<PAGE>
Dear Shareholder:
As the eight years of economic expansion we have enjoyed continues, after a
brief deceleration in 2000, we expect further growth. Inflation has remained low
despite a rebound in commodity prices from the depressed levels seen earlier as
a result of the Asian crisis. Thus far, productivity gains have largely offset
increases in wages. Nevertheless, the Federal Reserve has begun pre-emptive
action to prevent possible future inflation in the form of three consecutive
increases in the federal funds rate which ultimately reached 5.5%. Higher rates
and a more restrictive monetary policy tend to make for more difficult financial
markets.
Over the past year, the best market opportunities have been in shares of large
growth companies, while small companies have largely been unaffected by higher
prices. Interest rates have seen a year-long increase, which has dampened the
returns on fixed income securities. The current price levels for small company
stocks and bonds will make their returns more competitive over the coming year.
We believe that current valuation levels for large companies are high, but could
go even higher if interest rates do not rise much from the current levels and
expected profit growth levels are achieved.
DLJ WINTHROP SMALL COMPANY VALUE FUND
The Class A shares of the Small Company Value Fund returned 5.47% for the fiscal
year ending October 31, 1999, versus 14.87% for the Russell 2000 Index. The gap
in performance between growth and value styles has never been wider. Small cap
growth stocks, led by technology and internet-related issues, have propelled the
Russell index higher, while the rest of the market languishes. Sticking to our
value orientation has made it very difficult to participate in an upswing that
is increasingly influenced by speculation and short term trading strategies.
We continue to believe that there is intrinsic value in our portfolio. Over the
last fiscal year, eleven of our companies became targets of takeover interest.
Unfortunately, these takeovers and our technology stocks have accounted for most
of our performance. Due mostly to the larger than usual takeover activity in the
portfolio, we also realized an exceptionally high capital gain for the fiscal
year.
During the last six months of the fiscal year we have continued our strategy of
investing in companies we think have the potential to grow their earnings at a
mid-teen rate but whose shares are available at 'value' prices. We have also
been rotating some of our technology-related holdings out of the manufacturing
sector and into service and software related companies. We have enjoyed recent
success with information technology service companies whose stocks we believe
were undervalued due to concern over declines in Y2K related revenues.
While it has been a difficult environment for value since the market bottomed
out in October 1998, we are confident that our companies will continue to grow,
and will remain attractive to potential acquirers. When the marketplace's
fascination with technology and 'new economy' issues fades, we think the
portfolio will be poised for strong performance.
DLJ WINTHROP GROWTH AND INCOME FUND
For the year ending October 31, 1999, the Growth and Income Fund Class A shares
returned 14.37% versus a 25.66% return for the S&P 500. Financial services and
consumer staples stocks, which in past years have been stalwarts for the Fund,
took a breather, and a disproportionate share of the gains in the portfolio came
from new additions in the areas of technology and telecommunications.
One of the largest holdings in the Fund is Freddie Mac, one of two publicly
traded companies with a government charter to securitize mortgages. Freddie Mac
has been a winning investment since it was first introduced in the Fund in 1991.
Over the years, it has consistently grown earnings in the high teens on an
annual basis. Nevertheless, the stock market has viewed Freddie Mac's business
as interest rate sensitive and has put pressure on the stock during periods of
rising rates while bidding the stock price much higher in periods of stable or
falling interest rates. Fortunately, because the earnings are higher each year,
when the stock market returns to Freddie Mac it drives the shares to the
all-time highs that are justified by their all time high earnings. During the
last twelve months, the shares of Freddie Mac have declined modestly despite a
rise in earnings of more than 20%. It is our opinion that Freddie Mac will snap
back smartly when the rise in interest rates has passed.
DLJ WINTHROP GROWTH FUND
For the twelve month period ending October 31, 1999, the Growth Fund Class A
shares returned 30.77% compared to a 25.66% return for the S&P 500. Investments
in the technology, telecommunications, media and retail sectors were among the
Fund's best performers. Among the Fund's more successful technology holdings
were Cisco Systems, Nortel Networks, Oracle and Scientific-Atlanta. In the
telecommunications group, Sprint, WorldCom, and MediaOne Group performed
especially well.
DLJ WINTHROP FIXED INCOME FUND
Domestic interest rates shifted dramatically higher during the past twelve
months. Chairman Greenspan and members of the FOMC, concerned about tight labor
markets and strong GDP growth, raised their targeted Fed Funds rate 3 times for
a total of 75 basis points, in effect taking back all the decreases of 1998.
Fixed income returns in the investment grade domestic market during this time
period were muted, reflecting concern over these adjustments and potential
future adjustments in monetary policy.
The Fund maintained a neutral to slightly short-term posture vs the Lehman
Government Corporate Intermediate Index throughout this time period. The Fund's
focus on higher yielding government agency paper in lieu of U.S. Treasury bonds
enhanced the Fund's yield. However, exposure to corporate securities hurt
returns as spreads widened under the pressure of supply and earnings concerns.
The Fund's return on Class A shares for the year ending 10/31/99 was just
slightly negative, closing the period at -.26% versus .99% for the Lehman
Brothers Government Corporate Intermediate Bond Index.
DLJ WINTHROP MUNICIPAL TRUST FUND
The interest rate environment shifted dramatically during the Fund's fiscal
year. At the beginning of the year, the Federal Reserve pursued an accommodating
monetary policy. As the Fund's fiscal year concluded, the Federal Reserve is in
the midst of a restrictive monetary policy due to a surging economy and fears of
imminent inflation. Interest rates responded by moving up in every sector of the
fixed income markets. Tax exempt rates increased approximately 95 basis points
in the intermediate sector of the curve. Supply in municipals has fallen off
dramatically this year, as municipalities are refunding issues in a higher rate
environment. Class A shares of the Fund returned -1.02% versus the Lipper
Intermediate Municipal Fund Index return of -1.23%. We shortened the average
maturity as the year progressed, which dramatically assisted performance, given
the fact that the Fund's heavy concentration in ten year maturities had a
negative impact on relative performance earlier this year. We will continue to
adopt a shorter average maturity, and are currently looking to lock in tax
losses to carry forward against future gains.
The Officers and Trustees wish to take this opportunity to convey their
gratitude for your support as well as their hopes for a joyous, healthy and
prosperous New Year.
Sincerely,
G. MOFFETT COCHRAN
G. Moffett Cochran
President
<PAGE>
FOCUS FUND HIGHLIGHTS (unaudited)
DLJ WINTHROP GROWTH FUND
PORTFOLIO CHANGES for the Year Ended October 31, 1999
<TABLE>
<CAPTION>
MAJOR PURCHASES MAJOR SALES
<S> <C>
American Express Co.(1) American Home Products Corp.(2)
American General Corp.(1) American International Group, Inc.
Chase Manhattan Corp.(1) BankAmerica Corp.(2)
Coca-Cola Company(1) Becton Dickinson & Co.(2)
General Electric Co.(1) BellSouth Corp.(2)
MediaOne Group, Inc.(1) Dayton Hudson Corp.
Pharmacia & Upjohn, Inc.(1) Freddie Mac
Phillips Petroleum Co.(1) MCI WorldCom, Inc.
Time Warner, Inc.(1) Raytheon Co. Cl. B(2)
Wal-Mart Stores, Inc.(1) Sara Lee Corp.(2)
(1) New Holdings (2) Deletions
</TABLE>
TEN LARGEST HOLDINGS October 31, 1999
<TABLE>
<CAPTION>
PERCENT
VALUE OF FUND
----------- --------
<S> <C> <C>
Microsoft Corp.............................................. $ 7,405,000 4.3%
General Electric Co......................................... 6,913,687 4.0
Cisco Systems, Inc.......................................... 5,994,000 3.5
Amgen, Inc.................................................. 5,199,700 3.0
Procter & Gamble Co......................................... 4,887,175 2.8
MCI WorldCom, Inc........................................... 4,719,688 2.7
Wal-Mart Stores, Inc........................................ 4,535,000 2.6
Sprint Corp. (FON Group).................................... 4,310,125 2.5
MediaOne Group, Inc......................................... 4,242,431 2.4
American Express Co......................................... 4,131,358 2.4
----------- ----
$52,338,164 30.2%
----------- ----
----------- ----
</TABLE>
INVESTMENT RESULTS For the Periods Ended October 31, 1999
[GRAPH]
<TABLE>
<CAPTION>
WITHOUT LOAD WITH LOAD S&P 500
------------ --------- -------
<S> <C> <C> <C>
10/89 10,000 9,425 10,000
10/90 8,895 8,383 9,252
10/91 11,537 10,874 12,353
10/92 12,075 11,380 13,582
10/93 13,808 13,014 15,611
10/94 14,381 13,554 16,213
10/95 16,137 15,209 20,498
10/96 19,416 18,300 25,440
10/97 24,558 23,146 33,611
10/98 29,715 28,006 41,005
10/99 38,859 36,625 51,527
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
DLJ WINTHROP
GROWTH FUND
-----------------
WITHOUT WITH
LOAD LOAD S&P 500
-------- ---- -------
<S> <C> <C> <C>
Class A:
1 year............... 30.77% 23.25% 25.66%
5 years.............. 21.99 20.56 26.01
10 years............. 14.54 13.86 17.81
Class B:
1 year............... 29.73 25.73 25.66
From inception
2/28/96........... 22.14 21.96 24.67
Class D:
From inception
5/17/99 4.83 N/A 2.36
</TABLE>
The performance data quoted represents past performance, which is no
indication of future performance. Investment return and principal value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than their original cost. No adjustment has been made for any income
taxes payable by shareholders on dividends or capital gains, but the returns
calculated above have been computed after deduction of all fund expenses
including advisory fees. Class A returns shown above are computed with and
without the imposition of the maximum 5.75% front-end sales load. Effective
February 28, 1996, the Fund began offering Class B shares which, instead of
a front-end sales load, are subject to a contingent deferred sales charge
(CDSC) ranging from 4% during the first year to 0% after 4 years.
Accordingly, returns on Class B shares will differ from those of Class A
shares and are referenced in the table above with and without the imposition
of the applicable CDSC. Class D shares are offered only to employees of DLJ
and its subsidiaries who are eligible to participate in the DLJ 410(k)
Retirement Savings Plan for Employees. Class D shares are not subject to any
sales charges or distribution fees.
The S&P 500 Composite Stock Price Index is a widely accepted, unmanaged
index of overall stock market performance, which does not take into account
charges, fees and other expenses.
<PAGE>
FOCUS FUND HIGHLIGHTS (unaudited)
DLJ WINTHROP GROWTH AND INCOME FUND
PORTFOLIO CHANGES for the Year Ended October 31, 1999
<TABLE>
<CAPTION>
MAJOR PURCHASES MAJOR SALES
<S> <C>
Alltel Corp.(1) 3Com Corp.(2)
Berkshire Hathaway, Inc. Cl. A(1) American International Group, Inc.
Cardinal Health, Inc.(1) Amgen, Inc.(2)
Gartner Group, Inc.(1) Hartford Financial Services, Inc.
Hewlett Packard Co.(1) Helmerich & Payne, Inc.(2)
Intel Corp.(1) MediaOne Group, Inc.
Loral Space & Communications Ltd.(1) MidAmerican Energy Co.(2)
MediaOne Group, Inc.(1) Monsanto Co.(2)
Oracle Corp.(1) Raytheon Co. Cl. A(2)
Sprint Corp. (FON Group)(1) Vodaphone Airtouch PLC(2)
(1) New Holdings (2) Deletions
</TABLE>
TEN LARGEST HOLDINGS October 31, 1999
<TABLE>
<CAPTION>
PERCENT
VALUE OF FUND
----------- --------
<S> <C> <C>
Freddie Mac................................................. $ 9,320,375 3.5%
Tyco International Ltd. .................................... 8,618,512 3.3
Merck & Co., Inc. .......................................... 8,481,363 3.2
SYSCO Corp. ................................................ 8,398,594 3.2
BP Amoco PLC Sponsored ADRs................................. 7,828,936 3.0
Cisco Systems, Inc. ........................................ 7,429,600 2.8
United Technologies Corp. .................................. 7,344,700 2.8
American International Group, Inc. ......................... 6,893,518 2.6
Comcast Corp. Special Cl. A................................. 6,849,525 2.6
U.S. Bancorp................................................ 6,496,908 2.5
----------- ----
$77,662,031 29.5%
----------- ----
----------- ----
</TABLE>
INVESTMENT RESULTS For the Periods Ended October 31, 1999
[GRAPH]
<TABLE>
<CAPTION>
WITHOUT LOAD WITH LOAD S&P 500
------------ --------- -------
<S> <C> <C> <C>
10/89 10,000 9,425 10,000
10/90 9,221 8,691 9,252
10/91 11,697 11,024 12,353
10/92 12,532 11,812 13,582
10/93 14,654 13,812 15,611
10/94 15,326 14,445 16,213
10/95 17,794 16,771 20,498
10/96 21,815 20,560 25,440
10/97 28,474 26,837 33,611
10/98 33,924 31,974 41,005
10/99 38,801 36,570 51,527
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------
DLJ WINTHROP
GROWTH AND
INCOME FUND
------------------
WITHOUT WITH
LOAD LOAD S&P 500
---------- ---- -------
<S> <C> <C> <C>
Class A:
1 year............... 14.37% 7.80% 25.66%
5 years.............. 20.42 19.00 26.01
10 years............. 14.52 13.84 17.81
Class B:
1 year............... 13.66 9.66 25.66
From inception
2/28/96........... 18.68 18.50 24.67
Class D:
From inception
4/30/99........... -0.67 N/A 2.73
</TABLE>
The performance data quoted represents past performance, which is no
indication of future performance. Investment return and principal value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than their original cost. No adjustment has been made for any income
taxes payable by shareholders on dividends or capital gains, but the returns
calculated above have been computed after deduction of all fund expenses
including advisory fees. Class A returns shown above are computed with and
without the imposition of the maximum 5.75% front-end sales load. Effective
February 28, 1996, the Fund began offering Class B shares which, instead of
a front-end sales load, are subject to a contingent deferred sales charge
(CDSC) ranging from 4% during the first year to 0% after 4 years.
