<PAGE>
-----------------------------
THE BRINSON FUNDS
BRINSON U.S. BALANCED FUND
BRINSON U.S. EQUITY FUND
BRINSON U.S. BOND FUND
ANNUAL REPORT
JUNE 30, 1996
GLOBAL INSTITUTIONAL ASSET MANAGEMENT
-----------------------------
CHICAGO.BASEL.LONDON.MELBOURNE.NEW YORK.PARIS.SINGAPORE.SYDNEY.TOKYO
<PAGE>
TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
LOGO
TRUSTEES
Walter E. Auch
Frank K. Reilly, CFA
Edward M. Roob
OFFICERS
Frank K. Reilly, CFA Carolyn M. Burke, CPA
Chairman of the Board
Assistant Secretary
E. Thomas McFarlan Catherine E. Macrae
President and Treasurer
Assistant Secretary
Thomas J. Digenan, CPA Debra L. Nichols
Assistant Treasurer
Assistant Secretary
Bruce G. Leto
Secretary
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1
<PAGE>
THE FUNDS' ADVISOR -- BRINSON PARTNERS, INC.
- --------------------------------------------------------------------------------
LOGO
Brinson Partners, Inc. is an institutional investment management firm structured
around teams of investment specialists covering major world asset classes. We
specialize in managing multiple asset portfolios that provide clients with the
opportunity to participate in all major world asset classes. It is important
that investment decisions, whether they pertain to a global portfolio or a
single asset class portfolio, be made within the context of a global capital
market perspective. Our coordinated application of investment strategies
distinguishes Brinson Partners, Inc. as a leader in global investment
management of institutional assets.
We firmly believe that asset allocation is portfolio management at its highest
and most important level. Performance is maximized through a comprehensive
understanding of global investment markets and their interrelationships.
Portfolio structure is tailored to specific client objectives and focused upon
both risk and return considerations in the context of full long-term investment
cycles.
At Brinson Partners, Inc., our investment decisions are based on fundamental
research, internally developed valuation systems and seasoned judgment. Our
independent team approach allows for rapid responses to market changes, while
providing each client with the benefit of our best talent and the flexibility
to customize portfolios to meet unique requirements.
------------------------------------------------------------
2
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LOGO
Shareholder Letter............................................................ 4
U.S. Economic and Market Highlights........................................... 5
U.S. Balanced Fund............................................................ 6
Schedule of Investments...................................................... 9
Financial Statements.........................................................12
Financial Highlights.........................................................15
U.S. Equity Fund..............................................................17
Schedule of Investments......................................................20
Financial Statements.........................................................22
Financial Highlights.........................................................25
U.S. Bond Fund................................................................27
Schedule of Investments......................................................29
Financial Statements.........................................................30
Financial Highlights.........................................................33
The Brinson Funds--Notes to Financial Statements..............................35
Report of Independent Auditors................................................38
Special Meeting of Shareholders...............................................39
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3
<PAGE>
SHAREHOLDER LETTER
- --------------------------------------------------------------------------------
LOGO
August 19, 1996
Dear Shareholder:
We appreciate the confidence you have placed in us and are pleased to present
you with the June 30, 1996 Annual Report for the U.S. Balanced Fund, U.S.
Equity Fund and U.S. Bond Fund. This Report presents our current U.S. economic
and market outlook, as well as the Funds' recent investment strategies and
performance. To summarize this information:
U.S. Balanced Fund
For the period from December 31, 1994 (performance inception date) to June 30,
1996, the Fund has provided an annualized total return of 18.71%. In the first
half of 1996, the Fund returned 3.05%.
The Fund's market allocation has been characterized by an underweight in the
U.S. equity market and an overweight to the U.S. bond market where return and
risk characteristics are presently more attractive.
U.S. Equity Fund
For the period from February 28, 1994 (performance inception date) to June 30,
1996, the Fund provided an annualized total return of 20.23%. The Fund
returned 11.23% in the first half of 1996.
Fund strategy presently maintains a modest overweight in stocks with high book-
to-price, earnings variability and financial leverage characteristics. In
addition, the Fund is underweighted the foreign earnings exposure embedded in
U.S. corporate earnings, particularly relative to the S&P 500. Current industry
positions include relative overweights in capital goods, banks, transportation,
insurance and autos/durables issues. The Fund remains underweighted in
technology, utility, consumer non-durable and retail/apparel stocks.
U.S. Bond Fund
For the period from August 31, 1995 (performance inception date) to June 30,
1996, the Fund returned 3.60%. In the first half of 1996, the Fund returned -
1.79%.
The strategic duration of the U.S. Bond Fund was lengthened from 1.20 to 1.25
times benchmark duration in late July. Since early March, intermediate and
long-term U.S. interest rates have risen an additional fifty basis points.
Market yields are now about 100 basis points above our equilibrium estimates.
The increase in market yields reflected the worries of many bond market
investors that stronger U.S. macroeconomic activity, tighter labor markets and
higher inflation would lead to Federal Reserve tightening. We believe these
risks are diminishing and that U.S. economic growth will slow in the second
half of 1996 thus producing a more favorable environment for exposure to U.S.
interest rates.
We look forward to the challenges ahead and, as always, welcome your comments
and suggestions.
Sincerely,
/s/ Gary P. Brinson
Gary P. Brinson, CFA
President and Chief Investment Officer
Brinson Partners, Inc.
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4
<PAGE>
U.S. ECONOMIC AND MARKET HIGHLIGHTS
- --------------------------------------------------------------------------------
LOGO
Most indications point to continued modest growth this year, although with
typical fluctuations. Recently, real GDP has grown at a rate well above market
expectations, and recent employment data has also been stronger than expected.
This has led to weakness in the bond market, despite little evidence for a
causal link from employment to inflation.
After showing relatively strong price pressure in the first four months of the
year from increases in food and energy prices, the May and June CPI reports
showed a slackening of inflationary pressure. Looking forward, temporary
supply-demand imbalances should have no long-term impact on inflation.
Fiscal policy issues, including the federal budget deficit, have effectively
been put on hold during the run-up to the election. Despite the political
posturing, continued reduction in the deficit is likely to persist in the long
run. This is exemplified by the Administration's latest estimate of the current
year's deficit: $117 billion, down from the March estimate of $146 billion.
U.S. ENVIRONMENT
MAJOR MARKETS
Six Months Ended June 30, 1996
Total Return
[CHART APPEARS HERE]
U.S. Cash Equivalents 2.53
U.S. Bonds -1.25
U.S. Equities 10.27
SALOMON U.S. TREASURY BENCHMARK RETURNS
Six Months Ended June 30, 1996
Total Return
[CHART APPEARS HERE]
Maturity (Years)
1 2.41
2 1.16
3 0.29
5 -1.76
10 -5.01
30 -9.34
TOP TEN INDUSTRY RETURNS RELATIVE TO S&P 500
Six Months Ended June 30, 1996
[CHART APPEARS HERE]
1. Oil Service
2. Cosmetics
3. Leisure, Luxury
4. Real Property
5. Retail (Other)
6. Apparel, Textiles
7. Motor Vehicles
8. Misc. Finance
9. Business Machines
10. Beverages
Source: BARRA
BOTTOM TEN INDUSTRY RETURNS RELATIVE TO S&P 500
Six Months Ended June 30, 1996
[CHART APPEARS HERE]
1. Electric Utilities
2. Liquor
3. Paper
4. Telephone, Telegraph
5. Aluminum
6. Other Insurance
7. Foreign Petroleum
8. Trucking, Freight
9. Iron & Steel
10. Coal & Uranium
Source: BARRA
-------------------------------------------------------------
5
<PAGE>
U.S. BALANCED FUND
- --------------------------------------------------------------------------------
LOGO
The U.S. Balanced Fund is an actively managed, diversified portfolio that
provides integrated asset management across and within U.S. stocks, bonds and
cash. The investment process is strategic in nature and is driven by deviations
of market price from fundamental value. We believe this philosophy offers the
greatest potential for achieving enhanced long-term returns, while controlling
risk.
The Brinson U.S. Balanced Fund has provided an annualized return of 18.71%
since its inception on December 31, 1994. This compares with the corresponding
23.59% return of its benchmark, the U.S. Balanced Mutual Fund Index. For the
year ended June 30, 1996, the Fund produced a total return of 13.52% compared
to the benchmark return of 18.45%. In the first half of 1996, the Fund returned
3.05% while the benchmark returned 6.14%.
The primary positive contributor to performance in the first half of 1996 was
security selection within the equity component of the Fund. However, this was
not large enough to overcome the negative impact of the underweight in equities
and overweight in bonds.
In the first six months of 1996, the bond market suffered losses, with the
Salomon BIG Index showing a decline of 1.25%. Stronger than expected economic
news and resurgent inflation fears caused an increase in volatility and
resulted in yields moving back up. Equities were not adversely affected in the
first half, as the Wilshire 5000 Index posted a 10.27% gain.
Strategy within the Fund continues to focus on reducing the risk in the
overpriced equity market. The increased level of the equity market drove prices
to levels well in excess of fundamental value. The market had yet to reflect
the less robust quarterly earnings comparisons that are now starting to emerge.
Strategy within the equity portion of the Fund reflects an underweight in
exposure to companies with foreign earnings, consistent with an underpriced
U.S. dollar.
The rise in yields in the first half of the year caused bonds to become more
attractive, with yields in excess of those required as compensation for the
risk of owning bonds. Our outlook is for inflation to remain relatively benign,
which should produce attractive real returns for bondholders. Within the bond
segment of the Fund, higher duration bonds are overweighted as the intermediate
and long segments of the yield curve are more attractive than the short end.
------------------------------------------------------------
6
<PAGE>
U.S. BALANCED FUND
- --------------------------------------------------------------------------------
TOTAL RETURN
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 12/31/94*
6/30/96 6/30/96 to 6/30/96
- --------------------------------------------------------------
<S> <C> <C> <C>
BRINSON U.S. BALANCED FUND 3.05% 13.52% 18.71%
- --------------------------------------------------------------
U.S. Balanced Mutual Fund Index** 6.14 18.45 23.59
- --------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson U.S. Balanced Fund.
**An un-managed index compiled by the Advisor, constructed as follows: 65%
Wilshire 5000 Index and 35% Salomon Brothers Broad Investment Grade Bond Index.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000
This chart shows the growth adjustment has been made for
in the value of an any income taxes payable by
investment in the Brinson shareholders on income
U.S. Balanced Fund and the dividends and capital gain
U.S. Balanced Mutual Fund distributions. Past
Index if you had invested performance is no guarantee
$100,000 on December 31, of future results. Share
1994, and had reinvested all price and return will vary
your income dividends and with market conditions;
capital gain distributions investors may realize a gain
through June 30, 1996. No or loss upon redemption.
BRINSON U.S. BALANCED FUND
VS. U.S. BALANCED MUTUAL FUND INDEX
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
12/31/94 6/30/96
-------- --------
Brinson U.S. Balanced Fund $100,000 $129,312
U.S. Balanced Mutual Fund Index $100,000 $137,403
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
LOGO
------------------------------------------------------------
7
<PAGE>
U.S. BALANCED FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 1996
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals.............................................................. 0.34%
Housing/Paper.......................................................... 1.55
Metals................................................................. 0.15
-----
2.04
Capital Investment
Capital Goods.......................................................... 3.87
Technology............................................................. 1.74
-----
5.61
Consumer
Autos/Durables......................................................... 0.44
Discretionary.......................................................... 3.07
Health: Drugs.......................................................... 3.17
Health: Non-Drugs...................................................... 1.60
Non-Durables........................................................... 4.55
Retail/Apparel......................................................... 1.87
-----
14.70
Energy.................................................................. 2.24
Financial
Banks.................................................................. 4.74
Non-Banks.............................................................. 4.27
-----
9.01
</TABLE>
<TABLE>
<S> <C>
Services................................................................ 2.78%
Transportation.......................................................... 2.09
Utilities............................................................... 1.70
Miscellaneous........................................................... 1.18
------
Total U.S. Equities.................................................. 41.35*
------
U.S. BONDS
Corporate Bonds
Asset-Backed........................................................... 1.83
CMO.................................................................... 0.53
Consumer............................................................... 1.32
Financial.............................................................. 2.22
Industrial............................................................. 0.52
Telecommunications..................................................... 0.69
------
7.11
International Dollar Bonds.............................................. 4.03
U.S. Government Agencies................................................ 17.87
U.S. Government Obligations............................................. 26.73
------
Total U.S. Bonds..................................................... 55.74*
------
SHORT-TERM INVESTMENTS.................................................. 6.76*
------
TOTAL INVESTMENTS.................................................... 103.85
LIABILITIES, LESS
CASH AND OTHER ASSETS.................................................. (3.85)
------
NET ASSETS.............................................................. 100.00%
======
</TABLE>
*The Fund held a long position in U.S. Treasury futures on
June 30, 1996 which increased U.S. bond exposure from
55.74% to 59.30%. The Fund also held a short position in
stock index futures which reduced U.S. equity exposure from
41.35% to 34.54%. These two adjustments result in a net
increase in the Fund's exposure to Short-Term Investments
from 6.76% to 10.01%.
