp. of New Zealand Ltd............... 62,200 268,384 Telecom Corp. of New Zealand Ltd. ADS (c)...... 10,500 728,438 ------------ 3,116,842 ------------ SPAIN -- 2.44% Banco Bilbao-Vizcaya........................... 8,700 313,368 Banco Intercontinental......................... 3,020 293,726 Banco Popular.................................. 1,680 309,763 Banco Santander................................ 9,500 476,864 Empresa NAC Electric........................... 6,400 362,402 Iberdrola S.A.................................. 89,400 817,926 Repsol S.A..................................... 1,200 39,316 Repsol S.A. ADR (c)............................ 11,300 371,487 Sevillana de Electric.......................... 30,900 239,918 Telefonica de Espana........................... 59,500 823,910 Viscofan....................................... 11,300 134,120 ------------ 4,182,800 ------------ SWITZERLAND -- 2.30% Ciba-Geigy (Reg.).............................. 503 443,721 CS Holdings.................................... 4,078 419,106 Nestle (Reg.) S.A.............................. 1,011 1,121,185 Roche Holdings Gen............................. 104 824,787 Schweiz Bankgesellschaft....................... 420 456,284 Societe Generale Surveillance (Br)............. 160 318,443 Zurich Insurance............................... 1,191 357,114 ------------ 3,940,640 ------------
- -------------------------------------------------------------------------------- 10 NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------- ------------ UNITED KINGDOM -- 17.75% Asda Group................................................ 152,200 $ 261,110 Bass...................................................... 84,000 937,680 B.A.T. Industries PLC..................................... 106,000 933,939 BET PLC................................................... 160,400 316,268 Booker PLC................................................ 34,500 191,756 British Gas............................................... 355,300 1,401,121 British Petroleum......................................... 198,756 1,663,243 British Telecommunications................................ 337,000 1,852,166 Charter Group............................................. 43,280 579,889 Coats Viyella............................................. 163,100 443,138 FKI....................................................... 174,625 447,339 General Electric PLC...................................... 432,400 2,383,201 Glaxo Holdings............................................ 70,500 1,001,514 Grand Metropolitan........................................ 233,700 1,683,540 Guinness.................................................. 129,300 951,532 Hanson.................................................... 209,500 626,126 Hillsdown Holdings........................................ 162,900 427,420 House of Fraser........................................... 293,800 816,491 Legal and General......................................... 50,000 520,106 Lloyds Abbey Life......................................... 72,100 503,726 Lloyds TSB Group.......................................... 443,185 2,277,507 Lucas Industries.......................................... 104,683 294,172 Marks & Spencer........................................... 104,900 732,883 Mirror Group.............................................. 179,600 490,756 National Power............................................ 83,500 582,724 National Westminster Bank................................. 100,300 1,010,630 Ocean Group............................................... 67,800 408,421 P & O..................................................... 78,700 581,605 Reckitt & Colman.......................................... 58,575 648,408 Redland................................................... 45,600 275,398 RJB Mining PLC............................................ 18,000 153,144 Rolls Royce............................................... 251,500 737,983 Royal Insurance........................................... 78,300 464,378 Sears PLC................................................. 344,700 556,572 Sedgwick Group............................................ 66,600 125,114 SmithKline Beecham Unit................................... 74,800 815,240 Tesco..................................................... 206,900 954,034 Thames Water.............................................. 66,600 581,109 Unilever Ord 5p........................................... 18,900 388,211 W.H. Smith Group.......................................... 62,500 411,427 ------------ 30,431,021 ------------ Total Non-U.S. Equities (Cost $133,708,210)............... 142,960,843 ------------
FACE AMOUNT VALUE ------------ ------------ Short-Term Investments -- 11.64% COMMERCIAL PAPER -- 11.64% Baxter International, Inc. 6.05%, due 01/02/96................................. $ 858,000 $ 857,856 Burlington Northern Santa Fe 6.05%, due 01/03/96................................. 3,500,000 3,498,824 Conagra, Inc. 5.91%, due 01/04/96................................. 1,449,000 1,448,286 6.05%, due 01/11/96................................. 2,000,000 1,996,639 CSX Corp. 6.00%, due 01/08/96................................. 1,000,000 998,833 General American Transportation Corp. 6.20%, due 01/18/96............................................ 1,500,000 1,495,608 Nabisco Holdings Corp. 5.85% due 01/03/96.................................. 2,000,000 1,999,350 6.04% due 01/19/96.................................. 2,000,000 1,993,960 P.S. Colorado Credit Corp. 6.03%, due 01/04/96................................. 1,000,000 999,498 Texas Utilities Electric Co. 6.30%, due 01/05/96................................. 1,580,000 1,578,894 Trinova Corp. 6.10%, due 01/10/96................................. 1,500,000 1,497,713 Whitman Corp. 5.95%, due 01/02/96................................. 1,590,000 1,589,737 ------------ Total Short-Term Investments (Cost $19,955,198).................................. 19,955,198 ------------ Total Investments (Cost $153,663,408) -- 95.02% (a)................... 162,916,041 ------------ Cash and other assets, less liabilities -- 4.98%........................... 8,549,446 ------------ Net Assets -- 100%................................... $171,465,487 ============
See accompanying notes to schedule of investments. - -------------------------------------------------------------------------------- 11 NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $153,663,408; net unrealized appreciation consisted of: Gross unrealized appreciation................................ $13,386,676 Gross unrealized depreciation................................ (4,134,043) ----------- Net unrealized appreciation................................ $ 9,252,633 ===========
(b) Non-income producing security (c) Denominated in U.S. dollars FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4) The Non-U.S. Equity Fund had the following open forward foreign currency contracts as of December 31, 1995:
SETTLEMENT LOCAL CURRENT UNREALIZED DATE CURRENCY VALUE GAIN/(LOSS) ---------- ------------- ----------- ---------- FORWARD FOREIGN CURRENCY BUY CONTRACTS British Pound........... 02/23/96 4,349,179 $ 6,731,818 $ 61,594 Canadian Dollar......... 02/23/96 18,400,000 13,490,660 (212,050) Italian Lira............ 02/23/96 9,100,000,000 5,695,748 117,888 Swedish Krone........... 02/23/96 45,000,000 6,760,544 342,059 Swiss Franc............. 02/23/96 1,900,000 1,660,381 (17,323) FORWARD FOREIGN CURRENCY SALE CONTRACTS Belgian Franc........... 02/23/96 95,000,000 3,234,815 25,868 British Pound........... 02/23/96 5,600,000 8,667,884 113,620 Dutch Guilder........... 02/23/96 14,500,000 9,073,927 60,437 French Franc............ 02/23/96 63,500,000 12,996,665 (233,672) German Mark............. 02/23/96 11,000,000 7,706,385 50,409 Japanese Yen............ 02/23/96 2,480,000,000 24,227,645 995,474 Swedish Krone........... 02/23/96 45,000,000 6,760,544 (90,320) Swiss Franc............. 02/23/96 5,800,000 5,068,532 9,734 ---------- Total................. $1,223,718 ========== FUTURES CONTRACTS (NOTE 5) INDEX FUTURES CONTRACTS: The Non-U.S. Equity Fund had the following open index futures contracts as of December 31, 1995: SETTLEMENT CURRENT UNREALIZED DATE COST VALUE GAIN ---------- ------------- ----------- ---------- INDEX FUTURES BUY CON- TRACTS Topix, 129 contracts.... March 1996 $ 18,731,071 $19,684,537 $ 953,466 ==========
The aggregate market value of investments pledged to cover margin requirements for the open futures positions at December 31, 1995 was $3,410,000. See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 12 NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $153,663,408) (Note 1).............. $162,916,041 Cash............................................................ 8,984,132 Foreign currency, at value (Cost $1,586,415).................... 1,587,196 Receivables: Investment securities sold..................................... 296,568 Dividends...................................................... 369,100 Variation Margin (Note 5) ..................................... 1,713,031 Fund shares sold............................................... 30,501 Due from Advisor (Note 2)...................................... 136,513 Net unrealized appreciation on forward foreign currency con- tracts......................................................... 1,223,718 Deferred organization costs, net of amortization (Note 1)....... 52,471 Other assets.................................................... 5,691 ------------ TOTAL ASSETS................................................. 177,314,962 ------------ LIABILITIES: Payables: Investment securities purchased................................ 5,557,261 Fund shares redeemed........................................... 10,985 Accrued expenses............................................... 281,229 ------------ TOTAL LIABILITIES............................................ 5,849,475 ------------ NET ASSETS....................................................... $171,465,487 ============ NET ASSETS CONSIST OF: Paid in capital (Note 7)........................................ $159,325,358 Accumulated distributions in excess of net investment income.... (8,402) Accumulated net realized gain................................... 712,468 Net unrealized appreciation..................................... 11,436,063 ------------ NET ASSETS................................................... $171,465,487 ============ OFFERING PRICE PER SHARE: Brinson Class: Net asset value, offering price and redemption price per share (Based on net assets of $171,172,601 and 16,293,814 shares is- sued and outstanding) (Note 7)................................ $ 10.51 ============ SwissKey Class: Net asset value, offering price and redemption price per share (Based on net assets of $292,886 and 27,957 shares issued and outstanding) (Note 7)......................................... $ 10.48 ============
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 13 NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME: Dividends (net of $170,023 for foreign taxes withheld)........... $ 1,328,093 Interest......................................................... 550,191 ----------- TOTAL INCOME.................................................. 1,878,284 ----------- EXPENSES: Advisory (Note 2)................................................ 656,481 Custodian........................................................ 148,000 Professional..................................................... 72,177 Accounting....................................................... 68,112 Amortization of organization costs (Note 1)...................... 1,411 Distribution (Note 6)............................................ 367 Other............................................................ 202,366 ----------- TOTAL EXPENSES................................................ 1,148,914 Expenses deferred by Advisor (Note 2)......................... (327,946) ----------- NET EXPENSES.................................................. 820,968 ----------- NET INVESTMENT INCOME ........................................ 1,057,316 ----------- NET REALIZED AND UNREALIZED GAIN: Net realized gain on: Investments..................................................... 3,674,620 Futures contracts............................................... 759,566 Foreign currency transactions................................... 10,968,352 ----------- Net realized gain............................................. 15,402,538 ----------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency ............................... 5,466,900 Futures contracts .............................................. 953,466 Forward contracts............................................... 600,102 Translation of other assets and liabilities denominated in for- eign currency.................................................. (1,401) ----------- Change in net unrealized appreciation or depreciation......... 7,019,067 ----------- Net realized and unrealized gain.................................. 22,421,605 ----------- Net increase in net assets resulting from operations.............. $23,478,921 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 14 NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR DECEMBER 31, 1995 ENDED (UNAUDITED) JUNE 30, 1995 ----------------- ------------- OPERATIONS: Net investment income........................ $ 1,057,316 $ 2,518,556 Net realized gain (loss)..................... 15,402,538 (5,050,764) Change in net unrealized appreciation or de- preciation ................................. 7,019,067 2,039,362 ------------ ------------ Net increase (decrease) in net assets result- ing from operations......................... 23,478,921 (492,846) ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income..... (1,643,189) -- Distributions in excess of net investment in- come........................................ (8,402) -- Distributions from net realized gain......... (8,647,449) -- ------------ ------------ Total distributions to shareholders*......... (10,299,040) -- ------------ ------------ CAPITAL SHARE TRANSACTIONS: Shares sold.................................. 40,108,628 110,628,882 Shares issued on reinvestment of distribu- tions....................................... 9,252,205 -- Shares redeemed.............................. (39,393,763) (33,361,344) ------------ ------------ Net increase in net assets resulting from capital share transactions (Note 7)......... 9,967,070 77,267,538 ------------ ------------ TOTAL INCREASE IN NET ASSETS............... 23,146,951 76,774,692 ------------ ------------ NET ASSETS: Beginning of period.......................... 148,318,536 71,543,844 ------------ ------------ End of period (including accumulated undis- tributed net investment income of ($8,402) and $632,906, respectively)................. $171,465,487 $148,318,536 ============ ============ *DISTRIBUTIONS BY CLASS: Distributions from and in excess of net in- vestment income: Brinson Class................................ $ (1,649,171) -- SwissKey Class............................... (2,420) -- Distributions from net realized gain: Brinson Class................................ (8,632,718) -- SwissKey Class............................... (14,731) -- ------------ ------------ $(10,299,040) -- ============ ============
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 15 NON-U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
SIX MONTHS ENDED YEAR AUGUST 31, 1993* DECEMBER 31, 1995 ENDED THROUGH BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994 - -------------------------------------------------------------------------------- Net asset value, beginning of period....................... $ 9.68 $ 9.69 $ 10.00 -------- -------- ------- Income from investment opera- tions: Net investment income (loss). (0.07) 0.15 0.10 Net realized and unrealized gain (loss)................. 1.57 (0.16) (0.34) -------- -------- ------- Total income (loss) from investment operations.... 1.50 (0.01) (0.24) -------- -------- ------- Less distributions: Distributions from and in ex- cess of net investment in- come........................ (0.11) -- (0.07) Distributions from net real- ized gain................... (0.56) -- -- -------- -------- ------- Total distributions....... (0.67) -- (0.07) -------- -------- ------- Net asset value, end of peri- od........................... $ 10.51 $ 9.68 $ 9.69 ======== ======== ======= Total return (non-annualized). 15.55% (0.10%) (2.45%) Ratios/Supplemental data Net assets, end of period (in 000s)....................... $171,173 $148,319 $71,544 Ratio of expenses to average net assets: Before expense reimburse- ment....................... 1.40%** 1.23% 1.60%** After expense reimbursement. 1.00%** 1.00% 1.00%** Ratio of net investment in- come to average net assets: Before expense reimburse- ment....................... 0.89%** 1.93% 1.28%** After expense reimbursement. 1.29%** 2.16% 1.88%** Portfolio turnover rate...... 14% 14% 12%
* Commencement of investment operations ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 16 NON-U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
JULY 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $10.26 ------ Income from investment operations: Net investment loss.......................................... (0.09) Net realized and unrealized gain............................. 0.96 ------ Total income from investment operations................... 0.87 ------ Less distributions: Distributions from net investment income..................... (0.09) Distributions from net realized gain......................... (0.56) ------ Total distributions....................................... (0.65) ------ Net asset value, end of period................................ $10.48 ====== Total return (non-annualized)................................. 8.58% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $ 293 Ratio of expenses to average net assets: Before expense reimbursement................................ 2.24%** After expense reimbursement................................. 1.84%** Ratio of net investment income to average net assets: Before expense reimbursement................................ 0.05%** After expense reimbursement................................. 0.45%** Portfolio turnover rate...................................... 14%
* Commencement of SwissKey Class distribution ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 17 NON-U.S. EQUITY FUND -- 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 ten series: Global Fund, Global Equity Fund, Global Bond Fund, Short-Term Global Income Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Bond Fund, U.S. Cash Management Fund, Non-U.S. Equity Fund and Non-U.S. Bond Fund. The Fund has outstanding two classes of common shares, Brinson Class and SwissKey Class. There are an unlimited number of shares of each class with par value of $0.001 authorized. Each share of the Fund represents an identical interest in the investments of the Fund and has the same rights. The following is a summary of significant accounting policies consistently followed by the Non-U.S. Equity Fund (the "Fund") in the preparation of its 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. 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 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: Investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the bid prices of such currencies against the U.S. dollar as of the date of valuation. Purchases and sales of portfolio securities, commitments under forward foreign currency contracts, income receipts and expense accruals are translated at the prevailing exchange rate on the date of each transaction. Realized and unrealized foreign exchange gains or losses on investments are included as a component of net realized and unrealized gain or loss 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 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 Fund to comply with all requirements of the Internal Revenue Code (the "Code") applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. The Fund has met the requirements of the Code applicable to regulated investment companies for the six months ended December 31, 1995, therefore, no federal income tax provision was required. At December 31, 1995, the Fund had a capital loss carryforward of approximately $5,400,000, of which $260,000, $1,180,000 and $3,960,000 will expire on June 30, 2002, June 30, 2003 and June 30, 2004, respectively. F.ORGANIZATION COSTS: Organization costs are being amortized on a straight-line basis over five years from the commencement of operations. G.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Fund to distribute its 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 different class expenses. - -------------------------------------------------------------------------------- 18 NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- H.INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by the Fund will be borne on a pro rata basis by each of the classes except that the Brinson Class shares will not incur any of the 12b-1 expenses. 2.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES Brinson Partners, Inc. (the "Advisor"), a registered investment advisor, provides the Fund with investment management services. As compensation for these services, the Fund pays the Advisor a monthly fee based on the Fund's average daily net assets. The Advisor has agreed to waive its fees and reimburse the Fund to the extent total annualized expenses exceed a specified percentage of the Fund's average daily net assets. The expense cap is 1.00% and 1.84% of the average daily net assets of the Brinson Class and SwissKey Class, respectively. Investment advisory fees and other transactions with affiliates for the six months ended December 31, 1995, were as follows:
OPERATING ADVISORY EXPENSE ADVISORY FEES DUE FROM FEE CAP FEES DEFERRED ADVISOR -------- --------- -------- -------- -------- Non-U.S. Equity Fund.............. 0.80% 1.00% $656,481 $327,946 $136,513
Certain officers of the Fund are also officers of the Advisor. All officers serve without direct compensation from the Fund. Trustees' fees paid to unaffiliated trustees were $3,489. 3.INVESTMENT TRANSACTIONS Investment transactions for the six months ended December 31, 1995, excluding short-term investments, were as follows:
PROCEEDS PURCHASES FROM SALES ----------- ----------- Non-U.S. Equity Fund.................................... $44,410,789 $19,198,934
4.FORWARD FOREIGN CURRENCY CONTRACTS The Fund engages 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 the 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 Fund realizes 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 at December 31, 1995 was the Fund's custodian. 5.FUTURES CONTRACTS The Fund may purchase or sell exchange-traded futures contracts, which are contracts that obligate the Fund 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 Fund enters into such contracts to hedge a portion of its portfolio. Risks of entering into futures contracts include the possibility that there may be an illiquid market and 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 Fund is required to deposit either cash or securities in an amount (initial margin) based on the number of open contracts. Subsequent payments (variation margin) are made or received by the Fund, 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 Fund recognizes a realized gain or loss when the contract is closed or expires. The statement of operations reflects realized and unrealized gains and losses on these contracts. - -------------------------------------------------------------------------------- 19 NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- 6.DISTRIBUTION PLAN The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940. The Plan governs payments made for the expenses incurred in the promotion and distribution of the SwissKey Class of shares. Annual fees under the Plan of 0.84% of the average daily net asset the SwissKey class are accrued daily. 7. CAPITAL TRANSACTIONS Capital stock transactions were as follows:
SIX MONTHS ENDED DECEMBER 31, 1995 YEAR ENDED (UNAUDITED) JUNE 30, 1995 --------------------- ----------------------- SHARES VALUE SHARES VALUE --------- ----------- ---------- ------------ Sales: Brinson Class.................... 3,842,433 $39,699,672 11,370,317 $110,628,882 SwissKey Class................... 38,337 408,956 -- -- --------- ----------- ---------- ------------ Total Sales................... 3,880,770 $40,108,628 11,370,317 $110,628,882 ========= =========== ========== ============ Dividend Reinvestment: Brinson Class.................... 889,697 $ 9,235,055 -- -- SwissKey Class................... 1,657 17,150 -- -- --------- ----------- ---------- ------------ Total Dividend Reinvestment... 891,354 $ 9,252,205 -- -- ========= =========== ========== ============ Redemptions: Brinson Class.................... 3,753,166 $39,262,830 3,435,839 $ 33,361,344 SwissKey Class................... 12,037 130,933 -- -- --------- ----------- ---------- ------------ Total Redemptions............. 3,765,203 $39,393,763 3,435,839 $ 33,361,344 ========= =========== ========== ============
- -------------------------------------------------------------------------------- 20 DISTRIBUTED BY: FUND/PLAN BROKER SERVICES, INC. 2 W. ELM STREET CONSHOHOCKEN, PA 19428 This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective Prospectus which includes details regarding the Fund's objectives, policies, expenses and other information. - -------------------------------------------------------------------------------- LOGO 10 East 50th Street . New York, New York 10022 . Tel: (800) SWISSKEY LOGO SWISSKEY GLOBAL FUND SWISSKEY GLOBAL EQUITY FUND SWISSKEY GLOBAL BOND FUND SEMI-ANNUAL REPORT DECEMBER 31, 1995 TRUSTEES AND OFFICERS - -------------------------------------------------------------------------------- LOGO TRUSTEES Walter E. Auch Frank K. Reilly, CFA Edward M. Roob OFFICERS Frank K. Reilly, CFA Carolyn M. Burke, CPA Chairman of the Board Assistant Secretary E. Thomas McFarlan Catherine E. Macrae President and Treasurer Assistant Secretary Thomas J. Digenan, CPA Debra L. Nichols Assistant Treasurer Assistant Secretary Bruce G. Leto Secretary ------------------------------------------------------------ 1 THE FUNDS' ADVISOR -- BRINSON PARTNERS, INC. - -------------------------------------------------------------------------------- LOGO Brinson Partners, Inc. is an institutional investment management firm structured around teams of investment specialists covering major world asset classes. We specialize in managing multiple asset portfolios that provide clients with the opportunity to participate in all major world asset classes. It is important that investment decisions, whether they pertain to a global portfolio or a single asset class portfolio, be made within the context of a global capital market perspective. Our coordinated application of investment strategies distinguishes Brinson Partners, Inc. as a leader in global investment management of institutional assets. We firmly believe that asset allocation is portfolio management at its highest and most important level. Performance is maximized through a comprehensive understanding of global investment markets and their interrelationships. Portfolio structure is tailored to specific client objectives and focused upon both risk and return considerations in the context of full long-term investment cycles. At Brinson Partners, Inc. our investment decisions are based on fundamental research, internally developed valuation systems and seasoned judgment. Our independent team approach allows for rapid responses to market changes, while providing each client with the benefit of our best talent and the flexibility to customize portfolios to meet unique requirements. ------------------------------------------------------------ 2 TABLE OF CONTENTS - -------------------------------------------------------------------------------- LOGO Shareholder Letter............................................................ 4 Global Economic Review and Outlook............................................ 5 Global Fund................................................................... 6 Schedule of Investments.....................................................10 Financial Statements........................................................17 Financial Highlights........................................................20 Global Equity Fund............................................................22 Schedule of Investments.....................................................26 Financial Statements........................................................31 Financial Highlights........................................................34 Global Bond Fund..............................................................36 Schedule of Investments.....................................................39 Financial Statements........................................................42 Financial Highlights........................................................45 The SwissKey Funds--Notes to Financial Statements.............................47 ------------------------------------------------------------ 3 SHAREHOLDER LETTER - -------------------------------------------------------------------------------- LOGO February 22, 1996 Dear Shareholder: We are pleased to present you with the December 31, 1995 Semi-Annual Report for the Global Fund, Global Equity Fund and Global Bond Fund. Since SwissKey class inception on July 31, 1995, the Funds have provided the following total returns: SwissKey Global Fund 8.61%; SwissKey Global Equity Fund 9.93%; and SwissKey Global Bond Fund 7.22%. A COMPELLING COMBINATION OF TWO GLOBAL INVESTMENT LEADERS In the world of global investing, the combination of Swiss Bank Corporation and Brinson Partners, Inc. adds world class value to our clients' investments. Swiss Bank Corporation, founded in 1872, is a global financial institution serving the needs of worldwide corporate, public and private clients. With more than $191 billion in assets and a strong presence in 40 countries, Swiss Bank Corporation is the largest fund manager in Switzerland and is among the top money managers worldwide. Swiss Bank Corporation holds membership in the world's leading stock exchanges. Brinson Partners, Inc. currently manages over $53 billion in assets for clients which include employee benefit plans and other institutional investors. The firm is the largest U.S. active manager of global assets and has operated under the same investment philosophy and senior management for almost two decades. CURRENT STRATEGY Global Fund Fund strategy presently continues to underweight equities, as equity prices continue to exceed values. These underweights are offset by overweights in the relatively attractive bond markets, primarily the U.S., Canada and DM-bloc countries. Global Equity Fund The Fund continues to hold a 10% cash hedge, reflecting the overvaluation in many equity markets. The greatest underweight is the U.S. market, where price exceeds fundamental value by about 20%. Although the Japanese market remains overpriced, its underweight is smaller, as the downward adjustment of the yen should benefit the equity market. Global Bond Fund The attractive European bond markets, primarily Denmark, France, Germany and the Netherlands, are the primary overweight in the Fund. In the U.S. market, the yield curve is very close to our equilibrium level, leading to a modest underweight. The below-equilibrium yields cause the Fund's largest underweight to be the Japanese bond market. Funds' Currency Strategy Currency strategy continues to focus on reducing the risk of exposure to the yen and DM-bloc currencies. Even after their declines from the peaks reached last April, the levels of these currencies are still above fair value. We look forward to the challenges ahead and, as always, welcome your thoughts and comments. Sincerely, /s/ Raoul Weil /s/ Raymond Simon Raoul Weil Raymond Simon Executive Director Executive Director Private Investors & Private Investors & Asset Management Asset Management ------------------------------------------------------------ 4 GLOBAL ECONOMIC REVIEW AND OUTLOOK - -------------------------------------------------------------------------------- LOGO Interest rates declined across the globe in 1995 but the underlying real rates remained high. The motives varied across countries but the common theme of the monetary authorities was vigilance against excess liquidity. The problem areas in the real economies were left to fend for themselves, without access to the monetary printing presses that had been so readily available in the past. As a result, inflation remains modest but structural unemployment remains high and economic growth has slowed in most countries. Whether this new separation between nominal and real economic policies is maintained is the great uncertainty in the global outlook. In Europe, the move toward economic and monetary union is the dominant force as the monetary rules continue to be set by the Bundesbank with its unrelenting pursuit of deutschemark integrity. Other countries that remain committed to the requirements of the Exchange Rate Mechanism have kept their currencies in line with the DM. On the plus side, those countries that have kept their currencies most closely tied to the DM now have inflation rates of 2% or less. But this has also worked to keep most European currencies, including the DM, significantly overpriced in world markets, aggravating the already severe competitive problems that result from the generally high labor costs and extensive government involvement in economic affairs that characterize the region. The result has been a slowing of economic growth and persistently high rates of unemployment. The planned move to a single currency (Euro), managed by a single European central bank, has probably been a major factor in this situation. On the one hand, the credibility of a single European currency requires the various governments to show a commitment to consistent, sound monetary policies. On the other hand, however, the Germans remain suspicious of losing the proven discipline of the Bundesbank. Thus, the German central bank presses hard to wring as much inflation out of the system ahead of the adoption of the single currency and the other governments see themselves as forced to go along. While it will be a new game if and when the Bundesbank relinquishes its duties, the near-term outlook for Europe is that monetary policy will continue to focus on price stability while economic growth prospects will depend primarily on structural reform. In the U.S., the Federal budget deficit continues to receive the bulk of attention. The consensus, both here and abroad, is that the U.S. simply