Accordingly, returns on Class B shares will differ from those of Class A
shares and are referenced in the table above with and without the imposition
of the applicable CDSC. Class D shares are offered only to employees of DLJ
and its subsidiaries who are eligible to participate in the DLJ 410(k)
Retirement Savings Plan for Employees. Class D shares are not subject to any
sales charges or distribution fees.
The S&P 500 Composite Stock Price Index is a widely accepted, unmanaged
index of overall stock market performance, which does not take into account
charges, fees and other expenses.
<PAGE>
FOCUS FUND HIGHLIGHTS (unaudited)
DLJ WINTHROP SMALL COMPANY VALUE FUND
PORTFOLIO CHANGES for the Year Ended October 31, 1999
<TABLE>
<CAPTION>
MAJOR PURCHASES MAJOR SALES
<S> <C>
DII Group, Inc.(1) Hanna (M.A.) Co.
Highwoods Properties, Inc. Hannaford Brothers Co.(2)
ITT Educational Services, Inc.(1) KN Energy, Inc.(2)
Jones Pharma, Inc.(1) LeaRonal, Inc.(2)
Michael's Stores, Inc.(1) MidAmerican Energy Co.(2)
Premark International, Inc.(1) Sbarro, Inc.(2)
Progress Software Corp.(1) Teleflex, Inc.
Sovereign Bancorp, Inc.(1) Teradyne, Inc.
Tetra Tech, Inc.(1) Unitog Co.(2)
Washington Gas Light Co.(1) XL Capital Ltd.
(1) New Holdings (2) Deletions
</TABLE>
TEN LARGEST HOLDINGS October 31, 1999
<TABLE>
<CAPTION>
PERCENT
VALUE OF FUND
----------- --------
<S> <C> <C>
Dallas Semiconductor Corp................................... $ 5,475,375 2.6%
AmSouth Bancorporation...................................... 4,996,067 2.4
Protective Life Corp........................................ 4,783,987 2.3
FirstMerit Corp............................................. 4,758,750 2.3
Cambrex Corp................................................ 4,410,450 2.1
HSB Group, Inc.............................................. 4,396,838 2.1
National Fuel Gas Co........................................ 4,379,200 2.1
WICOR, Inc.................................................. 4,325,650 2.1
Ruddick Corp................................................ 4,226,381 2.0
Electro Scientific Industries, Inc.......................... 4,212,000 2.0
----------- ----
$45,964,698 22.0%
----------- ----
----------- ----
</TABLE>
INVESTMENT RESULTS For the Periods Ended October 31, 1999
[GRAPH]
<TABLE>
<CAPTION>
WITHOUT LOAD WITH LOAD RUSSELL 2000
------------ --------- ------------
<S> <C> <C> <C>
10/89 10,000 9,425 10,000
10/90 8,090 7,625 7,271
10/91 12,262 11,557 11,530
10/92 14,794 13,944 12,625
10/93 18,543 17,477 16,715
10/94 19,410 18,294 16,663
10/95 21,565 20,325 19,718
10/96 24,541 23,130 22,994
10/97 32,512 30,643 29,738
10/98 28,271 27,211 26,217
10/99 30,449 28,698 30,115
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
------------------------------
DLJ WINTHROP
SMALL COMPANY
VALUE FUND
---------------
WITHOUT WITH
LOAD LOAD RUSSELL 2000
------- ---- ------------
<S> <C> <C> <C>
Class A:
1 year............ 5.47% -0.60% 14.87%
5 years........... 9.42 8.14 12.56
10 years.......... 11.78 11.12 11.65
Class B:
1 year............ 4.75 0.75 14.87
From inception
2/28/96........ 6.88 6.65 9.27
</TABLE>
The performance data quoted represents past performance, which is no
indication of future performance. Investment return and principal value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than their original cost. No adjustment has been made for any income
taxes payable by shareholders on dividends or capital gains, but the returns
calculated above have been computed after deduction of all fund expenses
including advisory fees. Class A returns shown above are computed with and
without the imposition of the maximum 5.75% front-end sales load. Effective
February 28, 1996, the Fund began offering Class B shares which, instead of
a front-end sales load, are subject to a contingent deferred sales charge
(CDSC) ranging from 4% during the first year to 0% after 4 years.
Accordingly, returns on Class B shares will differ from those of Class A
shares and are referenced in the table above with and without the imposition
of the applicable CDSC.
The Russell 2000 Index is an unmanaged index and is composed of the 2,000
smallest companies in the Russell 3000 Index. The Russell 3000 Index is
composed of 3,000 of the largest U.S. companies by market capitalization.
The Index does not take into account charges, fees and other expenses.
<PAGE>
FOCUS FUND HIGHLIGHTS (unaudited)
DLJ WINTHROP FIXED INCOME FUND
PORTFOLIO CHANGES for the Year Ended October 31, 1999
<TABLE>
<CAPTION>
MAJOR PURCHASES MAJOR SALES
<S> <C>
Associates Corp. of North America(1) American General Finance Corp.
5.875%, 07/15/02 7.250%, 04/15/00
Federal Home Loan Mortgage Corp(1) Federal Home Loan Bank(2)
6.300%, 06/01/04 5.125%, 09/15/03
Federal National Mortgage Association(1) Fleet Credit Card Master Trust
5.625%, 05/14/04 6.050%, 08/01/03
Tyco International Group, Inc.(1) United States Treasury Notes(2)
6.125%, 06/15/01 6.250%, 02/28/02
United States Treasury Notes(1) United States Treasury Notes
6.250%, 02/15/03 5.875%, 11/15/05
(1) New Holdings (2) Deletions
</TABLE>
PORTFOLIO CHARACTERISTICS October 31, 1999
<TABLE>
<S> <C> <C> <C>
30 DAY YIELD, CLASS A: 5.29% AVERAGE YEARS TO MATURITY: 7.1 years*
30 DAY YIELD, CLASS B: 4.85% AVERAGE COUPON: 6.21%'D'*
30 DAY YIELD, CLASS D: 5.86% AVERAGE DURATION: 3.4 years*
AVERAGE RATING: AA*
</TABLE>
* Weighted Averages
'D' Exclusive of Commercial Paper
INVESTMENT RESULTS For the Periods Ended October 31, 1999
[GRAPH]
<TABLE>
<CAPTION>
LEHMAN BROS. GOV'T CORP.
WITHOUT LOAD WITH LOAD INTERMEDIATE BOND INDEX
------------ --------- ------------------------
<S> <C> <C> <C>
10/89 10,000 9,425 10,000
10/90 10,714 10,205 10,739
10/91 12,205 11,625 12,220
10/92 13,471 12,831 13,442
10/93 15,059 14,344 14,777
10/94 14,400 13,716 14,492
10/95 16,161 15,393 16,307
10/96 16,862 16,061 17,256
10/97 18,016 17,160 18,548
10/98 19,540 18,612 20,236
10/99 19,489 18,563 20,436
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
------------------------------
DLJ WINTHROP
FIXED INCOME
FUND LEHMAN BROS.
--------------- GOV'T. CORP.
WITHOUT WITH INTERMEDIATE
LOAD LOAD BOND INDEX
------- ---- ----------
<S> <C> <C> <C>
Class A:
1 year................ -0.26% -5.00% 0.99%
5 years............... 6.24 5.21 7.12
10 years.............. 6.90 6.38 7.41
Class B:
1 year................ -0.97 -4.93 0.99
From inception
2/28/96............. 4.05 3.80 5.75
Class D:
From inception
4/30/99............. 0.04 N/A 0.47
</TABLE>
The performance data quoted represents past performance, which is no
indication of future performance. Investment return and principal value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than their original cost. No adjustment has been made for any income
taxes payable by shareholders on dividends or capital gains. Class A returns
shown above are computed with and without the imposition of the maximum
4.75% front-end sales load. Effective February 28, 1996, the Fund began
offering Class B shares which, instead of a front-end sales load, are
subject to a contingent deferred sales charge (CDSC) ranging from 4% during
the first year to 0% after 4 years. Accordingly, returns on Class B shares
will differ from those of Class A shares and are referenced in the table
above with and without the imposition of the applicable CDSC. Class D shares
are offered only to employees of DLJ and its subsidiaries who are eligible
to participate in the DLJ 410(k) Retirement Savings Plan for Employees.
Class D shares are not subject to any sales charges or distribution fees.
The Lehman Brothers Government/Corporate Intermediate Bond Index is
comprised of securities in the Lehman Brothers Government/Corporate Bond
Index that have maturities of 5-10 years. The Lehman Brothers
Government/Corporate Bond Index includes the Lehman Brothers Government Bond
Index and the Lehman Brothers Corporate Bond Index, which do not take into
account charges, fees and other expenses.
<PAGE>
FOCUS FUND HIGHLIGHTS (unaudited)
DLJ WINTHROP MUNICIPAL TRUST FUND
PORTFOLIO CHANGES for the Year Ended October 31, 1999
<TABLE>
<CAPTION>
MAJOR PURCHASES MAJOR SALES
<S> <C>
Dallas, Texas General Obligation(1) Cook County, Illinois General Obligation(2)
4.000%, 02/15/04 5.750%, 11/15/04
Gulf Coast Waste Disposal Authority(1) Lakeland, Florida Electric and Water(2)
3.600%, 01/01/26 5.900%, 10/01/08
Pennsylvania Intergovernment Cooperative Port Authority NY & NJ(2)
Authority(1) 3.900%, 12/01/00
5.000%, 06/15/09 Texas A&M University(2)
Washington State General Obligation(1) 5.250%, 05/15/01
5.000%, 01/01/05 Texas State General Obligation(2)
Whiting, Indiana Sewage and Solid 5.000%, 10/01/01
Waste Disposal Authority
3.600%, 01/01/26
(1) New Holdings (2) Deletions
</TABLE>
PORTFOLIO CHARACTERISTICS October 31, 1999
<TABLE>
<S> <C> <C> <C>
30 DAY YIELD, CLASS A: 3.65% AVERAGE YEARS TO MATURITY: 7.9 years*
30 DAY YIELD, CLASS B: 3.14% AVERAGE COUPON: 5.48%*
AVERAGE RATING: AA* AVERAGE DURATION: 4.5 years*
</TABLE>
* Weighted Averages
INVESTMENT RESULTS For the Periods Ended October 31, 1999
[GRAPH]
<TABLE>
<CAPTION>
LIPPER INTERMEDIATE
WITHOUT LOAD WITH LOAD MUNICIPAL FUND INDEX
------------ --------- -------------------
<S> <C> <C> <C>
7/93 10,000 9,525 10,000
10/93 10,183 9,699 10,309
10/94 9,952 9,479 10,060
10/95 10,953 10,433 11,160
10/96 11,373 10,832 11,639
10/97 12,211 11,631 12,403
10/98 12,982 12,365 13,248
10/99 12,849 12,239 13,379
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
------------------------------
DLJ WINTHROP
MUNICIPAL
TRUST FUND LIPPER
--------------- INTERMEDIATE
WITHOUT WITH MUNICIPAL
LOAD LOAD FUND INDEX
------- ---- ----------
<S> <C> <C> <C>
Class A:
1 year.............. -1.02% -5.72% -1.23%
5 years............. 5.24 4.22 5.51
From inception
7/28/93........... 4.08 3.28 4.44
Class B:
1 year.............. -1.71 -5.64 -1.23
From inception
2/28/96........... 3.18 2.92 3.84
</TABLE>
The performance data quoted represents past performance, which is no
indication of future performance. Investment return and principal value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than their original cost. No adjustment has been made for any income
taxes payable by shareholders on dividends or capital gains. Class A returns
shown above are computed with and without the imposition of the maximum
4.75% front-end sales load. Effective February 28, 1996, the Fund began
offering Class B shares which, instead of a front-end sales load, are
subject to a contingent deferred sales charge (CDSC) ranging from 4% during
the first year to 0% after 4 years. Accordingly, returns on Class B shares
will differ from those of Class A shares and are referenced in the table
above with and without the imposition of the applicable CDSC.
The Lipper Intermediate Municipal Fund Index is an equally weighted
performance index of the 30 largest funds in the Lipper Analytical grouping
of intermediate municipal debt funds, adjusted for capital gains and income
dividends.