ASSET ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
CURRENT
BENCHMARK STRATEGY
- ------------------------------------
<S> <C> <C>
U.S. Equity 65% 35%
U.S. Bonds 35 60
Cash Equivalents 0 5
- ------------------------------------
100% 100%
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
- --------------------------------------------
<S> <C>
1. Citicorp 2.16%
2. Lockheed Martin Corp. 2.11
3. Chase Manhattan Corp. 1.80
4. Burlington Northern Santa Fe 1.64
5. Enron Corp. 1.60
6. Avon Products, Inc. 1.44
7. Schering Plough Corp. 1.31
8. Kimberly-Clark Corp. 1.25
9. Mattel, Inc. 1.18
10. Aon Corp. 1.12
- --------------------------------------------
</TABLE>
------------------------------------------------------------
- ---------------
8
<PAGE>
U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
U.S. Equities -- 41.35%
Aetna Life & Casualty Co................................... 24,900 $ 1,780,350
Allergan, Inc.............................................. 41,500 1,628,875
Allstate Corp.............................................. 23,600 1,076,750
Alza Corp. (b)............................................. 40,500 1,108,688
American Mobile Satellite Corp., Inc. (b).................. 4,300 66,650
Aon Corp................................................... 50,500 2,562,875
Automatic Data Processing, Inc............................. 47,400 1,830,825
Avon Products, Inc......................................... 72,800 3,285,100
Bard (C.R.), Inc........................................... 25,100 853,400
Beckman Instruments, Inc................................... 16,200 615,600
Biogen, Inc. (b)........................................... 3,800 208,525
Birmingham Steel Corp...................................... 16,300 266,913
Boeing Co.................................................. 10,700 932,238
Boston Technology, Inc. (b)................................ 16,200 273,375
Brinker International, Inc. (b)............................ 11,700 175,500
Burlington Northern Santa Fe............................... 46,300 3,744,513
Centerior Energy Co........................................ 34,000 250,750
Chase Manhattan Corp....................................... 58,400 4,124,500
CIGNA Corp................................................. 20,100 2,369,288
Citicorp................................................... 59,900 4,949,237
CMS Energy Corp............................................ 44,200 1,364,675
Coca Cola Enterprises, Inc................................. 38,800 1,343,450
Comerica, Inc.............................................. 11,100 495,337
Comverse Technology, Inc. (b).............................. 12,400 378,200
Cooper Cameron Corp. (b)................................... 5,730 250,687
Corning, Inc............................................... 63,200 2,425,300
Dial Corp.................................................. 33,100 947,488
EMC Corp./Mass (b)......................................... 46,000 856,750
Enron Corp................................................. 89,300 3,650,138
Entergy Corp............................................... 12,300 349,012
Federal Express Corp. (b).................................. 4,800 393,600
Federated Department Stores (b)............................ 43,100 1,470,787
FileNet Corp. (b).......................................... 6,200 226,300
First Data Corp............................................ 12,129 965,772
Food Lion, Inc. Class A.................................... 57,500 456,406
Ford Motor Co.............................................. 40,800 1,320,900
Forest Laboratories, Inc. (b).............................. 27,500 1,062,187
Gannett Co., Inc........................................... 27,000 1,910,250
General Instrument Corp. (b)............................... 64,600 1,865,325
Genzyme Corp. (b).......................................... 5,300 266,325
Goodyear Tire & Rubber Co.................................. 48,500 2,340,125
Health Care and Retirement Corp. (b)....................... 21,750 516,563
Honeywell, Inc............................................. 32,700 1,782,150
Inland Steel Industries, Inc............................... 10,400 204,100
Interpublic Group of Companies, Inc........................ 20,100 942,187
James River Corp. of Virginia.............................. 23,300 614,537
Kimberly-Clark Corp........................................ 37,000 2,858,250
Kroger Co. (b)............................................. 17,000 671,500
Lockheed Martin Corp....................................... 57,300 4,813,200
Lyondell Petrochemical Co.................................. 44,300 1,068,737
Magna Group, Inc........................................... 7,200 172,800
Manor Care, Inc............................................ 26,500 1,043,437
Mattel, Inc................................................ 94,250 2,697,906
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Melville Corp.......................................... 55,000 $ 2,227,500
Nabisco Holdings Corp. Class A......................... 5,200 183,950
National Semiconductor Corp. (b)....................... 47,200 731,600
Nextel Communications, Inc. Class A (b)................ 40,700 775,844
Old Republic International Corp........................ 23,450 507,106
Owens Illinois, Inc. (b)............................... 36,200 579,200
Pentair, Inc........................................... 19,000 570,000
Pfizer, Inc............................................ 2,700 192,713
Philip Morris Companies, Inc........................... 8,600 894,400
RJR Nabisco Convertible Preferred "C".................. 131,600 855,400
RJR Nabisco Holdings Corp.............................. 13,040 404,240
Schering Plough Corp................................... 47,700 2,993,175
Seagate Technology, Inc. (b)........................... 12,600 567,000
Sprint Corp............................................ 31,600 1,327,200
State Street Boston Corp............................... 9,600 489,600
Timken Co.............................................. 11,300 437,875
Transamerica Corp...................................... 11,300 923,775
Tyson Foods, Inc. Class A.............................. 33,600 919,800
Ultramar Corp.......................................... 17,700 513,300
US Bancorp............................................. 27,600 997,050
USF&G Corp............................................. 36,700 600,963
Westvaco Corp.......................................... 9,650 288,294
Whitman Corp........................................... 17,000 410,125
WMX Technologies, Inc.................................. 51,400 1,683,350
York International Corp................................ 5,600 289,800
360 Communications Co. (b)............................. 14,100 338,400
------------
Total U.S. Equities (Cost $77,173,388)................. 94,529,993
------------
<CAPTION>
FACE
AMOUNT VALUE
---------- ------------
<S> <C> <C>
Bonds -- 55.74%
U.S. CORPORATE BONDS -- 7.11%
American Express Credit Account Master Trust 96-1A
6.800%, due 12/15/03.................................. $1,280,000 $ 1,285,504
Bell South Corp. 0.000%, due 12/15/15.................. 3,175,000 635,010
Chrysler Financial Corp. MTN 6.500%, due 08/21/97...... 1,000,000 1,002,990
Dayton Hudson Credit Card 95-1 6.100%, due 09/25/98.... 2,000,000 1,990,960
Ford Motor Credit Corp. MTN 5.370%, due 09/08/98....... 945,000 922,462
GE Capital Mtg. Services, Inc. 94-10A 6.500%, due
03/25/24.............................................. 1,512,666 1,204,566
GMAC MTN 6.750%, due 06/10/02.......................... 1,000,000 983,670
Grace W.R. & Co. 8.000%, due 08/15/04.................. 1,150,000 1,195,000
Nationwide CSN Trust 9.875%, due 02/15/25.............. 1,000,000 1,099,173
News America Corp. 7.750%, due 01/20/24................ 1,000,000 928,262
Standard Credit Card Trust 94-1A 4.650%, due 02/07/97.. 2,000,000 1,985,140
TCI Communication 6.820%, due 09/15/10................. 2,100,000 2,092,119
</TABLE>
- --------------------------------------------------------------------------------
9
<PAGE>
U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
---------- -----------
<S> <C> <C>
Time Warner Entertainment, Inc.
9.150%, due 02/01/23................................... $ 430,000 $ 444,916
8.375%, due 03/15/23................................... 500,000 485,548
-----------
16,255,320
-----------
INTERNATIONAL DOLLAR BONDS--4.03%
Bangkok Bank Public Co. Ltd. 7.250%, due 09/15/05....... 2,100,000 2,028,810
Hanson PLC Notes 6.750%, due 09/15/05................... 1,000,000 958,955
International Bank for Reconstruction & Development
6.375%, due 07/21/05................................... 1,500,000 1,439,499
Petroliam Nasional 7.125%, due 08/15/05................. 1,500,000 1,479,639
Republic of Italy 6.875%, due 09/27/23.................. 1,500,000 1,348,594
S.E. Banken 144-A 6.625%, due 03/12/01.................. 2,000,000 1,948,200
-----------
9,203,697
-----------
U.S. GOVERNMENT AGENCIES--17.87%
Federal Home Loan Mortgage Corp. 8.250%, due 08/15/23... 1,695,000 1,750,617
Federal Home Loan Mortgage Corp. Gold
8.000%, due 05/01/23................................... 928,443 936,850
9.000%, due 03/01/24................................... 467,845 491,060
9.500%, due 04/01/25................................... 1,530,375 1,625,538
Federal National Mortgage Association
7.000%, due 03/01/03................................... 2,055,000 2,047,294
6.000%, due 12/25/08................................... 2,600,000 2,295,514
6.700%, due 08/25/20................................... 3,860,000 3,619,599
8.000%, due 06/01/24................................... 319,102 321,593
8.000%, due 07/01/24................................... 18,032 18,173
8.000%, due 08/01/24................................... 42,378 42,709
8.000%, due 11/01/24................................... 23,832 24,018
8.000%, due 03/01/25................................... 206,820 208,434
8.000%, due 04/01/25................................... 676,076 681,353
7.500%, due 05/01/25................................... 1,561,833 1,541,810
8.000%, due 05/01/25................................... 1,818,141 1,832,330
8.000%, due 06/01/25................................... 1,540,977 1,553,004
6.000%, due 03/01/26................................... 1,850,000 1,730,314
6.500%, due 03/01/26................................... 603,222 564,196
7.000%, due 03/01/26................................... 4,695,000 4,517,435
Federal National Mortgage Association
Principal Strip 0.000%, due 11/22/01(c)................ 2,400,000 2,343,360
Government National Mortgage Association
11.000%, due 09/15/15.................................. 388,028 434,225
7.750%, due 06/16/20................................... 600,000 613,406
8.000%, due 08/15/22................................... 1,049,680 1,063,965
7.000%, due 06/15/23................................... 430,480 412,854
7.000%, due 07/15/23................................... 451,385 432,903
7.000%, due 09/15/23................................... 99,483 95,410
9.000%, due 07/15/24................................... 194,488 203,482
8.500%, due 11/15/24................................... 186,892 192,147
8.500%, due 01/15/25................................... 408,634 420,124
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
----------- ------------
<S> <C> <C>
9.000%, due 05/15/25................................. $ 507,805 $ 531,288
7.500%, due 06/15/25................................. 2,186,028 2,154,134
8.000%, due 02/15/26................................. 2,489,061 2,522,937
7.500%, due 03/15/26................................. 2,250,000 2,216,936
6.500%, due 03/20/26................................. 1,503,472 1,391,170
------------
40,830,182
------------
U.S. GOVERNMENT OBLIGATIONS--26.73%
U.S. Treasury Notes and Bonds
5.500%, due 11/15/98................................. 6,975,000 6,866,016
6.375%, due 03/31/01................................. 11,785,000 11,729,752
5.750%, due 08/15/03................................. 15,025,000 14,297,219
6.500%, due 05/15/05................................. 8,625,000 8,503,707
8.125%, due 05/15/21................................. 1,480,000 1,667,312
U.S. Treasury Principal Strips
0.000%, due 11/15/04................................. 16,725,000 9,547,132
0.000%, due 05/15/05................................. 9,860,000 5,429,113
0.000%, due 02/15/15................................. 4,990,000 1,348,647
0.000%, due 08/15/15................................. 1,470,000 382,876
0.000%, due 11/15/15................................. 5,240,000 1,338,610
------------
61,110,384
------------
Total U.S. Bonds (Cost $128,481,496).................. 127,399,583
------------
SHORT-TERM INVESTMENTS--6.76%
U.S. GOVERNMENT OBLIGATIONS--0.34%
U.S. Treasury Bills
5.030%, due 11/14/96................................. 15,000 14,715
5.050%, due 11/14/96................................. 55,000 53,951
5.140%, due 11/14/96................................. 710,000 696,213
------------
764,879
------------
COMMERCIAL PAPER--6.42%
Airtouch Communications, Inc. 5.480%, due 07/01/96.... 1,000,000 1,000,000
Dial Corp. 5.550%, due 07/17/96....................... 2,000,000 1,995,067
FMC Corp. 5.480%, due 07/08/96........................ 1,500,000 1,498,401
The Limited, Inc., 5.650%, due 07/01/96............... 2,000,000 2,000,000
Lockheed Martin Corp. 5.630%, due 07/01/96............ 4,216,000 4,216,000
Melville Corp. 5.650%, due 07/01/96................... 2,500,000 2,500,000
PS Colorado Credit Corp. 5.550%, due 07/02/96......... 1,500,000 1,499,769
------------
14,709,237
------------
Total Short-Term Investments (Cost $15,474,116)....... 15,474,116
------------
Total Investments
(Cost $221,129,000)--103.85%(a)...................... 237,403,692
------------
Liabilities, less cash and other assets--(3.85%)...... (8,795,399)
------------
Net Assets--100%...................................... $228,608,293
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
10
<PAGE>
U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $221,129,000; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $18,777,078