borrows too much. Among Americans, the typical complaint focuses on the burden that current deficits impose on future generations. In other countries, the concern is that the U.S., by its sheer size, absorbs a disproportionate share of global capital. Aggregate saving within the U.S. continues to fall short of private domestic investment demands plus government borrowing requirements, producing current account deficits that must be financed in international markets. While there are political points to be scored, especially in this election year, the clear trend is toward a reduction of the Federal deficit. The real issue is how the reduction is achieved--how much the government will spend, how they will spend and what tax system will be used to finance that spending. Even with a balanced budget, the current spending priorities and tax structure of the Federal government contain significant disincentives for domestic saving. In general, however, foreigners have been willing to do our saving for us, providing the capital to fuel strong investment growth in the U.S. Japan disrupted this process in the late 1980s, however. The paper wealth that the Japanese created for themselves with the speculative bubble in their domestic asset prices ultimately led to both a collapse of asset prices within Japan and a surge in the value of the yen against most other currencies. This wiped out a significant portion of the yen value of the non-Japanese assets that they had accumulated. Inside Japan, the appreciation of the yen produced a wealth transfer from investors to consumers, effectively offsetting the pro-capital, anti-consumption policy of the government. The large volume of trade between the U.S. and Japan, plus the large capital flows, gave the appearance that the strength of the yen was actually a problem of a weak dollar which, in turn, reflected heavy U.S. borrowing abroad. Ergo, the focus on the Federal budget deficit as the source of the problem. While little good has resulted from the explosive growth of the Federal budget, its contribution to the problems of the dollar into early 1995 was coincidental. Instead, the lead role was played by the Japanese, as the government steadfastly refused to recognize the aggregate wealth loss that was necessary to clean up the excesses of the speculative bubble of the late 1980s. In using official powers, including the Bank of Japan, to soften the adjustment, market forces took the lead in correcting the situation. That meant sharp, real appreciation of the yen and a period of prolonged economic weakness that continues into 1996. ------------------------------------------------------------ 5 GLOBAL FUND - -------------------------------------------------------------------------------- LOGO The Global Fund is an actively managed, diversified mutual fund that provides integrated asset management across and within securities markets. The investment process is strategic in nature and is driven by deviations of market price from fundamental value. This philosophy offers the greatest potential for achieving superior long-term returns, while maintaining control of risk. The SwissKey Global Fund has provided an unannualized return of 8.61% since its inception on July 31, 1995. This compares with the corresponding 6.65% return of its benchmark, the SwissKey Global Fund Index. Positive contributors to relative performance included security selection within the U.S. equity component, hedging currency risk, and underweighting non-U.S. equities. Negative contributors included an underweight in U.S. equities and overweights in bond markets. Below is a discussion of the 1995 global markets activity, as well as our current investment strategies. Currency market volatility during the year carried the yen and core European currencies to extreme highs against the dollar in the first four months of 1995. By the end of the year, however, the dollar showed net appreciation against the yen and reversed its slide against the deutschemark. Because of the very low short-term interest rates in Japan, hedging yen risk provided a substantial interest rate differential. The strong yen prompted the Bank of Japan to cut short rates to historic lows. In the U.S., the Fed began to partially reverse the hikes made in 1994. European central banks eased in the face of slowing growth and overvalued currencies. The result was falling yield curves and very good performance in bond markets. As the U.S. equity and bond markets rallied, the non-U.S. markets became relatively more attractive and additional weight was allocated. The Japanese bond and equity valuations remained relatively unattractive. But because of the policy initiatives by the Japanese government and central bank to restart the economy and provide liquidity, the Japanese equity underweight was reduced. Asset allocation strategy continues to underweight equity markets, as prices remain in excess of fundamental value, and to overweight bonds. In most bond markets outside Japan, yields exceed equilibrium levels, offering attractive relative value. The Fund continues to hold no cash. Currency strategy is focused on controlling exposure to the overvalued core European currencies and the yen, with a primary overweight in the U.S. dollar. ------------------------------------------------------------ 6 GLOBAL FUND - -------------------------------------------------------------------------------- LOGO TOTAL RETURN
Since Quarter Inception* - ---------------------------------------- SWISSKEY GLOBAL FUND 5.51% 8.61% Global Fund Index** 4.24 6.65 - ----------------------------------------
*Inception date of the SwissKey Global Fund is July 31, 1995. **An un-managed index compiled by the Advisor, constructed as follows since December 31, 1981: 50% Wilshire 5000 Index; 17% MSCI Non-U.S. Equity (Free) Index; 18% Salomon BIG Bond Index; 2% International Dollar Bond Index; 8% Salomon Non-U.S. Gov't. Bond Index (unhedged); and 5% 30-day Treasury Bills. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000 This chart shows the growth in the value of an investment in the SwissKey Global Fund and the Global Fund Index if you had invested $10,000 on July 31, 1995, and had reinvested all your income dividends and capital gain distributions through December 31, 1995. 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. SWISSKEY GLOBAL FUND VS. GLOBAL FUND INDEX Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE]
Swisskey Global Fund Swisskey Global Fund Index -------------------- -------------------------- 7/31/95 $10,000 $10,000 8/31/95 $10,129 $ 9,965 9/30/95 $10,293 $10,231 10/31/95 $10,362 $10,167 11/30/95 $10,655 $10,471 12/31/95 $10,860 $10,665
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. ------------------------------------------------------------- 7 GLOBAL FUND - -------------------------------------------------------------------------------- LOGO ASSET ALLOCATION As of December 31, 1995 (Unaudited)
Current Benchmark Strategy - ----------------------------------------------------------------------------------------------- U.S. EQUITY 50.0% 28.0% Large Cap. Stocks 35.0 19.0 Small/Int. Cap. 15.0 9.0 NON-U.S. EQUITIES 17.0 17.0 Japan Equity 6.7 5.9 Other Equities 10.3 11.1 DOLLAR BONDS 20.0 29.5 U.S. Bonds 18.0 27.5 International $ Bonds 2.0 2.0 NON-U.S. BONDS 8.0 25.5 Japan Bonds 2.4 0.4 Other Bonds 5.6 25.1 CASH EQUIVALENTS 5.0 0.0 - ----------------------------------------------------------------------------------------------- 100.0% 100.0%
TOP TEN U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
Percent of Net Assets - ------------------------------------------------------------------------------ 1. Citicorp 1.51% 2. Lockheed Martin Corp. 1.47 3. Burlington Northern, Santa Fe 1.18 4. Honeywell, Inc. 1.13 5. Avon Products, Inc. 0.90 6. Schering Plough Corp. 0.85 7. Kimberly-Clark Corp. 0.82 8. AON Corp. 0.82 9. Enron Corp. 0.79 10. Sprint Corp. 0.77 - ------------------------------------------------------------------------------
CURRENCY ALLOCATION As of December 31, 1995 (Unaudited)
Current Benchmark Strategy - -------------------------------------- U.S. 75.0% 82.9% Japan 9.1 0.0 U.K. 3.4 3.4 Continental Europe 9.7 5.1 Canada 1.0 6.0 Other 1.8 2.6 - -------------------------------------- 100.0% 100.0%
TOP TEN NON-U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
Percent of Net Assets - ------------------------------------------------------------------------------ 1. Royal Dutch Petroleum 0.35% 2. Lloyds TSB Group 0.26 3. General Electric, PLC 0.24 4. British Telecommunications 0.20 5. Broken Hill Proprietary 0.19 6. Grand Metropolitan 0.19 7. British Petroleum 0.18 8. International Nederlander Group NV 0.18 9. Peugeot S.A. 0.16 10. British Gas 0.15 - ------------------------------------------------------------------------------
------------------------------------------------------------ 8 GLOBAL FUND - -------------------------------------------------------------------------------- LOGO INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- U.S. EQUITIES Basic Industries Chemicals............................................................... 0.22% Housing/Paper........................................................... 0.93 Metals.................................................................. 0.40 ----- 1.55 Capital Investment Capital Goods........................................................... 2.53 Technology.............................................................. 1.59 ----- 4.12 Consumer Autos/Durables.......................................................... 0.29 Discretionary........................................................... 1.52 Health: Drugs........................................................... 2.70 Health: Non-Drugs....................................................... 0.87 Non-Durables............................................................ 2.82 Retail/Apparel.......................................................... 1.75 ----- 9.95 Energy................................................................... 1.72 Financial Banks................................................................... 2.25 Non-Banks............................................................... 2.76 ----- 5.01 Services................................................................. 2.23 Transportation........................................................... 1.22 Utilities................................................................ 1.82 Miscellaneous............................................................ 0.67 ----- Total U.S. Equities................................................... 28.29 ----- NON-U.S. EQUITIES Aerospace & Military..................................................... 0.08 Airlines................................................................. 0.01 Appliances & Household Durables.......................................... 0.27 Automobiles.............................................................. 0.41 Banking.................................................................. 2.20 Beverages & Tobacco...................................................... 0.43 Broadcasting & Publishing................................................ 0.23 Building Materials....................................................... 0.05 Business & Public Service................................................ 0.42 Chemicals................................................................ 0.49 Construction............................................................. 0.25 Data Processing.......................................................... 0.03 Electric Components...................................................... 0.10 Electronics.............................................................. 0.57 Energy................................................................... 1.42 Financial Services....................................................... 0.07 - --------------------------------------------------------------------------------
Food & House Products................................................... 0.50% Forest Products......................................................... 0.27 Goldmines............................................................... 0.03 Health & Personal Care.................................................. 0.52 Industrial Components................................................... 0.26 Insurance............................................................... 0.93 Leisure & Tourism....................................................... 0.07 Machinery & Engineering................................................. 0.13 Merchandising........................................................... 0.81 Miscellaneous Materials................................................. 0.16 Multi-Industry.......................................................... 0.96 Non-Ferrous Metals...................................................... 0.15 Real Estate............................................................. 0.06 Recreation.............................................................. 0.13 Shipping................................................................ 0.04 Steel................................................................... 0.14 Telecommunications...................................................... 0.60 Transportation.......................................................... 0.10 Utilities............................................................... 0.72 ------ Total Non-U.S. Equities.............................................. 13.61* ------ U.S. BONDS Corporate Bonds Asset-backed........................................................... 3.32 CMO.................................................................... 0.25 Consumer............................................................... 0.73 Financial.............................................................. 1.00 Floating rate.......................................................... 0.23 Industrial............................................................. 0.97 Supernational.......................................................... 0.04 Telecommunications..................................................... 1.52 Yankee................................................................. 0.23 ------ 8.29 U.S. Government Agencies................................................ 8.04 U.S. Government Obligations............................................. 8.65 International Dollar Bonds.............................................. 2.18 Municipal Bonds......................................................... 0.04 ------ Total U.S. Bonds..................................................... 27.20 ------ NON-U.S. BONDS Foreign Government Bonds................................................ 24.07 ------ SHORT-TERM INVESTMENTS.................................................. 6.84* ------ TOTAL INVESTMENTS.................................................... 100.01 LIABILITIES LESS CASH AND OTHER ASSETS.................................. (0.01) ------ NET ASSETS........................................................... 100.00% ======
* The Fund held a long position in Topix futures on December 31, 1995 which increased Japanese equity exposure from 2.87% to 5.91% and decreased the Fund's exposure to Short-Term Investments from 6.84% to 3.80%. ------------------------------------------------------------ 9 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE -------- ------------ Equities -- 41.90% U.S. EQUITIES -- 28.29% Aetna Life & Casualty Co............................. 34,900 $ 2,416,825 Air & Water Technologies Corp. Class A (b)......................................... 22,400 137,200 Allergan, Inc........................................ 58,300 1,894,750 Alza Corp. (b)....................................... 46,200 1,143,450 American Mobile Satellite Corp., Inc. (b)............ 8,500 260,313 Aon Corp............................................. 70,900 3,536,138 AST Research Corp. (b)............................... 13,740 116,790 Automatic Data Processing, Inc....................... 33,300 2,472,525 Avon Products, Inc................................... 51,500 3,881,812 Bard (C.R.), Inc..................................... 35,200 1,135,200 Beckman Instruments, Inc............................. 22,700 803,012 Biogen, Inc. (b)..................................... 5,200 319,800 Birmingham Steel Corp................................ 23,000 342,125 Boeing Co. .......................................... 20,600 1,64,525 Boston Technology, Inc. (b).......................... 14,000 178,500 Brinker International, Inc. (b)...................... 16,500 249,563 Burlington Northern Santa Fe......................... 65,500 5,109,000 Campbell Soup Co..................................... 18,000 1,080,000 Centerior Energy Co.................................. 9,900 87,863 CIGNA Corp........................................... 28,200 2,911,650 Citicorp............................................. 97,300 6,543,425 CMS Energy Corp...................................... 62,300 1,861,213 Coca-Cola Enterprises, Inc........................... 73,400 1,963,450 Comerica, Inc........................................ 15,700 629,963 Computer Sciences Corp. (b).......................... 3,000 210,750 Converse Technology, Inc. (b)........................ 9,100 182,000 Cooper Cameron Corp. (b)............................. 19,283 684,546 Cooper Industries, Inc............................... 22,352 821,436 Dial Corp............................................ 54,700 1,620,487 Enron Corp........................................... 89,400 3,408,375 Entergy Corp......................................... 62,700 1,833,975 Federated Department Stores (b)...................... 72,800 2,002,000 First Data Corp...................................... 34,490 2,306,505 Food Lion, Inc. Class A.............................. 92,300 527,836 Ford Motor Co........................................ 57,900 1,679,100 Forest Laboratories, Inc. (b)........................ 38,600 1,746,650 Gannett Co., Inc..................................... 20,700 1,270,463 Genzyme Corp. (b).................................... 7,400 461,575 Goodyear Tire and Rubber Co.......................... 41,300 1,873,988 Grand Metro.......................................... 60,000 1,755,000 Health Care and Retirement Corp. (b)................. 16,600 581,000 Hillenbrand Industries, Inc.......................... 1,200 40,650 Honeywell, Inc....................................... 100,800 4,901,400 Illinova Corp........................................ 12,100 363,000 Inland Steel Industries, Inc......................... 33,900 851,737 Interpublic Group of Companies, Inc.................. 22,900 993,287 Kimberly-Clark Corp.................................. 42,900 3,549,975 Kroger Co. (b)....................................... 33,100 1,241,250 Lockheed Martin Corp................................. 80,600 6,367,400 LTV Corp............................................. 33,100 455,125 Lyondell Petrochemical Co............................ 62,400 1,427,400 Magna Group, Inc..................................... 11,400 270,750 Manor Care, Inc...................................... 37,250 1,303,750 Mattel, Inc.......................................... 90,800 $ 2,792,100 Melville Corp........................................ 52,700 1,620,525 National Semiconductor Corp. (b)..................... 24,500 545,125 Nextel Communications, Inc. Class A (b).............. 50,100 738,975 Octel Communications Corp. (b)....................... 6,300 203,175 Old Republic International Corp...................... 22,100 784,550 Owens Illinois, Inc. (b)............................. 64,600 936,700 Pentair, Inc......................................... 13,300 661,675 Pfizer, Inc.......................................... 34,300 2,160,900 Philip Morris Companies, Inc......................... 16,800 1,520,400 Raychem Corp......................................... 19,800 1,126,125 RJR Nabisco Convertible Preferred "C" 184,500 1,176,187 RJR Nabisco Holdings Corp. (b)....................... 55,140 1,702,448 Schering Plough Corp................................. 67,100 3,673,725 Schlumberger Ltd..................................... 24,200 1,675,850 Schweitzer-Masuduit Intl., Inc. (b).................. 4,290 99,206 Seagate Technology (b)............................... 23,800 1,130,500 Sprint Corp.......................................... 83,800 3,341,525 State Street Boston Corp............................. 16,800 756,000 Timken Co............................................ 15,900 608,175 Tosco Corp........................................... 10,200 388,875 Transamerica Corp.................................... 29,500 2,149,813 Ultramar Corp........................................ 24,900 641,175 US Bancorp........................................... 38,800 1,304,650 USF&G Corp........................................... 55,700 939,937 Walgreen Co.......................................... 50,200 1,499,725 Westvaco Corp........................................ 15,950 442,612 WMX Technologies, Inc................................ 72,100 2,153,987 ------------ Total U.S. Equities.................................. 122,195,142 ------------ NON-U.S. EQUITIES -- 13.61% AUSTRALIA -- 0.72% Amcor Ltd............................................ 29,400 207,766 ANZ Banking Group.................................... 33,753 158,433 Broken Hill Proprietary.............................. 57,180 808,168 CRA Ltd.............................................. 20,600 302,495 David Jones Ltd. (b)................................. 74,000 112,847 Lend Lease Corp. Ltd................................. 17,623 255,634 National Australia Bank.............................. 36,947 332,559 News Corp............................................ 36,100 192,813 Pacific Dunlop Ltd................................... 47,600 111,538 Qantas Airways Ltd................................... 18,400 30,659 Santos Ltd........................................... 49,600 145,003 Western Mining Corp.................................. 19,100 122,758 Westpac Banking Corp. Ltd............................ 70,138 310,959 ------------ 3,091,632 ------------ BELGIUM -- 0.47% Dellanizo-Le Lion, S.A............................... 2,100 87,051 Electrabel........................................... 1,860 442,392 Fortis AG............................................ 1,707 207,641 Groupe Bruxelles Lambert............................. 900 124,920 Kredietbank.......................................... 1,070 292,669 Petrofina............................................ 855 261,750
- -------------------------------------------------------------------------------- 10 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------- ------------ BELGIUM (CONTINUED) Petrofina S.A. Warrants "97" (b)..................... 13 $ 173 Societe Gen De Belgique.............................. 1,553 128,489 Solvay............................................... 360 194,489 Tractebel............................................ 575 237,378 Union Mineire (b).................................... 920 61,582 ------------ 2,038,534 ------------ CANADA -- 0.67% Alcan Aluminum Ltd................................... 7,600 236,142 Bank of Montreal..................................... 16,700 379,601 Barrick Gold Corp.................................... 5,700 150,462 Canadian Pacific Ltd................................. 19,900 362,966 Imperial Oil Canada Ltd.............................. 7,800 282,391 Moore Corp. Ltd...................................... 3,900 73,279 Noranda Inc.......................................... 7,700 158,793 Norcen Energy........................................ 5,800 87,183 Northern Telecom Ltd................................. 3,400 145,531 Nova Corporation of Alberta.......................... 10,400 83,883 Royal Bank of Canada................................. 13,600 310,383 Seagram Co Ltd....................................... 6,500 224,006 Thomson Corp......................................... 17,800 247,983 TransCanada Pipelines Ltd............................ 11,200 155,008 ------------ 2,897,611 ------------ FRANCE -- 1.58% Accor................................................ 2,140 277,422 Alcatel Alsthom...................................... 2,938 253,634 Banque Nationale de Paris............................ 9,230 416,903 Carnaud Metal Box.................................... 4,780 218,934 Cep Communications................................... 1,984 164,705 Cie Bancaire S.A..................................... 1,963 219,957 Cie de Saint Gobain.................................. 3,374 373,923 Cie Fin de Suez...................................... 4,367 180,374 Colas................................................ 854 143,189 Credit Local de France............................... 5,059 405,498 GAN (b).............................................. 1,820 66,614 Generale des Eaux.................................... 4,326 432,458 LVMH (Moet-Hennessy Louis Vaitton)................... 3,029 631,738 Michelin Class B..................................... 5,660 226,025 Pechiney Cert D'Invest............................... 3,640 137,693 Peugeot S.A.......................................... 5,170 682,906 Sanofi............................................... 3,788 243,130 Societe Generale..................................... 4,386 542,578 Societe Nationale Elf Aquitaine...................... 5,434 400,889 Total Co. "B"........................................ 8,712 588,745 UAP.................................................. 9,066 237,096 ------------ 6,844,411 ------------ GERMANY -- 1.02% Allianz AG Holdings.................................. 268 527,275 BASF AG.............................................. 911 205,584 Bayer................................................ 978 260,199 Bayer Motoren Werken................................. 440 227,486 Bayer Vereinsbank.................................... 5,794 174,067 Commerzbank.......................................... 891 $ 211,965 Daimler-Benz......................................... 408 206,380 Deutsche Bank........................................ 12,811 609,536 Hoechst.............................................. 974 265,395 Kaufhof Holding AG................................... 550 167,924 Mannesmann........................................... 1,077 343,499 Muenchener Rueckver.................................. 171 369,168 Muenchener Rueckver Warrants "98" (b)................ 2 265 Preussag............................................. 742 209,438 RWE.................................................. 600 218,612 Schering............................................. 1,535 102,205 Veba................................................. 6,839 293,379 ------------ 4,392,377 ------------ ITALY -- 0.48% Assic Generali....................................... 14,300 346,573 Eni ADR (c).......................................... 10,000 342,500 Fiat Spa Priv........................................ 110,000 201,073 Instituto Mobilaire Italiano......................... 41,000 258,432 Italgas.............................................. 45,000 137,001 Mediobanca........................................... 6,000 41,582 Montedison (b)....................................... 150,000 100,599 La Rinascente Savings (Risp)......................... 9,000 25,528 Sai Di Risp.......................................... 42,000 210,629 Telecom Italia....................................... 170,000 208,095 Telecom Italia Mobile (b)............................ 170,000 178,948 ------------ 2,050,960 ------------ JAPAN -- 2.87% Amada................................................ 20,000 197,770 Asahi Glass Co....................................... 24,000 267,572 Bank of Tokyo........................................ 11,000 193,020 Canon, Inc........................................... 17,000 308,192 Canon Sales.......................................... 5,250 139,966 Citizen Watch Co..................................... 19,000 145,516 Dai Nippon Printing.................................. 19,000 322,346 Daiichi Pharmaceutical Co., Ltd...................... 8,000 114,009 Daiwa Industries..................................... 21,000 205,623 Daiwa House Industries............................... 10,000 164,809 Fanuc Co............................................. 4,300 186,340 Fujitsu.............................................. 12,000 133,786 Hitachi Ltd.......................................... 39,000 393,214 Honda Motor Co....................................... 11,000 227,145 Inax................................................. 18,000 171,013 Isetan............................................... 7,000 115,366 Ito Yokado Co........................................ 10,000 616,578 Keio Teito Electric Railway.......................... 23,000 134,009 Kinki Nippon Railway................................. 22,000 166,360 Kurin Brewery Co. Ltd................................ 11,000 130,102 Kuraray Co. Ltd...................................... 12,000 131,459 Maeda Road Construction.............................. 4,000 74,067 Marui Co............................................. 6,000 125,061 Matsushita Electric Industrial....................... 32,000 521,182 Mitsubishi Bank...................................... 8,000 188,463 Mitsubishi Paper..................................... 25,000 150,509
- -------------------------------------------------------------------------------- 11 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------- ------------ JAPAN (CONTINUED) NGK Insulators....................................... 34,000 $ 339,506 Nichii Co............................................ 14,000 185,943 Nintendo............................................. 1,900 144,595 Nippon Denso Co...................................... 13,000 243,238 Nippon Meat Packers.................................. 12,000 174,503 Nippon Steel Corp.................................... 16,000 54,910 Orix Corp............................................ 2,000 82,404 Osaka Gas Corp....................................... 81,000 280,339 Pioneer Electronics.................................. 9,000 164,905 Sankyo Co. Ltd....................................... 14,000 314,881 Secom Co............................................. 4,000 278,429 Seino Transportation................................. 7,000 117,402 Sekisui House........................................ 38,000 486,282 Shinmaywa Industries Ltd............................. 13,000 107,378 Sony Corp............................................ 5,200 312,050 Sumitomo Bank........................................ 22,000 467,087 Sumitomo Electric Industries......................... 16,000 192,341 Takeda Chemical Industries........................... 23,000 379,060 TDK Corp............................................. 5,000 255,453 Tokio Marine & Fire.................................. 18,000 235,579 Tokyo Electric Power................................. 7,979 213,495 Tokyo Steel Mfg...................................... 14,000 257,877 Tonen Corp........................................... 11,000 161,028 Toray Industries, Inc................................ 84,000 553,757 Toshiba Corp......................................... 62,000 486,263 Toyo Suisan Kaisha................................... 13,000 161,318 Toyota Motor Corp.................................... 6,000 127,387 Yawazaki Baking Co. Ltd.............................. 6,000 111,682 ------------ 12,412,569 ------------ MALAYSIA -- 0.17% Genting.............................................. 5,000 41,749 Hume Industries...................................... 11,000 52,855 Kuala Lumpur Kepong.................................. 23,000 72,922 Land & General Holdings.............................. 25,000 54,155 Malayan Bank......................................... 12,000 101,142 Nestle Malaysia...................................... 7,000 51,280 Sime Darby........................................... 39,000 103,683 Telekom Malaysia..................................... 18,000 140,370 Tenaga Nasional...................................... 28,000 110,280 ------------ 728,436 ------------ NETHERLANDS -- 1.13% ABN-AMRO Holdings.................................... 13,446 613,164 D.S.M................................................ 1,610 132,576 Internationale Nederlanden Groep NV.................. 11,798 788,987 KPN NV............................................... 9,895 359,874 Philips Electronics.................................. 4,680 169,333 Royal Dutch Petroleum................................ 10,800 1,510,518 Royal Dutch Petroleum NY Shares...................... 3,500 493,938 Unilever NV.......................................... 4,650 654,133 VNU-Ver Ned Uitger................................... 1,310 180,033 ------------ 4,902,556 ------------ NEW ZEALAND -- 0.38% Brierly Investment................................... 417,700 $ 330,424 Carter Holt Harvey................................... 175,400 378,413 Fletcher Challenge Ltd............................... 162,100 374,093 Fletcher Challenge Forest Division................... 16,333 23,278 Telecom Corp. of New Zealand Ltd..................... 91,000 392,652 Telecom Corp. of New Zealand Ltd. ADS (c)............ 2,000 138,750 ------------ 1,637,610 ------------ SPAIN -- 0.43% Banco Bilbao-Vizcaya................................. 3,800 136,873 Banco Intercontinental............................... 1,430 139,082 Banco Popular........................................ 740 136,443 Banco Santander...................................... 3,900 195,765 Empresa NAC Electric................................. 3,100 175,538 Iberdrola S.A........................................ 39,100 357,729 Repsol S.A........................................... 4,100 134,331 Repsol S.A. ADR (c).................................. 2,100 69,038 Sevillana de Electric................................ 13,200 102,489 Telefonica de Espana................................. 26,400 365,567 Viscofan............................................. 4,900 58,159 ------------ 1,871,014 ------------ SWITZERLAND -- 0.44% Ciba-Geigy (Reg.).................................... 258 227,594 CS Holdings.......................................... 1,948 200,201 Nestle (Reg) S.A..................................... 483 535,641 Roche Holdings Gen................................... 50 396,532 Schweiz Bankgesellschaft............................. 201 218,364 Societe Generale Surveillance (Br)................... 76 151,260 Zurich Insurance..................................... 569 170,611 ------------ 1,900,203 ------------ UNITED KINGDOM -- 3.25% Asda Group........................................... 90,200 154,745 Bass................................................. 39,800 444,282 B.A.T. Industries PLC................................ 46,184 406,915 BET PLC.............................................. 70,900 139,797 Booker PLC........................................... 14,100 78,370 British Gas.......................................... 167,900 662,111 British Petroleum.................................... 94,815 793,437 British Telecommunications........................... 159,500 876,619 Charter Group........................................ 20,969 280,954 Coats Viyella........................................ 66,000 179,320 FKI.................................................. 68,700 175,990 General Electric PLC................................. 191,700 1,056,567 Glaxo Holdings....................................... 26,800 380,717 Grand Metropolitan................................... 111,200 801,068 Guinness............................................. 61,000 448,905 Hanson............................................... 101,400 303,051 Hillsdown Holdings................................... 66,000 173,172 House of Fraser...................................... 153,800 427,421 Legal and General.................................... 22,300 231,968 Lloyds Abbey Life.................................... 31,300 218,677 Lloyds TSB Group..................................... 215,779 1,108,878 Lucas Industries..................................... 49,851 140,087 Marks & Spencer...................................... 46,400 324,173 Mirror Group......................................... 85,500 233,628