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- STATEMENT OF INVESTMENTS October 31, 1999
- --------------------------------------------------------------------------------
DLJ WINTHROP GROWTH FUND
COMMON STOCKS -- 96.3%
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
BASIC MATERIALS -- 3.7%
CHEMICALS-1.7%
Monsanto Co............................. 26,500 $ 1,020,250
Praxair, Inc............................ 41,400 1,935,450
------------
2,955,700
------------
METALS & MINING-1.3%
Alcoa, Inc.............................. 38,000 2,308,500
------------
PAPER & PAPER PRODUCTS-0.7%
International Paper Company............. 24,000 1,263,000
------------
6,527,200
------------
CAPITAL GOODS -- 7.9%
AEROSPACE & DEFENSE-1.2%
General Dynamics Corp................... 37,000 2,051,188
------------
CONGLOMORATES-5.5%
General Electric Co..................... 51,000 6,913,687
Tyco International Ltd.................. 67,600 2,699,775
------------
9,613,462
------------
ELECTRICAL EQUIPMENT-1.2%
Emerson Electric Co..................... 33,300 2,000,081
------------
13,664,731
------------
CONSUMER CYCLICAL -- 13.1%
BROADCASTING & CABLE TV-2.4%
MediaOne Group, Inc.*................... 59,700 4,242,431
------------
LEISURE RELATED-1.2%
Disney (Walt) Co........................ 75,900 2,001,863
------------
PERSONAL & HOUSEHOLD PRODUCTS-0.8%
Estee Lauder Companies, Inc. Cl. A...... 31,000 1,445,375
------------
PRINTING & PUBLISHING-1.3%
Time Warner, Inc........................ 31,700 2,209,094
------------
RETAIL-GENERAL-7.4%
CVS Corp................................ 49,200 2,137,125
Dayton Hudson Corp...................... 53,500 3,457,437
Home Depot, Inc......................... 36,200 2,733,100
Wal-Mart Stores, Inc.................... 80,000 4,535,000
------------
12,862,662
------------
22,761,425
------------
CONSUMER STAPLES -- 17.2%
BEVERAGE & TOBACCO-1.2%
Coca-Cola Company....................... 36,000 2,124,000
------------
DRUGS-7.4%
Amgen, Inc.*............................ 65,200 5,199,700
Merck & Co., Inc........................ 38,000 3,023,374
Pharmacia & Upjohn, Inc................. 40,800 2,200,650
Schering-Plough Corp.................... 48,000 2,376,000
------------
12,799,724
------------
HOSPITAL SUPPLIES & SERVICES-2.0%
Bard (C.R.), Inc........................ 33,000 $ 1,779,938
Medtronic, Inc.......................... 48,800 1,689,700
------------
3,469,638
------------
FOOD & FOOD RETAILERS-3.0%
General Mills, Inc...................... 14,900 1,299,094
Safeway, Inc.*.......................... 24,000 847,500
SYSCO Corp.............................. 80,000 3,075,000
------------
5,221,594
------------
SOAPS & TOILETRIES-3.6%
Colgate-Palmolive Co.................... 20,400 1,234,200
Procter & Gamble Co..................... 46,600 4,887,175
------------
6,121,375
------------
29,736,331
------------
ENERGY -- 6.3%
OIL-INTERNATIONAL-5.8%
Exxon Corp.............................. 54,000 3,999,374
Phillips Petroleum Co................... 73,000 3,394,500
Texaco, Inc............................. 42,200 2,590,025
------------
9,983,899
------------
OIL-SERVICES-0.5%
Schlumberger Ltd........................ 15,000 908,438
------------
10,892,337
------------
FINANCIAL -- 15.9%
BANKING-6.6%
Chase Manhattan Corp.................... 37,500 3,276,563
Northern Trust Corp..................... 18,000 1,738,125
U.S. Bancorp............................ 54,000 2,001,375
Wachovia Corp........................... 18,400 1,587,000
Wells Fargo & Co........................ 59,000 2,824,625
------------
11,427,688
------------
FINANCIAL SERVICES-5.8%
American Express Co..................... 26,827 4,131,358
Freddie Mac............................. 45,300 2,449,030
Lehman Brothers Holdings, Inc........... 25,200 1,856,925
Providian Financial Corp................ 14,500 1,580,500
------------
10,017,813
------------
INSURANCE-3.5%
American General Corp................... 26,600 1,973,388
American International Group, Inc....... 16,250 1,672,734
Hartford Financial Services, Inc........ 47,700 2,471,456
------------
6,117,578
------------
27,563,079
------------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- STATEMENT OF INVESTMENTS October 31, 1999
(continued)
- --------------------------------------------------------------------------------
DLJ WINTHROP GROWTH FUND
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
TECHNOLOGY -- 29.7%
COMPUTERS-11.4%
Cisco Systems, Inc.*.................... 81,000 $ 5,994,000
Compaq Computer Corp.................... 71,000 1,349,000
International Business Machines Corp.... 30,000 2,951,250
Microsoft Corp.*........................ 80,000 7,405,000
Oracle Corp.*........................... 45,000 2,140,313
------------
19,839,563
------------
ELECTRONICS-7.7%
Ciena Corp.*............................ 46,000 1,621,500
Intel Corp.............................. 48,000 3,717,000
Scientific-Atlanta, Inc................. 40,000 2,290,000
Solectron Corp.*........................ 36,000 2,709,000
Texas Instruments, Inc.................. 33,000 2,961,750
------------
13,299,250
------------
OFFICE EQUIPMENT-1.9%
Avery Dennison Corp.. 27,500 1,718,750
Pitney-Bowes, Inc....................... 36,000 1,640,250
------------
3,359,000
------------
TELECOMMUNICATIONS-8.7%
AT&T Corp............................... 14,000 654,500
MCI WorldCom, Inc.*..................... 55,000 4,719,688
Nortel Networks Corp.................... 50,800 3,146,425
Sprint Corp. (FON Group)................ 58,000 4,310,125
Sprint Corp. (PCS Group)*............... 26,000 2,156,375
------------
14,987,113
------------
51,484,926
------------
TRANSPORT & SERVICE -- 2.5%
ADVERTISING-1.6%
Omnicom Group, Inc...................... 31,500 $ 2,772,000
------------
AIRLINES-0.3%
AMR Corp................................ 8,000 508,000
------------
RAILROADS-0.6%
Burlington Northern Santa Fe Corp....... 31,500 1,004,063
------------
4,284,063
------------
TOTAL COMMON STOCKS
(cost $98,025,101)..................... 166,914,092
------------
<CAPTION>
PRINCIPAL
AMOUNT
----------
<S> <C> <C>
COMMERCIAL PAPER -- 3.7%
(amortized cost $6,370,000)
Merrill Lynch & Co.
5.300%, 11/01/99....................... $6,370,000 6,370,000
------------
TOTAL INVESTMENTS -- 100%
(cost $104,395,101).................... 173,284,092
------------
CASH AND OTHER ASSETS
NET OF LIABILITIES -- 0.0%............. 15,116
------------
NET ASSETS -- 100%...................... $173,299,208
------------
------------
</TABLE>
* Non-income producing
See notes to financial statements.
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- STATEMENT OF INVESTMENTS October 31, 1999
- --------------------------------------------------------------------------------
DLJ WINTHROP GROWTH AND INCOME FUND
COMMON STOCKS -- 97.8%
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
BASIC MATERIALS -- 0.8%
CHEMICALS-0.8%
Hannah (M.A.) Co. ................. 203,100 $ 2,170,631
------------
CAPITAL GOODS/
CONSTRUCTION -- 4.4%
AEROSPACE & DEFENSE-4.4%
General Dynamics Corp. ............ 78,700 4,362,931
United Technologies Corp. ......... 121,400 7,344,700
------------
11,707,631
------------
CONSUMER PRODUCTS &
SERVICES -- 30.0%
AUTO RELATED-0.0%
Delphi Automotive Systems Corp. ... 8,000 131,500
------------
BEVERAGES & TOBACCO-2.2%
Diageo PLC Sponsored ADRs.......... 26,028 1,057,388
Philip Morris Cos., Inc. .......... 132,000 3,324,750
UST, Inc. ......................... 55,000 1,522,813
------------
5,904,951
------------
BUSINESS SERVICES-0.9%
Gartner Group, Inc.*............... 244,139 2,380,355
------------
CONTAINERS-0.8%
Bemis, Inc. ....................... 60,200 2,103,238
------------
HEALTHCARE & DRUGS-7.7%
Cardinal Health, Inc. ............. 75,000 3,234,375
IMS Health, Inc. .................. 185,400 5,376,600
Merck & Co., Inc. ................. 106,600 8,481,363
Pharmacia & Upjohn, Inc. .......... 60,800 3,279,400
------------
20,371,738
------------
FOODS-4.0%
ConAgra Inc. ...................... 53,100 1,383,919
IBP, Inc. ......................... 35,000 837,812
SYSCO Corp. ....................... 218,500 8,398,594
------------
10,620,325
------------
HOSPITAL SUPPLIES & SERVICES-1.7%
Abbott Laboratories................ 110,000 4,441,250
------------
HOUSEHOLD FURNITURE-1.0%
Leggett & Platt, Inc. ............. 115,600 2,564,875
------------
LEISURE-1.8%
Cedar Fair LP...................... 116,400 2,320,725
Disney (Walt) Co. ................. 87,222 2,300,480
------------
4,621,205
------------
PRINTING & PUBLISHING-2.2%
New York Times Co. Cl. A........... 80,000 3,220,000
Tribune Co. ....................... 41,200 2,472,000
------------
5,692,000
------------
RETAIL-FOOD & DRUGS-1.6%
Walgreen Co. ...................... 164,500 4,143,344
------------
RETAIL-GENERAL-2.9%
Federated Department Stores,
Inc.*............................. 73,300 $ 3,128,994
Newell Co. ........................ 132,100 4,573,962
------------
7,702,956
------------
SOAPS & TOILETRIES-3.2%
International Flavors & Fragrances,
Inc. ............................. 85,500 3,270,375
Procter & Gamble Co. .............. 49,500 5,191,311
------------
8,461,686
------------
79,139,423
------------
ENERGY -- 8.5%
OIL & GAS-6.0%
BP Amoco PLC Sponsored ADRs........ 135,566 7,828,936
Enron Corp. ....................... 129,200 5,159,925
New Jersey Resources Corp. ........ 28,000 1,139,250
San Juan Basin Royalty Trust....... 185,000 1,769,063
------------
15,897,174
------------
OIL-SUPPLIES & CONSTRUCTION-2.5%
Halliburton Co. ................... 70,600 2,660,737
Schlumberger Ltd. ................. 62,500 3,785,156
------------
6,445,893
------------
22,343,067
------------
FINANCIAL SERVICES -- 19.3%
BANKING-8.8%
Banc One Corp. .................... 66,200 2,486,637
BankAmerica Corp. ................. 61,221 3,941,102
Firstar Corp. ..................... 20,000 587,500
Household International, Inc. ..... 50,000 2,231,250
Republic NY Corp. ................. 73,200 4,625,325
U.S. Bancorp....................... 175,296 6,496,908
Washington Mutual, Inc. ........... 76,200 2,738,438
------------
23,107,160
------------
INSURANCE-6.2%
Allmerica Financial Corp. ......... 43,900 2,510,531
American International Group,
Inc. ............................. 66,968 6,893,518
Berkley, W.R. Corp. ............... 10,000 229,375
Hartford Financial Services Group,
Inc. ............................. 33,000 1,709,813
HSB Group, Inc. ................... 30,000 1,147,500
Progressive Corp. ................. 26,000 2,406,625
Radian Group, Inc. ................ 21,332 1,126,596
Travelers Property Casualty Corp.
Cl. A............................. 10,000 360,000
------------
16,383,958
------------
OTHER-4.3%
Block (H&R), Inc. ................. 50,000 2,128,125
Freddie Mac........................ 172,400 9,320,375
------------
11,448,500
------------
50,939,618
------------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- STATEMENT OF INVESTMENTS October 31, 1999
(continued)
- --------------------------------------------------------------------------------
DLJ WINTHROP GROWTH AND INCOME FUND
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
PUBLIC UTILITIES -- 5.2%
ELECTRIC-0.6%
Ameren Corp. ...................... 38,110 $ 1,441,034
------------
TELEPHONE-4.6%
Alltel Corp. ...................... 64,800 5,394,600
GTE Corp. ......................... 20,000 1,500,000
Sprint Corp. (FON Group)........... 71,800 5,335,638
------------
12,230,238
------------
13,671,272
------------
SCIENCE &
TECHNOLOGY -- 20.2%
COMPUTERS-13.6%
Automatic Data Processing, Inc. ... 116,200 5,599,387
Cisco Systems, Inc.*............... 100,400 7,429,600
Computer Associates International,
Inc. ............................. 39,700 2,243,050
Gateway 2000, Inc.*................ 85,200 5,628,525
Hewlett Packard Co. ............... 50,200 3,717,938
Intel Corp. ....................... 44,900 3,476,944
Oracle Corp.*...................... 85,000 4,042,813
Texas Instruments, Inc. ........... 39,800 3,572,050
------------
35,710,307
------------
TELECOMMUNICATIONS-6.6%
Comcast Corp. Special Cl. A........ 162,600 6,849,525
Cox Communication, Inc. Cl. A*..... 40,000 1,817,500
Loral Space & Communications
Ltd. ............................. 150,000 2,259,375
MediaOne Group, Inc.*.............. 30,800 2,188,725
NTL, Inc.*......................... 56,666 4,271,219
------------
17,386,344
------------
53,096,651
------------
TRANSPORT & SERVICE -- 2.4%
RAILROADS-2.4%
Burlington Northern Santa Fe
Corp. ............................ 197,100 6,282,563
------------
MISCELLANEOUS -- 7.0%
DIVERSIFIED-6.2%
Berkshire Hathaway, Inc. Cl. A..... 86 $ 5,495,400
Loews Corp. ....................... 30,000 2,126,250
Tyco International Ltd. ........... 215,800 8,618,512
------------
16,240,162
------------
LIMITED PARTNERSHIP-TIMBER-0.5%
Plum Creek Timber Co. LP........... 50,000 1,312,500
------------
REAL ESTATE INVESTMENT TRUST-0.3%
General Growth Properties, Inc. ... 30,000 868,125
------------
18,420,787
------------
TOTAL COMMON STOCKS
(cost $174,066,530)............... 257,771,643
------------
<CAPTION>
PRINCIPAL
AMOUNT
----------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES -- 1.8%
Federal Farm Credit Bank
6.060%, 05/28/03.................. $1,000,000 922,550
Federal Home Loan Bank
6.700%, 06/25/14.................. 2,000,000 1,947,120
Federal National Mortgage
Association
7.400%, 07/01/04.................. 1,000,000 1,037,220
Federal National Mortgage
Association
6.250%, 05/15/29.................. 1,000,000 920,000
------------
TOTAL U.S. GOVERNMENT AGENCIES
(cost $4,916,723)................. 4,826,890
------------
CORPORATE BONDS -- 0.4%
(cost $967,564)
BankAmerica Corp.