Gross unrealized depreciation................................ (2,502,386)
-----------
Net unrealized appreciation................................ $16,274,692
===========
</TABLE>
(b) Non-income producing security
(c) Interest rate 0.00% until 11/01/96, 7.94%, until maturity
MTN: Medium term note
FUTURES CONTRACTS (NOTE 4)
The U.S. Balanced Fund had the following open futures contracts as of June 30,
1996:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST/PROCEEDS VALUE GAIN/(LOSS)
---------- ------------- ----------- -----------
<S> <C> <C> <C> <C>
INTEREST RATE FUTURES
BUY CONTRACTS
5 Year U.S. Treasury
Note, 36 contracts..... Sept. 1996 $ 1,863,625 $ 1,862,031 $(1,594)
10 Year U.S. Treasury
Note, 23 contracts..... Sept. 1996 2,473,937 2,472,500 (1,437)
30 Year U.S. Treasury
Bond, 17 contracts..... Sept. 1996 3,811,125 3,807,000 (4,125)
INDEX FUTURES SALE CON-
TRACTS
Standard & Poors 500, 46
contracts.............. Sept. 1996 15,637,700 15,566,400 71,300
-------
Total................. $64,144
=======
</TABLE>
The aggregate market value of investments pledged to cover margin requirements
for the open futures positions at June 30, 1996 was $764,879.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
11
<PAGE>
U.S. BALANCED FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $221,129,000) (Note 1)............... $237,403,692
Receivables:
Investment securities sold...................................... 9,757,122
Dividends....................................................... 117,126
Interest........................................................ 1,308,008
Fund shares sold................................................ 112,481
Due from Advisor (Note 2)....................................... 116,395
Other assets..................................................... 54,849
------------
TOTAL ASSETS.................................................. 248,869,673
------------
LIABILITIES:
Payables:
Investment securities purchased................................. 19,680,997
Fund shares redeemed............................................ 366,239
Variation margin (Note 4)....................................... 32,031
Accrued expenses................................................ 182,113
------------
TOTAL LIABILITIES............................................. 20,261,380
------------
NET ASSETS........................................................ $228,608,293
============
NET ASSETS CONSIST OF:
Paid in capital (Note 6)......................................... $206,237,387
Accumulated undistributed net investment income.................. 1,459,205
Accumulated net realized gain.................................... 4,572,865
Net unrealized appreciation...................................... 16,338,836
------------
NET ASSETS.................................................... $228,608,293
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $227,828,950 and 19,452,253 shares is-
sued and outstanding) (Note 6)................................. $ 11.71
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of
$779,343 and 66,755 shares issued and outstanding) (Note 6).... $ 11.67
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
12
<PAGE>
U.S. BALANCED FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest.......................................................... $ 8,113,714
Dividends......................................................... 1,870,968
-----------
TOTAL INCOME................................................... 9,984,682
-----------
EXPENSES:
Advisory (Note 2)................................................. 1,465,283
Administration.................................................... 140,841
Custodian......................................................... 76,416
Distribution (Note 5)............................................. 1,205
Other............................................................. 441,819
-----------
TOTAL EXPENSES................................................. 2,125,564
Expenses waived by Advisor (Note 2)............................ (449,752)
-----------
NET EXPENSES................................................... 1,675,812
-----------
NET INVESTMENT INCOME ......................................... 8,308,870
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................................... 8,975,089
Futures contracts................................................ (741,884)
-----------
Net realized gain.............................................. 8,233,205
-----------
Change in net unrealized appreciation or depreciation on:
Investments ..................................................... 8,614,843
Futures contracts................................................ 61,569
-----------
Change in net unrealized appreciation or depreciation.......... 8,676,412
-----------
Net realized and unrealized gain.................................. 16,909,617
-----------
Net increase in net assets resulting from operations.............. $25,218,487
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
13
<PAGE>
U.S. BALANCED FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR DECEMBER 30, 1994*
ENDED THROUGH
JUNE 30, 1996 JUNE 30, 1995
------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 8,308,870 $ 2,935,679
Net realized gain............................ 8,233,205 6,155,398
Change in net unrealized appreciation or de-
preciation.................................. 8,676,412 7,662,424
------------ ------------
Net increase in net assets resulting from op-
erations.................................... 25,218,487 16,753,501
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income:
Brinson Class............................... (7,711,341) (1,993,463)
SwissKey Class.............................. (9,781) --
Distributions from net realized gain:
Brinson Class............................... (9,885,505) --
SwissKey Class.............................. (992) --
------------ ------------
Total distributions to shareholders.......... (17,607,619) (1,993,463)
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................. 81,710,433 154,231,504
Shares issued on reinvestment of distribu-
tions....................................... 17,593,608 1,991,226
Shares redeemed.............................. (36,030,444) (13,268,940)
------------ ------------
Net increase in net assets resulting from
capital share transactions
(Note 6).................................... 63,273,597 142,953,790
------------ ------------
TOTAL INCREASE IN NET ASSETS.............. 70,884,465 157,713,828
------------ ------------
NET ASSETS:
Beginning of period.......................... 157,723,828 10,000
------------ ------------
End of period (including accumulated undis-
tributed net investment income of $1,459,205
and $942,216, respectively)................. $228,608,293 $157,723,828
============ ============
</TABLE>
* Commencement of investment operations
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
14
<PAGE>
U.S. BALANCED FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR DECEMBER 30, 1994*
ENDED THROUGH
BRINSON CLASS JUNE 30, 1996 JUNE 30, 1995
- -------------------------------------------------------------------------------
<S> <C> <C>
Net asset value, beginning of period.......... $ 11.23 $ 10.00
-------- --------
Income from investment operations:
Net investment income....................... 0.44 0.23
Net realized and unrealized gain............ 1.04 1.16
-------- --------
Total income from investment operations... 1.48 1.39
-------- --------
Less distributions:
Distributions from net investment income.... (0.43) (0.16)
Distributions from net realized gain........ (0.57) --
-------- --------
Total distributions....................... (1.00) (0.16)
-------- --------
Net asset value, end of period................ $ 11.71 $ 11.23
======== ========
Total return (non-annualized)................. 13.52% 13.91%
Ratios/Supplemental data
Net assets, end of period (in 000s).......... $227,829 $157,724
Ratio of expenses to average net assets:
Before expense reimbursement................ 1.01% 1.06%**
After expense reimbursement................. 0.80% 0.80%**
Ratio of net investment income to average net
assets:
Before expense reimbursement................ 3.76% 4.36%**
After expense reimbursement................. 3.97% 4.63%**
Portfolio turnover rate...................... 240% 196%
Average commission rate paid per share....... $ 0.0481 N/A
</TABLE>
*Commencement of investment operations
**Annualized
N/A = Not applicable
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
15
<PAGE>
U.S. BALANCED FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
SWISSKEY CLASS JUNE 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period............................. $ 11.38
-------
Income from investment operations:
Net investment income.......................................... 0.42
Net realized and unrealized gain............................... 0.86
-------
Total income from investment operations...................... 1.28
-------
Less distributions:
Distributions from net investment income....................... (0.42)
Distributions from net realized gain........................... (0.57)
-------
Total distributions.......................................... (0.99)
-------
Net asset value, end of period................................... $ 11.67
=======
Total return (non-annualized).................................... 11.54%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $ 779
Ratio of expenses to average net assets:
Before expense reimbursement................................... 1.51%**
After expense reimbursement.................................... 1.30%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................... 3.26%**
After expense reimbursement.................................... 3.47%**
Portfolio turnover rate......................................... 240%
Average commission rate paid per share.......................... $0.0481
</TABLE>
*Commencement of SwissKey Class distribution
**Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
16
<PAGE>
U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
The U.S. Equity Fund is an actively managed portfolio that invests in common
stocks of U.S. corporations. The Fund is diversified by issue and industry; it
is typically 70% invested in large capitalization stocks, with the remaining
30% in intermediate and small capitalization stocks. Investment strategies
emphasize stock selection with attention to the management of factor and
industry exposures.
For the period February 28, 1994 (performance inception date) to June 30, 1996,
the Brinson U.S. Equity Fund provided an annualized return of 20.23% compared
to its benchmark, the Wilshire 5000 Index, return of 18.68%. For the year
ended June 30, 1996, the Fund returned 30.57%, while the benchmark returned
26.22%. The total return of the Brinson U.S. Equity Fund was 11.23% for the
first six months of 1996, compared to the 10.27% return for the Wilshire 5000
Index. The following paragraphs review the sources of excess returns in the
first half of 1996.
Market exposure (average beta of 1.02) modestly benefited Fund relative
performance in the strong equity market environment which characterized the
first half of 1996. However, other broad factor positions were a fairly neutral
influence on results. While there was a positive return to the Fund's lower
than benchmark exposure to both growth and yield, the Fund's tilt toward the
traditional value measures of low price-earnings and price-book proved an
offset. An underweighting in issues with above normal foreign-source earnings
added to results as profit comparisons for multinationals began to suffer from
the strong dollar, as well as some weakness in the European economies.
Industry weightings also had a neutral impact on excess returns calendar year-
to-date. On the positive side, the Fund's low exposure to telephone and
electric utility stocks benefited results due to heightened investor concern
over intensifying competition as well as higher interest rates. Offsetting
these gains were the Fund overweightings in bank and insurance stocks where
relative performance also often varies inversely with interest rates. Among
basic industries, the Fund underweighting in chemicals was an advantage but was
negated by an overweighting in papers and steel. Other positive results
included overweightings in aerospace, cosmetics and leisure stocks, while
negative impacts included the overweightings in railroads and pollution control
and the underweighting in international oil issues.
The overall stock specific influence upon the Fund's active return was
significantly positive in the first six months of 1996. Among large
capitalization issues, the best performers were Citicorp, Sprint, Cigna and
Corning, while the worst were Lockheed Martin, Kimberly Clark, Automatic Data
Processing and Mattel. In the intermediate capitalization segment of the Fund,
the strongest contributors were Allergan, Nextel Communications, Food Lion and
Comverse Technology, while the weakest were Forest Labs, Dial Corp., American
Mobile Satellite and Lyondell Petrochemical.
------------------------------------------------------------
17
<PAGE>
U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 2/28/94*
6/30/96 6/30/96 to 6/30/96
- -----------------------------------------------------
<S> <C> <C> <C>
BRINSON U.S. EQUITY FUND 11.23% 30.57% 20.23%
- -----------------------------------------------------
Wilshire 5000 Index 10.27 26.22 18.68
- -----------------------------------------------------
</TABLE>
*Performance inception date of the Brinson U.S. Equity Fund.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000
This chart shows the growth any income taxes payable by
in the value of an shareholders on income divi-
investment in the Brinson dends and capital gain dis-
U.S. Equity Fund and the tributions. Past perfor-
Wilshire 5000 Index if you mance is no guarantee of fu-
had invested $100,000 on ture results. Share price
February 28, 1994, and had and return will vary with
reinvested all your income market conditions; investors
dividends and capital gain may realize a gain or loss
distributions through June upon redemption.