- -------------------------------------------------------------------------------- 12 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------------- ------------ UNITED KINGDOM (CONTINUED) National Power...................................... 37,900 $ 264,494 National Westminster Bank........................... 45,800 461,484 Ocean Group......................................... 32,200 193,970 P & O............................................... 36,600 270,480 Reckitt & Colman.................................... 28,325 313,550 Redland............................................. 23,200 140,115 RJB Mining PLC...................................... 10,000 85,080 Rolls Royce......................................... 119,900 351,826 Royal Insurance..................................... 34,366 203,816 Sears PLC........................................... 160,700 259,475 Sedgwick Group...................................... 24,100 45,274 SmithKline Beecham Units............................ 27,000 294,271 Tesco............................................... 99,200 457,420 Thames Water........................................ 27,500 239,948 Unilever Ord 5P..................................... 9,600 197,187 W.H. Smith Group.................................... 29,300 192,877 ------------ 14,012,119 ------------ Total Non-U.S. Equities............................. 58,780,032 ------------ Total Equities (Cost $151,483,329).................. 180,975,174 ------------
FACE AMOUNT VALUE ------------- ------------ Bonds -- 51.27% U.S. BONDS -- 27.20% U.S. CORPORATE BONDS -- 8.29% Bell South Corp. 9.125%, due 07/01/03............................... $ 219,468 $ 241,278 0.000%, due 12/15/15............................... 4,100,000 1,085,598 Choice Credit Card 7.200%, due 03/15/98............................... 1,000,000 1,030,210 Chrysler Financial 8.500%, due 08/21/97............................... 165,000 167,034 Citicorp 9.750%, due 08/01/99............................... 150,000 168,974 Dayton Hudson Credit Card Trust 95-1 6.100%, due 09/25/98........................................... 2,000,000 2,032,100 Ford Credit Grantor Trust 95-b 5.900%, due 10/15/00............................... 194,539 193,129 GMAC 6.700%, due 04/21/97............................... 1,350,000 1,368,590 Green Tree Financial 94-2 8.300%, due 05/15/19............................... 435,000 481,084 Green Tree Acceptance Corp. 94-A 6.900%, due 02/15/04............................... 562,785 564,462 International Bank for Reconstruction and Develop- ment 9.875%, due 10/01/97............................... 175,000 187,933 ITT Destinations 7.375%, due 11/15/15............................... 1,000,000 1,010,630 Lehman Brothers Holdings, Inc. 6.650%, due 07/14/98............................... 1,960,000 1,987,714 MBNA Master Trust 6.275%, due 09/15/99............................... 3,150,000 3,149,843 News America Corp. 7.750%, due 01/20/24............................... $ 1,755,000 $ 1,820,502 Petroliam Nasional 7.125%, due 08/15/05............................... 950,000 1,002,250 Premier Auto 95-1 8.050%, due 04/04/00............................... 500,000 528,490 Premier Auto Trust 4.220%, due 03/02/99............................... 65,039 64,034 Republic Bank of New York Corp. FRN 6.025%, due 12/29/02............................... 1,000,000 996,055 RJR Nabisco Inc. 8.625%, due 12/01/02............................... 2,100,000 2,178,219 Salomon, Inc. 7.020%, due 09/25/98............................... 585,000 595,249 Signet Credit Card 1993-4A 6.375%, due 05/15/02............................... 2,000,000 2,005,420 Standard Credit Card Trust 94-I 4.650%, due 02/07/97.......................... 1,065,000 1,056,139 8.500%, due 08/07/97............................... 805,000 815,521 91-3A 8.875%, due 07/07/98......................... 2,750,000 2,950,255 8.250%, due 01/07/05............................... 500,000 569,855 Tele-Communications, Inc. 7.250%, due 08/01/05............................... 800,000 813,849 Thrift Financial Corp. 11.250%, due 01/01/16.............................. 45,038 49,534 Time Warner, Inc. 9.125%, due 01/15/13............................... 2,250,000 2,531,583 USX Corp. 9.800%, due 07/01/01............................... 1,570,000 1,811,502 8.500% due 03/01/23................................ 950,000 1,042,733 WR Grace & Co. 8.000%, due 08/15/04............................... 1,195,000 1,319,025 ------------ 35,818,794 ------------ INTERNATIONAL DOLLAR BONDS -- 2.18% BBV International 7.000%, due 12/01/05............................... 2,200,000 2,191,603 City of Oslo 7.875%, due 02/03/97............................... 1,200,000 1,229,250 European Investment Bank 9.250%, due 11/15/97............................... 1,100,000 1,175,625 GMAC Euro 7.250%, due 10/17/97............................... 325,000 333,531 Hanson PLC Notes 6.750%, due 09/15/05............................... 790,000 817,725 Hong Kong Shanghai Perpetual FRN 6.500%, due 07/30/49............................... 1,700,000 1,318,945 Japanese Development Bank 8.375%, due 02/15/01............................... 1,000,000 1,109,375 Republic of Italy 6.875%, due 09/27/23............................... 150,000 146,625 Republic of South Africa 9.625%, due 12/15/99............................... 1,000,000 1,080,000 ------------ 9,402,679 ------------
- -------------------------------------------------------------------------------- 13 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
FACE AMOUNT VALUE ------------- ------------ U.S. GOVERNMENT AGENCIES -- 8.08% Federal Home Loan Mortgage Corp. 9.200%, due 08/25/97............................... $ 200,000 $ 211,839 9.000%, due 03/01/17............................... 521,086 553,055 7.000%, due 10/15/21............................... 735,000 734,311 7.500%, due 07/15/22............................... 2,575,000 2,703,003 Federal Home Loan Mortgage Corp. Gold 9.500%, due 10/01/20............................... 695,580 742,789 9.000%, due 05/01/24............................... 1,434,965 1,571,734 Federal National Mortgage Association 7.600%, due 01/10/97............................... 200,000 204,575 5.000%, due 06/01/01............................... 1,843,425 1,768,987 7.000%, due 06/17/17............................... 895,000 924,078 10.000%, due 06/25/19.............................. 492,597 546,427 9.000%, due 08/01/21............................... 395,756 420,772 8.200%, due 08/25/21............................... 74,865 77,263 8.000%, due 05/01/22............................... 185,388 191,934 8.500%, due 07/01/22............................... 945,009 994,810 6.500%, due 09/01/24............................... 5,400,000 5,335,875 7.000%, due 09/01/24............................... 115,000 115,899 7.500%, due 05/01/25............................... 2,107,869 2,159,248 8.500%, due 05/01/25............................... 502,612 524,287 Federal National Mortgage Association Dwarf 7.000%, 12/01/09........................................... 4,600,000 4,683,375 Federal National Mortgage Association Principal 0.000%, due 11/01/01............................... 225,000 214,051 Government National Mortgage Association 9.000%, due 12/15/09............................... 2,032,780 2,152,693 11.000%, due 09/15/15.............................. 313,073 353,381 9.000%, due 12/15/17............................... 2,040,194 2,172,032 8.500%, due 05/15/21............................... 76,145 79,905 8.000%, due 11/15/22............................... 582,554 603,672 8.000%, due 12/15/22............................... 1,981,496 2,055,493 8.000%, due 09/15/24............................... 1,050,000 1,093,312 5.500%, due 10/20/25............................... 1,580,440 1,580,915 Tennessee Valley Authority 6.875%, due 12/15/43............................... 170,000 168,565 ------------ 34,884,280 ------------ U.S. GOVERNMENT OBLIGATIONS-- 8.65% U.S. Treasury Bonds 8.125%, due 05/15/21............................... 4,355,000 5,739,609 U.S. Treasury Coupon Strips 0.000%, due 02/15/03............................... 225,000 152,375 0.000%, due 11/15/19............................... 1,785,000 405,195 U.S. Treasury Notes 6.625%, due 03/31/97............................... 9,400,000 9,561,558 5.500%, due 11/15/98............................... 1,500,000 1,510,780 6.250%, due 08/31/00............................... 4,070,000 4,212,450 7.250%, due 05/15/04............................... 13,840,000 15,397,000 U.S. Treasury Principal Strips 0.000%, due 05/15/20............................... $ 1,855,000 $ 411,105 ------------ 37,390,072 ------------ Total U.S. Bonds................................... 117,495,825 ------------ Non-U.S. Bonds -- 24.07% BELGIUM -- 1.19% Kingdom of Belgium 8.250%, due 06/01/99...............................BEF 24,000,000 896,527 8.750%, due 06/25/02............................... 32,000,000 1,240,166 9.000%, due 03/28/03............................... 54,000,000 2,121,036 8.500%, due 10/01/07............................... 23,000,000 873,239 ------------ 5,130,968 ------------ CANADA -- 2.38% Government of Canada 7.500%, due 09/01/00...............................CAD 4,350,000 3,309,228 9.000%, due 06/01/25............................... 1,800,000 1,537,668 Government of Canada 4.250%, due 12/01/21 (d)........................... 7,200,000 5,450,096 ------------ 10,296,992 ------------ DENMARK -- 2.32% Kingdom of Denmark 9.000%, due 11/15/98...............................DKR 8,300,000 1,631,366 9.000%, due 11/15/00............................... 14,600,000 2,930,748 8.000%, due 05/15/03............................... 12,000,000 2,301,871 7.000%, due 12/15/04............................... 17,500,000 3,145,017 ------------ 10,009,002 ------------ FRANCE -- 4.01% Government of France (OAT) 8.500%, due 03/28/00...............................FRF 3,300,000 742,307 9.500%, due 01/25/01............................... 15,700,000 3,703,012 8.500%, due 04/25/03............................... 6,500,000 1,485,912 8.250%, due 02/27/04............................... 10,700,000 2,426,786 6.750%, due 10/25/04............................... 27,000,000 5,576,003 8.500%, due 12/26/12............................... 14,500,000 3,387,959 ------------ 17,321,979 ------------ GERMANY -- 5.77% Bundesrepublik Deutscheland 6.250%, due 02/20/98...............................DEM 3,260,000 2,382,422 7.000%, due 09/20/99............................... 7,000,000 5,277,999 8.500%, due 08/21/00............................... 2,600,000 2,074,841 8.375%, due 05/21/01............................... 1,900,000 1,519,549 8.000%, due 07/22/02............................... 1,950,000 1,537,875 6.500%, due 07/15/03............................... 7,600,000 5,530,748 6.750%, due 07/15/04............................... 5,900,000 4,330,294 Treuhandanstalt 7.750%, due 10/01/02............................... 2,950,000 2,297,467 ------------ 24,951,195 ------------
- -------------------------------------------------------------------------------- 14 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------------- ------------ ITALY -- 1.22% Republic of Italy (BTP) 9.000%, due 10/01/96........................... ITL 2,100,000,000 $ 1,314,279 8.500%, due 01/01/99........................... 3,100,000,000 1,881,701 9.500%, due 12/01/99........................... 1,200,000,000 741,259 9.000%, due 10/01/03........................... 2,300,000,000 1,333,762 ------------ 5,271,001 ------------ JAPAN -- 0.43% International Bank of Reconstruction and Developmentt 6.750%, due 03/15/00........................... JPY 84,000,000 976,200 Export Import Bank of Japan 4.375%, due 10/01/03........................... 82,000,000 873,461 ------------ 1,849,661 ------------ NETHERLANDS -- 3.20% Government of Nederlands 6.250%, due 07/15/98........................... NLG 1,400,000 914,847 8.500%, due 03/15/01........................... 1,000,000 714,597 8.750%, due 09/15/01........................... 1,300,000 944,791 6.500%, due 04/15/03........................... 1,000,000 654,086 8.500%, due 06/01/06........................... 8,650,000 6,356,644 8.250%, due 02/15/07........................... 4,900,000 3,542,795 7.500%, due 04/15/10........................... 1,000,000 685,115 ------------ 13,812,875 ------------ SPAIN -- 1.36% Government of Spain 7.400%, due 07/30/99........................... SPN 625,000,000 4,434,682 11.300%, due 01/15/02.......................... 60,000,000 531,635 8.200%, due 02/28/09........................... 70,000,000 511,770 ------------ 5,878,087 ------------ UNITED KINGDOM -- 2.19% UK Treasury 7.000%, due 11/06/01........................... GBP 1,305,000 2,028,616 8.000%, due 06/10/03........................... 2,040,000 3,310,724 8.500%, due 12/07/05........................... 2,470,000 4,121,220 ------------ 9,460,560 ------------ Total Non-U.S. Bonds............................ 103,982,320 ------------ Total Bonds (Cost $209,790,002)............................ 221,478,145 Short-Term Investments -- 6.84% COMMERCIAL PAPER -- 6.76% Baxter International, Inc. 6.050%, due 01/02/96........................... $ 1,177,000 $ 1,176,802 Burlington Northern Santa Fe 6.050%, due 01/03/96........................... 3,500,000 3,498,824 6.150%, due 01/31/96........................... 2,500,000 2,487,187 Conagra, Inc. 5.910%, due 01/04/96........................... 1,000,000 999,508 6.050%, due 01/11/96........................... 3,210,000 3,204,605 Crown Cork & Seal Co., Inc. 6.060%, due 01/09/96........................... 2,000,000 1,997,307 CSX Corp. 6.000%, due 01/08/96........................... 2,000,000 1,997,667 General American Transportation Corp. 6.200%, due 01/18/96........................... 5,000,000 4,985,361 Nabisco, Inc. 5.850%, due 01/03/96........................... 2,163,000 2,162,297 P.S. Colorado Credit Corp. 6.030%, due 01/04/96....................................... 2,500,000 2,498,744 Texas Utilities Electric Co. 6.300%, due 01/05/96........................... 2,000,000 1,998,600 Trinova Corp. 6.100%, due 01/10/96........................... 1,500,000 1,497,713 6.200%, 01/10/96............................... 700,000 698,915 ------------ 29,203,530 ------------ FOREIGN TIME DEPOSIT -- 0.08% Bankers Trust Japanese Yen -- 0.08%, 1.125%, due 01/02/96........................... JPN 36,699,859 355,791 ------------ Total Short-Term Investments (Cost $29,559,321)........................... 29,559,321 ------------ Total Investments (Cost $390,823,651) -- 100.01% (a)................................. 432,012,640 ------------ Liabilities, less cash and other assets -- (0.01%)...................................... (53,884) ------------ Net Assets -- 100%............................ $431,958,756 ============
See accompanying notes to schedule of investments. - -------------------------------------------------------------------------------- 15 GLOBAL FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a)Aggregate cost for federal income tax purposes was $390,832,651; and net unrealized appreciation consisted of: Gross unrealized appreciation................................ $44,301,030 Gross unrealized depreciation................................ (3,121,041) ----------- Net unrealized appreciation.............................. $41,179,989 ===========
(b)Non-income producing security. (c)Denominated in U.S. dollars. (d)Linked to Canadian's retail price index. Reset semi-annually. FRN: Floating rate note--The rate disclosed is that in effect at December 31, 1995. MTN: Medium Term Note FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4) The Global Fund had the following open forward foreign currency contracts as of December 31, 1995:
SETTLEMENT LOCAL CURRENT UNREALIZED DATE CURRENCY VALUE GAIN/(LOSS) ---------- ------------- ----------- ---------- FORWARD FOREIGN CURRENCY BUY CONTRACTS Australian Dollar............ 06/05/96 6,800,000 $ 5,037,578 $ 5,918 British Pound................ 06/05/96 4,000,000 6,157,418 (63,782) Canadian Dollar.............. 06/05/96 15,600,000 11,432,505 (121,553) Danish Krone................. 06/04/96 3,000,000 542,980 (7,832) Dutch Guilder................ 06/05/96 2,000,000 1,258,173 (23,656) French Franc................. 06/05/96 7,000,000 1,434,031 (8,109) Italian Lira................. 06/05/96 5,400,000,000 3,337,254 25,488 Swedish Krone................ 06/05/96 34,300,000 5,114,447 (67,761) FORWARD FOREIGN CURRENCY SALE CONTRACTS Belgian Franc................ 06/05/96 200,000,000 6,830,383 142,145 British Pound................ 06/05/96 10,000,000 15,524,500 130,955 Danish Krone................. 06/04/96 58,000,000 10,497,618 146,733 Dutch Guilder................ 06/05/96 29,000,000 18,582,001 338,493 French Franc................. 06/05/96 125,000,000 25,607,692 119,305 German Mark.................. 06/05/96 40,000,000 28,163,121 417,255 Japanese Yen................. 06/05/96 1,430,000,000 14,166,487 327,149 Swedish Krone................ 06/05/96 34,300,000 5,114,447 (99,534) ---------- Total...................... $1,261,214 ==========
FUTURES CONTRACTS (NOTE 5) INDEX FUTURES CONTRACTS: The Global Fund had the following open index futures contracts as of December 31, 1995:
SETTLEMENT CURRENT UNREALIZED DATE COST VALUE GAIN ---------- ----------- ----------- ---------- INDEX FUTURES BUY CONTRACTS Topix, 86 contracts.............. March 1996 $12,136,016 $13,123,024 $987,008 ========
The segregated cash pledged to cover margin requirements for the open futures positions at December 31, 1995 was $2,170,000. See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 16 GLOBAL FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $390,832,651) (Note 1).............. $432,012,640 Cash............................................................ 2,635,056 Foreign currency, at value (Cost $2,583,346).................... 2,589,281 Receivables: Investment securities sold..................................... 3,519,944 Dividends...................................................... 243,260 Interest....................................................... 4,869,024 Fund shares sold............................................... 1,026,190 Variation Margin (Note 5)...................................... 1,202,454 Net unrealized appreciation on forward foreign currency con- tracts......................................................... 1,261,214 Deferred organization costs, net of amortization (Note 1)....... 25,375 Other assets.................................................... 58,220 ------------ TOTAL ASSETS................................................. 449,442,658 ------------ LIABILITIES: Payables: Investment securities purchased................................ 16,976,226 Investment advisory fees (Note 2).............................. 286,282 Accrued expenses............................................... 221,394 ------------ TOTAL LIABILITIES............................................ 17,483,902 ------------ NET ASSETS....................................................... $431,958,756 ============ NET ASSETS CONSIST OF: Paid in capital (Note 7)........................................ $388,721,692 Accumulated undistributed net investment income................. 1,301,114 Accumulated net realized loss................................... (1,496,517) Net unrealized appreciation..................................... 43,432,467 ------------ NET ASSETS................................................... $431,958,756 ============ OFFERING PRICE PER SHARE: Brinson Class: Net asset value, offering price and redemption price per share (Based on net assets of $430,112,118 and 36,388,462 shares is- sued and outstanding) (Note 7)................................ $ 11.82 ============ SwissKey Class: Net asset value, offering price and redemption price per share (Based on net assets of $1,846,638 and 156,484 shares issued and outstanding) (Note 7)..................................... $ 11.80 ============
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 17 GLOBAL FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME: Interest.......................................................... $ 7,985,393 Dividends (net of $63,572 for foreign taxes withheld)............. 1,819,381 ----------- TOTAL INCOME................................................... 9,804,774 ----------- EXPENSES: Advisory (Note 2)................................................. 1,610,179 Administration.................................................... 139,310 Custodian......................................................... 136,000 Amortization of organization costs (Note 1)....................... 7,739 Distribution (Note 6)............................................. 1,692 Other............................................................. 290,457 ----------- TOTAL EXPENSES................................................. 2,185,377 ----------- NET INVESTMENT INCOME ......................................... 7,619,397 ----------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain on: Investments...................................................... 9,168,219 Futures contracts................................................ 240,485 Foreign currency transactions.................................... 2,269,816 ----------- Net realized gain.............................................. 11,678,520 ----------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency................................. 19,027,030 Futures contracts................................................ 987,009 Forward contracts................................................ 3,246,227 Translation of other assets and liabilities denominated in for- eign currency................................................... (83,519) ----------- Change in net unrealized appreciation or depreciation.......... 23,176,747 ----------- Net realized and unrealized gain.................................. 34,855,267 ----------- Net increase in net assets resulting from operations.............. $42,474,664 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 18 GLOBAL FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR DECEMBER 31, 1995 ENDED (UNAUDITED) JUNE 30, 1995 ----------------- ------------- OPERATIONS: Net investment income......................... $ 7,619,397 $ 14,388,762 Net realized gain............................. 11,678,520 2,567,030 Change in net unrealized appreciation or de- preciation................................... 23,176,747 23,779,745 ------------ ------------ Net increase in net assets resulting from op- erations..................................... 42,474,664 40,735,537 ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income...... (16,328,500) (8,427,640) Distributions from net realized gain.......... (9,441,309) (2,567,030) Distributions in excess of net realized gain.. (1,496,517) (275,888) ------------ ------------ Total distributions to shareholders*.......... (27,266,326) (11,270,558) ------------ ------------ CAPITAL SHARE TRANSACTIONS: Shares sold................................... 59,719,842 124,484,442 Shares issued on reinvestment of distribu- tions........................................ 26,139,635 10,276,565 Shares redeemed............................... (34,786,984) (77,406,972) ------------ ------------ Net increase in net assets resulting from cap- ital share transactions (Note 7)............. 51,072,493 57,354,035 ------------ ------------ TOTAL INCREASE IN NET ASSETS............... 66,280,831 86,819,014 NET ASSETS: Beginning of year............................. 365,677,925 278,858,911 ------------ ------------ End of year (including accumulated undistrib- uted net investment income of $1,301,114 and $4,495,172, respectively)..... $431,958,756 $365,677,925 ============ ============ *DISTRIBUTIONS BY CLASS: Distributions from net investment income: Brinson Class................................. $(16,262,552) $ (8,427,640) SwissKey Class................................ (65,948) -- Distributions from and in excess of net real- ized gain: Brinson Class................................. (10,892,522) (2,842,918) SwissKey Class................................ (45,304) -- ------------ ------------ $(27,266,326) $(11,270,558) ============ ============
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 19 GLOBAL FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
SIX MONTHS ENDED YEAR YEAR AUGUST 31, 1992* DECEMBER 31, 1995 ENDED ENDED THROUGH BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994 JUNE 30, 1993 - ---------------------------------------------------------------------------------------- Net asset value, begin- ning of period......... $ 11.35 $ 10.43 $ 10.87 $ 10.00 -------- -------- -------- -------- Income from investment operations: Net investment income.. 0.20 0.43 0.33 0.26 Net realized and unrealized gain (loss)................ 1.07 0.86 (0.23) 0.81 -------- -------- -------- -------- Total income from investment opera- tions.............. 1.27 1.29 0.10 1.07 -------- -------- -------- -------- Less distributions: Distributions from net investment income..... (0.48) (0.27) (0.27) (0.20) Distributions from and in excess of net real- ized gain............. (0.32) (0.10) (0.27) -- -------- -------- -------- -------- Total distributions. (0.80) (0.37) (0.54) (0.20) -------- -------- -------- -------- Net asset value, end of period................. $ 11.82 $ 11.35 $ 10.43 $ 10.87 ======== ======== ======== ======== Total return (non- annualized)............ 11.29% 12.57% 0.77% 10.76% Ratios/Supplemental data Net assets, end of pe- riod (in 000s)........ $430,112 $365,678 $278,859 $191,389 Ratio of expenses to average net assets: Before expense reim- bursement............ 1.10%** 1.09% 1.14% 1.35%** After expense reim- bursement............ N/A N/A 1.10% 1.05%** Ratio of net investment income to average net assets: Before expense reim- bursement............ 3.82%** 4.27% 3.21% 3.26%** After expense reim- bursement............ N/A N/A 3.25% 3.56%** Portfolio turnover rate.................. 79% 238% 231% 149%
* Commencement of investment operations ** Annualized N/A = Not Applicable See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 20 GLOBAL FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
JULY 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $11.60 ------ Income from investment operations: Net investment income........................................ 0.18 Net realized and unrealized gain............................. 0.81 ------ Total income from investment operations................... 0.99 ------ Less distributions: Distributions from and in excess of net investment income.... (0.47) Distributions from net realized gain......................... (0.32) ------ Total distributions....................................... (0.79) ------ Net asset value, end of period................................ $11.80 ====== Total return (non-annualized)................................. 8.61% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $1,847 Ratio of expenses to average net assets...................... 1.75** Ratio of net investment income to average net assets......... 3.17** Portfolio turnover rate...................................... 79%
* Commencement of SwissKey Class distribution ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 21 GLOBAL EQUITY FUND - -------------------------------------------------------------------------------- LOGO The Global Equity Fund is an actively managed portfolio that provides integrated asset management across and within world equity markets. The investment process is strategic in nature and is driven by deviations of market price from fundamental value. This philosophy offers the greatest potential for achieving enhanced long-term returns, while maintaining control of risk. The SwissKey Global Equity Fund has provided an unannualized return of 9.93% since its inception on July 31, 1995, compared to the 5.56% return of its benchmark, the MSCI World Equity (Free) Index. Currency allocation and equity management strategies contributed positively to Fund performance. Below in a discussion of the 1995 global equity markets, as well as our current investment strategies. Global equity markets were generally strong in 1995, with the U.S. and Switzerland providing the highest returns of 38.19% and 30.58%, respectively, on a U.S. dollar hedged basis. Many other markets posted double-digit returns. The weakest markets were Austria and Italy with respective currency hedged declines of 10.68% and 4.65%. Amidst this general market strength, Japanese equities were notable underperformers. The Japanese market rallied by 9.16% in U.S. dollar hedged terms. The first half of 1995 saw the Japanese market decline by about 20%, only to recover more than 35% in the last half. Currency movements, especially the Japanese yen, contributed significantly to index volatility during the year. The yen appreciated by more than 20% early in the year, reaching a peak of 80 yen/U.S. dollar in mid-April. It depreciated through the rest of the year to end about unchanged at roughly 100 yen/U.S. dollar. The yen underweight and U.S. dollar overweight added value through the extreme interest rate differential between the U.S. and Japan. A partial offset to this value added came from underweights of the core European currencies. These currencies appreciated in the early part of 1995, but, unlike the yen, remained steady for the year's duration. The European currencies as well as the yen ended the year overpriced relative to fundamental values. Consequently, the Fund remains underweighted in these currencies with offsetting overweights in the U.S. and Canadian dollars. Security selection derived most of its added value from equity management in the U.S. and Japan. The extra return in the U.S. was attributable to a number of favorable industry positions. Favorable industry exposures included overweights in defense/aerospace, bank and insurance stocks. Positive contributions from equity management in Japan were attributable to the Fund's exposure to high quality defensive issues and exporters, and underweights to cyclicals in an environment of market decline. ------------------------------------------------------------ 22 GLOBAL EQUITY FUND - -------------------------------------------------------------------------------- LOGO TOTAL RETURN
Since Quarter Inception* - -------------------------------------------------- SWISSKEY GLOBAL EQUITY FUND 6.44% 9.93% MSCI World Equity (Free) Index 4.87 5.56 - --------------------------------------------------
*Inception date of the SwissKey Global Equity Fund was July 31, 1995. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000 This chart shows the growth in the value of an investment in the SwissKey Global Equity Fund 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 December 31, 1995. 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. SWISSKEY GLOBAL EQUITY FUND VS. MSCI WORLD EQUITY (FREE) INDEX Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE]
Swisskey MSCI World Global Equity Equity (Free) Index ------------- ------------------- 7/31/95 $10,000 $10,000 8/31/95 $10,154 $ 9,776 9/30/95 $10,328 $10,065 10/31/95 $10,299 $ 9,909 11/30/95 $10,666 $10,254 12/31/95 $10,993 $10,555
Fund returns are net of all fees and costs, while the Index returns are based solely on the market returns without deduction for fees or transaction costs for rebalancing. ------------------------------------------------------------- 23 GLOBAL EQUITY FUND - -------------------------------------------------------------------------------- LOGO MARKET ALLOCATION As of December 31, 1995 (Unaudited)
Current Benchmark Strategy - --------------------------------- U.S. 40.7% 33.4% Japan 23.3 22.5 Australia 1.5 2.4 Belgium 0.6 1.6 Canada 2.2 2.0 France 3.6 4.8 Germany 3.9 3.4 Hong Kong 1.8 0.0 Italy 1.3 1.3 Malaysia 1.3 0.6 Netherlands 2.3 3.6 New Zealand 0.2 1.3 Spain 1.0 1.6 Sweden 1.1 0.0 Switzerland 3.4 1.3 U.K. 9.6 10.2 Other Markets 2.2 0.0 Cash Reserves 0.0 10.0 - --------------------------------- 100.0% 100.0%
TOP TEN U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
Percent of Net Assets - ------------------------------------------- 1. Citicorp 2.45% 2. Lockheed Martin Corp. 2.39 3. Burlington Northern, Santa Fe 1.91 4. Honeywell, Inc. 1.84 5. Avon Products, Inc. 1.45 6. Schering Plough Corp. 1.38 7. AON Corp. 1.33 8. Kimberly-Clark Corp. 1.33 9. Enron Corp. 1.27 10. Sprint Corp. 1.23 - -------------------------------------------
CURRENCY ALLOCATION As of December 31, 1995 (Unaudited)
Current Benchmark Strategy - --------------------------------- U.S. 40.7% 70.6% Japan 23.3 0.0 Australia 1.5 2.4 Belgium 0.6 0.0 Canada 2.2 10.8 France 3.6 0.0 Germany 3.9 0.0 Hong Kong 1.8 0.0 Italy 1.3 3.1 Malaysia 1.3 0.6 Netherlands 2.3 0.0 New Zealand 0.2 1.3 Spain 1.0 1.6 Sweden 1.1 0.0 Switzerland 3.4 0.0 U.K. 9.6 9.6 Other Markets 2.2 0.0 - --------------------------------- 100.0% 100.0%
TOP TEN NON-U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
Percent of Net Assets - ------------------------------------------- 1. Royal Dutch Petroleum 1.01% 2. Lloyds TSB Group 0.77 3. Broken Hill Proprietary 0.76 4. General Electric PLC 0.75 5. Ito Yokado Co. 0.74 6. Toray Industries, Inc. 0.63 7. Matsushita Electric Industrial 0.62 8. Sekisui House 0.59 9. Toshiba Corp. 0.58 10. British Telecommunications 0.57 - -------------------------------------------