5.875%, 02/15/09.................. 1,000,000 911,250
------------
TOTAL INVESTMENTS -- 100%
(cost $179,950,819)............... 263,509,783
------------
CASH AND OTHER ASSETS
NET OF LIABILITIES -- 0.0%........ (1,599)
------------
NET ASSETS -- 100%................. $263,508,184
------------
------------
</TABLE>
* Non-income producing
See notes to financial statements.
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- STATEMENT OF INVESTMENTS October 31, 1999
- --------------------------------------------------------------------------------
DLJ WINTHROP SMALL COMPANY VALUE FUND
COMMON STOCKS -- 96.9%
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
BASIC MATERIALS -- 6.1%
CHEMICALS-3.4%
Cambrex Corp....................... 145,800 $ 4,410,450
Dexter Corp........................ 60,000 2,103,750
Hanna (M.A.) Co.................... 48,800 521,550
------------
7,035,750
------------
PACKAGING-1.9%
AptarGroup, Inc.................... 146,600 3,939,875
------------
PAPER-0.8%
Longview Fibre Co.................. 150,000 1,706,250
------------
12,681,875
------------
CAPITAL GOODS/
CONSTRUCTION -- 9.2%
AEROSPACE-1.8%
AAR Corp........................... 25,000 417,188
Teleflex, Inc...................... 94,900 3,232,531
------------
3,649,719
------------
BUILDING & CONSTRUCTION-5.2%
Applied Power, Inc. Cl. A.......... 119,900 3,484,594
Carlisle Companies, Inc............ 93,800 3,118,850
Lydall, Inc.*...................... 209,500 1,545,063
RPM, Inc. Ohio..................... 212,187 2,532,982
------------
10,681,489
------------
ELECTRICAL EQUIPMENT-2.2%
AMETEK, Inc........................ 139,000 2,745,250
Woodhead Industries, Inc........... 197,800 1,916,188
------------
4,661,438
------------
18,992,646
------------
CONSUMER CYCLICAL -- 19.2%
AUTO RELATED-1.8%
Modine Manufacturing Co............ 33,400 830,825
Myers Industries, Inc.............. 202,427 2,846,635
------------
3,677,460
------------
FOOD SERVICE/LODGING-3.6%
Marcus Corp........................ 269,975 3,796,523
Universal Foods Corp............... 191,800 3,668,175
------------
7,464,698
------------
HOUSEHOLD FURNITURE/APPLIANCES-1.9%
Chromcraft Revington, Inc.*........ 221,600 2,423,750
HON Industries, Inc................ 82,000 1,609,250
------------
4,033,000
------------
PRINTING & PUBLISHING-6.2%
American Business Products, Inc.... 111,600 1,457,775
Banta Corp......................... 142,250 3,218,406
Harte Hanks, Inc................... 22,000 435,875
Lee Enterprises, Inc............... 141,200 4,165,400
Meredith Corp...................... 103,000 3,675,813
------------
12,953,269
------------
RETAIL-GENERAL-5.7%
Consolidated Stores Corp.*......... 70,000 $ 1,281,875
Lands' End, Inc.*.................. 30,000 2,308,125
Michael's Stores, Inc.*............ 72,000 2,416,500
Ruddick Corp....................... 247,700 4,226,381
Zale Corp.*........................ 37,000 1,549,375
------------
11,782,256
------------
39,910,683
------------
CONSUMER STAPLES -- 9.5%
DRUGS-2.5%
Jones Pharma, Inc.................. 94,500 2,929,500
West Pharmaceutical Services,
Inc............................... 64,100 2,215,456
------------
5,144,956
------------
HOSPITAL SUPPLIES & SERVICES-5.2%
Arrow International, Inc........... 126,000 3,417,750
Bard (C.R.), Inc................... 44,000 2,373,250
Beckman Instruments, Inc........... 63,600 2,925,600
Invacare Corp...................... 101,700 2,122,988
------------
10,839,588
------------
HOUSEHOLD PRODUCTS-1.8%
Premark International Inc.......... 66,000 3,613,500
------------
19,598,044
------------
ENERGY -- 4.2%
OIL-DOMESTIC-2.0%
Helmerich & Payne, Inc............. 170,000 4,048,125
------------
OIL-SUPPLIES & CONSTRUCTION-2.2%
BJ Services Co.*................... 20,000 686,250
Tidewater, Inc..................... 54,100 1,623,000
Varco International, Inc.*......... 220,000 2,323,750
------------
4,633,000
------------
8,681,125
------------
FINANCIAL -- 19.7%
BANKS-10.7%
AmSouth Bancorporation............. 194,022 4,996,067
Associated Banc-Corp............... 43,000 1,654,156
Centura Banks, Inc................. 35,000 1,844,063
Cullen/Frost Bankers, Inc.......... 122,000 3,522,750
FirstMerit Corp.................... 180,000 4,758,750
First Virginia Banks, Inc.......... 42,300 2,025,113
Peoples' Bank, Inc................. 125,000 3,164,062
Sovereign Bancorp, Inc............. 31,500 277,594
------------
22,242,555
------------
INSURANCE-9.0%
Brown & Brown, Inc................. 96,900 3,270,375
Horace Mann Educators Corp......... 122,000 3,438,875
HSB Group, Inc..................... 114,950 4,396,838
Protective Life Corp............... 132,200 4,783,987
ReliaStar Financial Corp........... 65,000 2,790,938
------------
18,681,013
------------
40,923,568
------------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- STATEMENT OF INVESTMENTS October 31, 1999
(continued)
- --------------------------------------------------------------------------------
DLJ WINTHROP SMALL COMPANY VALUE FUND
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
PUBLIC UTILITIES -- 6.1%
ELECTRIC-0.8%
Niagara Mohawk Holdings, Inc.*..... 110,000 $ 1,746,250
------------
GAS-5.3%
National Fuel Gas Co............... 89,600 4,379,200
Washington Gas Light Co............ 81,000 2,202,187
WICOR, Inc......................... 145,400 4,325,650
------------
10,907,037
------------
12,653,287
------------
TECHNOLOGY -- 15.3%
COMPUTER SERVICES-1.1%
Keane, Inc.*....................... 83,900 1,971,650
Mastech Corp.*..................... 16,400 280,850
------------
2,252,500
------------
ELECTRONICS-13.0%
Artesyn Technologies, Inc.*........ 152,000 3,002,000
Dallas Semiconductor Corp.......... 93,000 5,475,375
DII Group, Inc.*................... 71,000 2,556,000
Electro Scientific Industries,
Inc.*............................. 78,000 4,212,000
Methode Electronics, Inc. Cl. A.... 239,150 3,826,400
Pioneer Standard Electronics,
Inc............................... 274,450 3,585,002
Technitrol, Inc.................... 90,600 3,295,575
Teradyne, Inc.*.................... 28,000 1,078,000
------------
27,030,352
------------
SOFTWARE & PROGRAMMING-1.2%
Progress Software Corp.*........... 74,400 2,492,400
------------
31,775,252
------------
TRANSPORT & SERVICE -- 5.2%
PROFESSIONAL SERVICES-2.6%
Jacobs Engineering Group, Inc.*.... 71,650 2,543,575
RemedyTemp, Inc.*.................. 80,000 860,000
Tetra Tech, Inc.*.................. 124,375 1,974,453
------------
5,378,028
------------
EDUCATION-1.1%
ITT Educational Services, Inc...... 115,900 $ 2,289,025
------------
TRUCKING & SHIPPING-1.5%
Werner Enterprises, Inc............ 196,750 3,135,703
------------
10,802,756
------------
MISCELLANEOUS -- 2.4%
DIVERSIFIED-1.9%
Brady (W.H.) Cl. A................. 112,700 3,268,300
Federal Signal Corp................ 40,000 752,500
------------
4,020,800
------------
REAL ESTATE INVESTMENT TRUST-0.5%
Liberty Property Trust............. 42,000 981,750
------------
5,002,550
------------
TOTAL COMMON STOCKS
(cost $148,982,112)............... 201,021,786
------------
<CAPTION>
PRINCIPAL
AMOUNT
----------
<S> <C> <C>
COMMERCIAL PAPER -- 2.8%
(amortized cost $5,860,000)
Merrill Lynch & Co.
5.300%, 11/01/99.................. $5,860,000 5,860,000
------------
TOTAL INVESTMENTS -- 99.7%
(cost $154,842,113)............... 206,881,786
------------
CASH AND OTHER ASSETS
NET OF LIABILITIES -- 0.3%........ 567,403
------------
NET ASSETS -- 100%................. $207,449,189
------------
------------
</TABLE>
* Non-income producing
See notes to financial statements.
<PAGE>
DLJ WINTHROP FOCUS FUND -- STATEMENT OF INVESTMENTS October 31, 1999
- --------------------------------------------------------------------------------
DLJ WINTHROP FIXED INCOME FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------- ------------
<S> <C> <C>
U.S. GOVERNMENT
OBLIGATIONS -- 15.2%
United States Treasury Bonds
6.125%, 08/15/07................ $ 3,000,000 $ 2,987,730
United States Treasury Notes
7.500%, 11/15/01................ 2,675,000 2,760,092
6.125%, 12/31/01................ 9,000,000 9,052,290
6.250%, 08/31/02................ 2,000,000 2,018,820
6.250%, 02/15/03................ 8,000,000 8,072,160
------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(cost $25,042,633)............ 24,891,092
------------
U.S. GOVERNMENT
AGENCIES -- 39.2%
Federal Farm Credit Bank
5.720%, 04/13/05................ 5,000,000 4,818,750
Federal Home Loan Bank
5.625%, 03/19/01................ 5,000,000 4,970,500
5.625%, 03/28/02................ 5,000,000 4,912,250
7.360%, 07/01/04................ 6,000,000 6,206,280
6.000%, 06/11/08................ 5,000,000 4,757,800
Federal Home Loan Mortgage Corp.
Pool #220016 8.750%, 10/01/01... 2,209 2,261
6.300%, 06/01/04................ 5,000,000 4,904,500
6.000%, 07/19/04................ 2,000,000 1,944,700
6.875%, 11/22/06................ 500,000 487,335
7.625%, 09/09/09................ 3,000,000 3,006,750
Pool #260499 10.000%,
04/01/16...................... 14,340 15,514
Pool #292065 8.500%, 04/01/17... 1,870,507 1,957,018
Pool #606523 7.779%, 10/01/19... 896,566 916,739
Federal Home Loan Mortgage Corp.
Discount Notes
5.020%, 11/03/99................ 4,100,000 4,098,857
Federal National Mortgage
Association
Pool #312088 7.000%, 06/01/02... 542,570 542,228
Pool #76368 9.250%, 09/01/03.... 35,502 37,199
Pool #76378 9.250%, 09/01/03.... 74,231 77,780
5.625%, 05/14/04................ 9,625,000 9,323,930
8.500%, 02/01/05................ 1,000,000 1,005,810
5.750%, 06/15/05................ 3,000,000 2,899,260
6.950%, 11/13/06................ 1,000,000 978,820
Pool #125136 8.000%, 07/01/07... 748,445 767,388
Pool #035574 8.750%, 10/01/08... 149,952 156,137
Pool #004542 12.000%,
12/01/08...................... 248,324 281,847
Pool #243876 9.000%, 01/01/09... 182,493 191,046
6.375%, 06/15/09................ 2,404,000 2,347,338
Pool #270674 9.000%, 09/01/17... 385,991 404,082
Pool #224635 9.000%, 09/01/20... 141,537 148,171
Pool #222934 9.500%, 02/01/21... 75,488 80,324
Pool #124211 7.038%, 12/01/21... 1,242,786 1,257,538
Pool #124790 9.000%, 02/01/23... 505,996 529,712
Government National Mortgage Association
Pool #93401 9.500%, 01/15/10.... 121,337 129,565
Pool #058985 11.000%,
07/15/13...................... 13,913 15,373
Pool #068764 12.000%,
09/15/13...................... 19,536 22,118
Pool #296254 9.500%, 09/15/20... 4,721 5,068
------------
TOTAL U.S. GOVERNMENT AGENCIES
(cost $65,380,604).............. 64,199,988
------------
CORPORATE BONDS -- 44.0%
CONSUMER PRODUCTS & SERVICES-6.4%
Anheuser Busch Cos.
7.000%, 09/01/05................ $ 1,500,000 $ 1,507,500
Coca-Cola Enterprises
6.700%, 10/15/36................ 4,100,000 4,059,000
Tyco International Group, Inc.
6.125%, 06/15/01................ 5,000,000 4,937,500
------------
10,504,000
------------
FINANCIAL-22.7%
Associates Corp.
5.875%, 07/15/02................ 5,000,000 4,887,500
Bank One Corp.
6.875%, 08/01/06................ 5,000,000 4,925,000
Chemical Master Credit Card Trust
5.550%, 09/15/03................ 4,000,000 3,975,320
CIT Group, Inc.
5.500%, 10/15/01................ 4,000,000 3,915,000
J.P. Morgan & Co.
5.750%, 02/25/04................ 5,500,000 5,238,750
Household Finance Co.
6.000%, 05/01/04................ 4,550,000 4,333,875
MBNA Master Credit Card Trust
6.450%, 02/15/08................ 5,000,000 4,919,100
Sears Credit Account Master Trust
Series 1995-2 8.100%,
06/15/04........................ 937,500 949,566
Standard Credit Card Master Trust
8.250%, 11/07/03................ 4,000,000 4,154,760
------------
37,298,871
------------
PUBLIC UTILITIES-11.9%
AT&T Corp.
6.000%, 03/15/09................ 8,500,000 7,873,125
Consolidated Natural Gas Co.
6.875%, 10/15/26................ 2,000,000 1,912,500
MCI Communications Corp.