30, 1996. No adjustment has
been made for
BRINSON U.S. EQUITY FUND
VS. WILSHIRE 5000 INDEX
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
3/31/94 6/30/96
-------- --------
Brinson U.S. Equity Fund $100,000 $153,666
Wilshire 5000 Index $100,000 $149,125
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
------------------------------------------------------------
18
<PAGE>
U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 1996
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals.............................................................. 0.80%
Housing/Paper.......................................................... 3.60
Metals................................................................. 0.35
-----
4.75
Capital Investments
Capital Goods.......................................................... 9.01
Technology............................................................. 4.06
-----
13.07
Consumer
Autos/Durables......................................................... 1.02
Discretionary.......................................................... 7.14
Health: Drugs.......................................................... 7.37
Health: Non-Drugs...................................................... 3.72
Non-Durables........................................................... 10.57
Retail/Apparel......................................................... 4.34
-----
34.16
</TABLE>
*The Fund held a long position in stock index futures on
June 30, 1996 which increased U.S. equity exposure from
96.11% to 98.94% and reduced exposure to Short-Term
investments from 2.86% to 0.03%.
- ------------------------------------------------------------
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
Percent of
Net Assets
- --------------------------------------------
<S> <C>
1. Citicorp 5.04%
2. Lockheed Martin Corp. 4.90
3. Chase Manhattan Corp. 4.20
4. Burlington Northern Santa Fe 3.81
5. Enron Corp. 3.71
6. Avon Products, Inc. 3.34
7. Schering Plough Corp. 3.05
8. Kimberly-Clark Corp. 2.91
9. Mattel, Inc. 2.75
10. Aon Corp. 2.61
- --------------------------------------------
</TABLE>
<TABLE>
<S> <C>
Energy.................................................................. 5.20%
Financial
Banks.................................................................. 11.02
Non-Banks.............................................................. 9.93
------
20.95
Services................................................................ 6.47
Transportation.......................................................... 4.86
Utilities............................................................... 3.96
Miscellaneous........................................................... 2.69
------
Total U.S. Equities.................................................. 96.11*
------
SHORT-TERM INVESTMENTS.................................................. 2.86*
------
TOTAL INVESTMENTS.................................................... 98.97
CASH AND OTHER ASSETS,
LESS LIABILITIES ...................................................... 1.03
------
NET ASSETS.............................................................. 100.00%
======
</TABLE>
- --------------- ------------------------------------------------------------
19
<PAGE>
U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
U.S. Equities -- 96.11%
Aetna Life & Casualty Co................................... 33,300 $ 2,380,950
Allergan, Inc.............................................. 55,600 2,182,300
Allstate Corp.............................................. 31,600 1,441,750
Alza Corp. (b)............................................. 54,200 1,483,725
American Mobile Satellite Corp., Inc. (b).................. 5,200 80,600
Aon Corp................................................... 67,700 3,435,775
Automatic Data Processing, Inc............................. 63,600 2,456,550
Avon Products, Inc......................................... 97,600 4,404,200
Bard (C.R.), Inc........................................... 33,600 1,142,400
Beckman Instruments, Inc................................... 21,700 824,600
Biogen, Inc. (b)........................................... 5,000 274,375
Birmingham Steel Corp...................................... 21,700 355,338
Boeing Co.................................................. 14,400 1,254,600
Boston Technology, Inc. (b)................................ 21,700 366,188
Brinker International, Inc. (b)............................ 15,700 235,500
Burlington Northern Santa Fe............................... 62,000 5,014,250
Centerior Energy Co........................................ 45,800 337,775
Chase Manhattan Corp....................................... 78,300 5,529,938
CIGNA Corp................................................. 26,900 3,170,838
Citicorp................................................... 80,300 6,634,787
CMS Energy Corp............................................ 59,300 1,830,887
Coca-Cola Enterprises, Inc................................. 52,000 1,800,500
Comerica, Inc.............................................. 14,900 664,913
Comverse Techonology, Inc. (b)............................. 16,600 506,300
Cooper Cameron Corp. (b)................................... 7,029 307,519
Corning, Inc............................................... 84,800 3,254,200
Dial Corp.................................................. 44,300 1,268,087
EMC Corp./Mass (b)......................................... 61,700 1,149,163
Enron Corp................................................. 119,700 4,892,737
Entergy Corp............................................... 16,500 468,188
Federal Express Corp. (b).................................. 6,200 508,400
Federated Department Stores (b)............................ 57,800 1,972,425
FileNet Corp. (b).......................................... 8,400 306,600
First Data Corp............................................ 16,215 1,291,120
Food Lion, Inc. Class A.................................... 77,100 611,981
Ford Motor Co.............................................. 54,700 1,770,912
Forest Laboratories, Inc. (b).............................. 36,800 1,421,400
Gannett Co., Inc........................................... 36,200 2,561,150
General Instrument Corp. (b)............................... 86,500 2,497,688
Genzyme Corp. (b).......................................... 7,100 356,775
Goodyear Tire & Rubber Co.................................. 65,100 3,141,075
Health Care and Retirement Corp. (b)....................... 29,250 694,687
Honeywell, Inc............................................. 43,800 2,387,100
Inland Steel Industries, Inc............................... 11,000 215,875
Interpublic Group of Companies, Inc........................ 27,000 1,265,625
James River Corp. of Virginia.............................. 31,200 822,900
Kimberly-Clark Corp........................................ 49,600 3,831,600
Kroger Co. (b)............................................. 22,800 900,600
Lockheed Martin Corp....................................... 76,900 6,459,600
Lyondell Petrochemical Co.................................. 59,300 1,430,613
Magna Group, Inc........................................... 9,300 223,200
Manor Care, Inc............................................ 35,500 1,397,812
Mattel, Inc................................................ 126,375 3,617,484
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Melville Corp........................................... 73,700 $ 2,984,850
Nabisco Holdings Corp. Class A.......................... 6,000 212,250
National Semiconductor Corp. (b)........................ 63,200 979,600
Nextel Communications, Inc. Class A (b)................. 54,600 1,040,812
Old Republic International Corp......................... 31,550 682,269
Owens Illinois, Inc. (b)................................ 48,500 776,000
Pentair, Inc............................................ 25,500 765,000
Pfizer, Inc............................................. 3,700 264,087
Philip Morris Companies, Inc............................ 11,600 1,206,400
RJR Nabisco Convertible Preferred "C"................... 176,600 1,147,900
RJR Nabisco Holdings Corp............................... 18,740 580,940
Schering Plough Corp.................................... 64,000 4,016,000
Seagate Technology, Inc. (b)............................ 16,900 760,500
Sprint Corp............................................. 42,300 1,776,600
State Street Boston Corp................................ 13,000 663,000
Timken Co............................................... 15,100 585,125
Transamerica Corp....................................... 15,100 1,234,425
Tyson Foods, Inc. Class A............................... 45,000 1,231,875
Ultramar Corp........................................... 23,700 687,300
US Bancorp.............................................. 37,000 1,336,625
USF&G Corp.............................................. 49,200 805,650
Westvaco Corp........................................... 13,000 388,375
Whitman Corp............................................ 22,800 550,050
WMX Technologies, Inc................................... 68,900 2,256,475
York International Corp................................. 7,500 388,125
360 Communications Co. (b).............................. 18,833 451,992
------------
Total U.S. Equities (Cost $108,987,744)................. 126,607,780
------------
<CAPTION>
FACE
AMOUNT VALUE
---------- ------------
<S> <C> <C>
Short-Term Investments -- 2.86%
U.S. GOVERNMENT OBLIGATIONS -- 0.22%
U.S. Treasury Bills 5.300%, due 11/14/96................ $ 300,000 $ 293,993
------------
COMMERCIAL PAPER -- 2.64%
Airtouch Communications, Inc.
5.480%, due 07/01/96................................... 1,000,000 1,000,000
FMC Corp. 5.480%, due 07/08/96.......................... 250,000 249,734
Kerr-McGee Credit Corp. 5.500%, due 07/09/96............ 250,000 249,694
The Limited, Inc. 5.650%, due 07/01/96.................. 1,000,000 1,000,000
Lockheed Martin Corp. 5.630%, due 07/01/96.............. 971,000 971,000
------------
3,470,428
------------
Total Short-Term Investments
(Cost $3,764,421)...................................... 3,764,421
------------
Total Investments
(Cost $112,752,165) -- 98.97% (a)...................... 130,372,201
------------
Cash and other assets, less liabilities -- 1.03%........ 1,356,544
------------
Net Assets -- 100%...................................... $131,728,745
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
20
<PAGE>
U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $112,752,165; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $18,765,809
Gross unrealized depreciation................................ (1,145,773)
-----------
Net unrealized appreciation................................ $17,620,036
===========
</TABLE>
(b) Non-income producing security
FUTURES CONTRACTS (NOTE 4)
The U.S. Equity Fund had the following open index futures contracts as of June
30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE (LOSS)
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CONTRACTS
Standard & Poors 500, 11 con-
tracts...................... Sept. 1996 $3,725,175 $3,722,400 $(2,775)
=======
</TABLE>
The aggregate market value of investments pledged to cover margin requirements
for the open futures positions at
June 30, 1996 was $293,993.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
21
<PAGE>
U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $112,752,165) (Note 1) .............. $130,372,201
Cash............................................................. 279,476
Receivables:
Investment securities sold...................................... 1,259,417
Dividends....................................................... 157,089
Variation margin (Note 4)....................................... 20,625
Fund shares sold................................................ 147,035
Due from Advisor (Note 2)....................................... 3,743
Other assets..................................................... 53,198
------------
TOTAL ASSETS.................................................. 132,292,784
------------
LIABILITIES:
Payables:
Investment securities purchased................................. 472,332
Accrued expenses................................................ 91,707
------------
TOTAL LIABILITIES............................................. 564,039
------------
NET ASSETS........................................................ $131,728,745
============
NET ASSETS CONSIST OF:
Paid in capital (Note 6)......................................... $107,348,442
Accumulated undistributed net investment income.................. 216,006
Accumulated net realized gain.................................... 6,547,036
Net unrealized appreciation...................................... 17,617,261
------------
NET ASSETS.................................................... $131,728,745
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $126,341,709 and 8,659,822 shares is-
sued and outstanding) (Note 6)................................. $ 14.59
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $5,387,036 and 369,425 shares issued
and outstanding) (Note 6)...................................... $ 14.58
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
22
<PAGE>
U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends......................................................... $ 1,833,948
Interest.......................................................... 234,616
-----------
TOTAL INCOME................................................... 2,068,564
-----------
EXPENSES:
Advisory (Note 2)................................................. 638,063
Accounting........................................................ 71,226
Transfer Agent.................................................... 61,038
Administration.................................................... 58,286
Professional...................................................... 57,786
Custodian......................................................... 44,117
Distribution (Note 5)............................................. 6,178
Other............................................................. 110,440
-----------
TOTAL EXPENSES................................................. 1,047,134
Expenses waived by Advisor (Note 2)............................ (311,741)
-----------
NET EXPENSES................................................... 735,393
-----------
NET INVESTMENT INCOME.......................................... 1,333,171
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments...................................................... 7,340,103
Futures contracts................................................ 486,290
-----------
Net realized gain ............................................. 7,826,393
-----------
Change in net unrealized appreciation or depreciation on:
Investments ..................................................... 13,381,838
Futures contracts ............................................... (24,600)
-----------
Change in net unrealized appreciation or depreciation.......... 13,357,238
-----------
Net realized and unrealized gain ................................. 21,183,631
-----------
Net increase in net assets resulting from operations.............. $22,516,802
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
23
<PAGE>
U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
JUNE 30, 1996 JUNE 30, 1995
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................. $ 1,333,171 $ 440,023
Net realized gain ................................ 7,826,393 552,822
Change in net unrealized appreciation or deprecia-
tion ............................................ 13,357,238 4,476,351
------------ -----------
Net increase in net assets resulting from opera-
tions............................................ 22,516,802 5,469,196
------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income:
Brinson Class................................... (1,233,245) (318,699)
SwissKey Class.................................. (17,809) --
Distributions from net realized gain:
Brinson Class................................... (1,764,213) (47,930)
SwissKey Class.................................. (2,611) --
------------ -----------
Total distributions to shareholders............... (3,017,878) (366,629)
------------ -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold....................................... 71,976,805 30,972,427
Shares issued on reinvestment of distributions.... 2,944,272 349,100
Shares redeemed................................... (5,264,717) (2,050,830)
------------ -----------
Net increase in net assets resulting from capital
share transactions (Note 6)...................... 69,656,360 29,270,697
------------ -----------
TOTAL INCREASE IN NET ASSETS................... 89,155,284 34,373,264
------------ -----------
NET ASSETS:
Beginning of year................................. 42,573,461 8,200,197
------------ -----------
End of year (including accumulated undistributed
net investment income of $216,006 and $133,889,
respectively).................................... $131,728,745 $42,573,461
============ ===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
24
<PAGE>
U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR YEAR FEBRUARY 22, 1994*
ENDED ENDED THROUGH
BRINSON CLASS JUNE 30, 1996 JUNE 30, 1995 JUNE 30, 1994
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of
period......................... $ 11.53 $ 9.65 $10.00
-------- ------- ------
Income from investment opera-
tions:
Net investment income......... 0.17 0.16 0.05
Net realized and unrealized
gain (loss).................. 3.31 1.89 (0.36)
-------- ------- ------
Total income (loss) from in-
vestment operations........ 3.48 2.05 (0.31)
-------- ------- ------
Less distributions:
Distributions from net invest-
ment income.................. (0.17) (0.14) (0.04)
Distributions from net real-
ized gain.................... (0.25) (0.03) --
-------- ------- ------
Total distributions......... (0.42) (0.17) (0.04)
-------- ------- ------
Net asset value, end of period.. $ 14.59 $ 11.53 $ 9.65
======== ======= ======
Total return (non-annualized)... 30.57% 21.45% (3.10%)
Ratios/Supplemental data
Net assets, end of period (in
000s)......................... $126,342 $42,573 $8,200
Ratio of expenses to average
net assets:
Before expense reimbursement.. 1.14% 1.70% 5.40% **
After expense reimbursement... 0.80% 0.80% 0.80% **
Ratio of net investment income
to average net assets:
Before expense reimbursement.. 1.13% 1.09% (2.82%)**
After expense reimbursement... 1.47% 1.99% 1.78% **
Portfolio turnover rate........ 36% 33% 9%
Average commission rate paid
per share..................... $ 0.0457 N/A N/A
</TABLE>
*Commencement of investment operations
**Annualized
N/A = Not applicable
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
25
<PAGE>
U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
SWISSKEY CLASS JUNE 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period............................. $ 11.94
-------
Income from investment operations:
Net investment income.......................................... 0.10
Net realized and unrealized gain............................... 2.92
-------
Total income from investment operations...................... 3.02
-------
Less distributions:
Distributions from net investment income....................... (0.13)
Distributions from net realized gain........................... (0.25)
-------
Total distributions.......................................... (0.38)
-------
Net asset value, end of period................................... $ 14.58
=======
Total return (non-annualized).................................... 25.70%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $ 5,387
Ratio of expenses to average net assets:
Before expense reimbursement................................... 1.66%**
After expense reimbursement.................................... 1.32%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................... 0.61%**
After expense reimbursement.................................... 0.95%**
Portfolio turnover rate......................................... 36%
Average commission rate paid per share.......................... $0.0457
</TABLE>
*Commencement of SwissKey Class distribution
**Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
26
<PAGE>
U.S. BOND FUND
- --------------------------------------------------------------------------------
LOGO
The U.S. Bond Fund is an actively managed portfolio of debt securities selected
from a wide range of maturities and market sectors. We believe markets do not
always efficiently price fixed income securities and that a fundamental value-
based investment process can increase portfolio returns. Our fixed income
strategies combine judgments about the absolute value of the fixed income
universe and the relative value of issuer sectors, maturity intervals, quality
and coupon segments and specific fixed income securities.