------------------------------------------------------------ 24 GLOBAL EQUITY FUND - -------------------------------------------------------------------------------- LOGO INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- U.S. EQUITIES Basic Industries Chemicals............................................................... 0.36% Housing/Paper........................................................... 1.48 Metals.................................................................. 0.64 ----- 2.48 Capital Investments Capital Goods........................................................... 4.03 Technology.............................................................. 2.53 ----- 6.56 Consumer Autos/Durables.......................................................... 0.47 Discretionary........................................................... 2.42 Health: Drugs........................................................... 4.30 Health: Non-Drugs....................................................... 1.39 Non-Durables............................................................ 4.49 Retail/Apparel.......................................................... 2.78 ----- 15.85 Energy................................................................... 2.73 Financial Banks................................................................... 3.58 Non-Banks............................................................... 4.39 ----- 7.97 Services................................................................. 3.55 Transportation........................................................... 1.94 Utilities................................................................ 2.90 Miscellaneous............................................................ 1.04 ----- Total U.S. Equities................................................... 45.02* -----
- ------------------------------------------------------------ NON-U.S. EQUITIES Aerospace & Military.................................................... 0.22% Airlines................................................................ 0.01 Appliances & Household Durables......................................... 1.33 Automobiles............................................................. 1.47 Banking................................................................. 6.79 Beverages & Tobacco..................................................... 1.39 Broadcasting & Publishing............................................... 0.78 Building Materials...................................................... 0.35 Business & Public Service............................................... 1.62 Chemicals............................................................... 2.04 Construction............................................................ 1.01 Data Processing......................................................... 0.52 Electric Components..................................................... 0.59 Electronics............................................................. 2.16 Energy.................................................................. 4.62 Financial Services...................................................... 0.78 Food & House Products................................................... 2.53 Forest Products......................................................... 1.03 Goldmines............................................................... 0.11 Health & Personal Care.................................................. 1.48 Industrial Components................................................... 1.17 Insurance............................................................... 2.55 Leisure & Tourism....................................................... 0.22 Machinery & Engineering................................................. 0.77 Merchandising........................................................... 2.79 Miscellaneous Materials................................................. 0.63 Multi-Industry.......................................................... 2.34 Non-Ferrous Metal....................................................... 0.54 Real Estate............................................................. 0.18 Recreation.............................................................. 0.35 Shipping................................................................ 0.32 Steel................................................................... 0.62 Telecommunications...................................................... 1.47 Textiles & Apparel...................................................... 0.14 Transportation.......................................................... 0.50 Utilities............................................................... 2.80 ------ Total Non-U.S. Equities.............................................. 48.22* ------ SHORT-TERM INVESTMENTS.................................................. 2.52* ------ TOTAL INVESTMENTS.................................................... 95.76 CASH AND OTHER ASSETS, LESS LIABILITIES................................. 4.24 ------ NET ASSETS........................................................... 100.00% ======
* The Fund held a short position in stock index futures on December 31, 1995 which reduced U.S. Equity exposure from 45.02% to 32.62%. The Fund held a long position in Topix futures which increased Japanese Equity exposure from 14.96% to 22.00%. These two adjustments result in a net increase in the Fund's exposure to Short-Term Investments from 2.52% to 7.88%. ------------------------------------------------------------ 25 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE --------- ----------- Equities -- 93.24% U.S. EQUITIES -- 45.02% Aetna Life & Casualty Co................................. 6,500 $ 450,125 Air & Water Technologies Corp. (b)....................... 2,300 14,088 Allergan, Inc............................................ 11,000 357,500 Alza Corp. (b)........................................... 8,700 215,325 American Mobile Satellite Corp., Inc. (b)................ 1,600 49,000 Aon Corp................................................. 13,300 663,338 AST Research Corp. (b)................................... 1,588 13,498 Automatic Data Processing, Inc........................... 6,300 467,775 Avon Products, Inc....................................... 9,600 723,600 Bard (C.R.), Inc......................................... 6,600 212,850 Beckman Instruments, Inc................................. 4,300 152,113 Biogen, Inc. (b)......................................... 1,000 61,500 Birmingham Steel Corp.................................... 4,200 62,475 Boeing Co................................................ 3,900 305,663 Boston Technology, Inc. (b).............................. 2,600 33,150 Brinker International, Inc. (b).......................... 3,100 46,887 Burlington Northern Santa Fe............................. 12,200 951,600 Campbell Soup Co......................................... 3,300 198,000 Centerior Energy Co...................................... 1,800 15,975 CIGNA Corp............................................... 5,300 547,225 Citicorp................................................. 18,200 1,223,950 CMS Energy Corp.......................................... 11,600 346,550 Coca-Cola Enterprises, Inc............................... 13,600 363,800 Comerica, Inc............................................ 2,900 116,362 Computer Sciences Corp. (b).............................. 700 49,175 Converse Technology, Inc. (b)............................ 1,700 34,000 Cooper Cameron Corp. (b)................................. 3,600 127,800 Cooper Industries, Inc................................... 2,333 85,738 Dial Corp................................................ 10,200 302,175 Enron Corp............................................... 16,600 632,875 Entergy Corp............................................. 11,800 345,150 Federal Department Stores (b)............................ 13,700 376,750 First Data Corp.......................................... 6,502 434,834 Food Lion, Inc. Class A.................................. 17,100 97,790 Ford Motor Co............................................ 10,800 313,200 Forest Laboratories, Inc. (b)............................ 7,200 325,800 Gannett Co., Inc......................................... 4,100 251,638 Genzyme Corp. (b)........................................ 1,400 87,325 Goodyear Tire & Rubber Co................................ 7,800 353,925 Health Care and Retirement Corp. (b)..................... 2,300 80,500 Hillenbrand Industries, Inc.............................. 400 13,550 Honeywell, Inc........................................... 18,900 919,012 Illinova Corp............................................ 2,200 66,000 Inland Steel Industries, Inc............................. 6,300 158,288 Interpublic Group of Companies, Inc...................... 4,300 186,513 Kimberly-Clark Corp...................................... 8,000 662,000 Kroger Co. (b)........................................... 6,200 232,500 Lockheed Martin Corp..................................... 15,100 1,192,900 LTV Corp................................................. 6,200 85,250 Lyondell Petrochemical Co................................ 11,700 267,637 Magna Group Inc.......................................... 2,100 49,875 Manor Care, Inc.......................................... 6,900 241,500 Mattel, Inc.............................................. 16,700 513,525 Melville Corp............................................ 9,000 276,750 National Semiconductor Corp. (b)........................... 4,500 $ 100,125 Nextel Communications, Inc. Class A (b).................... 9,400 138,650 Octel Communications Corp. (b)............................. 1,100 35,475 Old Republic International Corp............................ 4,100 145,550 Owens Illinois Inc. (b).................................... 12,200 176,900 Pentair, Inc............................................... 2,500 124,375 Pfizer, Inc................................................ 6,500 409,500 Philip Morris Companies, Inc............................... 3,200 289,600 Raychem Corp............................................... 3,800 216,125 RJR Nabisco Convertible Preferred "C"...................... 34,600 220,575 RJR Nabisco Holdings Corp. (b)............................. 10,400 321,100 Schering Plough Corp....................................... 12,600 689,850 Schlumberger Ltd........................................... 4,500 311,625 Schweitzer Manduit International, Inc. (b)................. 800 18,500 Seagate Technology (b)..................................... 4,400 209,000 Sprint Corp................................................ 15,700 626,037 State Street Boston Corp................................... 3,100 139,500 Timken Co.................................................. 3,000 114,750 Tosco Corp................................................. 1,900 72,437 Transamerica Corp.......................................... 5,900 429,962 Ultramar Corp.............................................. 4,700 121,025 US Bancorp................................................. 7,200 242,100 USF&G Corp................................................. 10,200 172,125 Walgreen Co................................................ 9,600 286,800 Westvaco Corp.............................................. 3,350 92,962 WMX Technologies, Inc...................................... 13,500 403,312 ----------- Total U.S. Equities........................................ 22,464,284 ----------- NON-U.S. EQUITIES -- 48.22% AUSTRALIA -- 2.55% Amcor Ltd. ................................................ 10,100 71,376 ANZ Banking Group.......................................... 8,947 41,996 Broken Hill Proprietary.................................... 26,750 378,076 CRA Ltd.................................................... 7,500 110,132 David Jones Ltd. (b)....................................... 22,000 33,549 Lend Lease Corp. Ltd....................................... 6,049 87,745 National Australia Bank.................................... 18,275 164,493 News Corp.................................................. 14,500 77,446 Pacific Dunlop Ltd......................................... 40,000 93,729 Qantas Airways Ltd......................................... 4,000 6,665 Santos Ltd................................................. 17,000 49,699 Western Mining Corp........................................ 7,300 46,918 Westpac Banking Corp. Ltd.................................. 24,545 108,821 ----------- 1,270,645 ----------- BELGIUM -- 1.42% Delhaize-Le Lion, S.A...................................... 600 24,872 Electrabel................................................. 650 154,599 Fortis AG.................................................. 580 70,552 Groupe Bruxelles Lambert................................... 380 52,744 Kredietbank................................................ 365 99,835 Petrofina.................................................. 290 88,781 Petrofina S.A. Warrants "97" (b)........................... 10 133 Societe Gen De Belgique.................................... 540 44,678 Solvay..................................................... 115 62,128
- -------------------------------------------------------------------------------- 26 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ------- ----------- BELGIUM (CONTINUED) Tractebel................................................. 200 $ 82,566 Union Miniere (b)......................................... 420 28,113 ----------- 709,001 ----------- CANADA -- 2.17% Alcan Aluminium Ltd....................................... 2,800 87,000 Bank of Montreal.......................................... 6,100 138,657 Barrick Gold Corp......................................... 2,100 55,433 Canadian Pacific Ltd...................................... 7,300 133,148 Imperial Oil Canada Ltd................................... 2,900 104,992 Moore Corp. Ltd........................................... 1,800 33,821 Noranda, Inc.............................................. 2,800 57,743 Norcen Energy............................................. 2,500 37,579 Northern Telecom Ltd...................................... 1,400 59,924 Nova Corporation of Alberta............................... 4,300 34,682 Royal Bank of Canada...................................... 4,800 109,547 Seagram Co. Ltd........................................... 2,400 82,710 Thomson Corp.............................................. 6,500 90,556 TransCanada Pipelines Ltd................................. 4,000 55,360 ----------- 1,081,152 ----------- FRANCE -- 4.75% Accor..................................................... 760 98,524 Alcatel Alsthom........................................... 1,044 90,127 Banque Nationale de Paris................................. 3,280 148,152 Cep Communications........................................ 704 58,444 Cie Bancaire S.A.......................................... 680 76,195 Cie de Saint Gobain....................................... 1,228 136,093 Cie Fin de Suez........................................... 1,651 68,192 Colas..................................................... 330 55,331 Credit Local de France.................................... 1,803 144,517 GAN (b)................................................... 650 23,791 Generale des Eaux......................................... 1,534 153,350 LVMH (Moet-Hennessy Louis Vaitton)........................ 1,080 225,248 Michelin Class B (b)...................................... 2,010 80,267 Pechiney Cert D'Invest.................................... 1,350 51,067 Pechiney Cert D'Invest Warrants (b)....................... 1,350 3 Peuegot S.A............................................... 1,840 243,046 Sanofi.................................................... 1,344 86,264 Societe Generale.......................................... 1,562 193,230 Societe Nationale Elf Aquitaine........................... 1,950 143,860 Total Co. "B"............................................. 3,090 208,818 UAP....................................................... 3,219 84,183 ----------- 2,368,702 ----------- GERMANY -- 3.38% Allianz AG Holdings....................................... 115 226,256 BASF AG................................................... 390 88,011 Bayer..................................................... 390 103,760 Bayer Motoren Worken...................................... 170 87,892 Bayer Vereinsbank......................................... 2,000 60,085 Commerzbank............................................... 330 78,506 Daimler-Benz.............................................. 160 80,933 Deutsche Bank............................................. 4,950 235,517 Hoechst................................................... 340 92,643 Kaufhof Holding AG......................................... 205 $ 62,590 Mannesmann................................................. 430 137,145 Muenchener Rueckver........................................ 57 123,056 Muenchener Rueckver Warrants "98" (b)...................... 3 397 Preussag................................................... 260 73,388 RWE........................................................ 220 80,158 Schering................................................... 650 43,279 Veba....................................................... 2,650 113,679 ----------- 1,687,295 ----------- ITALY -- 1.57% Assic Generali............................................. 6,200 150,263 Eni ADR (c)................................................ 4,300 147,275 Fiat Spa Priv.............................................. 43,000 78,601 Instituto Mobilaire Italiano............................... 15,000 94,548 Italgas.................................................... 13,000 39,578 La Rinascente.............................................. 5,000 30,287 La Rinascente Savings (Risp)............................... 6,000 17,019 Mediobanca................................................. 2,800 19,405 Montedison (b)............................................. 44,000 29,509 Sai Di Risp................................................ 7,000 29,077 Telecom Italia............................................. 61,000 74,669 Telecom Italia Mobile (b).................................. 67,000 70,527 ----------- 780,758 ----------- JAPAN -- 14.96% Amada...................................................... 12,000 118,662 Asahi Glass Co. ........................................... 14,000 156,083 Bank of Tokyo.............................................. 7,000 122,831 Canon, Inc. ............................................... 10,000 181,289 Canon Sales................................................ 3,200 85,313 Citizen Watch Co. ......................................... 12,000 91,905 Dai Nippon Printing........................................ 11,000 186,621 Daiichi Pharmaceutical Co. Ltd............................. 4,000 57,004 Daikin Kogyo Co. .......................................... 13,000 127,290 Daiwa House Industries..................................... 6,000 98,885 Fanuc Co. ................................................. 3,200 138,672 Fujitsu.................................................... 7,000 78,042 Hitachi Ltd. .............................................. 18,000 181,483 Honda Motor Co. ........................................... 7,000 144,547 Inax....................................................... 12,000 114,009 Isetan..................................................... 4,000 65,923 Ito Yokado Co. ............................................ 6,000 369,947 Keio Teito Electric Railway ............................... 14,000 81,571 Kinki Nippon Railway ...................................... 14,000 105,865 Kirin Brewery Co. Ltd...................................... 8,000 94,619 Kuraray Co. Ltd. .......................................... 6,000 65,730 Maeda Road Construction.................................... 3,000 55,550 Marui Co................................................... 4,000 83,374 Matsushita Electric Industrial............................. 19,000 309,452 Mitsubishi Bank............................................ 5,000 117,790 Mitsubishi Paper........................................... 16,000 96,326 NGK Insulators............................................. 19,000 189,724 Nichii Co. ................................................ 9,000 119,535 Nintendo................................................... 1,100 83,713 Nippon Denso Co. .......................................... 8,000 149,685 Nippon Meat Packers........................................ 7,000 101,794
- -------------------------------------------------------------------------------- 27 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE -------- ----------- JAPAN (CONTINUED) Nippon Steel Corp. ....................................... 10,000 $ 34,319 Orix Corp. ............................................... 1,000 41,202 Osaka Gas Corp. .......................................... 48,000 166,127 Pioneer Electronics....................................... 5,000 91,614 Sankyo Co. Ltd. .......................................... 9,000 202,424 Secom Co. ................................................ 3,000 208,822 Seino Transportation...................................... 4,000 67,087 Sekisui House............................................. 23,000 294,329 Shimmaywa Industries Ltd.................................. 7,000 57,819 Sony Corp. ............................................... 3,400 204,033 Suisan Kaisah ............................................ 6,000 74,455 Sumitomo Bank ............................................ 12,000 254,775 Sumitomo Electric Industries.............................. 10,000 120,213 Takeda Chemical Industries................................ 13,000 214,251 TDK Corp.................................................. 3,000 153,272 Tokio Marine & Fire ...................................... 11,000 143,965 Tokyo Electric Power ..................................... 5,454 145,934 Tokyo Steel Mfg. ......................................... 9,000 165,778 Tonen Corp. .............................................. 6,000 87,833 Toray Industries, Inc. ................................... 48,000 316,432 Toshiba Corp. ............................................ 37,000 290,189 Toyota Motor Corp. ....................................... 4,000 84,924 Yamazaki Baking Co. Ltd................................... 4,000 74,454 ----------- 7,467,485 ----------- MALAYSIA -- 0.51% Genting................................................... 1,000 8,350 Hume Industries........................................... 4,000 19,220 Kuala Lumpur Kepong....................................... 8,000 25,364 Land & General Holdings................................... 9,000 19,496 Malayan Bank.............................................. 5,000 42,143 Nestle Malaysia........................................... 2,000 14,651 Sime Darby................................................ 14,000 37,219 Telekom Malaysia.......................................... 6,000 46,790 Tenaga Nasional........................................... 10,000 39,386 ----------- 252,619 ----------- NETHERLANDS -- 3.42% ABN-AMRO Holdings......................................... 4,772 217,613 D.S.M..................................................... 680 55,995 Internationale Nederlanden Groep NV....................... 4,075 272,514 KPN NV.................................................... 2,778 101,034 Philips Electronics....................................... 1,600 57,891 Royal Dutch Petroleum..................................... 3,600 503,506 Royal Dutch Petroleum NY Shares........................... 1,200 169,350 Unilever NV............................................... 1,750 246,179 VNU-Ver Ned Uitger........................................ 600 82,458 ----------- 1,706,540 ----------- NEW ZEALAND -- 1.14% Brierly Investment........................................ 141,000 111,539 Carter Holt Harvey........................................ 59,500 128,367 Fletcher Challenge Ltd.................................... 55,000 126,928 Fletcher Challenge Forest Division........................ 7,803 11,121 Telecom Corp. of New Zeland Ltd........................... 26,000 $ 112,186 Telecom Corp. of New Zealand Ltd. ADS (c)................. 1,100 76,312 ----------- 566,453 ----------- SPAIN -- 1.60% Banco Bilbao-Vizcaya...................................... 1,800 64,835 Banco Intercontinental.................................... 600 58,356 Banco Popular............................................. 300 55,315 Banco Santander........................................... 1,600 80,314 Empresa NAC Electric...................................... 1,350 76,444 Iberorola S.A............................................. 16,200 148,215 Repsol S.A................................................ 2,600 85,185 Sevillana de Electric..................................... 6,300 48,915 Telefonica de Espana...................................... 10,900 150,935 Viscofan.................................................. 2,300 27,299 ----------- 795,813 ----------- SWITZERLAND -- 1.37% Ciba Geigy (Reg.)......................................... 95 83,804 CS Holdings............................................... 696 71,530 Nestle (Reg.)............................................. 173 191,855 Roche Holdings Gen........................................ 18 142,752 Schweiz Bankgesellschaft.................................. 72 78,220 Societe Generale Surveillance (Br)........................ 27 53,737 Zurich Insurance.......................................... 203 60,868 ----------- 682,766 ----------- UNITED KINGDOM -- 9.38% Asda Group................................................ 26,000 44,605 Bass...................................................... 12,800 142,885 B.A.T. Industries PLC..................................... 16,000 140,972 BET PLC................................................... 24,500 48,308 Booker PLC................................................ 6,500 36,128 British Gas............................................... 53,500 210,977 British Petroleum......................................... 30,278 253,374 British Telecommunications................................ 52,000 285,794 Charter Group............................................. 7,236 96,952 Coats Viyella............................................. 25,000 67,924 FKI....................................................... 30,875 79,093 General Electric PLC...................................... 68,000 374,787 Glaxo Holdings............................................ 6,500 92,338 Grand Metropolitan........................................ 35,000 252,135 Guinness.................................................. 19,500 143,503 Hanson.................................................... 35,000 104,603 Hillsdown Holdings........................................ 25,000 65,595 House of Fraser........................................... 47,000 130,616 Legal and General......................................... 7,700 80,096 Lloyds Abbey Life......................................... 10,500 73,358 Lloyds TSB Group.......................................... 74,630 383,520 Lucas Industries.......................................... 15,500 43,557 Marks & Spencer........................................... 15,500 108,291 Mirror Group.............................................. 28,200 77,056 National Power............................................ 12,000 83,745 National Westminster Bank................................. 16,600 167,263 Ocean Group............................................... 11,500 69,275 P & O..................................................... 12,000 88,682
- -------------------------------------------------------------------------------- 28 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE -------- ----------- UNITED KINGDOM (CONTINUED) Reckitt & Colman.......................................... 8,500 $ 94,093 Redland................................................... 6,500 39,256 RJB Mining PLC............................................ 5,000 42,540 Rolls Royce............................................... 37,400 109,744 Royal Insurance........................................... 11,900 70,576 Sears PLC................................................. 52,000 83,962 Sedgwick Group............................................ 11,000 20,664 SmithKline Beecham Units.................................. 9,900 107,899 Tesco..................................................... 34,000 156,777 Thames Water.............................................. 10,000 87,254 Unilever Ord 5P........................................... 3,000 61,621 W.H. Smith Group.......................................... 9,000 59,245 ----------- 4,679,063 ----------- Total Non-U.S. Equities................................... 24,048,292 ----------- Total Equities (Cost $41,929,255)....................................... $46,512,576 -----------
FACE AMOUNT VALUE -------- ----------- Short-Term Investments -- 2.52% U.S. GOVERNMENT OBLIGATIONS -- 0.49% U.S. Treasury Bills 5.275%, due 05/30/96.................. $250,000 $ 244,878 ----------- COMMERCIAL PAPER -- 2.03% Baxter International, Inc. 6.050%, due 01/02/96..................................... 514,000 513,914 Crown Cork & Seal Co., Inc. 6.060%, due 01/09/96..................................... 500,000 499,327 ----------- 1,013,241 ----------- Total Short-Term Investments (Cost $1,257,746)........................................ 1,258,119 ----------- Total Investments (Cost $43,187,001) -- 95.76% (a)......................... 47,770,695 ----------- Cash and other assets, less liabilities -- 4.24%.......... 2,116,641 ----------- Net Assets -- 100%........................................ $49,887,336 ===========
See accompanying notes to schedules of investments. - -------------------------------------------------------------------------------- 29 GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a)Aggregate cost for federal income tax purposes was $43,187,001; and net unrealized appreciation consisted of: Gross unrealized appreciation................................. $5,660,488 Gross unrealized depreciation................................. (1,076,794) ---------- Net unrealized appreciation............................... $4,583,694 ==========
(b)Non-income producing security (c)Denominated in U.S. dollars FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4) The Global Equity Fund had the following open forward foreign currency contracts as of December 31, 1995:
SETTLEMENT LOCAL CURRENT UNREALIZED DATE CURRENCY VALUE GAIN/(LOSS) ---------- ------------- ---------- ----------- FORWARD FOREIGN CURRENCY BUY CONTRACTS British Pound............... 06/04/96 1,150,000 $1,770,355 $ 8,555 Canadian Dollar............. 06/04/96 6,100,000 4,470,443 (37,141) Italian Lira................ 06/04/96 1,500,000,000 927,128 8,320 Swedish Krone............... 06/04/96 6,750,000 1,006,562 (8,842) Swiss Franc................. 06/04/96 400,000 353,239 (3,617) FORWARD FOREIGN CURRENCY SALE CONTRACTS Belgian Franc............... 06/04/96 19,000,000 648,869 11,770 British Pound............... 06/04/96 1,150,000 1,770,355 7,114 Dutch Guilder............... 06/04/96 2,500,000 1,572,638 24,679 French Franc................ 06/04/96 11,250,000 2,309,981 5,302 German Mark................. 06/04/96 2,250,000 1,584,097 21,902 Japanese Yen................ 06/04/96 740,000,000 7,329,981 142,314 Swedish Krone............... 06/04/96 6,750,000 1,006,562 (20,008) Swiss Franc................. 06/04/96 1,100,000 971,408 11,481 -------- Total................... $171,829 ========
FUTURES CONTRACTS (NOTE 5) INDEX FUTURES CONTRACTS: The Global Equity Fund had the following open index futures contracts as of December 31, 1995:
SETTLEMENT CURRENT UNREALIZED DATE COST/PROCEEDS VALUE GAIN ---------- ------------- ---------- ---------- INDEX FUTURES BUY CONTRACTS Topix, 23 contracts............. March 1996 $3,250,218 $3,509,646 $259,428 INDEX FUTURES SALES CONTRACTS Standard & Poor's 500, 20 con- tracts......................... March 1996 6,252,000 6,184,500 67,500 -------- Total........................ $326,928 ========
The segregated cash and market value of investments pledged to cover margin requirements for the open futures positions at December 31, 1995 was $540,000 and $244,878 respectively. See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 30 GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $43,187,001) (Note 1)................. $47,770,695 Cash.............................................................. 541,499 Foreign currency, at value (Cost $456,324)........................ 457,770 Receivables: Investment securities sold....................................... 575,031 Dividends........................................................ 131,314 Fund shares sold................................................. 1,136 Due From Advisor (Note 2)........................................ 200,332 Variation Margin (Note 5)........................................ 381,325 Unrealized appreciation on forward foreign currency contracts.... 171,829 Deferred organization costs, net of amortization (Note 1)......... 8,354 Other assets...................................................... 2,000 ----------- TOTAL ASSETS................................................... 50,241,285 ----------- LIABILITIES: Payables: Investment securities purchased.................................. 94,731 Accrued expenses................................................. 259,218 ----------- TOTAL LIABILITIES.............................................. 353,949 ----------- NET ASSETS......................................................... $49,887,336 =========== NET ASSETS CONSIST OF: Paid in capital (Note 7).......................................... $43,829,785 Accumulated undistributed net investment income................... 135,636 Accumulated net realized gain..................................... 840,052 Net unrealized appreciation....................................... 5,081,863 ----------- NET ASSETS..................................................... $49,887,336 =========== OFFERING PRICE PER SHARE: Brinson Class: Net asset value, offering price and redemption price per share (Based on net assets of $23,255,087 and 2,177,398 shares issued and outstanding) (Note 7)....................................... $ 10.68 =========== SwissKey Class: Net asset value, offering price and redemption price per share (Based on net assets of $26,632,249 and 2,494,075 shares issued and outstanding) (Note 7)....................................... $ 10.68 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 31 GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME: Dividends (net of $28,115 for foreign taxes withheld)............. $ 407,714 Interest.......................................................... 50,034 ---------- TOTAL INCOME................................................... 457,748 ---------- EXPENSES: Advisory (Note 2)................................................. 175,156 Custodian......................................................... 100,000 Distribution (Note 6)............................................. 82,708 Accounting........................................................ 54,946 Professional...................................................... 54,574 Printing.......................................................... 38,644 Amortization of organization costs (Note 1)....................... 1,404 Other............................................................. 68,198 ---------- TOTAL EXPENSES................................................. 575,630 Expenses deferred and reimbursed by Advisor (Note 2)........... (273,977) ---------- NET EXPENSES................................................... 301,653 ---------- NET INVESTMENT INCOME ......................................... 156,095 ---------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments...................................................... 3,890,805 Futures contracts................................................ (463,130) Foreign currency transactions.................................... 1,519,282 ---------- Net realized gain.............................................. 4,946,957 ---------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency................................. 3,724,923 Futures contracts................................................ 353,828 Forward contracts................................................ 221,046 Translation of other assets and liabilities denominated in for- eign currency................................................... (501) ---------- Change in net unrealized appreciation or depreciation.......... 4,299,296 ---------- Net realized and unrealized gain................................... 9,246,253 ---------- Net increase in net assets resulting from operations............... $9,402,348 ==========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 32 GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