6.125%, 04/15/02................ 5,000,000 4,918,750
National Rural Utilities
Cooperative
Finance Corp. 6.125%,
05/15/05........................ 1,000,000 955,000
Oklahoma Gas & Electric Co.
6.500%, 07/15/17................ 4,000,000 3,930,000
------------
19,589,375
------------
TECHNOLOGY-3.0%
Xerox Corp.
6.250%, 11/15/26................ 5,000,000 4,912,500
------------
TOTAL CORPORATE BONDS
(cost $74,442,822).............. 72,304,746
------------
TOTAL INVESTMENTS -- 98.4%
(cost $164,866,059)............. 161,395,826
------------
CASH AND OTHER ASSETS
NET OF LIABILITIES -- 1.6%........ 2,558,630
------------
NET ASSETS -- 100.0%................ $163,954,456
------------
------------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- STATEMENT OF INVESTMENTS October 31, 1999
- --------------------------------------------------------------------------------
DLJ WINTHROP MUNICIPAL TRUST FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------- -----------
<S> <C> <C>
MUNICIPAL BONDS -- 98.4%
COLORADO-5.3%
Denver, Colorado City & County
Airport
6.750%, 11/15/22................... $1,580,000 $ 1,625,425
-----------
ILLINOIS-7.0%
Chicago, Illinois Metropolitan
Water Reclamation District
5.750%, 12/01/01................... 1,000,000 1,030,000
Chicago, Illinois Metropolitan
Water Reclamation District
7.000%, 01/01/11................... 1,000,000 1,126,250
-----------
2,156,250
-----------
INDIANA-3.5%
Indiana University Revenue
Student Fee Ser. K
6.500%, 08/01/05................... 1,000,000 1,077,500
-----------
IOWA-3.4%
Iowa Student Loan Liquidation Corp.
6.800%, 03/01/05................... 1,000,000 1,047,500
-----------
KENTUCKY-6.8%
Louisville & Jefferson County
Airport Authority
3.500%, 01/01/29................... 2,100,000 2,100,000
-----------
NEW YORK-6.8%
New York City, New York Ser. G
5.750%, 02/01/08................... 1,000,000 1,033,750
New York State Dormitory
Authority Revenue
6.500%, 05/15/06................... 1,000,000 1,082,500
-----------
2,116,250
-----------
OKLAHOMA-5.2%
Grand River Dam Authority, Oklahoma
6.250%, 06/01/11................... 1,500,000 1,618,125
-----------
PENNSYLVANIA-3.2%
Pennsylvania Intergov't Coop.
Authority
5.000%, 06/15/09................... 1,000,000 983,750
-----------
PUERTO RICO-6.7%
Puerto Rico Commonwealth Refunding
5.100%, 07/01/02................... 1,000,000 1,015,000
Puerto Rico Electric Power Authority
6.000%, 07/01/11................... 1,000,000 1,066,250
-----------
2,081,250
-----------
TENNESSEE-3.4%
Memphis, Tennessee Electric System
6.000%, 01/01/05................... $1,000,000 $ 1,053,750
-----------
TEXAS-35.7%
Dallas, Texas Improvement
4.000%, 02/15/04................... 2,000,000 1,947,500
Gulf Coast Waste Disposal Authority
3.600%, 05/01/23................... 600,000 600,000
Houston, Texas Revenue
5.000%, 03/01/05................... 2,000,000 2,020,000
Lewisville, Texas Independent
School District
6.000%, 08/15/01................... 1,000,000 1,030,000
Plano, Texas Independent
School District
6.000%, 02/15/05................... 2,000,000 2,112,500
Port Authority of Houston, Texas
5.375%, 10/01/05................... 1,275,000 1,314,844
San Antonio, Texas Electric & Gas
5.000%, 02/01/04................... 5,000 4,769
5.000%, 02/01/12................... 995,000 951,468
Texas State Refunding Ser. A
6.000%, 10/01/08................... 1,000,000 1,068,750
-----------
11,049,831
-----------
UTAH-1.6%
Utah State General Obligation
5.000%, 07/01/06................... 500,000 505,000
-----------
WASHINGTON-3.2%
Washington State General Obligation
5.000%, 01/01/05................... 1,000,000 1,008,750
-----------
WISCONSIN-6.6%
Wisconsin State Clean Water Revenue
5.000%, 06/01/03................... 2,000,000 2,032,500
-----------
TOTAL INVESTMENTS -- 98.4%
(cost $30,534,046)................. 30,455,881
-----------
CASH AND OTHER ASSETS
NET OF LIABILITIES -- 1.6%......... 499,946
-----------
NET ASSETS -- 100.0%................ $30,955,827
-----------
-----------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- STATEMENT OF ASSETS AND LIABILITIES October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL FIXED
GROWTH AND COMPANY INCOME MUNICIPAL
GROWTH FUND INCOME FUND VALUE FUND FUND TRUST FUND
----------- ----------- ------------- ------------ ----------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities, at value
(cost $104,395,101, $179,950,819,
$154,842,113, $164,866,059, and
$30,534,046, respectively)............ $173,284,092 $263,509,783 $206,881,786 $161,395,826 $30,455,881
Cash.................................... 25,237 124,978 -- 8,832 105,992
Receivable for investment securities
sold.................................. -- -- 1,853,059 -- --
Receivable for capital stock sold....... 268,131 113,882 19,352 30,392 --
Dividends and interest receivable....... 99,009 350,692 167,796 2,651,306 453,963
------------ ------------ ------------ ------------ -----------
Total assets....................... 173,676,469 264,099,335 208,921,993 164,086,356 31,015,836
------------ ------------ ------------ ------------ -----------
LIABILITIES:
Payable to investment advisor........... 90,376 123,165 139,353 56,880 13,429
Payable to distributor.................. 59,071 75,767 63,770 14,901 8,164
Payable for investment securities
purchased............................. -- -- 877,001 -- --
Payable for capital stock redeemed...... 47,011 104,075 39,523 11,000 --
Cash overdraft due to custodian......... -- -- 3,688 -- --
Dividend payable........................ -- -- -- 48,592 20,922
Accrued expenses and other
liabilities........................... 180,803 288,144 349,469 527 17,494
------------ ------------ ------------ ------------ -----------
Total liabilities.................. 377,261 591,151 1,472,804 131,900 60,009
------------ ------------ ------------ ------------ -----------
NET ASSETS.................................. $173,299,208 $263,508,184 $207,449,189 $163,954,456 $30,955,827
------------ ------------ ------------ ------------ -----------
------------ ------------ ------------ ------------ -----------
NET ASSETS CONSIST OF:
Capital paid-in......................... $ 91,066,085 $172,012,112 $134,572,133 $168,015,238 $30,809,707
Undistributed (distributions in excess
of) net investment income............. -- 802,821 349,206 (48,592) --
Accumulated net realized gain (loss) on
investments........................... 13,344,132 7,134,287 20,488,177 (541,957) 224,285
Net unrealized
appreciation/(depreciation) on
investments........................... 68,888,991 83,558,964 52,039,673 (3,470,233) (78,165)
------------ ------------ ------------ ------------ -----------
$173,299,208 $263,508,184 $207,449,189 $163,954,456 $30,955,827
------------ ------------ ------------ ------------ -----------
------------ ------------ ------------ ------------ -----------
CLASS A SHARES:
Net assets.............................. $135,677,499 $174,212,733 $188,192,028 $ 43,059,536 $29,911,515
------------ ------------ ------------ ------------ -----------
------------ ------------ ------------ ------------ -----------
Shares outstanding...................... 6,379,695 7,415,622 9,170,397 4,379,237 2,975,970
------------ ------------ ------------ ------------ -----------
------------ ------------ ------------ ------------ -----------
Net asset value and redemption value
per share............................. $21.27 $23.49 $20.52 $9.83 $10.05
------ ------ ------ ----- ------
------ ------ ------ ----- ------
Maximum offering price per share (net
asset value plus maximum sales
charge)............................... $22.57 $24.92 $21.77 $10.32 $10.55
------ ------ ------ ------ ------
------ ------ ------ ------ ------
CLASS B SHARES:
Net assets.............................. $ 32,783,100 $ 41,143,897 $ 19,257,161 $ 4,470,817 $ 1,044,312
------------ ------------ ------------ ------------ -----------
------------ ------------ ------------ ------------ -----------
Shares outstanding...................... 1,579,986 1,760,765 956,642 454,702 103,947
------------ ------------ ------------ ------------ -----------
------------ ------------ ------------ ------------ -----------
Net asset value and offering price per
share................................. $20.75 $23.37 $20.13 $9.83 $10.05
------ ------ ------ ----- ------
------ ------ ------ ----- ------
CLASS D SHARES:
Net assets.............................. $ 4,838,609 $ 48,151,554 $116,424,103
------------ ------------ ------------
------------ ------------ ------------
Shares outstanding...................... 227,528 2,049,166 11,840,434
------------ ------------ ------------
------------ ------------ ------------
Net asset value and offering price per
share................................. $21.27 $23.50 $9.83
------ ------ -----
------ ------ -----
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- STATEMENT OF OPERATIONS
for the year ended October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL FIXED
GROWTH GROWTH AND COMPANY INCOME MUNICIPAL
FUND INCOME FUND VALUE FUND FUND TRUST FUND
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends............................ $ 1,406,230 $ 3,507,477 $3,746,394 $ -- $ --
Interest............................. 167,432 378,149 120,483 6,561,382 1,834,634
----------- ----------- ----------- ----------- -----------
Total investment income............ 1,573,662 3,885,626 3,866,877 6,561,382 1,834,634
----------- ----------- ----------- ----------- -----------
EXPENSES:
Investment advisory fees (Note B).... 984,475 1,377,123 1,826,662 641,978 247,109
Distribution fees -- Class A
(Note B)........................... 362,168 522,846 632,837 133,853 114,538
Distribution fees -- Class B
(Note B)........................... 252,991 389,799 213,205 54,120 13,582
Transfer agent fees.................. 138,000 196,000 273,000 60,000 50,000
Custodian fees....................... 78,000 106,000 119,000 69,000 54,000
Registration fees.................... 43,000 61,000 54,000 59,000 30,000
Printing fees........................ 26,000 39,000 42,000 16,000 12,000
Legal fees........................... 40,000 62,000 58,000 30,000 14,000
Auditing fees........................ 19,000 34,000 34,000 16,000 10,000
Trustees' fees (Note B).............. 15,000 25,000 25,000 13,000 10,000
Miscellaneous........................ 22,545 34,614 45,316 19,037 13,095
----------- ----------- ----------- ----------- -----------
Total expenses..................... 1,981,179 2,847,382 3,323,020 1,111,988 568,324
Less expenses reimbursed by
investment advisor (Note B)..... -- -- -- (157,981) (163,442)
----------- ----------- ----------- ----------- -----------
Net expenses....................... 1,981,179 2,847,382 3,323,020 954,007 404,882
----------- ----------- ----------- ----------- -----------
NET INVESTMENT INCOME (LOSS)............. (407,517) 1,038,244 543,857 5,607,375 1,429,752
----------- ----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN/(LOSS) ON
INVESTMENTS -- Note C:
Net realized gain/(loss) on
investments........................ 13,398,533 7,532,501 20,499,594 (554,334) 216,865
Net change in unrealized appreciation
on investments..................... 23,871,282 18,898,886 (9,202,368) (5,249,092) (1,926,952)
----------- ----------- ----------- ----------- -----------
Net realized and unrealized gain
(loss) on investments.............. 37,269,815 26,431,387 11,297,226 (5,803,426) (1,710,087)
----------- ----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS........................ $36,862,298 $27,469,631 $11,841,083 $ (196,051) $ (280,335)
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH FUND GROWTH AND INCOME FUND
--------------------------- ---------------------------
YEAR ENDED YEAR ENDED
10/31/99 10/31/98 10/31/99 10/31/98
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss).................... $ (407,517) $ (124,593) $ 1,038,244 $ 1,551,995
Net realized gain on investments................ 13,398,533 2,384,117 7,532,501 19,617,176
Net change in unrealized appreciation on
investments................................... 23,871,282 17,170,311 18,898,886 10,161,862
------------ ------------ ------------ ------------
Increase in net assets from operations.......... 36,862,298 19,429,835 27,469,631 31,331,033
------------ ------------ ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income:
Class A....................................... -- (101,689) (694,625) (1,262,477)
Class B....................................... -- -- (16,859) (27,525)
Class D....................................... -- -- (141,754) --
Realized gains on investments:
Class A....................................... (1,523,410) (5,154,757) (14,556,598) (7,513,780)
Class B....................................... (279,678) (680,240) (3,003,060) (1,134,914)
------------ ------------ ------------ ------------
Total dividends and distributions to
shareholders.................................. (1,803,088) (5,936,686) (18,412,896) (9,938,696)
------------ ------------ ------------ ------------
CAPITAL STOCK TRANSACTIONS -- (NET) Note D.......... 23,723,233 7,719,245 57,190,869 10,617,782
------------ ------------ ------------ ------------
Total increase in net assets.................... 58,782,443 21,212,394 66,247,604 32,010,119
NET ASSETS:
Beginning of year............................... 114,516,765 93,304,371 197,260,580 165,250,461
------------ ------------ ------------ ------------
End of year (including undistributed net
investment income of $802,821 and $544,417 for
the Growth and Income Fund at 10/31/99 and
10/31/98, respectively)....................... $173,299,208 $114,516,765 $263,508,184 $197,260,580
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
SMALL COMPANY VALUE FUND FIXED INCOME FUND
--------------------------- ---------------------------
YEAR ENDED YEAR ENDED
10/31/99 10/31/98 10/31/99 10/31/98
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income........................... $ 543,857 $ 738,561 $ 5,607,375 $ 2,878,129
Net realized gain (loss) on investments......... 20,499,594 112,417 (554,334) 1,056,920
Net change in unrealized appreciation on
investments................................... (9,202,368) (34,616,060) (5,249,092) 484,233
------------ ------------ ------------ ------------
Increase (decrease) in net assets from
operations.................................... 11,841,083 (33,765,082) (196,051) 4,419,282
------------ ------------ ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income:
Class A....................................... (852,298) (808,971) (2,198,867) (2,691,416)
Class B....................................... -- -- (228,041) (186,495)
Class D....................................... -- -- (3,180,467) --
Realized gains on investments:
Class A....................................... (168,838) (15,177,402) (477,719) --
Class B....................................... (16,223) (1,010,450) (58,661) --
------------ ------------ ------------ ------------
Total dividends and distributions to
shareholders.................................. (1,037,359) (16,996,823) (6,143,755) (2,877,911)
------------ ------------ ------------ ------------
CAPITAL STOCK TRANSACTIONS -- (NET) Note D.......... (63,511,227) 9,522,839 116,610,870 (5,987,911)
------------ ------------ ------------ ------------
Total increase (decrease) in net assets......... (52,707,503) (41,239,066) 110,271,064 (4,446,540)
NET ASSETS:
Beginning of year............................... 260,156,692 301,395,758 53,683,392 58,129,932
------------ ------------ ------------ ------------
End of year (including undistributed net
investment income of $349,206 and $657,647 for
the Small Company Value Fund at 10/31/99 and
10/31/98, respectively and
undistributed/(distributions in excess of) net
investment income of $(48,592) and $218 for
the Fixed Income Fund at 10/31/99 and
10/31/98, respectively)....................... $207,449,189 $260,156,692 $163,954,456 $ 53,683,392
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- STATEMENT OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL TRUST FUND
--------------------------
YEAR ENDED
10/31/99 10/31/98
------------ -----------
<S> <C> <C>
OPERATIONS:
Net investment income................................... $ 1,429,752 $ 1,519,223
Net realized gain on investments........................ 216,865 454,476
Net change in unrealized appreciation on investments.... (1,926,952) 549,834
------------ -----------
Increase (decrease) in net assets from operations....... (280,335) 2,523,533
------------ -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income:
Class A............................................... (1,389,791) (1,489,223)
Class B............................................... (39,961) (30,000)
------------ -----------
Total dividends and distributions to shareholders....... (1,429,752) (1,519,223)
------------ -----------
CAPITAL STOCK TRANSACTIONS -- (NET) Note D.................. (13,070,060) 8,307,730
------------ -----------
Total increase (decrease) in net assets................. (14,780,147) 9,312,040
NET ASSETS:
Beginning of year....................................... 45,735,974 36,423,934
------------ -----------
End of year............................................. $ 30,955,827 $45,735,974
------------ -----------
------------ -----------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- NOTES TO FINANCIAL STATEMENTS October 31, 1999
- --------------------------------------------------------------------------------
NOTE (A) SIGNIFICANT ACCOUNTING POLICIES. DLJ Winthrop Focus Funds ('DLJ
Winthrop' or 'Funds') operates as a series company currently consisting of five
portfolios (the 'Portfolios'): DLJ Winthrop Growth Fund, DLJ Winthrop Growth and
Income Fund, DLJ Winthrop Small Company Value Fund, DLJ Winthrop Fixed Income
Fund, and DLJ Winthrop Municipal Trust Fund. DLJ Winthrop, organized as a
Massachusetts business trust on November 26, 1985, constitutes a diversified,
open-end investment company which is registered under the Investment Company Act
of 1940, as amended ('Act').