The Brinson U.S. Bond Fund produced a return of 3.60% since its inception on
August 31, 1995 compared to the Salomon Brothers Broad Investment Grade (BIG)
Bond Index return of 4.00%. In the first half of 1996, the Fund returned -1.79%
compared to the Benchmark return of -1.25%.
In January 1996 the Federal Reserve cut the overnight funds target rate from
5.50% to 5.25% where it remained throughout the first half of the year. In spite
of that drop in short-term interest rates, intermediate and long-term interest
rates rose sharply in the first half of 1996. Higher rates of utilization in
product and labor markets gave rise to heightened investor concerns about
inflation and possible increases in overnight funds rates, while rising equity
market prices drew investors away from fixed income securities. By June 30th the
yields on intermediate and long-term U.S. bonds were about 100 basis points
above the levels of six months earlier.
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of June 30, 1996
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. BONDS
Corporate Bonds
Asset-backed........................................................... 2.06%
CMO.................................................................... 2.44
Financial.............................................................. 12.26
Telecommunications..................................................... 2.40
Transportation......................................................... 1.01
------
Total U.S. Corporate Bonds........................................... 20.17
U.S. Government Agencies................................................ 30.42
U.S. Government Obligations............................................. 42.21
International Dollar Bonds.............................................. 4.13
------
Total U.S. Bonds..................................................... 96.93
------
SHORT-TERM INVESTMENTS.................................................. 10.74
------
TOTAL INVESTMENTS.................................................... 107.67
LIABILITIES, LESS
CASH AND OTHER ASSETS.................................................. (7.67)
------
NET ASSETS.............................................................. 100.00%
======
</TABLE>
-------------------------------------------------------------
27
<PAGE>
U.S. BOND FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months
ended 8/31/95*
6/30/96 to 6/30/96
- -----------------------------------------------------------------------------
<S> <C> <C>
BRINSON U.S. BOND FUND -1.79% 3.60%
- -----------------------------------------------------------------------------
Salomon Brothers Broad Investment Grade (BIG) Bond Index -1.25 4.00
- -----------------------------------------------------------------------------
</TABLE>
*Inception date of the Brinson U.S. Bond Fund.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000
This chart shows the growth any income taxes payable by
in the value of an shareholders on income
investment in the Brinson dividends and capital gain
U.S. Bond Fund and the distributions. Past
Salomon Brothers Broad performance is no guarantee
Investment Grade (BIG) Bond of future results. Share
Index if you had invested price and return will vary
$100,000 on August 31, with market conditions;
1995, and had reinvested investors may realize a
all your income dividends gain or loss upon
and capital gain redemption.
distributions through June
30, 1996. No adjustment has
been made for
BRINSON U.S. BOND FUND
VS. SALOMON BROTHERS BIG BOND INDEX
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
8/31/95 6/30/96
-------- --------
Brinson U.S. Bond Fund $100,000 $103,600
Salomon Brothers BIG Bond Index $100,000 $104,003
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
-------------------------------------------------------------
28
<PAGE>
U.S. BOND FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
---------- -----------
<S> <C> <C>
Bonds -- 96.93%
U.S. CORPORATE BONDS -- 20.17%
American Express Credit Account Master Trust 96-1A
6.800%, due 12/15/03................................... $ 100,000 $ 100,430
Capital One Bank 6.830%, due 05/17/99................... 185,000 184,600
Citicorp Mortgage Securities 5.750%, due 06/25/09....... 87,336 71,830
Countrywide Funding FRN 6.600%, due 12/01/03............ 250,000 239,687
Dayton Hudson Credit Card 95-1 6.100%, due 02/25/02..... 100,000 99,548
Delta Air Lines 10.060%, due 01/02/16................... 85,000 98,228
GMAC MTN 7.450%, due 06/05/97........................... 250,000 252,953
Green Tree Financial 94-2 8.300%, due 05/15/19.......... 160,000 164,203
Lehman Brothers Holdings 7.250%, due 04/15/03........... 225,000 222,265
News America Corp. 7.750%, due 01/20/24................. 250,000 232,066
Salomon, Inc., 6.750%, due 02/15/03..................... 300,000 287,344
-----------
1,953,154
-----------
INTERNATIONAL DOLLAR BONDS -- 4.13%
Hanson PLC Notes 6.750%, due 09/15/05................... 100,000 95,896
Republic of Italy 6.875%, due 09/27/23.................. 250,000 225,313
Royal Bank of Scotland 7.375%, due 04/01/06............. 80,000 78,120
-----------
399,329
-----------
U.S. GOVERNMENT AGENCIES -- 30.42%
Federal Home Loan Mortgage Corp.
5.800%, due 08/15/19................................... 330,000 297,191
8.250%, due 08/15/23................................... 220,000 227,219
Federal Home Loan Mortgage Corp. Gold
6.000%, due 06/01/03................................... 115,000 110,616
6.000%, due 03/01/11................................... 245,000 231,525
8.000%, due 11/01/22................................... 76,410 77,329
Federal National Mortgage Association...................
7.500%, due 05/01/25................................... 222,457 219,605
6.500%, due 02/01/26................................... 134,433 125,695
6.500%, due 03/01/26................................... 350,322 327,658
7.000%, due 03/01/26................................... 395,000 380,061
Federal National Mortgage Association Principal Strip
0.000%, due 11/22/01(b)................................ 200,000 195,280
Government National Mortgage Association
9.000%, due 12/15/17................................... 74,394 78,717
7.500%, due 12/15/22................................... 432,167 428,904
7.500%, due 06/15/25................................... 137,775 135,765
6.500%, due 03/20/26................................... 119,481 110,556
-----------
2,946,121
-----------
</TABLE>
See accompanying notes to financial statements.
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
---------- -----------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS -- 42.21%
U.S. Treasury Notes and Bonds
5.500%, due 11/15/98................................... $ 205,000 $ 201,797
6.375%, due 03/31/01................................... 1,275,000 1,269,023
6.250%, due 02/15/03................................... 100,000 98,187
5.750%, due 08/15/03................................... 240,000 228,375
6.500%, due 05/15/05................................... 1,065,000 1,050,023
8.125%, due 05/15/21................................... 380,000 428,093
U.S. Treasury Principal Strips
0.000%, due 11/15/04................................... 820,000 468,081
0.000%, due 02/15/15................................... 480,000 129,730
0.000%, due 08/15/15................................... 820,000 213,577
-----------
4,086,886
-----------
Total U.S. Bonds (Cost $9,531,753)...................... 9,385,490
-----------
Short-Term Investments -- 10.74%
COMMERCIAL PAPER -- 10.74%
FMC Corp. 5.480%, due 07/08/96.......................... 300,000 299,681
The Limited, Inc. 5.650%, due 07/01/96.................. 400,000 400,000
Melville Corp. 5.650%, due 07/01/96..................... 340,000 340,000
-----------
Total Short-Term Investments
(Cost $1,039,681)...................................... 1,039,681
-----------
Total Investments
(Cost $10,571,434) -- 107.67%(a)....................... 10,425,171
-----------
Liabilities, less cash and other assets --(7.67%)....... (742,637)
-----------
Net Assets -- 100%...................................... $ 9,682,534
===========
</TABLE>
(a) Aggregate cost for federal income tax purposes was $10,571,434; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized ap-
preciation......... $ 22,490
Gross unrealized de-
preciation......... (168,753)
---------
Net unrealized de-
preciation........ $(146,263)
=========
</TABLE>
(b) Interest rate 0.00% until 11/01/96, 7.94% until maturity.
FRN:Floating rate note--The rate disclosed is that in effect at June 30, 1996.