YEAR SIX MONTHS ENDED ENDED DECEMBER 31, 1995 JUNE 30, (UNAUDITED) 1995 ----------------- ----------- OPERATIONS: Net investment income.......................... $ 156,095 $ 361,529 Net realized gain (loss)....................... 4,946,957 (947,502) Change in net unrealized appreciation or depreciation.................................. 4,299,296 1,778,802 ----------- ----------- Net increase in net assets resulting from oper- ations........................................ 9,402,348 1,192,829 ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income....... (153,514) (72,633) Distributions from net realized gain........... (3,021,585) -- Distributions in excess of net realized gain... -- (198,395) ----------- ----------- Total distributions to shareholders*........... (3,175,099) (271,028) ----------- ----------- CAPITAL SHARE TRANSACTIONS: Shares sold.................................... 23,863,166 133,064 Shares issued on reinvestment of distributions. 3,155,021 271,028 Shares redeemed................................ (4,063,665) (1,262,526) ----------- ----------- Net increase (decrease) in net assets resulting from capital share transactions (Note 7)......................... 22,954,522 (858,434) ----------- ----------- TOTAL INCREASE IN NET ASSETS................ 29,181,771 63,367 ----------- ----------- NET ASSETS: Beginning of period............................ 20,705,565 20,642,198 ----------- ----------- End of period (including accumulated undistrib- uted net investment income of $135,636 and $59,734, respectively)........................ $49,887,336 $20,705,565 =========== =========== *DISTRIBUTIONS BY CLASS Distributions from net investment income: Brinson Class.................................. $ (153,514) $ (72,633) SwissKey Class................................. -- -- Distributions from and in excess of net realized gain: Brinson Class.................................. (1,399,995) (198,395) SwissKey Class................................. (1,621,590) -- ----------- ----------- $(3,175,099) $ (271,028) =========== ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 33 GLOBAL EQUITY FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
SIX MONTHS ENDED YEAR JANUARY 28, 1994* DECEMBER 31, 1995 ENDED THROUGH BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994 - -------------------------------------------------------------------------------- Net asset value, beginning of period...................... $ 9.93 $ 9.49 $ 10.00 ------- ------- ------- Income from investment oper- ations: Net investment income (loss)..................... (0.05) 0.18 0.07 Net realized and unrealized gain (loss)................ 1.57 0.39 (0.54) ------- ------- ------- Total income (loss) from investment operations... 1.52 0.57 (0.47) ------- ------- ------- Less distributions: Distributions from net in- vestment income............ (0.08) (0.04) (0.04) Distributions from and in excess of net realized gain....................... (0.69) (0.09) -- ------- ------- ------- Total distributions...... (0.77) (0.13) (0.04) ------- ------- ------- Net asset value, end of peri- od.......................... $ 10.68 $ 9.93 $ 9.49 ======= ======= ======= Total return (non- annualized)................. 15.39% 6.06% (4.70%) Ratios/Supplemental data Net assets, end of period (in 000s).................. $23,255 $20,706 $20,642 Ratio of expenses to average net assets: Before expense reimburse- ment...................... 2.26%** 2.06% 2.65%** After expense reimburse- ment...................... 1.00%** 1.00% 1.00%** Ratio of net investment in- come to average net assets: Before expense reimburse- ment...................... (0.16%)** 0.71% 0.24%** After expense reimburse- ment...................... 1.10%** 1.77% 1.89%** Portfolio turnover rate..... 59% 36% 21%
* Commencement of investment operations ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 34 GLOBAL EQUITY FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
JULY 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $ 10.35 ------- Income from investment operations: Net investment loss.......................................... (0.16) Net realized and unrealized gain............................. 1.18 ------- Total income from investment operations................... 1.02 ------- Less distributions: Distributions from net investment income..................... -- Distributions from net realized gain......................... (0.69) Distributions in excess of net realized gain................. -- ------- Total distributions....................................... (0.69) ------- Net asset value, end of period................................ $ 10.68 ======= Total return (non-annualized)................................. 9.93% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $26,632 Ratio of expenses to average net assets: Before expense reimbursement................................ 3.02%** After expense reimbursement................................. 1.76%** Ratio of net investment income to average net assets: Before expense reimbursement................................ (0.92%)** After expense reimbursement................................. 0.34%** Portfolio turnover rate...................................... 59%
* Commencement of SwissKey Class distribution ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 35 GLOBAL BOND FUND - -------------------------------------------------------------------------------- LOGO The Global Bond Fund is an actively managed portfolio that provides integrated asset management across and within world fixed income markets. The investment process is strategic in nature and is driven by deviations of market price from fundamental value. This philosophy offers the greatest potential for achieving enhanced long-term returns, while maintaining control of risk. The SwissKey Global Bond Fund has provided an unannualized return of 7.22% since July 31, 1995. Its benchmark, the Salomon World Government Bond Index, returned 1.62%. Below is a discussion of the 1995 global bond markets, as well as our current investment strategies. Market and currency allocation and bond management strategies all contributed positively to portfolio performance. Market allocation contributions were broadly derived from European and Canadian bond market overweights against U.S. and Japanese underweights. The yen underweight provided for the currency allocation contribution. Bond management added value in nearly every country. The foundation for the bond market strength was established in 1994 as global bond prices retreated from historically high levels. Yield increases, built on fears of higher inflation and excessive demand for capital, created large discrepancies between prices and fundamental values. These discrepancies were largely erased during 1995 as economies began to languish and inflation fears evaporated. During the course of the year global bondmarkets staged an almost uninterrupted rally. The year's hedged return of 17.83% was the largest calendar year return since 1982. No single market provided a negative return and the Dutch market paced the index with a U.S. dollar hedged return of 20.36%. Currency movements, especially the Japanese yen, contributed significantly to index volatility during the year. The yen appreciated by more than 20% early in the year, reaching a peak of 80 yen/U.S. dollar in mid-April. It depreciated through the rest of the year to end about unchanged at roughly 100 yen/U.S. dollar. The yen underweight and U.S. dollar overweight added value through the extreme interest rate differential between the U.S. and Japan. A partial offset to this value-added came from underweights of the core European currencies. These currencies appreciated in the early part of 1995, but, unlike the yen, remained steady for the year's duration. The European currencies as well as the yen ended the year overpriced relative to fundamental value. Consequently, the Fund remains underweighted in these currencies with offsetting overweights in the U.S. and Canadian dollars. Bond management added value in nearly every country. In the U.S., added value is attributable to non-government debt exposures. Long duration strategies in most non-U.S. markets added to relative performance. ------------------------------------------------------------ 36 GLOBAL BOND FUND - -------------------------------------------------------------------------------- LOGO TOTAL RETURN
Since Quarter Inception* - ------------------------------------------------------- SWISSKEY GLOBAL BOND FUND 4.93% 7.22% Salomon World Government Bond Index 2.95% 1.62% - -------------------------------------------------------
*Inception date of the SwissKey Global Bond Fund was July 31, 1995. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000 This chart shows the growth in the value of an investment in the SwissKey Global Bond Fund and the Salomon 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 December 31, 1995. 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. SWISSKEY GLOBAL BOND FUND VS. SALOMON WORLD GOVERNMENT BOND INDEX Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE]
Swisskey Global Salomon World Government Bond Fund Bond Index --------------- ------------------------ 7/31/95 $10,000 $10,000 8/31/95 $10,094 $ 9,656 9/30/95 $10,217 $ 9,871 10/31/95 $10,388 $ 9,944 11/30/95 $10,587 $10,056 12/31/95 $10,722 $10,162
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. ------------------------------------------------------------- 37 GLOBAL BOND FUND - -------------------------------------------------------------------------------- LOGO ASSET ALLOCATION As of December 31, 1995 (Unaudited)
Current Benchmark Strategy - ------------------------------- U.S. 34.3% 28.3% Japan 19.9 7.4 Australia 1.0 0.0 Austria 0.8 0.0 Belgium 2.7 3.0 Canada 2.9 6.6 Denmark 1.7 6.4 France 7.2 11.3 Germany 10.6 15.2 Italy 5.9 3.7 Netherlands 3.5 8.6 Spain 2.4 3.6 Sweden 1.8 0.0 U.K. 5.3 5.9 - ------------------------------- 100.0% 100.0%
INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- U.S. BONDS Corporate Bonds Asset-backed........................................................... 1.34% CMO.................................................................... 0.18 Consumer............................................................... 1.58 Financial.............................................................. 2.71 Floating rate.......................................................... 0.65 Industrial............................................................. 0.70 Telecommunications..................................................... 0.75 Transportation......................................................... 0.26 Yankee................................................................. 0.79 ------ 8.96 International Dollar Bonds............................................. 0.36 U.S. Government Agencies............................................... 9.36 U.S. Government Obligations............................................ 7.86 ------ Total U.S. Bonds..................................................... 26.54 ------ NON-U.S. BONDS Foreign Financial Bonds................................................. 32.11 Foreign Government Bonds................................................ 32.93 ------ Total Non-U.S. Bonds................................................. 65.04 ------ SHORT-TERM INVESTMENTS.................................................. 4.83 ------ TOTAL INVESTMENTS.................................................... 96.41 CASH AND OTHER ASSETS, LESS LIABILITIES................................. 3.59 ------ NET ASSETS........................................................... 100.00% ====== - --------------------------------------------------------------------------------
CURRENCY ALLOCATION As of December 31, 1995 (Unaudited)
Current Benchmark Strategy - ------------------------------- U.S. 34.3% 67.9% Japan 19.9 0.0 Australia 1.0 3.2 Austria 0.8 0.0 Belgium 2.7 0.0 Canada 2.9 11.5 Denmark 1.7 0.0 France 7.2 0.0 Germany 10.6 0.0 Italy 5.9 8.5 Netherlands 3.5 0.0 Spain 2.4 3.6 Sweden 1.8 0.0 U.K. 5.3 5.3 - ------------------------------- 100.0% 100.0%
------------------------------------------------------------ 38 GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------- ----------- Bonds -- 91.58% U.S. BONDS -- 26.54% U.S. CORPORATE BONDS -- 8.96% Burlington Northern Santa Fe 7.000%, due 12/15/25................................... $ 100,000 $ 98,778 Chrysler Financial Corp. 6.007%, due 07/31/97................................... 150,000 150,042 6.500%, due 08/21/97................................... 165,000 167,034 Dayton Hudson Credit Card Trust 95-1A 6.100%, due 09/25/98................................... 100,000 101,605 Farmers Insurance Exchange 144-A 8.625%, due 05/01/24................................... 250,000 253,547 Ford Credit Grantor Trust 95-b 5.900%, due 10/15/00................................... 102,133 102,046 Ford Credit Auto Lease Trust 6.350%, due 10/15/98................................... 200,000 201,250 GMAC MTN 6.750%, due 06/10/02................................... 200,000 206,192 Green Tree Financial 94-2 8.300%, due 05/15/19................................... 25,000 27,649 Green Tree Acceptance Corp. 94-A 6.900%, due 02/15/04................................... 40,199 40,319 Korean Development Bank 6.500%, due 11/15/02................................... 295,000 299,201 News America Corp. 7.750%, due 01/20/24................................... 275,000 285,264 Republic Bank of New York Corp. FRN 3.942%, due 12/29/02................................... 255,000 247,350 RJR Nabisco, Inc. 8.625%, due 12/01/02................................... 250,000 259,312 Standard Credit Card Trust 94-1A 4.650%, due 02/07/97................................... 250,000 247,920 The Money Store 94-A3 5.525%, due 05/15/97................................... 105,000 103,786 Time Warner, Inc. 9.125%, due 01/15/13................................... 210,000 236,281 USX Corp. 9.800%, due 07/01/01................................... 145,000 167,304 8.500%, due 03/01/23................................... 90,000 98,785 Woolworth Corp. 7.000%, due 10/15/02................................... 105,000 107,341 ----------- 3,401,006 ----------- INTERNATIONAL DOLLAR BONDS -- 0.36% Republic of South Africa 9.625%, due 12/15/99................................... 125,000 135,000 ----------- U.S. GOVERNMENT AGENCIES -- 9.36% Federal Home Loan Mortgage Corp. 7.000%, due 04/15/07................................... 180,831 182,187 7.000%, due 10/15/21................................... 200,000 199,813 7.500%, due 07/15/22................................... 130,000 136,462 Federal Home Loan Mortgage Corp. Gold 9.000%, due 05/01/24................................... 407,235 430,725 8.500%, due 08/01/24................................... 231,607 241,668 Federal National Mortgage Association 6.240%, due 01/28/04................................... 75,000 74,620 7.400%, due 07/01/04............................... $ 305,000 $ 336,301 7.000%, due 06/17/17............................... 80,000 82,599 9.000%, due 08/01/21............................... 39,575 42,076 8.500%, due 07/01/22............................... 27,713 29,173 7.000%, due 09/01/24............................... 275,000 277,149 7.500%, due 05/01/25............................... 426,419 436,814 Government National Mortgage Association 9.000%, due 12/15/09............................... 272,604 288,685 9.000%, due 12/15/17............................... 195,593 208,232 8.000%, due 12/15/22............................... 197,188 204,551 7.000%, due 09/15/24............................... 105,000 107,953 5.500%, due 10/20/25............................... 210,400 210,463 Tennessee Valley Authority 6.875%, due 12/15/43............................... 65,000 64,451 ----------- 3,553,922 ----------- U.S. GOVERNMENT OBLIGATIONS -- 7.86% U.S. Treasury Bond 8.125%, due 05/15/21............................... 265,000 335,391 U.S. Treasury Coupon Strips 0.000%, due 11/15/19............................... 920,000 208,840 U.S. Treasury Notes 6.625%, due 03/31/97............................... 710,000 722,203 5.500%, due 11/15/98............................... 410,000 412,947 6.250%, due 08/31/00............................... 755,000 781,425 7.250%, due 05/15/04............................... 435,000 483,938 U.S. Treasury Principal Strips 0.000%, due 05/15/20............................... 170,000 37,675 ----------- 2,982,419 ----------- Total U.S. Bonds.................................... 10,072,347 ----------- NON-U.S. BONDS -- 65.04% BELGIUM -- 2.78% Kingdom of Belgium 8.750%, due 06/25/02............................... BEF 14,000,000 542,572 9.000%, due 03/28/03............................... 13,000,000 510,620 ----------- 1,053,192 ----------- CANADA -- 6.25% Quebec Province 7.500%, due 12/01/03............................... CAD 1,600,000 1,162,194 Government of Canada 4.250%, due 12/01/21............................... 1,600,000 1,211,132 ----------- 2,373,326 ----------- DENMARK -- 5.87% Kingdom of Denmark 9.000%, due 11/15/00............................... DKR 2,200,000 441,620 Great Belt 7.000%, due 09/02/03............................... 9,900,000 1,786,326 ----------- 2,227,946 -----------
- -------------------------------------------------------------------------------- 39 GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
FACE AMOUNT VALUE ---------------- ----------- FRANCE -- 10.95% Eurofima 8.625%, due 09/01/99............................. FRF 5,100,000 $ 1,138,626 Government of France (OAT) 8.500%, due 12/26/12............................. 3,600,000 841,148 8.500%, due 04/25/23............................. 2,400,000 554,779 KFW International Finance 7.750%, due 02/17/98............................. 1,600,000 342,494 Republic of Finland 9.000%, due 08/13/03............................. 5,500,000 1,276,428 ----------- 4,153,475 ----------- GERMANY -- 14.18% Bundesrepublik Deutscheland 8.000%, due 07/22/02............................. DEM 700,000 552,058 6.250%, due 01/04/24............................. 450,000 292,863 Deutsche Bundesbahn 9.000%, due 12/01/00............................. 900,000 727,835 6.125%, due 10/28/03............................. 400,000 280,444 European Economic Community 6.500%, due 03/10/00............................. 2,950,000 2,176,483 Kingdom of Norway 6.125%, due 05/05/98............................. 1,040,000 757,856 LKB Baden-Wurt Finance 6.500%, due 09/15/08............................. 850,000 590,600 ----------- 5,378,139 ----------- ITALY -- 3.06% Deutsche Bank 11.750%, due 02/23/98............................ ITL 900,000,000 589,273 European Investment Bank 12.750%, due 02/15/00............................ 280,000,000 190,830 Nordic Investment Bank 10.800%, due 05/24/03............................ 600,000,000 381,975 ----------- 1,162,078 ----------- JAPAN -- 7.75% Government of Japan No. 130 6.700%, due 06/20/00............................. JPY 80,000,000 936,345 Government of Japan No. 140 6.600%, due 06/20/01............................. 24,000,000 284,347 International Bank of Reconstruction & Development 4.750%, due 12/20/04............................. 104,000,000 1,151,915 Republic of Italy 3.500%, due 06/20/01............................. 56,000,000 569,704 ----------- 2,942,311 ----------- NETHERLANDS -- 5.75% Austria Republic 6.250%, due 02/28/24.............................. NLG 825,000 $ 465,767 Government of Nederlands 8.500%, due 06/01/06.............................. 325,000 238,833 8.250%, due 09/15/07.............................. 820,000 593,388 Rabobank 6.750%, due 06/25/03.............................. 1,350,000 885,122 ----------- 2,183,110 ----------- SPAIN -- 3.02% European Investment Bank 11.250%, due 03/15/00............................. SPN 130,000,000 1,147,857 ----------- 1,147,857 ----------- UNITED KINGDOM -- 5.43% Abbey National 8.750%, due 05/24/04.............................. GBP 400,000 645,862 British Gas PLC 8.125%, due 03/31/03.............................. 640,000 1,007,844 UK Treasury 8.000%, due 06/10/03.............................. 80,000 129,832 8.500%, due 12/07/05.............................. 165,000 275,305 ----------- 2,058,843 ----------- Total Non-U.S. Bonds............................... 24,680,277 ----------- Total Bonds (Cost $32,227,439)................................ 34,752,624 ----------- Short-Term Investments -- 4.83% COMMERCIAL PAPER -- 4.83% Crown Cork & Seal Co., Inc. 6.060%, due 01/09/96.............................. 400,000 399,461 General American Transportation Corp. 6.200%, due 01/18/96.............................. 400,000 398,829 Trinova Corp. 6.200%, due 01/10/96.............................. 500,000 499,225 Whitman Corp. 5.950%, due 01/02/96.............................. 534,000 533,912 ----------- Total Short-Term Investments (Cost $1,831,427)................................. 1,831,427 ----------- Total Investments (Cost $34,058,866) -- 96.41% (a) 36,584,051 ----------- Cash and other assets, less liabilities -- 3.59%......................... 1,362,418 ----------- Net Assets -- 100%................................. $37,946,469 ===========
See accompanying notes to schedule of investments. - -------------------------------------------------------------------------------- 40 GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a)Aggregate cost for federal income tax purposes was $34,058,866; and net unrealized appreciation consisted of: Gross unrealized appreciation................................. $2,566,208 Gross unrealized depreciation................................. (41,023) ---------- Net unrealized appreciation................................ $2,525,185 ==========
FRN: Floating Rate Note--The rate disclosed is that in effect at December 31, 1995. MTN: Medium Term Note FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4) The Global Bond Fund had the following open forward foreign currency contracts as of December 31, 1995:
SETTLEMENT LOCAL CURRENT UNREALIZED DATE CURRENCY VALUE GAIN/(LOSS) ---------- ------------- ---------- ---------- FORWARD FOREIGN CURRENCY BUY CONTRACTS Australian Dollar....... 06/05/96 1,690,000 $1,251,986 $ 1,471 British Pound........... 06/05/96 1,000,000 1,539,210 14,144 Canadian Dollar......... 06/05/96 2,600,000 1,905,418 (20,259) Dutch Guilder........... 06/04/96 1,500,000 943,583 2,005 Italian Lira............ 06/05/96 3,000,000,000 1,854,030 14,160 Swedish Krone........... 06/05/96 6,800,000 1,013,943 (13,434) FORWARD FOREIGN CURRENCY SALE CONTRACTS Belgian Franc........... 06/05/96 31,000,000 1,058,709 22,032 British Pound........... 06/05/96 1,000,000 1,539,354 13,096 Danish Kroner........... 06/04/96 12,500,000 2,262,418 31,623 Dutch Guilder........... 06/05/96 5,000,000 3,145,432 58,361 French Franc............ 06/05/96 19,000,000 3,892,369 20,195 German Mark............. 06/05/96 7,500,000 5,280,585 75,594 Japanese Yen............ 06/05/96 300,000,000 2,971,990 68,633 Sweden Krone............ 06/05/96 6,800,000 1,013,943 (19,732) -------- Total................ $267,889 ========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 41 GLOBAL BOND FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $34,058,866) (Note 1)................ $36,584,051 Cash............................................................. 10,721 Foreign currency, at value (Cost $528,746)....................... 533,662 Receivables: Investment securities sold...................................... 131,666 Interest........................................................ 970,606 Fund shares sold................................................ 50 Due from Advisor (Note 2)....................................... 120,218 Net unrealized appreciation on forward foreign currency con- tracts......................................................... 267,889 Deferred organization costs, net of amortization (Note 1)........ 7,245 Other assets..................................................... 858 ----------- TOTAL ASSETS.................................................. 38,626,966 ----------- LIABILITIES: Payables: Investment securities purchased................................. 514,286 Accrued expenses................................................ 166,211 ----------- TOTAL LIABILITIES............................................. 680,497 ----------- NET ASSETS........................................................ $37,946,469 =========== NET ASSETS CONSIST OF: Paid in capital (Note 7)......................................... $36,504,078 Accumulated undistributed net investment income.................. 311,700 Accumulated net realized loss.................................... (1,666,332) Net unrealized appreciation...................................... 2,797,023 ----------- NET ASSETS.................................................... $37,946,469 =========== OFFERING PRICE PER SHARE: Brinson Class: Net asset value, offering price and redemption price per share (Based on net assets of $36,184,017 and 3,619,391 shares issued and outstanding) (Note 7)....................................... $ 10.00 =========== SwissKey Class: Net asset value, offering price and redemption price per share (Based on net assets of $1,762,452 and 176,423 shares issued and outstanding) (Note 7)........................................... $ 9.99 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 42 GLOBAL BOND FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME: Interest.......................................................... $1,364,857 ---------- TOTAL INCOME................................................... 1,364,857 ---------- EXPENSES: Advisory (Note 2)................................................. 151,282 Custodian......................................................... 57,000 Accounting........................................................ 53,023 Professional...................................................... 38,391 Printing.......................................................... 24,900 Amortization of organization costs (Note 1)....................... 7,413 Distribution (Note 6)............................................. 1,925 Other............................................................. 60,754 ---------- TOTAL EXPENSES................................................. 394,688 Expenses deferred and reimbursed by Advisor (Note 2)........... (211,225) ---------- NET EXPENSES................................................... 183,463 ---------- NET INVESTMENT INCOME.......................................... 1,181,394 ---------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain on: Investments...................................................... 1,131,117 Foreign currency transactions.................................... 715,863 ---------- Net realized gain............................................... 1,846,980 ---------- Change in net unrealized appreciation or depreciation on: Investments and foreign currency................................. (489,604) Forward contracts................................................ 988,559 Translation of other assets and liabilities denominated in for- eign currency................................................... (24,839) ---------- Change in net unrealized appreciation or depreciation........... 474,116 ---------- Net realized and unrealized gain.................................. 2,321,096 ---------- Net increase in net assets resulting from operations.............. $3,502,490 ==========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 43 GLOBAL BOND FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
YEAR SIX MONTHS ENDED ENDED DECEMBER 31, 1995 JUNE 30, (UNAUDITED) 1995 ----------------- ----------- OPERATIONS: Net investment income.......................... $ 1,181,394 $ 2,663,927 Net realized gain (loss)....................... 1,846,980 (467,411) Change in net unrealized appreciation or depre- ciation ...................................... 474,116 2,879,443 ----------- ----------- Net increase in net assets resulting from oper- ations........................................ 3,502,490 5,075,959 ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income Brinson Class................................. (4,048,340) (1,146,710) SwissKey Class................................ (192,535) -- Distributions from net realized gains Brinson Class................................. (338,786) -- SwissKey Class................................ (16,271) -- ----------- ----------- Total distributions to shareholders............ (4,595,932) (1,146,710) ----------- ----------- CAPITAL SHARE TRANSACTIONS: Shares sold.................................... 1,828,373 15,734,111 Shares issued on reinvestment of distributions. 3,493,217 824,053 Shares redeemed................................ (18,144,197) (5,474,354) ----------- ----------- Net increase (decrease) in net assets resulting from capital share transactions (Note 7)...... (12,822,607) 11,083,810 ----------- ----------- TOTAL INCREASE (DECREASE) IN NET ASSETS..... (13,916,049) 15,013,059 ----------- ----------- NET ASSETS: Beginning of period............................ 51,862,518 36,849,459 ----------- ----------- End of period (including accumulated undistrib- uted net investment income of $311,700 and $1,095,344, respectively)..................... $37,946,469 $51,862,518 =========== ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 44 GLOBAL BOND FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
SIX MONTHS ENDED YEAR JULY 30, 1993* DECEMBER 31, 1995 ENDED THROUGH BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994 - ------------------------------------------------------------------------------- Net asset value, beginning of period......................... $ 10.39 $ 9.55 $ 10.00 ------- ------- ------- Income (loss) from investment operations: Net investment income ......... 0.88 0.50 0.45 Net realized and unrealized gain (loss)................... 0.07 0.58 (0.52) ------- ------- ------- Total income (loss) from in- vestment operations........ 0.95 1.08 (0.07) ------- ------- ------- Less distributions: Distributions from net invest- ment income................... (1.24) (0.24) (0.28) Distributions from and in ex- cess of net realized gain..... (0.10) -- (0.10) ------- ------- ------- Total distributions......... (1.34) (0.24) (0.38) ------- ------- ------- Net asset value, end of period.. $ 10.00 $ 10.39 $ 9.55 ======= ======= ======= Total return (non-annualized)... 9.19% 11.34% (0.79%) Ratios/Supplemental data Net assets, end of period (in 000s)......................... $36,184 $51,863 $36,849 Ratio of expenses to average net assets: Before expense reimbursement.. 1.96%** 1.43% 1.78%** After expense reimbursement... 0.90%** 0.90% 0.90%** Ratio of net investment income to average net assets: Before expense reimbursement.. 4.88%** 5.53% 4.03%** After expense reimbursement... 5.94%** 6.06% 4.91%** Portfolio turnover rate........ 88% 199% 189%
* Commencement of investment operations ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 45 GLOBAL BOND FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
JULY 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $10.56 ------ Income from investment operations: Net investment income........................................ 0.85 Net realized and unrealized loss............................. (0.10) ------ Total income from investment operations................... 0.75 ------ Less distributions: Distributions from net investment income..................... (1.22) Distributions from net realized gain......................... (0.10) ------ Total distributions....................................... (1.32) ------ Net asset value, end of period................................ $ 9.99 ====== Total return (non-annualized)................................. 7.22% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $1,762 Ratio of expenses to average net assets: Before expense reimbursement................................ 2.45%** After expense reimbursement................................. 1.39%** Ratio of net investment income to average net assets: Before expense reimbursement................................ 4.39%** After expense reimbursement................................. 5.45%** Portfolio turnover rate...................................... 88%