The investment objective of the DLJ Winthrop Growth Fund and the DLJ Winthrop
Growth and Income Fund is long-term capital appreciation. The DLJ Winthrop
Growth and Income Fund also seeks continuity of income. The investment objective
of the DLJ Winthrop Small Company Value Fund is a high level of growth of
capital. The DLJ Winthrop Fixed Income Fund aims to provide as high a level of
total return as is consistent with capital preservation by investing principally
in debt securities, including, without limitation, convertible and
nonconvertible debt securities of foreign and domestic companies, including both
well-known and established and new and lesser-known companies. The DLJ Winthrop
Municipal Trust Fund's investment objective is to provide as high a level of
total return as is consistent with capital preservation by investing principally
in high grade tax-exempt municipal securities.
Each portfolio offers Class A and Class B shares. Effective April 30, 1999, the
Growth and Income Fund and the Fixed Income Fund commenced offering Class D
shares. Effective May 13, 1999, the Growth Fund commenced offering Class D
shares. Class A shares of the Growth Fund, the Growth and Income Fund and the
Small Company Value Fund are sold with a front-end sales charge of up to 5.75%.
Class A shares of the Fixed Income Fund and the Municipal Trust Fund are sold
with a front-end sales charge of up to 4.75%. Class B shares are sold with a
contingent deferred sales charge which declines from 4% to zero depending on the
period of time the shares are held. Class D shares are offered exclusively to
employees of DLJ and its subsidiaries who are eligible to participate in the DLJ
401(k) Retirement Savings Plan for Employees. Each class is identical in all
respects except that Class A and Class B bear different distribution service
fees and Class D shares are not subject to any distribution service fees.
Class A and Class B have exclusive voting rights with respect to each class's
distribution plan.
During the year ended October 31, 1999, the Fixed Income Fund and the Growth and
Income Fund acquired all of the net assets (consisting of cash and investment
securities and accrued interest and dividends receivable) from the DLJ Bond Fund
and the DLJ Balanced Fund (two 401(k) plans offered to employees of the Advisor
and its affiliates) in exchange for Class D shares of beneficial interest. The
Fixed Income Fund received all of the net assets of the DLJ Bond Fund, amounting
to $93,716,318 and 40% of the net assets of the DLJ Balanced Fund, amounting to
$34,901,674 and, in return, issued 12,747,076 Class D shares. The Growth and
Income Fund received 60% of the net assets of the DLJ Balanced Fund, amounting
to $52,352,512 and issued 2,206,174 Class D shares.
At October 31, 1999, the DLJ Winthrop Municipal Trust Fund had approximately 36%
of its net assets invested in municipal obligations of Texas. Economic changes
affecting the state and certain of its public bodies and municipalities may
affect the ability of issuers within the state to pay interest on, or repay
principal of, municipal obligations of the Fund.
The Funds account separately for the assets, liabilities and operations of each
Portfolio. Expenses directly attributable to each Portfolio are charged to that
Portfolio's operations; expenses which are applicable to all Portfolios are
allocated among them on a pro rata basis. The Funds' financial statements are
prepared in accordance with generally accepted accounting principles which may
require the use of management estimates and assumptions. Actual results could
differ from those estimates. The following is a summary of significant
accounting policies consistently followed by DLJ Winthrop.
(1) SECURITY VALUATION: Securities and options traded on national exchanges
and over-the-counter securities listed in the NASDAQ National Market System
are valued at the last reported sales price at the close of the New
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- NOTES TO FINANCIAL STATEMENTS October 31, 1999
(continued)
- --------------------------------------------------------------------------------
York Stock Exchange. Securities for which there have been no sales on such day
are valued at the mean of the current bid and asked prices. Over-the-counter
securities not listed on the NASDAQ National Market System are valued at the
mean of the current bid and asked prices. Fixed-income securities, except
short-term securities, may be valued on the basis of prices provided by a
pricing service when such prices are believed by the Advisor to reflect the
fair market value of such securities. The prices provided by a pricing service
are determined without regard to bid or last sale prices but take into account
institutional size, trading in similar groups of securities and any
developments related to the specific securities. Short-term investments, those
with a remaining maturity of 60 days or less, are valued at amortized cost,
which approximates market value.
(2) REPURCHASE AGREEMENTS: The Funds may enter into repurchase agreements with
financial institutions, deemed to be credit worthy by the Funds' Advisor,
subject to the seller's agreement to repurchase and the Funds' agreement to
resell such securities at a mutually agreed-upon price. Securities purchased
subject to repurchase agreements are deposited with the Funds' custodian and,
pursuant to the terms of the repurchase agreement, must have an aggregate
market value greater than or equal to the repurchase price plus accrued
interest at all times. If the value of the underlying securities falls below
the value of the repurchase price plus accrued interest, the Funds will
require the seller to deposit additional collateral by the next business day.
If the request for additional collateral is not met, or the seller defaults on
its repurchase obligation, the Funds maintain the right to sell the underlying
securities at market value and may claim any resulting loss against the
seller.
(3) FEDERAL INCOME TAXES: The Funds intend to be treated as 'regulated
investment companies' under Sub-chapter M of the Internal Revenue Code and to
distribute substantially all of their net taxable income. Accordingly, no
provisions for federal income taxes have been made in the accompanying
financial statements.
The Fixed Income Fund has an unused capital loss carryover of approximately
$542,000 available for Federal income tax purposes to be applied against
future net securities profits, if any, realized subsequent to October 31,
1999. If not applied, the carryover expires in fiscal 2007.
(4) INVESTMENT INCOME AND SECURITIES TRANSACTIONS: Dividend income is recorded
on the ex-dividend date. Interest income is accrued daily. Security
transactions are accounted for on the date securities are purchased or sold.
Security gains and losses are determined on the identified cost basis.
Discounts and premiums on securities purchased are amortized in accordance
with income tax regulations which approximate generally accepted accounting
principles.
(5) DIVIDENDS AND DISTRIBUTIONS: Dividends and distributions to shareholders
are recorded on the ex-dividend date.
(6) RECLASSIFICATION OF COMPONENTS OF NET ASSETS: At October 31, 1999, the
following reclassifications were recorded to reflect permanent book/tax
differences: Growth Fund reduced capital paid-in $407,517 and reduced
accumulated net investment loss $407,517; Growth and Income Fund increased
capital paid-in $163,413, reduced accumulated net realized gain on investments
$236,811, and increased undistributed net investment income $73,398; and Fixed
Income Fund reduced capital paid-in $106,494, reduced accumulated net realized
loss on investments $155,304 and increased distributions in excess of net
investment income $48,810. These reclassifications had no effect on net assets
or net asset value per share.
NOTE (B) ADVISORY AND DISTRIBUTION SERVICES AGREEMENT: DLJ Asset Management
Group, Inc. (the 'Advisor') (formerly known as Wood, Struthers & Winthrop
Management Corp.) is a wholly-owned subsidiary of Donaldson, Lufkin & Jenrette
Securities Corporation, which is a wholly-owned subsidiary of Donaldson, Lufkin
and Jenrette, Inc. ('DLJ'). DLJ is an independently operated, indirect
subsidiary of AXA Financial, Inc., a holding company controlled by AXA, a member
of a large French insurance group. AXA is indirectly controlled by a group of
four French insurance companies. Under its Advisory Agreement with DLJ Winthrop,
the Advisor will provide investment advisory services and order placement
facilities for DLJ Winthrop and pay all compensation of Trustees of
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- NOTES TO FINANCIAL STATEMENTS October 31, 1999
(continued)
- --------------------------------------------------------------------------------
DLJ Winthrop who are affiliated persons of the Advisor. The Advisor or its
affiliates will also furnish DLJ Winthrop, without charge, management
supervision and assistance and office facilities. DLJ Winthrop will pay the
Advisor at the following annual percentage rates of the average daily net assets
of each Fund: Growth Fund, .750 of 1% of the first $100,000,000, .500 of 1% of
the balance; Growth and Income Fund, .750 of 1% of the first $75,000,000, .500
of 1% of the balance; Small Company Value Fund, .875 of 1% of the first
$100,000,000, .750 of 1% of the next $100,000,000 and .625 of 1% of net assets
in excess of $200,000,000; Fixed Income Fund, .625 of 1% of the first
$100,000,000, .500 of 1% of the balance; and Municipal Trust Fund, .625 of 1% of
the first $100,000,000, .500 of 1% of the balance. Such fees will be accrued
daily and paid monthly.
For the year ended October 31, 1999, the Advisor reduced its management fees and
reimbursed operating expenses by the amount that total fund operating expenses
exceeded 1.00% of the average daily net assets of the Class A shares and 1.70%
of the average daily net assets of the Class B shares of the Fixed Income Fund
and Municipal Trust Fund and 0.70% of the average daily net assets of the Class
D shares of the Fixed Income Fund. With respect to both Funds, the Advisor has
agreed to a contractual expense limitation to continue this practice through
October 31, 2000. After October 31, 2000, the Advisor may, in its sole
discretion, determine to discontinue this practice with respect to both or
either of such Funds. As a result of the assumption of expenses, the Advisor
reimbursed the Fixed Income Fund and Municipal Trust Fund $157,981 and $163,442,
respectively, during the year ended October 31, 1999.
Pursuant to Rule 12b-1 under the Act, DLJ Winthrop has entered into a
Distribution Services Agreement (the 'Agreement') with Donaldson, Lufkin &
Jenrette Securities Corporation, DLJ Winthrop's Distributor, under which DLJ
Winthrop pays a distribution services fee to the Distributor at an annual rate
of .30 of 1% of the average daily net assets attributable to Class A shares and
1% of the average daily net assets attributable to Class B shares. Under the
Agreement, each Fund is obligated to pay distribution and/or service fees to the
Distributor as compensation for its distribution and service activities, not as
reimbursement for specific expenses incurred. If the Distributor's expenses
exceed its distribution and service fees, the Fund will not be obligated to pay
additional expenses. If the Distributor's expenses are less than such
distribution and service fees, it will retain its full fees and realize a
profit. In addition, the Agreement provides that the Advisor may use its own
resources including fees from investment companies (including DLJ Winthrop) to
finance the distribution of DLJ Winthrop's shares.
Each Trustee who is not an affiliated person receives an attendance fee of
$2,000 per meeting and an annual retainer fee of $2,000. In addition, each
unaffiliated Trustee receives an attendance fee of $500 per audit committee
meeting. Trustees' fees are charged to all series of the Funds and are allocated
on a pro rata basis.