MTN: Medium term note
- --------------------------------------------------------------------------------
29
<PAGE>
U.S. BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $10,571,434) (Note 1)................ $10,425,171
Cash............................................................. 46,542
Receivables:
Investment securities sold...................................... 422,924
Interest........................................................ 92,192
Due from Advisor (Note 2)....................................... 55,316
Other assets..................................................... 15,501
-----------
TOTAL ASSETS.................................................. 11,057,646
-----------
LIABILITIES:
Payables:
Investment securities purchased................................. 1,311,852
Accrued expenses................................................ 63,260
-----------
TOTAL LIABILITIES............................................. 1,375,112
-----------
NET ASSETS........................................................ $ 9,682,534
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 6)......................................... $ 9,770,407
Accumulated undistributed net investment income.................. 90,190
Accumulated net realized loss.................................... (31,800)
Net unrealized depreciation ..................................... (146,263)
-----------
NET ASSETS.................................................... $ 9,682,534
===========
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $9,046,722 and 911,170 shares issued
and outstanding) (Note 6)...................................... $ 9.93
===========
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $635,812 and 64,124 shares issued and
outstanding) (Note 6).......................................... $ 9.92
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
30
<PAGE>
U.S. BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD AUGUST 31, 1995* TO JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................ $ 503,035
---------
TOTAL INCOME..................................................... 503,035
---------
EXPENSES:
Registration........................................................ 47,508
Professional........................................................ 44,175
Transfer Agent...................................................... 41,400
Advisory (Note 2)................................................... 37,868
Accounting.......................................................... 34,335
Printing............................................................ 29,262
Custodian........................................................... 25,029
Distribution (Note 5)............................................... 1,363
Other............................................................... 16,080
---------
TOTAL EXPENSES................................................... 277,020
Expenses waived and reimbursed by Advisor (Note 2)............... (230,216)
---------
NET EXPENSES..................................................... 46,804
---------
NET INVESTMENT INCOME ........................................... 456,231
---------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss................................................... (11,035)
Change in net unrealized appreciation or depreciation............... (146,263)
---------
Net realized and unrealized loss.................................... (157,298)
---------
Net increase in net assets resulting from operations................ $ 298,933
=========
</TABLE>
*Commencement of investment operations
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
31
<PAGE>
U.S. BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD AUGUST 31, 1995* TO JUNE 30, 1996
<TABLE>
<S> <C>
OPERATIONS:
Net investment income............................................ $ 456,231
Net realized loss................................................ (11,035)
Change in net unrealized appreciation or depreciation............ (146,263)
-----------
Net increase in net assets resulting from operations............. 298,933
-----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income:
Brinson Class................................................... (350,335)
SwissKey Class.................................................. (13,132)
Distributions in excess of net realized gain:
Brinson Class................................................... (23,071)
SwissKey Class.................................................. (268)
-----------
Total distributions to shareholders.............................. (386,806)
-----------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................................... 10,200,031
Shares issued on reinvestment of distributions................... 386,807
Shares redeemed.................................................. (867,431)
-----------
Net increase in net assets resulting from capital share transac-
tions (Note 6).................................................. 9,719,407
-----------
TOTAL INCREASE IN NET ASSETS.................................. 9,631,534
-----------
NET ASSETS:
Beginning of period.............................................. 51,000
-----------
End of period (including accumulated undistributed net investment
income of $90,190).............................................. $ 9,682,534
===========
</TABLE>
* Commencement of investment operations
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
32
<PAGE>
U.S. BOND FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
AUGUST 31, 1995*
THROUGH
BRINSON CLASS JUNE 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period........................... $10.00
------
Income from investment operations:
Net investment income........................................ 0.50
Net realized and unrealized loss............................. (0.14)
------
Total income from investment operations.................... 0.36
------
Less distributions:
Distributions from net investment income..................... (0.40)
Distributions in excess of net realized gain................. (0.03)
------
Total distributions........................................ (0.43)
------
Net asset value, end of period................................. $ 9.93
======
Total return (non-annualized).................................. 3.60%
Ratios/Supplemental data
Net assets, end of period (in 000s)........................... $9,047
Ratio of expenses to average net assets:
Before expense reimbursement................................. 3.63%**
After expense reimbursement.................................. 0.60%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................. 3.00%**
After expense reimbursement.................................. 6.03%**
Portfolio turnover rate....................................... 363%
</TABLE>
*Commencement of investment operations
**Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
33
<PAGE>
U.S. BOND FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
AUGUST 31, 1995*
THROUGH JUNE 30,
SWISSKEY CLASS 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period........................... $10.00
------
Income from investment operations:
Net investment income........................................ 0.46
Net realized and unrealized loss............................. (0.13)
------
Total income from investment operations.................... 0.33
------
Less distributions:
Distributions from net investment income..................... (0.38)
Distributions in excess of net realized gain................. (0.03)
------
Total distributions........................................ (0.41)
------
Net asset value, end of period................................. $ 9.92
======
Total return (non-annualized).................................. 3.24%
Ratios/Supplemental data
Net assets, end of period (in 000s)........................... $636
Ratio of expenses to average net assets:
Before expense reimbursement................................. 4.10%**
After expense reimbursement.................................. 1.07%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................. 2.53%**
After expense reimbursement.................................. 5.56%**
Portfolio turnover rate....................................... 363%
</TABLE>
*Commencement of investment operations
**Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
34
<PAGE>
THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1.SIGNIFICANT ACCOUNTING POLICIES
The Brinson Funds (the "Trust") is an open-end, management investment company
registered under the Investment Company Act of 1940, as amended, as a series
company. The Trust currently offers shares of seven series: Global Fund, Global
Equity Fund, Global Bond Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Bond
Fund, and Non-U.S. Equity Fund. Each Fund has two classes of shares
outstanding, Brinson Class and SwissKey Class. There are an unlimited number of
shares of each class with par value of $0.001 authorized. Each share represents
an identical interest in the investments of the Funds and has the same rights.
The following is a summary of significant accounting policies consistently
followed by the U.S. Balanced Fund, U.S. Equity Fund and U.S. Bond Fund (each a
"Fund," collectively the "Funds") in the preparation of their financial
statements.
A.INVESTMENT VALUATION: Securities for which market quotations are readily
available are valued at the last available sales price on the exchange or
market on which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which such securities are
principally traded. Securities for which market quotations are not readily
available, including restricted securities which are subject to limitations on
their sale, are valued at fair value as determined in good faith by or under
the direction of the Trust's Board of Trustees. Fixed income/debt securities
are valued using market quotations or independent services that use prices
provided by market makers or estimates of market values obtained from yield
data relating to instruments or securities with similar characteristics.
Futures contracts are valued at the settlement price established each day on
the exchange on which they are traded. Short-term obligations with a maturity
of 60 days or less are valued at amortized cost, which approximates market
value.
B.INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade
date basis. Gains and losses on securities sold are determined on an identified
cost basis.
C.INVESTMENT INCOME: Interest income, which includes the amortization of
premiums and discounts, is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date.
D.FEDERAL INCOME TAXES: It is the policy of the Funds to comply with all
requirements of the Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute substantially all of their taxable
income to their shareholders. The Funds have met the requirements of the Code
applicable to regulated investment companies for the period ended June 30,
1996, therefore, no federal income tax provision was required.
E.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Funds to distribute
their respective net investment income on a semi-annual basis and net capital
gains, if any, annually. Distributions to shareholders are recorded on the ex-
dividend date. Income and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. Differences in dividends per share between the classes
are due to distribution expenses. Amounts equal to 12.96% and 38.62% of the
amount taxable as ordinary income qualify for the dividends received deduction
available to corporate shareholders for the U.S. Balanced Fund and the U.S.
Equity Fund, respectively.
F.INCOME AND EXPENSE ALLOCATIONS: All income earned and expenses incurred by
the Funds will be borne on a pro rata basis by each of the classes, except that
the Brinson Class will not incur any of the distribution expenses.
G.USE OF ESTIMATES: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the amounts reported in the financial statements
and accompanying notes. Actual results may differ from those estimates.
- --------------------------------------------------------------------------------
35
<PAGE>
THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
2.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Brinson Partners, Inc. (the "Advisor"), a registered investment advisor,
provides the Funds with investment management services. As compensation for
these services, each Fund pays the Advisor a monthly fee based on the Fund's
respective average daily net assets. The Advisor has agreed to waive its fees
and reimburse each Fund to the extent total annualized expenses exceed a
specified percentage of each Fund's respective average daily net assets.
Investment advisory fees and other transactions with affiliates for the period
ended June 30, 1996, were as follows:
<TABLE>
<CAPTION>
BRINSON SWISSKEY
CLASS CLASS
ADVISORY EXPENSE EXPENSE ADVISORY FEES WAIVED
FEE CAP CAP FEES AND/OR REIMBURSED
-------- ------- -------- ---------- -----------------
<S> <C> <C> <C> <C> <C>
U.S. Balanced Fund....... 0.70% 0.80% 1.30% $1,465,283 $449,752
U.S. Equity Fund......... 0.70 0.80 1.32 638,063 311,741
U.S. Bond Fund........... 0.50 0.60 1.07 37,868 230,216
</TABLE>
Certain officers of the Funds are also officers of the Advisor. All officers
serve without direct compensation from the Funds. Trustees' fees paid to
unaffiliated trustees were $7,319, $5,128 and $2,822 for the U.S. Balanced
Fund, U.S. Equity Fund, and U.S. Bond Fund, respectively.
3.INVESTMENT TRANSACTIONS
Investment transactions for the period ended June 30, 1996, excluding short-
term investments, were as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
U.S. Balanced Fund.................................... $518,922,718 $457,531,085
U.S. Equity Fund...................................... 96,973,632 31,250,356
U.S. Bond Fund........................................ 41,821,403 32,173,225
</TABLE>
4.FUTURES CONTRACTS
The Funds may purchase or sell exchange-traded futures contracts, which are
contracts that obligate the Funds to make or take delivery of a financial
instrument or the cash value of a securities index at a specified future date
at a specified price. The Funds enter into such contracts to hedge a portion of
their portfolio. Risks of entering into futures contracts include the
possibility that there may be an illiquid market or that a change in the value
of the contract may not correlate with changes in the value of the underlying
securities. Upon entering into a futures contract, the Funds are required to
deposit either cash or securities (initial margin). Subsequent payments
(variation margin) are made or received by the Funds, generally on a daily
basis. The variation margin payments are equal to the daily changes in the
contract value and are recorded as unrealized gains or losses. The Funds
recognize a realized gain or loss when the contract is closed or expires. The
statement of operations reflects net realized and net unrealized gains and
losses on these contracts.
5.DISTRIBUTION PLAN
The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plan governs payments made for
the expenses incurred in the promotion and distribution of the SwissKey Class
of shares. Annual fees under the Plan, which include a 0.25% service fee, total
0.50%, 0.52% and 0.47% of the average daily net assets of the SwissKey Class of
the U.S. Balanced Fund, U.S. Equity Fund and U.S. Bond Fund, respectively.
- --------------------------------------------------------------------------------
36
<PAGE>
THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
6.CAPITAL TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
U.S. BALANCED FUND
---------------------------------------------
YEAR ENDED PERIOD ENDED
JUNE 30, 1996 JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class................... 6,944,846 $80,934,038 15,121,050 $154,231,504
SwissKey Class.................. 67,290 776,395 -- --
--------- ----------- ---------- ------------
Total Sales................... 7,012,136 $81,710,433 15,121,050 $154,231,504
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class................... 1,540,774 $17,588,758 178,265 $ 1,991,226
SwissKey Class.................. 422 4,850 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment... 1,541,196 $17,593,608 178,265 $ 1,991,226
========= =========== ========== ============
Redemptions:
Brinson Class................... 3,073,501 $36,019,481 1,260,181 $ 13,268,940
SwissKey Class.................. 957 10,963 -- --
--------- ----------- ---------- ------------
Total Redemptions............. 3,074,458 $36,030,444 1,260,181 $ 13,268,940
========= =========== ========== ============
<CAPTION>
U.S. EQUITY FUND
---------------------------------------------
YEAR ENDED YEAR ENDED
JUNE 30, 1996 JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class................... 5,125,613 $66,685,850 3,011,049 $ 30,972,427
SwissKey Class.................. 375,655 5,290,955 -- --
--------- ----------- ---------- ------------
Total Sales................... 5,501,268 $71,976,805 3,011,049 $ 30,972,427
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class................... 222,497 $ 2,935,334 33,507 $ 349,100
SwissKey Class.................. 644 8,938 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment... 223,141 $ 2,944,272 33,507 $ 349,100
========= =========== ========== ============
Redemptions:
Brinson Class................... 380,602 $ 5,174,675 202,160 $ 2,050,830
SwissKey Class.................. 6,874 90,042 -- --
--------- ----------- ---------- ------------
Total Redemptions............. 387,476 $ 5,264,717 202,160 $ 2,050,830
========= =========== ========== ============
<CAPTION>
U.S. BOND FUND
---------------------
PERIOD ENDED
JUNE 30, 1996
---------------------
SHARES VALUE
--------- -----------
<S> <C> <C> <C> <C>
Sales:
Brinson Class................... 953,454 $ 9,550,552
SwissKey Class.................. 63,717 649,479
--------- -----------
Total Sales................... 1,017,171 $10,200,031
========= ===========
Dividend Reinvestment:
Brinson Class................... 37,309 $ 373,407
SwissKey Class.................. 1,362 13,400
--------- -----------
Total Dividend Reinvestment... 38,671 $ 386,807
========= ===========
Redemptions:
Brinson Class................... 84,593 $ 856,547
SwissKey Class.................. 1,055 10,884
--------- -----------
Total Redemptions............. 85,648 $ 867,431
========= ===========
</TABLE>
- --------------------------------------------------------------------------------
37
<PAGE>
REPORT OF INDEPENDENT AUDITORS
- --------------------------------------------------------------------------------
The Board of Trustees and Shareholders
The Brinson Funds --
U.S. Balanced Fund
U.S. Equity Fund
U.S. Bond Fund
We have audited the accompanying statements of assets and liabilities,
including the schedule of investments, of The Brinson Funds--U.S. Balanced
Fund, U.S. Equity Fund and U.S. Bond Fund as of June 30, 1996, the related
statements of operations and changes in net assets and the financial highlights
for 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. Our procedures included confirmation of securities owned as of June
30, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
Brinson Funds--U.S. Balanced Fund, U.S. Equity Fund and U.S. Bond Fund at June
30, 1996, the results of their operations and the changes in their net assets
and the financial highlights for the periods indicated therein, in conformity
with generally accepted accounting principles.