* Commencement of SwissKey Class distribution ** Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 46 THE SWISSKEY 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 ten series: Global Fund, Global Equity Fund, Global Bond Fund, Short-Term Global Income Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Bond Fund, U.S. Cash Management Fund, Non-U.S. Equity Fund and Non-U.S. Bond Fund. Each Fund has outstanding two classes of shares, Brinson class and SwissKey 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 following is a summary of significant accounting policies consistently followed by the Global Fund, the Global Equity Fund and the Global Bond Fund (each a "Fund" and collectively, the "Funds") in the preparation of their financial statements. A.INVESTMENT VALUATION: Securities for which 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. 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. Fixed income/debt securities are valued by using market quotations or independent services that use prices provided by market makers or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics. Futures contracts are valued at the settlement price established each day on the exchange on which they are traded. Forward 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 at the bid prices of such currencies against the U.S. dollar as of the date of valuation. Purchases and sales of portfolio securities, commitments under forward foreign currency contracts, income receipts and expense accruals are translated at the prevailing exchange rate on the date of each transaction. Realized and unrealized foreign exchange gains or losses on investments are included as a component of net realized and unrealized gain or loss 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 have met the requirements of the Code applicable to regulated investment companies for the six months ended December 31, 1995. Therefore, no federal income tax provision was required. At December 31, 1995, the Global Equity Fund had a capital loss carryforward of approximately $1,069,000, of which $251,000 will expire on June 30, 2003 and $818,000 will expire on June 30, 2004 and the Global Bond Fund had a capital loss carryforward of approximately $55,000 which will expire on June 30, 2004. F.ORGANIZATION COSTS: Organization costs are being amortized on a straight-line basis over five years from each Fund's respective commencement of operations. G.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 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 - -------------------------------------------------------------------------------- 47 THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- share between the classes are due to different class expenses. Amounts equal to 17.54% and 100.00% of the amount taxable as ordinary income qualify for the dividends received deduction available to corporate shareholders for the Global Fund and the Global Equity Fund, respectively. H.INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by the Fund, will be borne on a pro rata basis by each of the classes except that the Brinson Class shares will not incur any of the 12b-1 expenses. 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, the Funds pay 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 total annualized expenses exceed a specified percentage of each Fund's respective average daily net assets. Investment advisory fees and other transactions with affiliates, for the six months ended December 31, 1995, were as follows:
FEES ADVISORY BRINSON CLASS SWISSKEY CLASS ADVISORY DEFERRED AND/OR DUE FROM FEE EXPENSE CAP EXPENSE CAP FEES REIMBURSED ADVISOR -------- ------------- -------------- ---------- --------------- -------- Global Fund............. 0.80% 1.10% 1.75% $1,610,179 $ -- $ -- Global Equity Fund...... 0.80 1.00 1.76 175,156 273,977 200,332 Global Bond Fund........ 0.75 0.90 1.39 151,282 211,225 120,218
Certain officers of the Funds are also officers and directors of the Advisor. All officers serve without direct compensation from the Funds. Trustees' fees paid to unaffiliated trustees were $5,790, $2,139 and $2,266 for the Brinson Global Fund, Brinson Global Equity Fund and Brinson Global Bond Fund, respectively. 3.INVESTMENT TRANSACTIONS Investment transactions for the six months ended December 31, 1995, excluding short-term investments, are as follows:
PROCEEDS PURCHASES FROM SALES ------------ ------------ Global Fund........................................... $335,226,000 $293,096,250 Global Equity Fund.................................... 41,086,752 24,255,982 Global Bond Fund...................................... 32,218,194 41,468,914
4.FORWARD FOREIGN CURRENCY CONTRACTS The Funds engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. Foward 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 the Fund on a foward 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 at December 31, 1995 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 - -------------------------------------------------------------------------------- 48 THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- illiquid market and 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 in an amount (initial margin) based on the number of open contracts. 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. 6.DISTRIBUTION PLAN The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940 (the "Act"). The Plan governs payments made for the expenses incurred in the promotion and distribution of the SwissKey Class of shares. Annual fees under the Plan of 0.65%, 0.76% and 0.49% of the average daily net assets of the SwissKey Class of the Global Fund, Global Equity Fund and Global Bond Fund, respectively, are accrued daily. 7.CAPITAL TRANSACTIONS Capital stock transactions were as follows:
GLOBAL FUND --------------------------------------------- SIX MONTHS ENDED DECEMBER 31, 1995 YEAR ENDED (UNAUDITED) JUNE 30, 1995 --------------------- ----------------------- SHARES VALUE SHARES VALUE --------- ----------- ---------- ------------ Sales: Brinson Class.................... 4,859,379 $57,939,772 11,726,672 $124,484,442 SwissKey Class................... 147,037 1,780,070 -- -- --------- ----------- ---------- ------------ Total Sales................... 5,006,416 $59,719,842 11,726,672 $124,484,442 ========= =========== ========== ============ Dividend Reinvestment: Brinson Class.................... 2,228,457 $26,028,383 960,415 $ 10,276,565 SwissKey Class................... 9,533 111,252 -- -- --------- ----------- ---------- ------------ Total Dividend Reinvestment... 2,237,990 $26,139,635 960,415 $ 10,276,565 ========= =========== ========== ============ Redemptions: Brinson Class.................... 2,907,523 $34,785,958 7,205,445 $ 77,406,972 SwissKey Class................... 86 1,026 -- -- --------- ----------- ---------- ------------ Total Redemptions............. 2,907,609 $34,786,984 7,205,445 $ 77,406,972 ========= =========== ========== ============
- -------------------------------------------------------------------------------- 49 THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS - --------------------------------------------------------------------------------
GLOBAL EQUITY FUND ------------------------------------------- SIX MONTHS ENDED DECEMBER 31, 1995 YEAR ENDED (UNAUDITED) JUNE 30, 1995 --------------------- --------------------- SHARES VALUE SHARES VALUE --------- ----------- --------- ----------- Sales: Brinson Class...................... 19,449 $ 219,994 13,700 $ 133,064 SwissKey Class..................... 2,645,256 23,643,172 -- -- --------- ----------- --------- ----------- Total Sales..................... 2,664,705 $23,863,166 13,700 $ 133,064 ========= =========== ========= =========== Dividend Reinvestment: Brinson Class...................... 147,823 $ 1,553,509 28,495 $ 271,028 SwissKey Class..................... 152,235 1,601,512 -- -- --------- ----------- --------- ----------- Total Dividend Reinvestment..... 300,058 $ 3,155,021 28,495 $ 271,028 ========= =========== ========= =========== Redemptions: Brinson Class...................... 74,980 $ 797,564 131,587 $ 1,262,526 SwissKey Class..................... 303,416 3,266,101 -- -- --------- ----------- --------- ----------- Total Redemptions............... 378,396 $ 4,063,665 131,587 $ 1,262,526 ========= =========== ========= =========== GLOBAL BOND FUND ------------------------------------------- SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 1995 JUNE 30, 1995 --------------------- --------------------- SHARES VALUE SHARES VALUE --------- ----------- --------- ----------- Sales: Brinson Class...................... 10,065 $ 107,043 1,615,817 $15,734,111 SwissKey Class..................... 158,111 1,721,330 -- -- --------- ----------- --------- ----------- Total Sales..................... 168,176 $ 1,828,373 1,615,817 $15,734,111 ========= =========== ========= =========== Dividend Reinvestment: Brinson Class...................... 333,396 $ 3,310,623 80,422 $ 824,053 SwissKey Class..................... 18,407 182,594 -- -- --------- ----------- --------- ----------- Total Dividend Reinvestment..... 351,803 $ 3,493,217 80,422 $ 824,053 ========= =========== ========= =========== Redemptions: Brinson Class...................... 1,715,619 $18,143,201 564,413 $ 5,474,354 SwissKey Class..................... 95 996 -- -- --------- ----------- --------- ----------- Total Redemptions............... 1,715,714 $18,144,197 564,413 $ 5,474,354 ========= =========== ========= ===========
- -------------------------------------------------------------------------------- 50 DISTRIBUTED BY: FUND/PLAN BROKER SERVICES, INC. 2 W. ELM STREET CONSHOHOCKEN, PA 19428 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 Funds' objectives, policies, expenses and other information. - -------------------------------------------------------------------------------- LOGO 10 East 50th Street . New York, New York 10022 . Tel: (800) SWISSKEY LOGO SWISSKEY U.S. BALANCED FUND SWISSKEY U.S. EQUITY FUND SWISSKEY U.S. BOND FUND SEMI-ANNUAL REPORT DECEMBER 31, 1995 TRUSTEES AND OFFICERS - -------------------------------------------------------------------------------- LOGO TRUSTEES Walter E. Auch Frank K. Reilly, CFA Edward M. Roob OFFICERS Frank K. Reilly, CFA Carolyn M. Burke, CPA Chairman of the Board Assistant Secretary E. Thomas McFarlan Catherine E. Macrae President and Treasurer Assistant Secretary Thomas J. Digenan, CPA Debra L. Nichols Assistant Treasurer Assistant Secretary Bruce G. Leto Secretary ------------------------------------------------------------ 1 THE FUNDS' ADVISOR -- BRINSON PARTNERS, INC. - -------------------------------------------------------------------------------- LOGO Brinson Partners, Inc. is an institutional investment management firm structured around teams of investment specialists covering major world asset classes. We specialize in managing multiple asset portfolios that provide clients with the opportunity to participate in all major world asset classes. It is important that investment decisions, whether they pertain to a global portfolio or a single asset class portfolio, be made within the context of a global capital market perspective. Our coordinated application of investment strategies distinguishes Brinson Partners, Inc. as a leader in global investment management of institutional assets. We firmly believe that asset allocation is portfolio management at its highest and most important level. Performance is maximized through a comprehensive understanding of global investment markets and their interrelationships. Portfolio structure is tailored to specific client objectives and focused upon both risk and return considerations in the context of full long-term investment cycles. At Brinson Partners, Inc., our investment decisions are based on fundamental research, internally developed valuation systems and seasoned judgment. Our independent team approach allows for rapid responses to market changes, while providing each client with the benefit of our best talent and the flexibility to customize portfolios to meet unique requirements. ------------------------------------------------------------ 2 TABLE OF CONTENTS - -------------------------------------------------------------------------------- LOGO Shareholder Letter............................................................ 4 U.S. Balanced Fund............................................................ 5 Schedule of Investments...................................................... 8 Financial Statements.........................................................11 Financial Highlights.........................................................14 U.S. Equity Fund..............................................................16 Schedule of Investments......................................................19 Financial Statements.........................................................21 Financial Highlights.........................................................24 U.S. Bond Fund................................................................26 Schedule of Investments......................................................29 Financial Statements.........................................................30 Financial Highlights.........................................................33 The SwissKey Funds--Notes to Financial Statements.............................35 ------------------------------------------------------------ 3 SHAREHOLDER LETTER - -------------------------------------------------------------------------------- LOGO February 22, 1996 Dear Shareholder: Thank you for investing in the SwissKey Funds. We are pleased to present you with the December 31, 1995 Semi-Annual Report for the U.S Balanced Fund, the U.S. Equity Fund and the U.S. Bond Fund. A COMPELLING COMBINATION OF TWO GLOBAL INVESTMENT LEADERS In the world of global investing, the combination of Swiss Bank Corporation and Brinson Partners, Inc. adds world class value to our clients' investments. Swiss Bank Corporation, founded in 1872, is a global financial institution serving the needs of worldwide corporate, public and private clients. With more than $191 billion in assets and a strong presence in 40 countries, Swiss Bank Corporation is the largest fund manager in Switzerland and is among the top money managers worldwide. Swiss Bank Corporation holds membership in the world's leading stock exchanges. Brinson Partners, Inc. currently manages over $53 billion in assets for clients which include employee benefit plans and other institutional investors. The firm is the largest U.S. active manager of global assets and has operated under the same investment philosophy and senior management for almost two decades. U.S. BALANCED FUND Since the commencement of the SwissKey Class distribution on July 31, 1995, the SwissKey U.S. Balanced Fund has provided a total return of 8.41%. The Fund's market allocation has been characterized by an underweight in the U.S. equity market and overweight to the U.S. Bond market. U.S. EQUITY FUND Since the commencement of the SwissKey Class distribution on July 31, 1995, the SwissKey U.S. Equity Fund has provided a total return of 13.35%. Fund strategy currently maintains an above average exposure to stocks with high earnings/price measures and an overweight of intermediate versus large capitalization issues relative to the benchmark. The Fund also possesses a meaningful exposure toward economically-sensitive and financially-leveraged stocks and an underweight with respect to companies with foreign earnings and relative strength. U.S. BOND FUND Since commencement on August 31, 1995, the SwissKey U.S. Bond Fund has provided a total return of 5.29%. With intermediate and long-term interest rates within the range of our estimates of fair value, the Fund's current investment strategy involves near neutral duration and yield curve exposure. We look forward to the challenges ahead and, as always, welcome your thoughts and comments. Sincerely, /s/ Raoul Weil /s/ Raymond Simon Raoul Weil Raymond Simon Executive Director Executive Director Private Investors & Private Investors & Asset Management Asset Management ------------------------------------------------------------ 4 U.S. BALANCED FUND - -------------------------------------------------------------------------------- LOGO The U.S. Balanced Fund is an actively managed, diversified portfolio that provides integrated asset management across and within U.S. stocks, bonds and cash. The investment process is strategic in nature and is driven by deviations of market price from fundamental value. This philosophy offers the greatest potential for achieving enhanced long-term returns, while controlling risk. The SwissKey U.S. Balanced Fund produced an unannualized return of 8.41% since its inception on July 31, 1995. This compares with the corresponding 8.54% return of its benchmark, the U.S. Balanced Index. The U.S. Balanced Index is a fixed weight composite of 65% Wilshire 5000 Equity Index and 35% Salomon Brothers Broad Investment Grade Bond Index. Security selection within equities contributed positively to relative performance, while underweighting equities and overweighting bonds contributed negatively. Below is a discussion of the 1995 U.S. markets activity, as well as our current investment strategies. At the start of 1995, the Federal Reserve raised its target for the Fed Funds rate by 50 basis points, after increasing it more than 250 basis points the previous year. These rate hikes produced enough signs of slowing growth and sluggish inflationary pressure that the Fed reversed course and provided two small rate cuts later in the year. Bonds performed well in the low inflation environment. Considerable declines in long yields caused the yield curve to become almost horizontal toward the end of the year. Long bonds provided excellent returns as a result. With rates declining over most of the curve, the bond market moved from undervalued to a position approximating fundamental value. At the short end, values are still in excess of price, but at the long end price and value are very close. Lower interest rates also benefited several sectors of the U.S. equity market, in particular bank and insurance stocks. The equity market was buoyed by a large number of positive earnings surprises, and earnings growth continued at a double-digit pace. The equity component of the Fund was helped by an overweight in bank stocks and by favorable market response to consolidation in several overweighted industries. With equity prices rising through the year, the market's overvaluation persisted at about 20%. At year-end, asset allocation strategy involves underweighting the overvalued equity market and overweighting the relatively attractive bond market. Duration strategy is approximately neutral as bond prices, except at the short end, are within the range of our fundamental value estimates. ------------------------------------------------------------ 5 U.S. BALANCED FUND - -------------------------------------------------------------------------------- LOGO TOTAL RETURN
Since Quarter inception* - ----------------------------------------------- SWISSKEY U.S. BALANCED FUND 4.99% 8.41% - ----------------------------------------------- U.S. Balanced Index** 4.55% 8.54% - -----------------------------------------------
*Inception date of the SwissKey U.S. Balanced Fund is July 31, 1995. **An un-managed index compiled by the Advisor, constructed as follows: 65% Wilshire 5000 Equity Index and 35% Salomon Brothers Broad Investment Grade Bond Index. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000 This chart shows the growth in the value of an investment in the SwissKey U.S. Balanced Fund and the U.S. Balanced Index if you had invested $10,000 on July 31, 1995, and had reinvested all your income dividends and capital gain distributions through December 31, 1995. 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. SWISSKEY U.S. BALANCED FUND VS. U.S. BALANCED INDEX Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE]
SwissKey U.S. U.S. Measurement Period Balanced Fund Balanced Index - ------------------- ------------- -------------- Measurement Pt- 7/31/95 $10,000 $10,000 8/31/95 $10,140 $10,100 9/30/95 $10,325 $10,381 10/31/95 $10,386 $10,357 11/30/95 $10,694 $10,693 12/31/95 $10,840 $10,854
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. ------------------------------------------------------------- 6 U.S. BALANCED FUND - -------------------------------------------------------------------------------- LOGO INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - ------------------------------------------------------------------------------- U.S. EQUITIES Basic Industries Chemicals.............................................................. 0.31% Housing/Paper.......................................................... 1.30 Metals................................................................. 0.56 ------ 2.17 Capital Investment Capital Goods.......................................................... 3.54 Technology............................................................. 2.22 ------ 5.76 Consumer Autos/Durables......................................................... 0.41 Discretionary.......................................................... 2.12 Health: Drugs.......................................................... 3.77 Health: Non-Drugs...................................................... 1.22 Non-Durables........................................................... 3.94 Retail/Apparel......................................................... 2.44 ------ 13.90 Energy.................................................................. 2.40 Financial Banks.................................................................. 3.14 Non-Banks.............................................................. 3.86 ------ 7.00 ------ Services................................................................ 3.11% Transportation.......................................................... 1.70 Utilities............................................................... 2.54 Miscellaneous........................................................... 0.92 ------ Total U.S. Equities.................................................. 39.50 ------ U.S. BONDS Corporate Bonds Asset-backed........................................................... 4.26 Consumer............................................................... 2.83 Financial.............................................................. 4.46 Floating Rate.......................................................... 0.52 Industrial............................................................. 0.39 Telecommunications..................................................... 1.02 Transportation......................................................... 0.23 Yankee................................................................. 0.41 ------ 14.12 International Dollar Bonds.............................................. 3.27 U.S. Government Agencies................................................ 16.61 U.S. Government Obligations............................................. 17.01 ------ Total U.S. Bonds..................................................... 51.01 ------ SHORT-TERM INVESTMENTS.................................................. 15.01 ------ TOTAL INVESTMENTS.................................................... 105.52 LIABILITIES, LESS CASH AND OTHER ASSETS.................................................. (5.52) ------ NET ASSETS.............................................................. 100.00% ======
ASSET ALLOCATION As of December 31, 1995 (Unaudited) - ------------------------------------
CURRENT BENCHMARK STRATEGY --------- -------- U.S. Equity 65% 40% U.S. Bonds 35 55 Cash Equivalents 0 5 - ------------------------------------ 100% 100%
TOP TEN U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
PERCENT OF NET ASSETS - --------------------------------------------- 1. Citicorp 2.09% 2. Lockheed Martin Corp. 2.07 3. Burlington Northern, Santa Fe 1.65 4. Honeywell, Inc. 1.57 5. Avon Products, Inc. 1.26 6. Schering Plough Corp. 1.17 7. AON Corp. 1.17 8. Kimberly-Clark Corp. 1.13 9. Sprint Corp. 1.11 10. Enron Corp. 1.09 - ---------------------------------------------
------------------------------------------------------------ 7 U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ----------- ------------ U.S. EQUITIES -- 39.50% Aetna Life & Casualty Co............................... 25,100 $ 1,738,175 Air & Water Technologies Corp. Class A (b)........................................... 10,400 63,700 Allergan, Inc.......................................... 39,900 1,296,750 Alza Corp. (b)......................................... 34,900 863,775 American Mobile Satellite Corp., Inc. (b).............. 6,000 183,750 Aon Corp............................................... 50,300 2,508,712 AST Research Corp. (b)................................. 7,918 67,303 Automatic Data Processing, Inc......................... 22,800 1,692,900 Avon Products, Inc..................................... 35,800 2,698,425 Bard (C.R.), Inc....................................... 24,100 777,225 Beckman Instruments, Inc............................... 15,500 548,312 Biogen, Inc. (b)....................................... 3,600 221,400 Birmingham Steel Corp.................................. 15,600 232,050 Boeing Co.............................................. 14,200 1,112,925 Boston Technology, Inc. (b)............................ 9,600 122,400 Brinker International, Inc. (b)........................ 11,500 173,938 Burlington Northern Santa Fe........................... 45,400 3,541,200 Campbell Soup Co....................................... 12,300 738,000 Centerior Energy Co.................................... 7,000 62,125 CIGNA Corp............................................. 19,600 2,023,700 Citicorp............................................... 66,600 4,478,850 CMS Energy Corp........................................ 42,500 1,269,688 Coca-Cola Enterprises, Inc............................. 50,200 1,348,734 Comerica, Inc.......................................... 10,760 429,337 Computer Sciences Corp. (b)............................ 2,300 161,575 Converse Technology, Inc. (b).......................... 6,500 130,000 Cooper Cameren Corp. (b)............................... 13,130 466,115 Cooper Industries, Inc................................. 13,692 519,719 Dial Corp.............................................. 40,600 1,202,775 Enron Corp............................................. 61,100 2,329,437 Entergy Corp........................................... 42,900 1,254,825 Federated Department Stores (b)........................ 50,800 1,397,000 First Data Corp........................................ 23,631 1,580,330 Food Lion, Inc. Class A................................ 64,100 366,569 Ford Motor Co.......................................... 40,400 1,171,600 Forest Laboratories, Inc. (b).......................... 26,600 1,203,650 Gannett Co. Inc........................................ 14,400 883,800 Genzyme Corp. (b)...................................... 5,100 318,113 Goodyear Tire and Rubber Co............................ 28,400 1,288,650 Grand Metro............................................ 50,000 1,462,500 Health Care & Retirement Corp. (b)..................... 11,000 385,000 Hillenbrand Industries, Inc............................ 1,100 37,263 Honeywell, Inc......................................... 69,100 3,359,987 Illinova Corp. ........................................ 8,200 246,000 Inland Steel Industries, Inc........................... 23,200 582,900 Interpublic Group of Companies, Inc.................... 15,600 676,650 Kimberly-Clark Corp.................................... 29,300 2,424,575 Kroger Co. (b)......................................... 22,500 843,750 Lockheed Martin Corp................................... 56,100 4,431,900 LTV Corp............................................... 22,600 310,750 Lyondell Petrochemical Co.............................. 42,600 974,475 Magna Group, Inc....................................... 7,700 182,875 Manor Care, Inc........................................ 25,400 889,000 Mattel, Inc............................................ 63,800 1,961,850 Melville Corp.......................................... 35,400 1,088,550 National Semiconductor Corp. (b)....................... 16,300 373,800 Nextel Communications, Inc. Class A (b)................ 36,600 539,850 Octel Communications Corp. (b)......................... 4,200 135,450
SHARES VALUE ----------- ------------ Old Republic International Corp........................ 15,100 $ 536,050 Owens Illinois, Inc. (b)............................... 44,100 639,450 Pentair, Inc........................................... 9,100 452,725 Pfizer, Inc............................................ 24,500 1,543,500 Philip Morris Companies, Inc........................... 11,500 1,040,750 Raychem Corp........................................... 13,500 767,812 RJR Nabisco Convertible Preferred "C".................. 126,400 805,800 RJR Nabisco Holdings Corp. (b)......................... 38,540 1,189,922 Schering Plough Corp................................... 46,000 2,518,500 Schlumberger Ltd....................................... 16,500 1,142,625 Schweitzer-Meuduit International, Inc. (b)............. 2,930 67,756 Seagate Technology, Inc. (b)........................... 16,300 774,250 Sprint Corp............................................ 59,600 2,376,550 State Street Boston Corp............................... 11,600 522,000 Timken Co.............................................. 11,000 420,750 Tosco Corp............................................. 7,000 266,875 Transamerica Corp...................................... 20,000 1,457,500 Ultramar Corp.......................................... 20,200 520,150 US Bancorp............................................. 26,700 897,788 USF&G Corp............................................. 37,400 631,125 Walgreen Co............................................ 34,200 1,021,725 Westvaco Corp.......................................... 10,750 298,312 WMX Technologies, Inc.................................. 50,200 1,499,725 ------------ Total U.S. Equities (Cost $70,776,456)................. 84,766,297 ------------ FACE AMOUNT VALUE ----------- ------------ BONDS -- 51.01% U.S. CORPORATE BONDS -- 14.12% Bell South Corp. 0.000% due 12/15/15.................................... $ 3,175,000 $ 840,676 Beneficial Home Equity 6.280%, due 03/28/25................................... 495,158 495,158 Burlington Northern Santa Fe 7.000%, due 12/15/25................................... 900,000 889,005 Chrysler Financial Corp. FRN 6.023%, due 07/31/97............................... 1,000,000 1,000,283 MTN 6.500%, due 08/21/97............................... 1,000,000 1,012,330 Dayton Hudson Credit Card Trust 95-1 6.100%, due 09/25/98................................... 2,000,000 2,032,100 Dean Witter & Co. 6.245%, due 03/21/97................................... 1,250,000 1,249,258 Ford Motor Credit Corp. 5.370%, due 09/08/98................................... 945,000 937,242 GMAC MTN 6.750%, due 06/10/02................................... 1,000,000 1,030,960 Grace W.R. & Co. 8.000%, due 08/15/04................................... 1,150,000 1,269,355 MBNA Master Trust 5.962%, due 03/15/01................................... 1,500,000 1,499,925 Nationwide CSN Trust 9.875%, due 02/15/25................................... 1,000,000 1,168,063 News America Corp. 7.750%, due 01/20/24................................... 1,000,000 1,037,323 Petroliam Nasional 7.125%, due 08/15/05................................... 1,500,000 1,582,500 Republic Bank of New York Corp. FRN 6.025%, due 12/29/02................................... 1,065,000 1,033,050 RJR Nabisco Inc. 8.625%, due 12/01/02................................... 1,500,000 1,555,871
- -------------------------------------------------------------------------------- 8 U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
FACE AMOUNT VALUE ----------- ------------ U.S. CORPORATE BONDS (CONTINUED) Signet Credit Card 6.062%, due 05/15/02................................. $ 1,500,000 $ 1,504,065 Standard Credit Card Trust 94-1A 4.650%, due 02/07/97........................... 2,000,000 1,983,360 91-3A 8.875%, due 07/07/98........................... 1,750,000 2,950,255 TCI Communication 6.820%, due 09/15/10................................. 2,100,000 2,134,225 Time Warner Inc. 9.125%, due 01/15/13................................. 1,000,000 1,125,148 Woolworth Corp. 7.000%, due 10/15/02................................. 1,920,000 1,962,797 ------------ 30,292,949 ------------ INTERNATIONAL DOLLAR BONDS -- 3.27% Bangkok Bank Public Co. Ltd. 7.250%, due 09/15/05................................. 2,100,000 2,175,075 Hanson PLC Notes 6.750%, due 09/15/05................................. 1,000,000 1,035,095 Hong Kong Shanghai Perpetual FRN 6.375%, due 07/30/49................................. 1,000,000 775,850 International Bank for Reconstruction & Development 6.375%, due 07/21/05................................. 1,500,000 1,558,665 Republic of Italy 6.875%, due 09/27/23................................. 1,500,000 1,466,250 ------------ 7,010,935 ------------ U.S. GOVERNMENT AGENCIES -- 16.61% Federal Home Loan Mortgage Corp. 7.000%, due 12/15/06................................. 1,695,000 1,736,239 7.000%, due 03/15/07................................. 2,615,000 2,693,816 9.250%, due 07/15/21................................. 2,314,417 2,503,296 7.000%, due 10/15/21................................. 750,000 749,297 7.000%, due 12/15/23................................. 949,443 849,751 Federal Home Loan Mortgage Corp. Gold 9.000%, due 03/01/24................................. 532,516 563,231 Federal National Mortgage Association 8.000%, due 06/01/24................................. 355,229 367,773 8.000%, due 07/01/24................................. 23,026 23,839 8.000%, due 08/01/24................................. 52,078 53,916 6.500%, due 09/01/24................................. 1,875,000 1,852,734 7.000%, due 09/01/24................................. 4,585,000 4,620,823 8.000%, due 11/01/24................................. 25,509 26,410 8.000%, due 03/01/25................................. 208,092 215,440 8.000%, due 04/01/25................................. 916,702 949,073 7.500%, due 05/01/25................................. 1,632,993 1,672,797 8.000%, due 05/01/25................................. 1,985,695 2,055,815 8.000%, due 06/01/25................................. 1,739,010 1,800,419 Federal National Mortgage Association Dwarf 7.500%, due 09/01/09................................. 1,655,000 1,701,547 7.000%, due 12/01/09................................. 5,160,000 5,253,525 Government National Mortgage Association 9.000%, due 12/15/09................................. 1,476,280 1,563,365 11.000%, due 09/15/15................................ 443,192 497,995 9.000%, due 12/15/17................................. 493,677 525,579 7.750%, due 06/16/20................................. 600,000 624,938 7.000%, due 06/15/23................................. 449,193 454,387 7.000%, due 07/15/23................................. 474,793 480,283