NOTE (C) INVESTMENT TRANSACTIONS: For federal income tax purposes, the cost of
securities owned at October 31, 1999, was substantially the same as the cost of
securities for financial statement purposes. At October 31, 1999, the components
of the net unrealized appreciation (depreciation) on investments were as
follows:
<TABLE>
<CAPTION>
GROWTH AND SMALL COMPANY FIXED MUNICIPAL
GROWTH FUND INCOME FUND VALUE FUND INCOME FUND TRUST FUND
----------- ----------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Gross appreciation (investments having an excess of
value over cost)................................. $70,296,236 $92,976,583 $ 54,899,224 $ 57,607 $ 243,546
Gross depreciation (investments having an excess of
cost over value)................................. (1,407,245) (9,417,619) (2,859,551) (3,527,840) (321,711)
----------- ----------- ------------ ------------ -----------
Net unrealized appreciation (depreciation) of
investments...................................... $68,888,991 $83,558,964 $ 52,039,673 $ (3,470,233) $ (78,165)
----------- ----------- ------------ ------------ -----------
----------- ----------- ------------ ------------ -----------
</TABLE>
For the year ended October 31, 1999, total aggregate purchases and sales of
portfolio securities, excluding short-term securities, were as follows:
<TABLE>
<CAPTION>
GROWTH AND SMALL COMPANY FIXED MUNICIPAL
GROWTH FUND INCOME FUND VALUE FUND INCOME FUND TRUST FUND
----------- ----------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Purchases.......................................... $67,979,860 $97,661,120 $ 67,742,755 $195,217,694 $30,216,238
Sales.............................................. 49,599,055 57,343,222 119,179,102 84,670,622 45,015,132
</TABLE>
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- NOTES TO FINANCIAL STATEMENTS October 31, 1999
(continued)
- --------------------------------------------------------------------------------
NOTE (D) SHARES OF BENEFICIAL INTEREST: There is an unlimited number of shares
($0.01 par value) authorized. Transactions in shares of beneficial interest were
as follows:
<TABLE>
<CAPTION>
GROWTH FUND GROWTH AND INCOME FUND
------------------------------------------------- -------------------------
YEAR ENDED OCTOBER 31, YEAR ENDED OCTOBER 31,
1999 1998 1999
------------------------ ---------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
CLASS A
Shares sold....................... 1,065,641 $ 20,539,658 422,109 $ 6,775,100 678,846 $ 15,276,701
Shares issued through
reinvestment of dividends
and distributions............... 79,584 1,318,711 328,321 4,571,899 614,712 12,914,181
--------- ------------ -------- ----------- ---------- ------------
1,145,225 21,858,369 750,430 11,346,999 1,293,558 28,190,882
--------- ------------ -------- ----------- ---------- ------------
Shares redeemed................... (640,696) (12,397,268) (570,317) (9,018,140) (1,133,237) (25,802,845)
--------- ------------ -------- ----------- ---------- ------------
Net increase (decrease)........... 504,529 $ 9,461,101 180,113 $ 2,328,859 160,321 $ 2,388,037
--------- ------------ -------- ----------- ---------- ------------
--------- ------------ -------- ----------- ---------- ------------
CLASS B
Shares sold....................... 667,503 $ 12,806,960 405,245 $ 6,311,194 397,678 $ 9,035,772
Shares issued through
reinvestment of dividends
and distributions............... 16,719 272,358 48,496 672,194 139,759 2,921,650
--------- ------------ -------- ----------- ---------- ------------
684,222 13,079,318 453,741 6,983,388 537,437 11,957,422
--------- ------------ -------- ----------- ---------- ------------
Shares redeemed................... (177,148) (3,396,569) (100,834) (1,593,002) (254,577) (5,820,349)
--------- ------------ -------- ----------- ---------- ------------
Net increase...................... 507,074 $ 9,682,749 352,907 $ 5,390,386 282,860 $ 6,137,073
--------- ------------ -------- ----------- ---------- ------------
--------- ------------ -------- ----------- ---------- ------------
CLASS D
Shares sold....................... 231,750 $ 4,666,053 2,283,021 $ 54,169,244
Shares issued through
reinvestment of dividends
and distributions............... -- -- 6,193 141,754
--------- ------------ ---------- ------------
231,750 4,666,053 2,289,214 54,310,998
--------- ------------ ---------- ------------
Shares redeemed................... (4,222) (86,670) (240,048) (5,645,239)
--------- ------------ ---------- ------------
Net increase...................... 227,528 $ 4,579,383 2,049,166 $ 48,665,759
--------- ------------ ---------- ------------
--------- ------------ ---------- ------------
<CAPTION>
GROWTH AND INCOME FUND
------------------------
YEAR ENDED OCTOBER 31,
1998
------------------------
SHARES AMOUNT
------ ------
<S> <C> <C>
CLASS A
Shares sold....................... 644,179 $ 14,182,363
Shares issued through
reinvestment of dividends
and distributions............... 360,571 7,446,447
--------- ------------
1,004,750 21,628,810
--------- ------------
Shares redeemed................... (996,891) (21,924,317)
--------- ------------
Net increase (decrease)........... 7,859 $ (295,507)
--------- ------------
--------- ------------
CLASS B
Shares sold....................... 597,420 $ 13,125,998
Shares issued through
reinvestment of dividends
and distributions............... 54,492 1,126,775
--------- ------------
651,912 14,252,773
--------- ------------
Shares redeemed................... (154,355) (3,339,484)
--------- ------------
Net increase...................... 497,557 $ 10,913,289
--------- ------------
--------- ------------
</TABLE>
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- NOTES TO FINANCIAL STATEMENTS October 31, 1999
(continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL COMPANY VALUE FUND FIXED INCOME FUND
----------------------------------------------------- ---------------------------
YEAR ENDED OCTOBER 31, YEAR ENDED OCTOBER 31,
1999 1998 1999
------------------------- ------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
CLASS A
Shares sold................. 531,219 $ 10,797,131 1,284,225 $ 27,801,004 441,735 $ 4,439,974
Shares issued through
reinvestment of dividends
and distributions......... 46,275 936,650 687,065 14,965,287 207,086 2,087,393
---------- ------------ ---------- ------------ ----------- -------------
577,494 11,733,781 1,971,290 42,766,291 648,821 6,527,367
---------- ------------ ---------- ------------ ----------- -------------
Shares redeemed............. (3,582,104) (71,324,894) (1,922,814) (41,663,984) (841,917) (8,495,678)
---------- ------------ ---------- ------------ ----------- -------------
Net increase (decrease)..... (3,004,610) $(59,591,113) 48,476 $ 1,102,307 (193,096) $ (1,968,311)
---------- ------------ ---------- ------------ ----------- -------------
---------- ------------ ---------- ------------ ----------- -------------
CLASS B
Shares sold................. 164,059 $ 3,282,346 518,740 $ 11,401,502 96,962 $ 984,089
Shares issued through
reinvestment of dividends
and distributions......... 790 15,587 45,728 985,428 26,021 262,583
---------- ------------ ---------- ------------ ----------- -------------
164,849 3,297,933 564,468 12,386,930 122,983 1,246,672
---------- ------------ ---------- ------------ ----------- -------------
Shares redeemed............. (366,848) (7,218,047) (201,585) (3,966,398) (227,336) (2,280,058)
---------- ------------ ---------- ------------ ----------- -------------
Net increase (decrease)..... (201,999) $ (3,920,114) 362,883 $ 8,420,532 (104,353) $ (1,033,386)
---------- ------------ ---------- ------------ ----------- -------------
---------- ------------ ---------- ------------ ----------- -------------
CLASS D
Shares sold................. 12,857,121 $ 129,704,316
Shares issued through
reinvestment of dividends
and distributions......... 321,819 3,176,577
----------- -------------
13,178,940 132,880,893
----------- -------------
Shares redeemed............. (1,338,506) (13,268,326)
----------- -------------
Net increase................ 11,840,434 $ 119,612,567
----------- -------------
----------- -------------
<CAPTION>
FIXED INCOME FUND
-------------------------
YEAR ENDED OCTOBER 31,
1998
-------------------------
SHARES AMOUNT
------ ------
<S> <C> <C>
CLASS A
Shares sold................. 864,157 $ 8,849,660
Shares issued through
reinvestment of dividends
and distributions......... 203,755 2,089,567
---------- ------------
1,067,912 10,939,227
---------- ------------
Shares redeemed............. (1,883,198) (19,273,927)
---------- ------------
Net increase (decrease)..... (815,286) $ (8,334,700)
---------- ------------
---------- ------------
CLASS B
Shares sold................. 343,505 $ 3,539,007
Shares issued through
reinvestment of dividends
and distributions......... 14,055 144,410
---------- ------------
357,560 3,683,417
---------- ------------
Shares redeemed............. (130,535) (1,336,628)
---------- ------------
Net increase (decrease)..... 227,025 $ 2,346,789
---------- ------------
---------- ------------
</TABLE>
<TABLE>
<CAPTION>
MUNICIPAL TRUST FUND
-----------------------------------------------------
YEAR ENDED OCTOBER 31,
1999 1998
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------
<S> <C> <C> <C> <C>
CLASS A
Shares sold................. 1,193,944 $ 12,204,296 1,397,039 $ 14,495,430
Shares issued through
reinvestment of dividends
and distributions......... 110,367 1,144,940 118,197 1,231,297
---------- ------------ ---------- ------------
1,304,311 13,349,236 1,515,236 15,726,727
---------- ------------ ---------- ------------
Shares redeemed............. (2,534,110) (26,096,460) (795,577) (8,279,965)
---------- ------------ ---------- ------------
Net increase (decrease)..... (1,229,799) $(12,747,224) 719,659 $ 7,446,762
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
CLASS B
Shares sold................. 19,981 $ 208,455 82,622 $ 859,779
Shares issued through
reinvestment of dividends
and distributions......... 1,941 20,128 1,368 14,267
---------- ------------ ---------- ------------
21,922 228,583 83,990 874,046
---------- ------------ ---------- ------------
Shares redeemed............. (53,743) (551,419) (1,256) (13,078)
---------- ------------ ---------- ------------
Net increase (decrease)..... (31,821) $ (322,836) 82,734 $ 860,968
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for a share of capital stock
outstanding throughout each period presented. This information has been derived
from information provided in the financial statements.
<TABLE>
<CAPTION>
NET
REALIZED AND NET
NET ASSET UNREALIZED DIVIDENDS DISTRIBUTIONS ASSET
VALUE, NET GAINS OR FROM NET FROM VALUE,
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT CAPITAL END TOTAL
OF PERIOD INCOME (LOSS) SECURITIES INCOME GAINS OF PERIOD RETURN'D''D'
--------- ----------------- ------------ ---------- ------------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
GROWTH FUND -- YEARS ENDED OCTOBER 31,
Class A
1999 $16.52 $(0.030)* $5.040 $ -- $(0.260) $21.27 30.77%
1998 14.56 (0.003)* 2.882 (0.017) (0.902) 16.52 21.00
1997 12.69 0.028 3.065 (0.048) (1.175) 14.56 26.48
1996 11.35 0.053 2.107 (0.038) (0.782) 12.69 20.32
1995 10.82 0.037 1.190 (0.012) (0.685) 11.35 12.21
Class B (2)
1999 16.25 (0.165)* 4.925 -- (0.260) 20.75 29.73
1998 14.41 (0.115)* 2.857 -- (0.902) 16.25 20.20
1997 12.63 (0.030) 3.016 (0.031) (1.175) 14.41 25.66
1996 11.88 (0.013) 0.763 -- -- 12.63 6.40
Class D (3)
1999 20.29 0.005* 0.975 -- -- 21.27 4.83
GROWTH AND INCOME FUND -- YEARS ENDED OCTOBER 31,
Class A
1999 $22.60 $ 0.119* $2.872 $(0.091) $(2.010) $23.49 14.37%
1998 20.09 0.202* 3.509 (0.170) (1.031) 22.60 19.14
1997 17.18 0.211 4.588 (0.214) (1.675) 20.09 30.53
1996 14.57 0.266 2.935 (0.241) (0.350) 17.18 22.60
1995 13.38 0.254 1.769 (0.266) (0.567) 14.57 16.10
Class B (2)
1999 22.55 (0.042)* 2.882 (0.010) (2.010) 23.37 13.66
1998 20.06 0.045* 3.500 (0.024) (1.031) 22.55 18.29
1997 17.15 0.079 4.577 (0.071) (1.675) 20.06 29.59
1996 16.05 0.136 1.109 (0.145) -- 17.15 7.67
Class D (4)
1999 23.73 0.098* (0.260) (0.068) -- 23.50 (0.67)
SMALL COMPANY VALUE FUND -- YEARS ENDED OCTOBER 31,
Class A
1999 $19.54 $ 0.058* $1.009 $(0.073) $(0.014) $20.52 5.47%
1998 23.34 0.066* (2.548) (0.063) (1.255) 19.54 (11.20)
1997 18.41 0.073 5.661 (0.081) (0.723) 23.34 32.48
1996 16.61 0.084 2.162 (0.037) (0.409) 18.41 13.80
1995 15.65 0.035 1.621 -- (0.696) 16.61 11.10
Class B (2)
1999 19.23 (0.143)* 1.057 -- (0.014) 20.13 4.75
1998 23.12 (0.089)* (2.546) -- (1.255) 19.23 (11.98)
1997 18.34 (0.021) 5.576 (0.052) (0.723) 23.12 31.55
1996 17.41 (0.023) 0.953 -- -- 18.34 5.28
<CAPTION>
RATIO OF
RATIO OF NET
NET ASSETS EXPENSES INVESTMENT
END OF TO AVERAGE INCOME (LOSS) PORTFOLIO
PERIOD NET TO AVERAGE TURNOVER
(000 OMITTED) ASSETS NET ASSETS RATE
------------- ---------- ------------- ---------
<S> <C> <C> <C> <C>
GROWTH FUND -- YEARS ENDED OCTOBER 31,
Class A
1999 $135,677 1.23% (0.16)% 34.7%
1998 97,078 1.29 (0.02) 21.0
1997 82,926 1.36 0.21 41.1
1996 68,096 1.48 0.47 60.6
1995 55,946 1.63 0.35 101.7
Class B (2)
1999 32,783 1.93 (0.86) 34.7
1998 17,438 1.99 (0.72) 21.0
1997 10,378 2.06 (0.51) 41.1
1996 3,177 2.17 (1) (0.34) (1) 60.6
Class D (3)
1999 4,839 1.17 (1) 0.07 (1) 34.7
GROWTH AND INCOME FUND -- YEARS ENDED OCTOBER 31,
Class A
1999 $174,213 1.11% 0.52% 24.5%
1998 163,936 1.13 0.92 32.7
1997 145,586 1.22 1.15 19.8
1996 113,803 1.36 1.68 44.0
1995 87,975 1.58 1.94 31.8
Class B (2)
1999 41,144 1.81 (0.18) 24.5
1998 33,325 1.83 0.22 32.7
1997 19,664 1.92 0.39 19.8
1996 6,545 1.99 (1) 1.06 (1) 44.0
Class D (4)
1999 48,152 0.97 (1) 0.99 (1) 24.5
SMALL COMPANY VALUE FUND -- YEARS ENDED OCTOBER 31,
Class A
1999 $188,192 1.37% 0.33% 29.6%
1998 237,873 1.29 0.30 41.5
1997 283,001 1.35 0.37 21.1
1996 227,716 1.47 0.48 35.1
1995 202,730 1.64 0.23 25.1
Class B (2)
1999 19,257 2.07 (0.71) 29.6
1998 22,284 1.99 (0.40) 41.5
1997 18,395 2.05 (0.32) 21.1
1996 6,305 2.15 (1) (0.34) (1) 35.1
</TABLE>
- ------------------------------
'D''D' Total return is calculated assuming an initial investment
made at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions at net asset
value during the period, and redemption on the last day of
the period. Initial sales charge or contingent deferred
sales charge is not reflected in the calculation of total
return. Total return calculated for a period of less than
one year is not annualized.