/s/ Ernst & Young LLP
Ernst & Young LLP
Chicago, Illinois
August 9, 1996
- --------------------------------------------------------------------------------
38
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS
- --------------------------------------------------------------------------------
A Special Meeting of Shareholders was held on February 16, 1996. At the
meeting, shareholders of the Funds were asked to consider and act upon
amendments to the Trust's fundamental investment policies to (1) permit each
Fund to invest in affiliated investment companies; and (2) permit each Fund to
enter into forward foreign currency transactions for non-hedging purposes.
The results of all matters voted on by shareholders of the Funds at the Special
Meeting held on February 16, 1996, were as follows:
A.AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO PERMIT EACH FUND
TO INVEST IN AFFILIATED INVESTMENT COMPANIES:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
---------- --------- ----------
<S> <C> <C> <C>
U. S. Balanced Fund ............................ 14,907,986 -0- -0-
U. S. Equity Fund............................... 5,340,548 -0- -0-
U. S. Bond Fund................................. 880,287 -0- -0-
B.AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO PERMIT EACH FUND
TO ENTER INTO FORWARD FOREIGN CURRENCY TRANSACTIONS FOR NON-HEDGING
PURPOSES:
<CAPTION>
FOR AGAINST ABSTAIN
---------- --------- ----------
<S> <C> <C> <C>
U. S. Balanced Fund............................. 1,006,826 -0- 13,901,160
U. S. Equity Fund............................... 4,225,480 1,115,068 -0-
U. S. Bond Fund................................. 880,287 -0- -0-
</TABLE>
- --------------------------------------------------------------------------------
39
<PAGE>
DISTRIBUTED BY:
FUND/PLAN BROKER SERVICES, INC.
2 W. ELM STREET
CONSHOHOCKEN, PA 19428
This report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution to prospective investors in the
Funds unless preceded or accompanied by an effective Prospectus which includes
details regarding the Funds' objectives, policies, expenses and other
information.
- --------------------------------------------------------------------------------
<PAGE>
THE BRINSON FUNDS
- --------------------------------------------------------------------------------
209 South LaSalle Street . Chicago, Illinois 60604-1295 . Tel: (800) 448-2430
<PAGE>
-----------------------------
THE BRINSON FUNDS
BRINSON GLOBAL FUND
BRINSON GLOBAL EQUITY FUND
BRINSON GLOBAL BOND FUND
ANNUAL REPORT
JUNE 30, 1996
GLOBAL INSTITUTIONAL ASSET MANAGEMENT
-----------------------------
CHICAGO.BASEL.LONDON.MELBOURNE.NEW YORK.PARIS.SINGAPORE.SYDNEY.TOKYO
<PAGE>
TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
LOGO
TRUSTEES
Walter E. Auch
Frank K. Reilly, CFA
Edward M. Roob
OFFICERS
Frank K. Reilly, CFA Carolyn M. Burke, CPA
Chairman of the Board
Assistant Secretary
E. Thomas McFarlan Catherine E. Macrae
President and Treasurer
Assistant Secretary
Thomas J. Digenan, CPA Debra L. Nichols
Assistant Treasurer
Assistant Secretary
Bruce G. Leto
Secretary
------------------------------------------------------------
1
<PAGE>
THE FUNDS' ADVISOR -- BRINSON PARTNERS, INC.
- --------------------------------------------------------------------------------
LOGO
Brinson Partners, Inc. is an institutional investment management firm structured
around teams of investment specialists covering major world asset classes. We
specialize in managing multiple asset portfolios that provide clients with the
opportunity to participate in all major world asset classes. It is important
that investment decisions, whether they pertain to a global portfolio or a
single asset class portfolio, be made within the context of a global capital
market perspective. Our coordinated application of investment strategies
distinguishes Brinson Partners, Inc. as a leader in global investment
management of institutional assets.
We firmly believe that asset allocation is portfolio management at its highest
and most important level. Performance is maximized through a comprehensive
understanding of global investment markets and their interrelationships.
Portfolio structure is tailored to specific client objectives and focused upon
both risk and return considerations in the context of full long-term investment
cycles.
At Brinson Partners, Inc. our investment decisions are based on fundamental
research, internally developed valuation systems and seasoned judgment. Our
independent team approach allows for rapid responses to market changes, while
providing each client with the benefit of our best talent and the flexibility
to customize portfolios to meet unique requirements.
------------------------------------------------------------
2
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LOGO
Shareholder Letter............................................................ 4
Global Economic and Market Highlights......................................... 5
Global Fund................................................................... 6
Schedule of Investments.....................................................10
Financial Statements........................................................17
Financial Highlights........................................................20
Global Equity Fund............................................................22
Schedule of Investments.....................................................26
Financial Statements........................................................31
Financial Highlights........................................................34
Global Bond Fund..............................................................36
Schedule of Investments.....................................................39
Financial Statements........................................................42
Financial Highlights........................................................45
The Brinson Funds--Notes to Financial Statements..............................47
Report of Independent Auditors................................................51
Special Meeting of Shareholders...............................................52
-------------------------------------------------------------
3
<PAGE>
SHAREHOLDER LETTER
- --------------------------------------------------------------------------------
LOGO
August 19, 1996
Dear Shareholder:
We appreciate the confidence you have placed in us and are pleased to present
you with the June 30, 1996 Annual Report for the Global Fund, Global Equity
Fund and Global Bond Fund. This Report presents our current global economic
and market outlook, as well as the Funds' recent investment strategies and
performance. To summarize this information:
Global Fund
For the period from August 31, 1992 (performance inception date) to June 30,
1996, the Fund provided an annualized total return of 10.42%. The Fund
returned 4.58% in the first half of 1996.
The strategy of underweighting the overpriced equity markets in favor of the
attractive bond markets remains in place. A portion of foreign currency
exposure is hedged into U.S. dollars.
Global Equity Fund
For the period from January 31, 1994 (performance inception date) to June 30,
1996, the Fund provided an annualized total return of 10.42%. The Fund returned
8.91% in the first half of 1996.
Reflecting only modestly attractive equity markets, the Fund maintains its 15%
cash hedge. Primary underweights include the U.S. market, in light of its
overvaluation and increasing volatility. A portion of foreign currency exposure
is hedged into U.S. dollars.
Global Bond Fund
For the period from July 31, 1993 (performance inception date) to June 30,
1996, the Fund provided an annualized total return of 7.40%. The Fund returned
2.12% in the first half of 1996.
Bond markets are generally attractive, with the exception of the Japanese
market which continues to be the largest underweight. A portion of foreign
currency exposure is hedged into U.S. dollars.
We look forward to the challenges ahead and, as always, welcome your comments
and suggestions.
Sincerely,
/s/ Gary P. Brinson
Gary P. Brinson, CFA
President and Chief Investment Officer
Brinson Partners, Inc.
------------------------------------------------------------
4
<PAGE>
GLOBAL ECONOMIC AND MARKET HIGHLIGHTS
- --------------------------------------------------------------------------------
LOGO
Since the yen's peak in 1995, the Japanese economy has begun showing signs of
recovery. Real GDP growth has recently turned up and output prices appear to
have stopped falling. However, structural problems persist, as unemployment hit
an all-time high in May.
With continued slow economic growth through much of continental Europe,
unemployment remains high. While the overpriced currencies of the deutschemark
bloc are a contributing factor, structural rigidity and accompanying high labor
costs exacerbate the problems. The U.S. continues to be a leader among
developed countries in productivity improvements and the restraint of labor
costs.
Price pressures in most countries remain subdued, due to continuing central
bank responsibility. The last 15 years have seen a powerful trend toward a
reduction and convergence in inflation rates across countries. Nevertheless,
bond markets have yet to fully accept a lower-inflation world. Any indication
of potential price pressures, such as the recent strong employment reports in
the U.S., adversely affects bond prices.
GLOBAL ENVIRONMENT
<TABLE>
<CAPTION>
6 months 1 year 3 years Annualized
MAJOR MARKETS ended ended ended 8/31/92*
Total Return in U.S. Dollars 6/30/96 6/30/96 6/30/96 to 6/30/96
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Equity 10.27% 26.22% 16.79% 16.86%
Non-U.S. Equities (currency unhedged) 4.82 13.61 10.64 12.47
Non-U.S. Equities (currency hedged) 9.96 30.97 10.37 12.98
U.S. Bonds -1.25 4.99 5.30 6.39
Non-U.S. Bonds (currency unhedged) -1.28 -1.68 9.71 8.31
Non-U.S. Bonds (currency hedged) 3.55 11.52 8.19 8.93
U.S. Cash Equivalents 2.53 5.35 4.50 4.14
- ---------------------------------------------------------------------------
<CAPTION>
MAJOR CURRENCIES 6 months 1 year 3 years Annualized
Percent Change Relative to U.S. ended ended ended 8/31/92*
Dollars 6/30/96 6/30/96 6/30/96 to 6/30/96
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Yen -5.95% -22.60% -0.90% 3.09%
Pound 0.08 -2.33 1.33 -6.15
Deutschemark -5.97 -9.07 3.84 -2.03
Canadian Dollar -0.13 0.60 -2.07 -3.39
- ---------------------------------------------------------------------------
</TABLE>
*Inception date of the Brinson Global Fund
------------------------------------------------------------
5
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
LOGO
The Global Fund is an actively managed, diversified mutual fund that provides
integrated asset management across and within securities markets. The
investment process is strategic in nature and is driven by deviations of market
price from fundamental value. We believe this philosophy offers the greatest
potential for achieving enhanced long-term returns, while controlling risk.
The Brinson Global Fund has provided an annualized return of 10.42% since its
inception on August 31, 1992. This compares with the corresponding 12.75%
return of its benchmark, the GSMI Mutual Fund Index. Fund performance over this
period was achieved with an annualized volatility of 4.39%, well below the
benchmark volatility of 5.71%. For the year ended June 30, 1996, the Fund
returned 16.38%, while the benchmark returned 16.08%. For the first half of
1996, the Brinson Global Fund returned 4.58% compared to the 5.55% return of
the benchmark.
Substantial positive contributions to performance came from equity security
selection and from the strategy of hedging risks in the overpriced yen,
deutschemark, and DM-related currencies. Because many equity markets provided
double-digit returns in dollar-hedged terms, the primary negative contributor
to performance was the above-normal allocation to bond markets with
corresponding underweights in equities.
Market strategy within the Global Fund centers on reducing the risk of exposure
to the overpriced equity markets; the relatively attractive bond markets are
the primary overweights. Strategy for emerging markets investments mirrors that
of the developed markets, with a small underweight in equities and a small
overweight in bonds. A small underweight is also carried in the U.S. high yield
bond market.
Currency strategy continues to focus on controlling the risk of exposure to the
overpriced yen and DM-related currencies. Strategy primarily favors the
attractively priced U.S. dollar.
------------------------------------------------------------
6
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
Annualized
6 months 1 year 3 years 8/31/92*
ended ended ended to
6/30/96 6/30/96 6/30/96 6/30/96
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C>
BRINSON GLOBAL FUND 4.58% 16.38% 9.69% 10.42%
GSMI Mutual Fund Index (currency
unhedged)** 5.55 16.08 12.27 12.75
GSMI Mutual Fund Index (currency
hedged)** 7.11 20.42 12.19 12.93
- ----------------------------------------------------------------------
</TABLE>
*Inception date of the Brinson Global Fund.
**An un-managed index compiled by the Advisor, constructed as follows: 40%
Wilshire 5000 Index; 22% MSCI Non-U.S. Equity (Free) Index; 19% Salomon BIG
Bond Index; 2% International Dollar Bond Index; 9% Salomon Non-U.S. Government
Bond Index (unhedged); 2% JP Morgan EMBI+; 3% IFC Investable Index; and 3% High
Yield Bond Index.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000
This chart shows the growth in the value of an investment in the Brinson Global
Fund and the GSMI Mutual Fund Index (currency unhedged and hedged) if you had
invested $100,000 on August 31, 1992, and had reinvested all your income
dividends and capital gain distributions through June 30,
1996. No adjustment has been made for any income taxes payable by shareholders
on income dividends and capital gain distributions. Past performance is no
guarantee of future results. Share price and return will vary with market
conditions; investors may realize a gain or loss upon redemption.