FACE AMOUNT VALUE ----------- ------------ 7.000%, due 09/15/23............................... $ 100,375 $ 101,536 9.000%, due 07/15/24............................... 211,455 223,944 8.500%, due 11/15/24............................... 234,174 245,737 8.500%, due 01/15/25............................... 527,633 553,664 9.000%, due 05/15/25............................... 644,922 683,013 ------------ 35,644,182 ------------ U.S. GOVERNMENT OBLIGATIONS -- 17.01% U.S. Treasury Coupon Strips 0.000%, due 11/15/19............................... 1,295,000 293,965 U.S. Treasury Notes and Bonds 6.625%, due 03/31/97............................... 12,215,000 12,424,939 5.300%, due 11/15/98............................... 2,500,000 2,517,968 6.250%, due 08/31/00............................... 4,415,000 4,569,525 7.250%, due 05/15/04............................... 7,235,000 8,048,938 8.125%, due 05/15/21............................... 6,620,000 8,378,437 U.S. Treasury Principal Strips 0.000%, due 05/15/20............................... 1,245,000 275,917 ------------ 36,509,689 ------------ Total U.S. Bonds (Cost $106,199,902)................ 109,457,755 ------------ SHORT-TERM INVESTMENTS -- 15.01% COMMERCIAL PAPER -- 15.01% Baxter International, Inc. 6.050%, due 01/02/96............................... 1,000,000 999,832 Burlington Northern Santa Fe 6.050%, due 01/03/96............................... 3,000,000 2,998,992 6.150%, due 01/31/96............................... 2,500,000 2,487,187 Conagra, Inc. 5.910%, due 01/04/96............................... 2,000,000 1,999,015 6.050%, due 01/11/96............................... 2,000,000 1,996,639 Crown Cork & Seal Co., Inc. 6.060%, due 01/09/96............................... 1,400,000 1,398,115 CSX Corp. 6.000%, due 01/08/96............................... 2,000,000 1,997,666 General American Transportation Corp. 6.200%, due 01/18/96............................... 2,500,000 2,492,681 Nabisco Holdings Corp. 5.850%, due 01/03/96............................... 3,000,000 2,999,025 6.040%, due 01/19/96............................... 2,990,000 2,980,970 P.S. Colorado Credit Corp. 6.030%, due 01/04/96............................... 2,500,000 2,498,744 Texas Utilities Electric Co. 6.300%, due 01/05/96............................... 2,000,000 1,998,600 Trinova Corp. 6.100%, due 01/10/96............................... 2,000,000 1,996,950 6.200%, due 01/10/96............................... 2,562,000 2,558,029 Whitman Corp. 5.950%, due 01/02/96............................... 799,000 798,868 ------------ Total Short-Term Investments (Cost $32,201,313)................................. 32,201,313 ------------ Total Investments (Cost $209,177,671) -- 105.52% (a) ................ 226,425,365 ------------ Liabilities, less cash and other assets --(5.52%) .. (11,852,198) ------------ Net Assets -- 100%.................................. $214,573,167 ============
See accompanying notes to schedule of investments. - -------------------------------------------------------------------------------- 9 U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $209,177,671; and net unrealized appreciation consisted of: Gross unrealized appreciation.............................. $18,141,919 Gross unrealized depreciation.............................. (894,225) ----------- Net unrealized appreciation.............................. $17,247,694 ===========
(b) Non-income producing security FRN: Floating Rate Note--The rate disclosed is that in effect at December 31, 1995. MTN: Medium Term Note FUTURES CONTRACTS (NOTE 4) INDEX FUTURES CONTRACTS: The U.S. Balanced Fund had the following open index futures contract as of December 31, 1995:
SETTLEMENT CURRENT UNREALIZED DATE COST VALUE (LOSS) ---------- -------- -------- ---------- INDEX FUTURES BUY CONTRACTS Standard & Poors 500, 2 contracts.................. March 1996 $625,300 $618,450 $(6,850) =======
The segregated cash pledged to cover margin requirements for the open position at December 31, 1995 was $30,000. See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 10 U.S. BALANCED FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $209,177,671) (Note 1)............... $226,425,365 Cash............................................................. 200,986 Receivables: Investment securities sold...................................... 804,060 Dividends....................................................... 130,699 Interest........................................................ 1,288,509 Fund shares sold................................................ 17,309 Due from Advisor (Note 2)....................................... 46,935 Deferred organization costs, net of amortization (Note 1)........ 11,240 Other assets..................................................... 46,125 ------------ TOTAL ASSETS.................................................. 228,971,228 ------------ LIABILITIES: Payables: Fund shares redeemed............................................ 3,516 Investment securities purchased................................. 14,185,918 Accrued expenses................................................ 208,627 ------------ TOTAL LIABILITIES............................................. 14,398,061 ------------ NET ASSETS........................................................ 214,573,167 ============ NET ASSETS CONSIST OF: Paid in capital (Note 6)......................................... $196,113,598 Accumulated undistributed net investment income.................. 3,527 Accumulated net realized gain.................................... 1,215,178 Net unrealized appreciation...................................... 17,240,864 ------------ NET ASSETS.................................................... $214,573,167 ============ OFFERING PRICE PER SHARE: Brinson Class: Net asset value, offering price and redemption price per share (Based on net assets of $214,352,075 and 18,619,851 shares is- sued and outstanding) (Note 6)................................. $ 11.51 ============ SwissKey Class: Net asset value, offering price and redemption price per share (Based on net assets of $221,092 and 19,251 shares issued and outstanding) (Note 6).......................................... $ 11.48 ============
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 11 U.S. BALANCED FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME Interest.......................................................... $ 3,742,835 Dividends......................................................... 893,648 ----------- TOTAL INCOME................................................... 4,636,483 ----------- EXPENSES: Advisory (Note 2)................................................. 660,274 Custodian......................................................... 76,000 Professional...................................................... 65,831 Registration...................................................... 62,845 Administration.................................................... 62,280 Amortization of organization costs (Note 1)....................... 1,406 Distribution (Note 5)............................................. 8 Other............................................................. 129,004 ----------- TOTAL EXPENSES................................................. 1,057,648 Expenses deferred by Advisor (Note 2).......................... (303,042) ----------- NET EXPENSES................................................... 754,606 ----------- NET INVESTMENT INCOME ......................................... 3,881,877 ----------- NET REALIZED AND UNREALIZED GAIN: Net realized gain on: Investments...................................................... 4,856,016 Futures contracts................................................ 90,260 ----------- Net realized gain.............................................. 4,946,276 ----------- Change in net unrealized appreciation on: Investments ..................................................... 9,587,848 Futures contracts................................................ (9,406) ----------- Change in net unrealized appreciation.......................... 9,578,442 ----------- Net realized and unrealized gain.................................. 14,524,718 ----------- Net increase in net assets resulting from operations.............. $18,406,595 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 12 U.S. BALANCED FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED DECEMBER 30, 1994* DECEMBER 31, 1995 THROUGH (UNAUDITED) JUNE 30, 1995 ----------------- ------------------ OPERATIONS: Net investment income.................... $ 3,881,877 $ 2,935,679 Net realized gain........................ 4,946,276 6,155,398 Change in net unrealized appreciation.... 9,578,442 7,662,424 ------------ ------------ Net increase in net assets resulting from operations.............................. 18,406,595 16,753,501 ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income: Brinson Class........................... (4,820,091) (1,993,463) SwissKey Class.......................... (477) -- Distributions from net realized gain: Brinson Class........................... (9,885,505) -- SwissKey Class.......................... (992) -- ------------ ------------ Total distributions to shareholders...... (14,707,065) (1,993,463) ------------ ------------ CAPITAL SHARE TRANSACTIONS: Shares sold.............................. 46,157,898 154,231,504 Shares issued on reinvestment of distri- butions................................. 14,703,089 1,991,226 Shares redeemed.......................... (7,711,178) (13,268,940) ------------ ------------ Net increase in net assets resulting from capital share transactions (Note 6)................................ 53,149,809 142,953,790 ------------ ------------ TOTAL INCREASE IN NET ASSETS.......... 56,849,339 157,713,828 ------------ ------------ NET ASSETS: Beginning of period...................... 157,723,828 10,000 ------------ ------------ End of period (including accumulated un- distributed net investment income of $3,527 and $942,216, respectively)...... $214,573,167 $157,723,828 ============ ============
* Commencement of investment operations See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 13 U.S. BALANCED FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
SIX MONTHS ENDED DECEMBER 30, 1994* DECEMBER 31, 1995 THROUGH BRINSON CLASS (UNAUDITED) JUNE 30, 1995 - ------------------------------------------------------------------------------- Net asset value, beginning of period...... $ 11.23 $ 10.00 -------- -------- Income from investment operations: Net investment income................... 0.21 0.23 Net realized and unrealized gain........ 0.92 1.16 -------- -------- Total income from investment opera- tions................................ 1.13 1.39 -------- -------- Less distributions: Distributions from net investment in- come................................... (0.28) (0.16) Distributions from net realized gain.... (0.57) -- -------- -------- Total distributions................... (0.85) (0.16) -------- -------- Net asset value, end of period............ $ 11.51 $ 11.23 ======== ======== Total return (non-annualized)............. 10.16% 13.91% Ratios/Supplemental data Net assets, end of period (in 000s)...... $214,352 $157,724 Ratio of expenses to average net assets: Before expense reimbursement............ 1.12%** 1.06%** After expense reimbursement............. 0.80%** 0.80%** Ratio of net investment income to average net assets: Before expense reimbursement............ 3.81%** 4.36%** After expense reimbursement............. 4.13%** 4.63%** Portfolio turnover rate.................. 130% 196%
*Commencement of investment operations **Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 14 U.S. BALANCED FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
JULY 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $11.38 ------ Income from investment operations: Net investment income....................................... 0.21 Net realized and unrealized gain on investments............. 0.74 ------ Total income from investment operations................... 0.95 ------ Less distributions: Distributions from net investment income.................... (0.28) Distributions from net realized gain........................ (0.57) ------ Total distributions....................................... (0.85) ------ Net asset value, end of period................................ $11.48 ====== Total return (non-annualized)................................. 8.41% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $ 221 Ratio of expenses to average net assets: Before expense reimbursement................................ 1.62%** After expense reimbursement................................. 1.30%** Ratio of net investment income to average net assets: Before expense reimbursement................................ 3.31%** After expense reimbursement................................. 3.63%** Portfolio turnover rate...................................... 130%
*Commencement of SwissKey Class distribution **Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 15 U.S. EQUITY FUND - -------------------------------------------------------------------------------- LOGO The U.S. Equity Fund is an actively managed portfolio of common stocks selected from the total universe of public, domestic issues. For the period July 31, 1995 to December 31, 1995, the SwissKey U.S. Equity Fund provided a total return of 13.35% compared to its benchmark, the Wilshire 5000 Index, return of 9.94%. The major factors affecting excess return in 1995 and the year's market conditions are discussed in the following paragraphs. The strong excess return of the U.S. Equity Fund in 1995 was attributable to a number of favorable industry positions. Industry consolidation was a common theme in many of these positions as strong excess cash flows plus management focus on strengthening market position and cutting costs catalyzed a wave of mergers, acquisitions, and divestitures across corporate America. One of the most favorable of these industry positions was the weighting in defense/aerospace. This group benefited from a number of positive factors in 1995, including a stabilization of the downtrend in defense budget appropriations, strong takeover activity among defense industry participants, and an upturn in commercial aircraft orders. Lockheed Martin, one of the larger portfolio positions, was a notable beneficiary of these trends, particularly as a result of the merger of Martin Marietta and Lockheed earlier in the year. This combination promises to produce a materially stronger, more profitable competitor. Other meaningful holdings in this industry were Boeing, which enjoyed a strong flow of new orders, especially from overseas, and Honeywell, which has a leading market position in avionics for both commercial and defense aircraft. An overweighting in bank stocks also added to results. Continued improvement in credit quality, lower interest rates, strong loan demand and heightened merger activity were all contributors to bank earnings and stock valuations in 1995. Bank holdings included Citicorp, Chase Manhattan, U.S. Bancorp, Comerica, BayBanks, State Street and Magna Group. Insurance was another industry that benefited from a confluence of favorable fundamental factors in 1995, including lower inflation and interest rates as well as reduced claims trends, particularly regarding environmental liabilities. In addition, many insurance company managements took action to refocus their companies on core strengths in recent years by eliminating less profitable lines of business. The U.S. Equity Fund was well represented in the insurance industry last year with important positions in Cigna, Aon, TransAmerica, Aetna, Old Republic, Allstate and USF&G. The consolidation theme was also evident in several other important individual stock contributors to portfolio results. Burlington Northern is particularly noteworthy in this regard, as the combination with Santa Fe Pacific promises to produce very large cost savings and other synergies. In addition, Kimberly Clark was a standout performer following the Scott Paper acquisition announcement, as the combined company promises to be a better positioned, more profitable, global entity. Finally, First Financial Management, a credit card transaction processing company, was acquired by First Data Corp. in a highly complementary merger. ------------------------------------------------------------ 16 U.S. EQUITY FUND - -------------------------------------------------------------------------------- LOGO TOTAL RETURN
Since Quarter Inception* - --------------------------------------------- SWISSKEY U.S. EQUITY FUND 7.24% 13.35% - --------------------------------------------- Wilshire 5000 Index 4.88 9.94 - ---------------------------------------------
*Inception date of the SwissKey U.S. Equity Fund. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000 This chart shows the growth in the value of an investment in the SwissKey U.S. Equity Fund 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 December 31, 1995. 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. SWISSKEY U.S. EQUITY FUND VS. WILSHIRE 5000 INDEX Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE]
SwissKey U.S. Wilshire Measurement Period Equity Fund 5000 - ------------------- ------------- -------- 7/31/95 $10,000 $10,000 8/31/95 $10,184 $10,097 9/30/95 $10,569 $10,482 10/31/95 $10,527 $10,377 11/30/95 $11,122 $10,817 12/31/95 $11,334 $10,993
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. ------------------------------------------------------------- 17 U.S. EQUITY FUND - -------------------------------------------------------------------------------- LOGO INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - ------------------------------------------------------------------------------- U.S. EQUITIES Basic Industries Chemicals.............................................................. 0.76% Housing/Paper.......................................................... 3.18 Metals................................................................. 1.38 ------ 5.32 Capital Investments Capital Goods.......................................................... 8.66 Technology............................................................. 5.42 ------ 14.08 Consumer Autos/Durables......................................................... 1.01 Discretionary.......................................................... 5.19 Health: Drugs.......................................................... 9.23 Health: Non-Drugs...................................................... 2.99 Non-Durables........................................................... 9.64 Retail/Apparel......................................................... 5.97 ------ 34.03 Energy.................................................................. 5.87% Financial Banks.................................................................. 7.69 Non-Banks.............................................................. 9.43 ------ 17.12 Services................................................................ 7.62 Transportation.......................................................... 4.17 Utilities............................................................... 6.22 Miscellaneous........................................................... 2.21 ------ Total U.S. Equities.................................................. 96.64 ------ SHORT-TERM INVESTMENTS.................................................. 3.31 ------ TOTAL INVESTMENTS.................................................... 99.95 CASH AND OTHER ASSETS, LESS LIABILITIES ...................................................... 0.05 ------ NET ASSETS.............................................................. 100.00% ======
TOP TEN U.S. EQUITY HOLDINGS As of December 31, 1995 (Unaudited)
Percent of Net Assets - ----------------------------------------- 1. Citicorp 5.25% 2. Lockheed Martin Corp. 5.10 3. Burlington Northern, Inc. 4.14 4. Honeywell, Inc. 3.92 5. Avon Products, Inc. 3.18 6. Schering Plough Corp. 2.95 7. Kimberly-Clark Corp. 2.84 8. AON Corp. 2.84 9. Enron Corp. 2.73 10. Sprint Corp. 2.69 - -----------------------------------------
- --------------- ------------------------------------------------------------ 18 U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
SHARES VALUE ---------- ----------- U.S. EQUITIES -- 96.64% Aetna Life & Casualty Co................................. 26,300 $ 1,821,275 Air & Water Technologies Corp. Class A (b)............... 3,700 22,662 Allergan, Inc............................................ 44,000 1,430,000 Alza Corp. (b)........................................... 35,100 868,725 American Mobile Satellite Corp., Inc. (b)................ 6,400 196,000 Aon Corp................................................. 53,500 2,668,312 AST Research Corp. (b)................................... 5,159 43,851 Automatic Data Processing, Inc........................... 25,200 1,871,100 Avon Products, Inc....................................... 39,700 2,992,387 Bard (C.R.), Inc......................................... 26,600 857,850 Beckman Instruments, Inc................................. 17,200 608,450 Biogen, Inc. (b)......................................... 4,000 246,000 Birmingham Steel Corp.................................... 17,100 254,362 Boeing Co................................................ 15,500 1,214,812 Boston Technology, Inc. (b).............................. 10,500 133,885 Brinker International, Inc. (b).......................... 12,600 190,575 Burlington Northern Santa Fe............................. 49,900 3,892,200 Campbell Soup Co......................................... 13,500 810,000 Centerior Energy Co...................................... 7,300 64,787 CIGNA Corp............................................... 21,200 2,188,900 Citicorp................................................. 73,500 4,942,875 CMS Energy Corp.......................................... 47,000 1,404,125 Coca-Cola Enterprises, Inc............................... 53,600 1,433,800 Comerica, Inc............................................ 11,800 473,475 Computer Sciences Corp. (b).............................. 2,100 147,525 Comverse Technology, Inc. (b)............................ 7,000 140,000 Cooper Cameron Corp. (b)................................. 14,629 519,329 Cooper Industries, Inc................................... 10,076 370,293 Dial Corp................................................ 41,300 1,223,512 Enron Corp............................................... 67,300 2,565,812 Entergy Corp............................................. 47,200 1,380,600 Federated Department Stores (b).......................... 56,900 1,564,750 First Data Corp.......................................... 25,916 1,733,119 Food Lion, Inc. Class A.................................. 69,200 395,734 Ford Motor Co............................................ 44,400 1,287,600 Forest Laboratories, Inc. (b)............................ 29,300 1,325,825 Gannett Co., Inc......................................... 15,700 963,587 Genzyme Corp. (b)........................................ 5,700 355,537 Goodyear Tire & Rubber Co................................ 31,300 1,420,237 Health Care & Retirement Corp. (b)....................... 12,000 420,000 Hillenbrand Industries, Inc.............................. 500 16,937 Honeywell, Inc........................................... 75,900 3,690,637 Illinova Corp. .......................................... 8,800 264,000 Inland Steel Industries, Inc............................. 25,400 638,175 Interpublic Group of Companies, Inc...................... 17,200 746,050 Kimberly-Clark Corp...................................... 32,300 2,672,825 Kroger Co. (b)........................................... 24,900 933,750 Lockheed Martin Corp..................................... 60,800 4,803,200 LTV Corp................................................. 25,200 346,500 Lyondell Petrochemical Co................................ 46,800 1,070,550 Magna Group, Inc......................................... 8,700 206,625 Manor Care, Inc.......................................... 28,000 980,000 Mattel, Inc.............................................. 70,000 2,152,500 Melville Corp............................................ 39,800 1,223,850
SHARES VALUE ---------- ----------- National Semiconductor Corp. (b)........................ 18,300 $ 407,175 Nextel Communications, Inc. Class A (b)................. 56,100 827,475 Octel Communications Corp. (b).......................... 4,700 151,575 Old Republic International Corp......................... 16,600 589,300 Owens Illinois, Inc. (b)................................ 48,900 709,050 Pentair, Inc............................................ 10,100 502,475 Pfizer, Inc............................................. 27,100 1,707,300 Philip Morris Companies, Inc............................ 12,700 1,149,350 Raychem Corp............................................ 14,900 847,438 RJR Nabisco Convertible Preferred "C"................... 139,900 891,862 RJR Nabisco Holdings Corp. (b).......................... 41,840 1,291,810 Schering Plough Corp.................................... 50,700 2,775,825 Schlumberger Ltd........................................ 18,300 1,267,275 Schweitzer-Meuduit International, Inc. (b).............. 3,230 74,693 Seagate Technology, Inc. (b)............................ 17,900 850,250 Sprint Corp............................................. 63,400 2,528,075 State Street Boston Corp................................ 12,600 567,000 Timken Co............................................... 12,000 459,000 Tosco Corp.............................................. 7,600 289,750 Transamerica Corp....................................... 22,100 1,610,537 Ultramar Corp........................................... 18,600 478,950 US Bancorp.............................................. 29,200 981,850 USF&G Corp.............................................. 40,000 675,000 Walgreen Co............................................. 38,100 1,138,237 Westvaco Corp........................................... 11,500 319,125 WMX Technologies, Inc................................... 54,500 1,628,188 ----------- Total U.S. Equities (Cost $77,802,162).................. 90,908,032 ----------- FACE AMOUNT VALUE ---------- ----------- SHORT-TERM INVESTMENTS -- 3.31% COMMERCIAL PAPER -- 3.31% Baxter International, Inc. 6.050%, due 01/02/96................................... $1,000,000 $ 999,832 Crown Cork & Seal Co., Inc. 6.060%, due 01/09/96................................... 700,000 699,057 General American Transportation Corp. 6.200%, due 01/18/96................................... 400,000 398,829 Nabisco Holdings Corp. 5.850%, due 01/03/96................................... 700,000 699,772 Whitman Corp. 5.959%, due 01/02/96................................... 311,000 310,949 ----------- Total Short-Term Investments (Cost $3,108,439)...................................... 3,108,439 ----------- Total Investments (Cost $80,910,601) -- 99.95% (a)....................... 94,016,471 ----------- Cash and other assets, less liabilities -- 0.05%.............................. 50,366 ----------- Net Assets -- 100%...................................... $94,066,837 ===========
See accompanying notes to schedule of investments. - -------------------------------------------------------------------------------- 19 U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS (a) Aggregate cost for federal income tax purposes was $80,910,601; and net unrealized appreciation consisted of: Gross unrealized appreciation............................. $14,060,570 Gross unrealized depreciation............................. (954,700) ----------- Net unrealized appreciation.............................. $13,105,870 ===========
(b) Non-income producing security FUTURES CONTRACTS (NOTE 4) INDEX FUTURES CONTRACTS: The U.S. Equity Fund had the following open index futures contracts as of December 31, 1995:
SETTLEMENT CURRENT UNREALIZED DATE COST/PROCEEDS VALUE (LOSS) ---------- ------------- ---------- ---------- INDEX FUTURES BUY CON- TRACTS Standard & Poor's 500, 10 contracts................ March 1996 $3,129,000 $3,092,250 $(36,750) INDEX FUTURE SELL CONTRACT Standard & Poor's 500, 1 contract.................. March 1996 308,700 309,225 (525) -------- $(37,275) ========
The segregated cash pledged to cover margin requirements for the open positions at December 31, 1995 was $100,000. See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 20 U.S. EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $80,910,601) (Note 1) ............... $94,016,471 Cash............................................................. 291,716 Receivables: Investment securities sold...................................... 376,554 Dividends....................................................... 139,939 Fund shares sold................................................ 1,833 Due from Advisor (Note 2)....................................... 74,339 Deferred organization costs, net of amortization (Note 1)........ 8,586 Other assets..................................................... 48,975 ----------- TOTAL ASSETS.................................................. 94,958,413 ----------- LIABILITIES: Payables: Investment securities purchased................................. 599,616 Fund shares redeemed............................................ 122,463 Accrued expenses................................................ 169,497 ----------- TOTAL LIABILITIES............................................. 891,576 ----------- NET ASSETS........................................................ $94,066,837 =========== NET ASSETS CONSIST OF: Paid in capital (Note 6)......................................... $80,059,249 Accumulated distributions in excess of net investment income..... (4,423) Accumulated net realized gain.................................... 943,416 Net unrealized appreciation...................................... 13,068,595 ----------- NET ASSETS.................................................... $94,066,837 =========== OFFERING PRICE PER SHARE: Brinson Class: Net asset value, offering price and redemption price per share (Based on net assets of $93,927,856 and 7,130,115 shares issued and outstanding) (Note 6)...................................... $ 13.17 =========== SwissKey Class: Net asset value, offering price and redemption price per share (Based on net assets of $138,981 and 10,537 shares issued and outstanding) (Note 6).......................................... $ 13.19 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 21 U.S. EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME: Dividends......................................................... $ 783,884 Interest.......................................................... 98,066 ----------- TOTAL INCOME................................................... 881,950 ----------- EXPENSES: Advisory (Note 2)................................................. 254,154 Custodian......................................................... 52,000 Professional...................................................... 38,786 Registration...................................................... 31,899 Accounting........................................................ 30,818 Amortization of organization costs (Note 1)....................... 1,404 Distribution (Note 5)............................................. 208 Other............................................................. 81,171 ----------- TOTAL EXPENSES................................................. 490,440 Expenses deferred and reimbursed by Advisor (Note 2)........... (199,769) ----------- NET EXPENSES................................................... 290,671 ----------- NET INVESTMENT INCOME.......................................... 591,279 ----------- NET REALIZED AND UNREALIZED GAIN: Net realized gain on: Investments...................................................... 1,902,847 Futures contracts................................................ 319,925 ----------- Net realized gain ............................................. 2,222,772 ----------- Change in net unrealized appreciation or depreciation on: Investments ..................................................... 8,867,673 Futures contracts ............................................... (59,100) ----------- Change in net unrealized appreciation or depreciation.......... 8,808,573 ----------- Net realized and unrealized gain ................................. 11,031,345 ----------- Net increase in net assets resulting from operations.............. $11,622,624 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 22 U.S. EQUITY FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR DECEMBER 31, 1995 ENDED (UNAUDITED) JUNE 30, 1995 ----------------- ------------- OPERATIONS: Net investment income......................... $ 591,279 $ 440,023 Net realized gain ............................ 2,222,772 552,822 Change in net unrealized appreciation or de- preciation .................................. 8,808,573 4,476,351 ----------- ----------- Net increase in net assets resulting from op- erations..................................... 11,622,624 5,469,196 ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income...... (725,167) (318,699) Distributions in excess of net investment in- come......................................... (4,423) -- Distributions from net realized gain.......... (1,766,825) (47,930) ----------- ----------- Total distributions to shareholders*.......... (2,496,415) (366,629) ----------- ----------- CAPITAL SHARE TRANSACTIONS: Shares sold................................... 41,500,740 30,972,427 Shares issued on reinvestment of distribu- tions........................................ 2,459,602 349,100 Shares redeemed............................... (1,593,175) (2,050,830) ----------- ----------- Net increase in net assets resulting from cap- ital share transactions (Note 6)............. 42,367,167 29,270,697 ----------- ----------- TOTAL INCREASE IN NET ASSETS............... 51,493,376 34,373,264 ----------- ----------- NET ASSETS: Beginning of period........................... 42,573,461 8,200,197 ----------- ----------- End of period (including accumulated undis- tributed net investment income of ($4,423) and $133,889, respectively).................. $94,066,837 $42,573,461 =========== =========== *DISTRIBUTIONS BY CLASS: Distributions from and in excess of net in- vestment income: Brinson Class............................... $ (728,627) $ (318,699) SwissKey Class.............................. (963) -- Distributions from net realized gain: Brinson Class............................... (1,764,214) (47,930) SwissKey Class.............................. (2,611) -- ----------- ----------- $(2,496,415) $ (366,629) =========== ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 23 U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout each period presented.