* Based on average shares outstanding.
(1) Annualized
(2) The Funds commenced offering Class B shares on February 28, 1996.
(3) The Growth Fund commenced offering Class D shares on May 13, 1999.
(4) The Growth and Income Fund commenced offering Class D shares on
April 30, 1999.
<PAGE>
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
The table below sets forth financial data for a share of capital stock
outstanding throughout each period presented. This information has been derived
from information provided in the financial statements.
<TABLE>
<CAPTION>
NET
REALIZED AND NET
NET ASSET UNREALIZED DIVIDENDS DISTRIBUTIONS ASSET
VALUE, NET GAINS OR FROM NET FROM VALUE,
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT CAPITAL END TOTAL
OF PERIOD INCOME SECURITIES INCOME GAINS OF PERIOD RETURN'D''D'
--------- ------------- ------------ ---------- ------------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
FIXED INCOME FUND -- YEARS ENDED OCTOBER 31,
Class A
1999 $10.46 $0.496 $(0.525) $(0.496) $(0.105) $ 9.83 (0.26)%
1998 10.16 0.531 0.300 (0.531) -- 10.46 8.46
1997 10.07 0.575 0.090 (0.575) -- 10.16 6.84
1996 10.22 0.577 (0.150) (0.577) -- 10.07 4.34
1995 9.66 0.588 0.560 (0.588) -- 10.22 12.23
Class B (2)
1999 10.46 0.425 (0.525) (0.425) (0.105) 9.83 (0.97)
1998 10.16 0.456 0.300 (0.456) -- 10.46 7.71
1997 10.07 0.504 0.090 (0.504) -- 10.16 6.10
1996 10.22 0.339 (0.150) (0.339) -- 10.07 2.23
Class D (3)
1999 10.09 0.263 (0.260) (0.263) -- 9.83 0.04
MUNICIPAL TRUST FUND -- YEARS ENDED OCTOBER 31,
Class A
1999 $10.53 $0.377 $(0.480) $(0.377) $-- $ 10.05 (1.02)%
1998 10.29 0.383 0.240 (0.383) -- 10.53 6.28
1997 10.01 0.445 0.280 (0.445) -- 10.29 7.37
1996 10.06 0.425 (0.050) (0.425) -- 10.01 3.83
1995 9.51 0.389 0.550 (0.389) -- 10.06 10.06
Class B (2)
1999 10.53 0.305 (0.480) (0.305) -- 10.05 (1.71)
1998 10.29 0.318 0.240 (0.318) -- 10.53 5.54
1997 10.01 0.370 0.280 (0.370) -- 10.29 6.62
1996 10.12 0.248 (0.110) (0.248) -- 10.01 1.42
<CAPTION>
RATIO OF
RATIO OF NET
NET ASSETS EXPENSES INVESTMENT
END OF TO AVERAGE INCOME PORTFOLIO
PERIOD NET TO AVERAGE TURNOVER
(000 OMITTED) ASSETS (4) NET ASSETS (4) RATE
------------- -------------- -------------- ---------
<S> <C> <C> <C> <C>
FIXED INCOME FUND -- YEARS ENDED OCTOBER 31,
Class A
1999 $43,060 1.00% 4.91% 84.3%
1998 47,834 1.00 5.24 114.0
1997 54,755 1.00 5.74 119.3
1996 56,388 1.00 5.72 90.2
1995 53,885 1.00 5.90 66.1
Class B (2)
1999 4,471 1.70 4.21 84.3
1998 5,849 1.70 4.50 114.0
1997 3,375 1.70 4.99 119.3
1996 1,629 1.70 (1) 5.03 (1) 90.2
Class D (3)
1999 116,424 0.70 (1) 6.30 (1) 84.3
MUNICIPAL TRUST FUND -- YEARS ENDED OCTOBER 31,
Class A
1999 $29,912 1.00% 3.65% 76.5%
1998 44,306 1.00 3.78 51.5
1997 35,878 0.70 4.38 84.3
1996 38,794 0.80 4.26 79.3
1995 39,059 1.00 3.97 49.3
Class B (2)
1999 1,044 1.70 2.94 76.5
1998 1,430 1.70 3.04 51.5
1997 546 1.40 3.66 84.3
1996 489 1.23 (1) 3.81 (1) 79.3
</TABLE>
- ------------------------------
'D''D' Total return is calculated assuming an initial investment
made at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions at net asset
value during the period, and redemption on the last day of
the period. Initial sales charge or contingent deferred
sales charge is not reflected in the calculation of total
return. Total return calculated for a period of less than
one year is not annualized.
(1) Annualized
(2) The Funds commenced offering Class B shares on February 28, 1996.
(3) The Fixed Income Fund commenced offering Class D shares on
April 30, 1999.
(4) Net of voluntary assumption by Advisor of expenses,
expressed as a percentage of average net assets, as follows:
Fixed Income Fund Class A shares, .14%, .30%, .30%, .34% and
.51%, for the years ended 10/31/99, 98, 97, 96 and 95,
respectively; Fixed Income Fund Class B shares, .14%, .30%
and .30% for the years ended 10/31/99, 98 and 97,
respectively, and .34% (annualized) for the period 2/28/96
through 10/31/96, Fixed Income Fund Class D shares, .14%
(annualized) for the period 4/30/99 through 10/31/99;
Municipal Trust Fund Class A shares, .42%, .41%, .74%, .64%
and .58% for the years ended 10/31/99, 98, 97, 96 and 95,
respectively, and Municipal Trust Fund Class B shares, .42%,
.41% and .74% for the years ended 10/31/99, 98 and 97,
respectively, and .64% (annualized) for the period 2/28/96
through 10/31/96.
<PAGE>
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
- --------------------------------------------------------------------------------
Shareholders and Board of Trustees
DLJ Winthrop Focus Funds
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of DLJ Winthrop Focus Funds (comprising,
respectively, DLJ Winthrop Fixed Income Fund, DLJ Winthrop Growth Fund, DLJ
Winthrop Growth and Income Fund, DLJ Winthrop Municipal Trust Fund and DLJ
Winthrop Small Company Value Fund) as of October 31, 1999, and the related
statement of operations for the year then ended, the statement of changes in net
assets for each of the two years in the period then ended and financial
highlights for each of the periods indicated therein. These financial statements
and financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of October 31, 1999 by correspondence with the custodian and
brokers. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Funds constituting DLJ Winthrop Focus Funds at October 31,
1999, the results of their operations for the year then ended, the changes in
their net assets for each of the two years in the period then ended and the
financial highlights for each of the indicated periods, in conformity with
generally accepted accounting principles.
ERNST & YOUNG LLP
New York, New York
December 27, 1999
<PAGE>
DLJ WINTHROP FOCUS FUNDS -- TAX INFORMATION (unaudited)
- --------------------------------------------------------------------------------
We are required by Subchapter M of the Internal Revenue Code of 1986 to advise
you as to the federal tax status of distributions received by shareholders
during the Funds' fiscal year ended October 31, 1999. Accordingly, we are
advising you that the following distributions paid during the fiscal year by the
Funds were derived from the following sources:
<TABLE>
<CAPTION>
ORDINARY INCOME
DISTRIBUTIONS PER SHARE
--------------------------
TAX ALTERNATIVE FROM FROM FROM
EXEMPT MINIMUM TAX INVESTMENT SHORT-TERM LONG-TERM
FUND INCOME* INCOME INCOME CAPITAL GAINS CAPITAL GAINS
- ---- ------- ------ ------ ------------- -------------
<S> <C> <C> <C> <C> <C>
DLJ Winthrop Growth Fund -- Class A................. $ -- $ -- $ -- $ -- $0.260
DLJ Winthrop Growth Fund -- Class B................. -- -- -- -- 0.260
DLJ Winthrop Growth and Income Fund -- Class A...... -- -- 0.091 -- 2.010
DLJ Winthrop Growth and Income Fund -- Class B...... -- -- 0.010 -- 2.010
DLJ Winthrop Growth and Income Fund -- Class D...... -- -- 0.068 -- --
DLJ Winthrop Small Company Value Fund -- Class A.... -- -- 0.073 -- 0.014
DLJ Winthrop Small Company Value Fund -- Class B.... -- -- -- -- 0.014
DLJ Winthrop Fixed Income Fund -- Class A........... -- -- 0.496 0.050 0.055
DLJ Winthrop Fixed Income Fund -- Class B........... -- -- 0.425 0.050 0.055
DLJ Winthrop Fixed Income Fund -- Class D........... -- -- 0.263 -- --
DLJ Winthrop Municipal Trust Fund -- Class A........ 0.335 0.042 0.001 -- --
DLJ Winthrop Municipal Trust Fund -- Class B........ 0.270 0.034 0.001 -- --
</TABLE>
- ----------------------
*Federally exempt interest dividends.
Because each Fund's fiscal year is not the calendar year, calendar year
taxpayers should use the dollar amounts and the nature of those amounts
referenced on Form 1099-Div which will be mailed to you in late January, 2000.
Included with your 1099-Div will be a notice identifying the percentage of
ordinary dividends paid in 1999 which were derived from Federal obligations. In
addition, for use by our DLJ Winthrop Municipal Trust shareholders, a schedule
referencing the source of federal tax exempt income identified by state will be
provided. Shareholders are advised to consult their own tax advisors with
respect to the tax consequences of their investments in each Fund.
<PAGE>
TRUSTEES
G. Moffett Cochran Carl B. Menges William C. Simpson
Robert L. Bast John J. Sheehan Peter F. Krogh
James A. Engle Dennis G. Little Stephen K. West
Stig Host William H. Mathers
OFFICERS
G. Moffett Cochran, Chairman and President
Sam M. D'Agostino, Vice President
James A. Engle, Vice President
Martin Jaffe, Vice President, Treasurer and Secretary
Richard J. Hanlon, Vice President
Cathy A. Jameson, Vice President
Brian A. Kammerer, Vice President
Marybeth B. Leithead, Vice President
Hugh M. Neuburger, Vice President
Roger W. Vogel, Vice President
INVESTMENT ADVISOR
DLJ Asset Management Group, Inc.
An Investment Management Subsidiary of
Donaldson, Lufkin & Jenrette
277 Park Avenue, New York, NY 10172
CUSTODIAN
Citibank, N.A.
111 Wall Street, New York, NY 10043
TRANSFER AGENT
PFPC, Inc.
P.O. Box 61787 (211 South Gulph Road)
King of Prussia, PA 19406-0903
DISTRIBUTOR
Donaldson, Lufkin & Jenrette Securities Corporation
277 Park Avenue, New York, NY 10172
INDEPENDENT AUDITORS
Ernst & Young LLP
787 Seventh Avenue, New York, NY 10019
LEGAL COUNSEL
Sullivan & Cromwell
125 Broad Street, New York, NY 10004
This report is submitted for the general information of the stockholders
of the Fund. It is not authorized for distribution to prospective investors
in the Fund unless preceded or accompanied by an effective prospectus,
which should be read carefully before investing.
[DLJ Logo]
277 Park Avenue, New York, NY 10172
800-225-8011
ANN-FOCUS99
ANNUAL REPORT
[DLJ Logo]
Leadership through
Experience
DLJ Winthrop
Fixed Income Fund
DLJ Winthrop
Growth Fund
DLJ Winthrop
Growth and Income Fund
DLJ Winthrop
Municipal Trust Fund
DLJ Winthrop
Small Company Value Fund
October 31, 1999
STATEMENT OF DIFFERENCES
------------------------
The dagger symbol shall be expressed as ................................... 'D'