SIX MONTHS ENDED YEAR FEBRUARY 22, 1994* DECEMBER 31, 1995 ENDED THROUGH BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994 - ------------------------------------------------------------------------------- Net asset value, beginning of period.................. $ 11.53 $ 9.65 $10.00 ------- ------- ------ Income from investment op- erations: Net investment income...... 0.07 0.16 0.05 Net realized and unrealized gain (loss)............... 1.93 1.89 (0.36) ------- ------- ------ Total income (loss) from investment operations.. 2.00 2.05 (0.31) ------- ------- ------ Less distributions: Distributions from and in excess of net investment income.................... (0.11) (0.14) (0.04) Distributions from net re- alized gain............... (0.25) (0.03) -- ------- ------- ------ Total distributions..... (0.36) (0.17) (0.04) ------- ------- ------ Net asset value, end of pe- riod....................... $ 13.17 $ 11.53 $ 9.65 ======= ======= ====== Total return (non- annualized)................ 17.39% 21.45% (3.10%) Ratios/Supplemental data Net assets, end of period (in 000s)................. $93,928 $42,573 $8,200 Ratio of expenses to aver- age net assets: Before expense reimburse- ment..................... 1.35%** 1.70% 5.40% ** After expense reimburse- ment..................... 0.80%** 0.80% 0.80% ** Ratio of net investment in- come to average net as- sets: Before expense reimburse- ment..................... 1.08%** 1.09% (2.82%)** After expense reimburse- ment..................... 1.63%** 1.99% 1.78% ** Portfolio turnover rate.... 17% 33% 9%
*Commencement of investment operations **Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 24 U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
JULY 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $11.94 ------ Income from investment operations: Net investment income....................................... 0.03 Net realized and unrealized gain on investments............. 1.56 ------ Total income from investment operations................... 1.59 ------ Less distributions: Distributions from and in excess of net investment income... (0.09) Distributions from net realized gain........................ (0.25) ------ Total distributions....................................... (0.34) ------ Net asset value, end of period................................ $13.19 ====== Total return (non-annualized)................................. 13.35% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $ 139 Ratio of expenses to average net assets: Before expense reimbursement................................ 1.87%** After expense reimbursement................................. 1.32%** Ratio of net investment income to average net assets: Before expense reimbursement................................ 0.56%** After expense reimbursement................................. 1.11%** Portfolio turnover rate...................................... 17%
*Commencement of Swisskey Class distribution **Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 25 U.S. BOND FUND - -------------------------------------------------------------------------------- LOGO The U.S. Bond Fund is an actively managed portfolio of debt securities selected from a wide range of maturities and market sectors. The SwissKey U.S. Bond Fund produced a return of 5.29% since its inception on August 31, 1995 compared to the Salomon Brothers Broad Investment Grade (BIG) Bond Index return of 5.32%. Below is a dicussion of the 1995 U.S. Bond market activity, as well as our outlook for 1996. At the beginning of 1995, the U.S. economy was coming off a period of above trend real economic growth. The most recent changes in Federal Reserve policy were to raise short-term interest rates. Bond markets were priced to reflect the risk of an acceleration of inflation in a potentially overheated economy. These expectations were reinforced when the Federal Reserve increased its target rate on overnight funds from 5.5% to 6.0% at the end of January 1995. The lagged impact of a restrictive monetary policy was reinforced by a less expansive fiscal policy as reported federal deficits declined. This was complemented by events in Mexico and elsewhere that dampened U.S. export demand. A growing political consensus to move toward a federal budget balance met a favorable response in the bond market. Over the course of the year, growth of real economic activity slowed, inflation remained stable, and bond prices shifted from discounting further Fed tightening to expecting Fed ease. Responding to an improved inflation outlook, the Federal Reserve cut its overnight target rates in 25 basis point increments both in July and December. Yields on intermediate-maturity fixed income securities fell by over 250 basis points over the year as the front of the yield curve shifted from a steep positive slope at the beginning of the year to a flat to mildly inverted shape at year-end. Long-term yields fell about 190 basis points. Corporate bonds provided the best sector returns as credit risk premiums generally narrowed. Mortgage backed securities lagged in performance as the large absolute decline in intermediate yields gave homeowners added incentives to refinance outstanding higher coupon mortgages. Our investment strategies early in 1996 involve near neutral duration and yield curve exposures within the U.S. Bond Fund. Intermediate and long-term interest rates are within the range of our estimates of fair value. Short-term rates remain above fair value, and we expect them to decline as Federal Reserve policy shifts produce further reductions in overnight funds rates. Unlike the prior two years, when large interest rate shifts first produced negative returns followed by large positive returns, in 1996 we expect relative stability in U.S. interest rates, which would result in total returns comparable to the current yields available to fixed income investors. ------------------------------------------------------------ 26 U.S. BOND FUND - -------------------------------------------------------------------------------- LOGO TOTAL RETURN
Since Quarter Inception* - ---------------------------------------------------------------------------- SWISSKEY U.S. BOND FUND 4.46% 5.29% - ---------------------------------------------------------------------------- Salomon Brothers Broad Investment Grade (BIG) Bond Index 4.34% 5.32% - ----------------------------------------------------------------------------
*Inception date of the SwissKey U.S. Bond Fund is August 31, 1995. Total return includes reinvestment of all capital gain and income distributions. ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000 This chart shows the growth in the value of an investment in the SwissKey U.S. Bond Fund and the Salomon Brothers 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 December 31, 1995. 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. SWISSKEY U.S. BOND FUND VS. SALOMON BROTHERS BIG BOND INDEX Wealth Value with Dividends Reinvested [GRAPH APPEARS HERE]
SwissKey U.S. Salomon Brothers Measurement Period Bond Fund BIG Bond Index - ------------------- ------------- ---------------- 8/31/95 $10,000 $10,000 9/30/95 $10,080 $10,094 10/31/95 $10,230 $10,229 11/30/95 $10,390 $10,389 12/31/95 $10,529 $10,532
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. ------------------------------------------------------------- 27 U.S. BOND FUND - -------------------------------------------------------------------------------- LOGO INDUSTRY DIVERSIFICATION As a Percentage of Net Assets As of December 31, 1995 (Unaudited) - -------------------------------------------------------------------------------- U.S. BONDS Corporate Bonds Asset-backed........................................................... 3.78% CMO.................................................................... 2.73 Consumer............................................................... 2.77 Financial.............................................................. 10.88 Floating Rate.......................................................... 2.62 Industrial............................................................. 6.19 Telecommunications..................................................... 2.80 Yankee................................................................. 1.12 ------ Total U.S. Corporate Bonds........................................... 32.89 U.S. Government Agencies................................................ 27.54 U.S. Government Obligations............................................. 28.94 International Dollar Bonds.............................................. 5.08 ------ Total U.S. Bonds..................................................... 94.45 ------ SHORT-TERM INVESTMENTS.................................................. 12.44 ------ TOTAL INVESTMENTS.................................................... 106.89 LIABILITIES, LESS CASH AND OTHER ASSETS.................................................. (6.89) ------ NET ASSETS.............................................................. 100.00% ======
------------------------------------------------------------ - --------------- 28 U.S. BOND FUND -- SCHEDULE OF INVESTMENTS December 31, 1995 (Unaudited) - --------------------------------------------------------------------------------
FACE AMOUNT VALUE -------- ---------- BONDS -- 94.45% U.S. CORPORATE BONDS 32.89% Capital One Bank 8.625%, due 01/15/97...................................... $250,000 $ 257,353 Citicorp Mortgage Securities 5.750%, due 06/25/09...................................... 84,462 75,898 Countrywide Funding FRN 6.480%, due 12/01/03...................................... 250,000 238,413 Dayton Hudson Credit Card Trust 95-1A 6.100%, due 02/25/02...................................... 100,000 101,605 GMAC MTN 7.450%, due 06/05/97...................................... 250,000 256,280 Green Tree Financial 94-2 8.300%, due 05/15/19...................................... 160,000 176,950 Hanson PLC Notes 6.750%, due 09/15/05...................................... 100,000 103,509 IBM Corp. 7.000%, due 10/30/25...................................... 325,000 334,482 Lehman Brothers Holdings, Inc. MTN 6.650%, due 07/14/98...................................... 250,000 253,535 News America Corp. 7.750%, due 01/20/24...................................... 250,000 259,331 Republic Bank of New York Corp. FRN 6.025%, due 12/29/02...................................... 250,000 242,500 RJR Nabisco, Inc. 8.750%, due 04/15/04...................................... 250,000 256,590 Standard Credit Card Trust 94-1A 4.650%, due 02/07/97...................................... 250,000 247,920 USX Corp. 9.800%, due 07/01/01...................................... 130,000 149,997 8.500%, due 03/01/23...................................... 30,000 87,809 ---------- 3,042,172 ---------- INTERNATIONAL DOLLAR BONDS -- 5.08% Republic of Italy 6.875%, due 09/27/23...................................... 250,000 244,375 Standard Credit Card Trust 91-3 8.875%, due 09/07/99...................................... 210,000 225,292 ---------- 469,667 ---------- U.S. GOVERNMENT AGENCIES -- 27.54% Federal Home Loan Mortgage Corp. 7.000%, due 12/15/06...................................... 220,000 225,353 7.000%, due 10/15/21...................................... 60,000 60,923 7.500%, due 07/15/22...................................... 250,000 262,428 Federal National Mortgage Association 6.500%, due 09/01/24...................................... 220,000 217,388 7.000%, due 09/01/24...................................... 245,000 246,914 7.500%, due 05/01/25...................................... 232,592 238,262 Federal National Mortgage Association Dwarf 7.000%, due 12/01/09...................................... 250,000 254,531 Government National Mortgage Association 9.000%, due 12/15/09...................................... 72,145 76,400 9.000%, due 12/15/17...................................... 214,071 227,904 7.500%, due 12/15/22...................................... 463,088 476,740 8.000%, due 09/15/24...................................... 100,000 104,125 Government National Mortgage Association ARM 5.500%, due 10/20/25.................................................. 156,576 156,623 ---------- 2,547,591 ----------
FACE AMOUNT VALUE -------- ---------- U.S. GOVERNMENT OBLIGATIONS -- 28.94% U.S. Treasury Coupon Strips 0.000%, due 11/15/19...................................... $480,000 $ 108,960 U.S. Treasury Notes and Bonds 6.625%, due 03/31/97...................................... 835,000 849,352 5.500%, due 11/15/98...................................... 350,000 352,515 6.250%, due 08/31/00...................................... 185,000 191,475 7.250%, due 05/15/04...................................... 740,000 823,250 8.125%, due 05/15/21...................................... 250,000 316,406 U.S. Treasury Principal Strips 0.000%, due 05/15/20...................................... 155,000 34,351 ---------- 2,676,309 ---------- Total U.S. Bonds (Cost $8,554,756)......................... 8,735,739 ---------- SHORT-TERM INVESTMENTS -- 12.44% COMMERCIAL PAPER -- 12.44% Baxter International, Inc. 6.050%, due 01/02/96...................................... 451,000 450,924 General American Transportation Corp. 6.200%, due 01/18/96...................................... 200,000 199,415 Whitman Corp. 5.950%, due 01/02/96...................................... 500,000 499,917 ---------- Total Short-Term Investments (Cost $1,150,256)......................................... 1,150,256 ---------- Total Investments (Cost $9,705,012) -- 106.89%.............................. 9,885,995 ---------- Liabilities, less cash and other assets --(6.89%) (a)...... (636,965) ---------- Net Assets -- 100%......................................... $9,249,030 ==========
(a) Aggregate cost for federal income tax purposes was $9,705,012; and net unrealized appreciation consisted of: Gross unrealized appreciation......... $181,935 Gross unrealized depreciation......... (952) -------- Net unrealized appreciation.......... $180,983 ========
FRN: Floating Rate Note -- The rate disclosed is that in effect at December 31, 1995. MTN:Medium Term Note - -------------------------------------------------------------------------------- 29 U.S. BOND FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1995 (UNAUDITED) ASSETS: Investments, at value (Cost $9,705,012) (Note 1)................. $ 9,885,995 Cash............................................................. 40,223 Receivables: Investment securities sold...................................... 253,203 Interest........................................................ 117,792 Due from Advisor (Note 2)....................................... 99,086 Deferred organization costs, net of amortization (Note 1)........ 13,004 Other assets..................................................... 15,935 ----------- TOTAL ASSETS.................................................. 10,425,238 ----------- LIABILITIES: Payables: Investment securities purchased................................. 1,071,068 Accrued expenses................................................ 105,140 ----------- TOTAL LIABILITIES............................................. 1,176,208 ----------- NET ASSETS........................................................ $ 9,249,030 =========== NET ASSETS CONSIST OF: Paid in capital (Note 6)......................................... $ 8,985,395 Accumulated distributions in excess of net investment income..... (7,907) Accumulated net realized gain on investments..................... 90,559 Net unrealized appreciation on investments....................... 180,983 ----------- NET ASSETS.................................................... $ 9,249,030 =========== OFFERING PRICE PER SHARE: Brinson Class Net asset value, offering price and redemption price per share (Based on net assets of $9,074,299 and 880,184 shares issued and outstanding) (Note 6)...................................... $ 10.31 =========== SwissKey Class Net asset value, offering price and redemption price per share (Based on net assets of $174,731 and 16,961 shares issued and outstanding) (Note 6).......................................... $ 10.30 ===========
See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 30 U.S. BOND FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE PERIOD AUGUST 31, 1995* TO DECEMBER 31, 1995 (UNAUDITED) INVESTMENT INCOME: Interest............................................................ $ 190,503 --------- TOTAL INCOME..................................................... 190,503 --------- EXPENSES: Professional........................................................ 28,675 Custodian........................................................... 21,000 Registration........................................................ 17,605 Transfer Agent...................................................... 16,060 Advisory (Note 2)................................................... 14,076 Accounting.......................................................... 13,585 Printing............................................................ 11,358 Amortization of organization costs (Note 1)......................... 932 Distribution (Note 5)............................................... 89 Other expenses...................................................... 6,897 --------- TOTAL EXPENSES................................................... 130,277 Expenses deferred by Advisor (Note 2)............................ (113,298) --------- NET EXPENSES..................................................... 16,979 --------- NET INVESTMENT INCOME ........................................... 173,524 --------- NET REALIZED AND UNREALIZED GAIN: Net realized gain on investments.................................... 113,897 Change in net unrealized appreciation............................... 180,983 --------- Net realized and unrealized gain.................................... 294,880 --------- Net increase in net assets resulting from operations................ $ 468,404 =========
*Commencement of investment operations See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 31 U.S. BOND FUND -- FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIOD AUGUST 31, 1995* TO DECEMBER 31, 1995 (UNAUDITED) OPERATIONS: Net investment income............................................. $ 173,524 Net realized gain on investments.................................. 113,897 Change in net unrealized appreciation............................. 180,983 ---------- Net increase in net assets resulting from operations.............. 468,404 ---------- DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income.......................... (173,523) Distributions in excess of net investment income.................. (7,907) Distributions from net realized gain.............................. (23,339) ---------- Total distributions to shareholders*.............................. (204,769) ---------- CAPITAL SHARE TRANSACTIONS: Shares sold....................................................... 8,861,181 Shares issued on reinvestment of distributions.................... 204,769 Shares redeemed................................................... (131,555) ---------- Net increase in net assets resulting from capital share transac- tions (Note 6)................................................... 8,934,395 ---------- TOTAL INCREASE IN NET ASSETS................................... 9,198,030 ---------- NET ASSETS: Beginning of period............................................... 51,000 ---------- End of period (including distributions in excess of net investment income of $7,907)................................................ $9,249,030 ========== *DISTRIBUTION BY CLASS: Distributions from and in excess of net investment income: Brinson Class.................................................... $ (179,446) SwissKey Class................................................... (1,984) Distributions from net realized gain: Brinson Class.................................................... (23,071) SwissKey Class................................................... (268) ---------- $ (204,769) ==========
* Commencement of investment operations See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 32 U.S. BOND FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period.
AUGUST 31, 1995* THROUGH DECEMBER 31, 1995 BRINSON CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $10.00 ------ Income from investment operations: Net investment income....................................... 0.20 Net realized and unrealized gain............................ 0.35 ------ Total income from investment operations................... 0.55 ------ Less distributions: Distributions from and in excess of net investment income... (0.21) Distributions from net realized gain........................ (0.03) ------ Total distributions....................................... (0.24) ------ Net asset value, end of period................................ $10.31 ====== Total return (non-annualized)................................. 5.49% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $9,074 Ratio of expenses to average net assets: Before expense reimbursement................................ 4.69%** After expense reimbursement................................. 0.60%** Ratio of net investment income to average net assets: Before expense reimbursement................................ 2.17%** After expense reimbursement................................. 6.26%** Portfolio turnover rate...................................... 212%
*Commencement of investment operations **Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 33 U.S. BOND FUND -- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.
AUGUST 31, 1995* THROUGH DECEMBER 31, 1995 SWISSKEY CLASS (UNAUDITED) - -------------------------------------------------------------------------------- Net asset value, beginning of period.......................... $10.00 ------ Income from investment operations: Net investment income....................................... 0.20 Net realized and unrealized gain............................ 0.33 ------ Total income from investment operations................... 0.53 ------ Less distributions: Distributions from and in excess of net investment income... (0.20) Distributions from net realized gain........................ (0.03) ------ Total distributions....................................... (0.23) ------ Net asset value, end of period................................ $10.30 ====== Total return (non-annualized)................................. 5.29% Ratios/Supplemental data Net assets, end of period (in 000s).......................... $175 Ratio of expenses to average net assets: Before expense reimbursement................................ 5.16%** After expense reimbursement................................. 1.07%** Ratio of net investment income to average net assets: Before expense reimbursement................................ 1.70%** After expense reimbursement................................. 5.79%** Portfolio turnover rate...................................... 212%
*Commencement of investment operations **Annualized See accompanying notes to financial statements. - -------------------------------------------------------------------------------- 34 THE SWISSKEY 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 ten series: Global Fund, Global Equity Fund, Global Bond Fund, Short-Term Global Income Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Bond Fund, U.S. Cash Management Fund, Non-U.S. Equity Fund and Non-U.S. Bond Fund. Each Fund has outstanding two classes of shares, Brinson class and SwissKey class. There are an unlimited number of shares of each class with par value of $0.00 authorized. Each share represents an identical interest in the investments of the Funds and has the same rights. The following is a summary of significant accounting policies consistently followed by the U.S. Balanced Fund, U.S. Equity Fund and the U.S. Bond Fund (each a "Fund," collectively 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. 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. Fixed income/debt securities are valued using market quotations or independent services that use prices provided by market makers or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics. Short- term obligations with a maturity of 60 days or less are valued at amortized cost, which approximates market value. B.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. C.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. D.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 have met the requirements of the Code applicable to regulated investment companies for the period ended December 31, 1995, therefore, no federal income tax provision was required. E.ORGANIZATION COSTS: Organization costs are being amortized on a straight-line basis over five years from each Fund's respective commencement of operations. F.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Funds to distribute their respective net investment income on a semi-annual basis and 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. Differences in dividends per share between the classes are due to different class expenses. Amounts equal to 7.21% and 68.68% of the amount taxable as ordinary income qualify for the dividends received deduction available to corporate shareholders for the Brinson U.S. Balanced Fund and the Brinson U.S. Equity Fund, respectively. G.INCOME AND EXPENSE ALLOCATIONS: All income earned and expenses incurred by the Fund will be borne on a prorata basis by each of the classes except that the Brinson class will not incur any of the 12b-1 expenses. - -------------------------------------------------------------------------------- 35 THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- 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 the Fund's respective average daily net assets. The Advisor has agreed to waive its fees and reimburse each Fund to the extent total annualized expenses exceed a specified percentage of each Fund's respective average daily net assets. Investment advisory fees and other transactions with affiliates for the period ended December 31, 1995, were as follows:
BRINSON SWISSKEY CLASS CLASS ADVISORY EXPENSE EXPENSE ADVISORY FEES DEFERRED DUE FROM FEE CAP CAP FEES AND/OR REIMBURSED ADVISOR -------- ------- -------- -------- ----------------- -------- U.S. Balanced Fund...... 0.70% 0.80% 1.30% $660,274 $303,042 $46,935 U.S. Equity Fund........ 0.70 0.80 1.32 254,154 199,769 74,339 U.S. Bond Fund.......... 0.50 0.60 1.07 14,076 113,298 99,086
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 were $3,623, $2,451 and $3,942 for the U.S. Balanced Fund, U.S. Equity Fund, and U.S. Bond Fund, respectively. 3.INVESTMENT TRANSACTIONS Investment transactions for the period ended December 31, 1995, excluding short-term investments, were as follows:
PROCEEDS PURCHASES FROM SALES ------------ ------------ U.S. Balanced Fund.................................... $255,669,041 $220,420,733 U.S. Equity Fund...................................... 51,092,420 11,182,406 U.S. Bond Fund........................................ 26,005,847 17,524,350
4.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 and 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 in an amount (initial margin) based on the number of open contracts. 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 realized and unrealized gains and losses on these contracts. Futures contracts are valued at the settlement price established each day on the exchange on which they are traded. 5.DISTRIBUTION PLAN The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940 (the "Act"). The Plan governs payments made for the expenses incurred in the promotion and distribution of the SwissKey Class of shares. Annual fees under the Plan of 0.50%, 0.52% and 0.47% of the average daily net assets of the SwissKey Class of the U.S. Balanced Fund, U.S. Equity Fund and U.S. Bond Fund, respectively, are accrued daily. - -------------------------------------------------------------------------------- 36 THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- 6.CAPITAL TRANSACTIONS Capital stock transactions were as follows:
U.S. BALANCED FUND --------------------------------------------- SIX MONTHS ENDED DECEMBER 31, 1995 PERIOD ENDED (UNAUDITED) JUNE 30, 1995 --------------------- ----------------------- SHARES VALUE SHARES VALUE --------- ----------- ---------- ------------ Sales: Brinson Class................... 3,945,476 $45,936,887 15,121,050 $154,231,504 SwissKey Class.................. 19,216 221,011 -- -- --------- ----------- ---------- ------------ Total Sales....................... 3,964,692 $46,157,898 15,121,050 $154,231,504 ========= =========== ========== ============ Dividend Reinvestment: Brinson Class................... 1,291,889 $14,701,695 178,265 $ 1,991,226 SwissKey Class.................. 123 1,394 -- -- --------- ----------- ---------- ------------ Total Dividend Reinvestment....... 1,292,012 $14,703,089 178,265 $ 1,991,226 ========= =========== ========== ============ Redemptions: Brinson Class................... 657,649 $ 7,710,180 1,260,181 $ 13,268,940 SwissKey Class.................. 88 998 -- -- --------- ----------- ---------- ------------ Total Redemptions................. 657,737 $ 7,711,178 1,260,181 $ 13,268,940 ========= =========== ========== ============ U.S. EQUITY FUND --------------------------------------------- SIX MONTHS ENDED DECEMBER 31, 1995 PERIOD ENDED (UNAUDITED) JUNE 30, 1995 --------------------- ----------------------- SHARES VALUE SHARES VALUE --------- ----------- ---------- ------------ Sales: Brinson Class................... 3,374,176 $41,373,607 3,011,049 $ 30,972,427 SwissKey Class.................. 10,353 127,133 -- -- --------- ----------- ---------- ------------ Total Sales....................... 3,384,529 $41,500,740 3,011,049 $ 30,972,427 ========= =========== ========== ============ Dividend Reinvestment: Brinson Class................... 189,516 $ 2,456,129 33,507 $ 349,100 SwissKey Class.................. 268 3,473 -- -- --------- ----------- ---------- ------------ Total Dividend Reinvestment....... 189,784 $ 2,459,602 33,507 $ 349,100 ========= =========== ========== ============ Redemptions: Brinson Class................... 125,891 $ 1,592,171 202,160 $ 2,050,830 SwissKey Class.................. 84 1,004 -- -- --------- ----------- ---------- ------------ Total Redemptions................. 125,975 $ 1,593,175 202,160 $ 2,050,830 ========= =========== ========== ============ U.S. BOND FUND --------------------- PERIOD ENDED DECEMBER 31, 1995 (UNAUDITED) --------------------- SHARES VALUE --------- ----------- Sales: Brinson Class................... 867,973 $ 8,691,149 SwissKey Class.................. 16,640 170,032 --------- ----------- Total Sales....................... 884,613 $ 8,861,181 ========= =========== Dividend Reinvestment: Brinson Class................... 19,835 $ 202,518 SwissKey Class.................. 221 2,251 --------- ----------- Total Dividend Reinvestment....... 20,056 $ 204,769 ========= =========== Redemptions: Brinson Class................... 12,624 $ 131,555 SwissKey Class.................. -- -- --------- ----------- Total Redemptions................. 12,624 $ 131,555 ========= ===========
- -------------------------------------------------------------------------------- 37 DISTRIBUTED BY: FUND/PLAN BROKER SERVICES, INC. 2 W. ELM STREET CONSHOHOCKEN, PA 19428 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 Funds' objectives, policies, expenses and other information. - -------------------------------------------------------------------------------- LOGO 10 East 50th Street, New York, New York 10022 . Tel: (800) SWISSKEY -----END PRIVACY-ENHANCED MESSAGE-----