BRINSON GLOBAL FUND
VS. GSMI MUTUAL FUND INDEX (CURRENCY UNHEDGED AND HEDGED)
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
8/31/92 6/30/96
-------- --------
Brinson Global Fund $100,000 $146,227
GSMI Mutual Fund Index (currency unhedged) $100,000 $158,405
GSMI Mutual Fund Index (currency hedged) $100,000 $159,355
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
------------------------------------------------------------
7
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
LOGO
ASSET ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. EQUITY 40.0% 25.0%
Large Cap. Stocks 28.0 18.0
Small/Int. Cap. 12.0 7.0
NON-U.S. EQUITIES 22.0 17.0
Japan Equities 8.4 5.4
Other Equities 13.6 11.6
EMERGING MARKETS EQUITIES 3.0 2.0
DOLLAR BONDS 21.0 24.5
U.S. Bonds 19.0 22.5
International $ Bonds 2.0 2.0
HIGH YIELD BONDS 3.0 2.5
NON-U.S. BONDS 9.0 25.0
Japan Bonds 2.6 0.0
Other Bonds 6.4 25.0
EMERGING MARKETS DEBT 2.0 3.0
CASH EQUIVALENTS 0.0 1.0
- -----------------------------------------------------------------------------------------------
100.0% 100.0%
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------------------------
<S> <C>
1. Citicorp 1.39%
2. Lockheed Martin Corp. 1.35
3. Chase Manhattan Corp. 1.16
4. Burlington Northern Santa Fe 1.05
5. Enron Corp. 1.02
6. Avon Products, Inc. 0.92
7. Schering Plough Corp. 0.84
8. Kimberly-Clark Corp. 0.80
9. Mattel, Inc. 0.76
10. Aon Corp. 0.72
- ------------------------------------------------------------------------------
</TABLE>
CURRENCY ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- --------------------------------------
<S> <C> <C>
U.S. 66.0% 85.9%
Japan 11.0 0.0
U.K. 4.1 4.1
Continental Europe 12.2 5.0
Canada 1.2 1.2
Emerging Markets 3.0 2.0
Other 2.5 1.8
- --------------------------------------
100.0% 100.0%
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------------------------
<S> <C>
1. Matsushita Electric Industrial Co. 0.22%
2. Royal Dutch Petroleum Co. 0.21
3. Toray Industries, Inc. 0.21
4. Ito Yokado Co. Ltd. 0.20
5. General Electric Co. PLC 0.20
6. Royal Dutch Petroleum Co. NY Shares 0.20
7. Lloyds TSB Group PLC 0.20
8. British Telecommunications PLC 0.18
9. Broken Hill Proprietary Co. Ltd. 0.18
10. British Petroleum Co. PLC 0.18
- ------------------------------------------------------------------------------
</TABLE>
------------------------------------------------------------
8
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 1996
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals............................................................... 0.22%
Housing/Paper........................................................... 0.99
Metals.................................................................. 0.10
-----
1.31
Capital Investment
Capital Goods........................................................... 2.48
Technology.............................................................. 1.12
-----
3.60
Consumer
Autos/Durables.......................................................... 0.28
Discretionary........................................................... 1.97
Health: Drugs........................................................... 2.03
Health: Non-Drugs....................................................... 1.03
Non-Durables............................................................ 2.92
Retail/Apparel.......................................................... 1.20
-----
9.43
Energy................................................................... 1.43
Financial
Banks................................................................... 3.04
Non-Banks............................................................... 2.74
-----
5.78
Post Venture............................................................. 1.21
Services................................................................. 1.78
Transportation........................................................... 1.34
Utilities................................................................ 1.09
Miscellaneous............................................................ 0.75
-----
Total U.S. Equities................................................... 27.72*
-----
NON-U.S. EQUITIES
Aerospace & Military..................................................... 0.03
Airlines................................................................. 0.02
Appliances & Household Durables.......................................... 0.43
Automobiles.............................................................. 0.50
Banking.................................................................. 1.97
Beverages & Tobacco...................................................... 0.45
Broadcasting & Publishing................................................ 0.22
Building Materials....................................................... 0.21
Business & Public Service................................................ 0.58
Chemicals................................................................ 0.69
Construction............................................................. 0.37
Data Processing.......................................................... 0.17
Electric Components...................................................... 0.20
Electronics.............................................................. 0.70
Energy................................................................... 1.44
Financial Services....................................................... 0.20
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
Food & House Products................................................... 0.77%
Forest Products......................................................... 0.30
Gold Mining............................................................. 0.03
Health & Personal Care.................................................. 0.55
Industrial Components................................................... 0.38
Insurance............................................................... 0.69
Leisure & Tourism....................................................... 0.21
Machinery & Engineering................................................. 0.28
Merchandising........................................................... 0.78
Metals.................................................................. 0.15
Miscellaneous Materials................................................. 0.24
Multi-Industry.......................................................... 0.62
Non-Ferrous Metals...................................................... 0.36
Real Estate............................................................. 0.08
Recreation.............................................................. 0.11
Shipping................................................................ 0.11
Steel................................................................... 0.12
Telecommunications...................................................... 0.78
Textiles and Apparel.................................................... 0.06
Transportation.......................................................... 0.15
Utilities............................................................... 0.90
------
Total Non-U.S. Equities.............................................. 15.85*
------
EMERGING MARKETS EQUITIES............................................... 2.13
------
U.S. BONDS
Corporate Bonds
Asset-Backed........................................................... 0.93
CMO.................................................................... 0.21
Consumer............................................................... 0.44
Financial.............................................................. 0.75
Telecommunications..................................................... 0.39
Transportation......................................................... 0.25
------
2.97
U.S. Government Agencies................................................ 6.02
U.S. Government Obligations............................................. 9.06
International Dollar Bonds.............................................. 2.09
------
Total U.S. Bonds..................................................... 20.14*
------
HIGH YIELD BONDS........................................................ 2.55
------
NON-U.S. BONDS
Foreign Government Bonds................................................ 23.72
------
EMERGING MARKETS DEBT................................................... 3.23
------
SHORT-TERM INVESTMENTS.................................................. 4.14*
------
TOTAL INVESTMENTS.................................................... 99.48
CASH AND OTHER ASSETS, LESS LIABILITIES................................. 0.52
------
NET ASSETS........................................................... 100.00%
======
</TABLE>
LOGO
* The Fund held a long position in Topix futures on June
30, 1996 which increased Japanese equity exposure from
4.78% to 5.31%. The Fund held a long position in U.S.
Treasury futures which increased U.S. bond exposure from
20.14% to 23.52%. The Fund also held a short position in
stock index futures which reduced U.S. equity exposure
from 27.72% to 24.78%. These three adjustments result in
a net decrease in the Fund's exposure to Short-Term
Investments from 4.14% to 3.17%.
------------------------------------------------------------
9
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Equities -- 45.70%
U.S. EQUITIES -- 27.72%
Aetna Life & Casualty Co............................. 32,900 $ 2,352,350
Allergan, Inc........................................ 54,900 2,154,825
Allstate Corp........................................ 31,200 1,423,500
Alza Corp. (b)....................................... 53,500 1,464,563
American Mobile Satellite Corp., Inc. (b)............ 5,900 91,450
Aon Corp............................................. 66,800 3,390,100
Automatic Data Processing, Inc....................... 62,700 2,421,787
Avon Products, Inc................................... 96,200 4,341,025
Bard (C.R.), Inc..................................... 33,100 1,125,400
Beckman Instruments, Inc............................. 21,400 813,200
Biogen, Inc. (b)..................................... 5,000 274,375
Birmingham Steel Corp................................ 21,500 352,063
Boeing Co............................................ 14,200 1,237,175
Boston Technology, Inc. (b).......................... 21,400 361,125
Brinker International, Inc. (b)...................... 15,500 232,500
Brinson Post Venture Fund............................ 423,765 5,722,985
Burlington Northern Santa Fe......................... 61,200 4,949,550
Centerior Energy Co.................................. 45,000 331,875
Chase Manhattan Corp................................. 77,300 5,459,313
CIGNA Corp........................................... 26,500 3,123,687
Citicorp............................................. 79,200 6,543,900
CMS Energy Corp...................................... 58,500 1,806,188
Coca-Cola Enterprises, Inc........................... 51,300 1,776,262
Comerica, Inc........................................ 14,700 655,988
Comverse Technology, Inc. (b)........................ 16,400 500,200
Cooper Cameron Corp. (b)............................. 8,083 353,631
Corning, Inc......................................... 83,600 3,208,150
Dial Corp............................................ 43,800 1,253,775
EMC Corp. /Mass (b).................................. 60,900 1,134,263
Enron Corp........................................... 118,100 4,827,337
Entergy Corp......................................... 16,300 462,513
Federal Express Corp. (b)............................ 6,100 500,200
Federated Department Stores (b)...................... 56,900 1,941,712
FileNet Corp. (b).................................... 8,300 302,950
First Data Corp...................................... 15,989 1,273,124
Food Lion, Inc. Class A.............................. 76,000 603,250
Ford Motor Co........................................ 54,000 1,748,250
Forest Laboratories, Inc. (b)........................ 36,300 1,402,087
Gannett Co., Inc..................................... 35,700 2,525,775
General Instrument Corp. (b)......................... 85,400 2,465,925
Genzyme Corp. (b).................................... 7,000 351,750
Goodyear Tire & Rubber Co............................ 64,200 3,097,650
Health Care and Retirement Corp. (b)................. 28,800 684,000
Honeywell, Inc....................................... 43,200 2,354,400
Inland Steel Industries, Inc......................... 15,100 296,338
Interpublic Group of Companies, Inc.................. 26,600 1,246,875
James River Corp. of Virginia........................ 30,800 812,350
Kimberly-Clark Corp.................................. 48,900 3,777,525
Kroger Co. (b)....................................... 22,500 888,750
Lockheed Martin Corp................................. 75,800 6,367,200
Lyondell Petrochemical Co............................ 58,500 1,411,313
Magna Group, Inc..................................... 9,300 223,200
Manor Care, Inc...................................... 34,950 1,376,156
Mattel, Inc.......................................... 124,675 3,568,822
Melville Corp........................................ 72,700 2,944,350
Nabisco Holdings Corp. Class A....................... 7,200 254,700
National Semiconductor Corp. (b)..................... 62,400 967,200
Nextel Communications, Inc. Class A (b).............. 53,900 1,027,469
Old Republic International Corp...................... 31,050 671,456
Owens Illinois, Inc. (b)............................. 47,800 764,800
Pentair, Inc......................................... 25,200 756,000
Pfizer, Inc.......................................... 3,500 249,813
Philip Morris Companies, Inc......................... 11,400 1,185,600
RJR Nabisco Convertible Preferred "C"................ 174,200 1,132,300
RJR Nabisco Holdings Corp............................ 17,340 537,540
Schering Plough Corp................................. 63,100 3,959,525
Seagate Technology, Inc. (b)......................... 16,600 747,000
Sprint Corp.......................................... 41,700 1,751,400
State Street Boston Corp............................. 12,700 647,700
Timken Co............................................ 14,900 577,375
Transamerica Corp.................................... 14,900 1,218,075
Tyson Foods, Inc. Class A............................ 47,400 1,297,575
Ultramar Corp........................................ 23,400 678,600
US Bancorp........................................... 36,500 1,318,562
USF&G Corp........................................... 48,500 794,187
Westvaco Corp........................................ 12,750 380,906
Whitman Corp......................................... 22,500 542,812
WMX Technologies, Inc................................ 68,000 2,227,000
York International Corp.............................. 7,500 388,125
360 Communications Co. (b)........................... 18,566 445,584
------------
Total U.S. Equities.................................. 130,830,311
------------
NON-U.S. EQUITIES -- 15.85%
AUSTRALIA -- 0.76%
Amcor Ltd............................................ 29,400 200,165
ANZ Banking Group Ltd................................ 33,753 159,932
Boral Ltd............................................ 46,100 119,740
Broken Hill Proprietary Co. Ltd...................... 61,780 854,368
CRA Ltd.............................................. 20,645 317,840
David Jones Ltd...................................... 115,100 159,446
Lend Lease Corp. Ltd................................. 18,056 277,129
M.I.M. Holdings Ltd.................................. 97,900 126,373
National Australia Bank Ltd.......................... 33,947 313,953
News Corp. Ltd....................................... 36,100 204,865
Pacific Dunlop Ltd................................... 47,600 107,151
Qantas Airways Ltd................................... 66,350 112,281
Santos Ltd........................................... 57,800 200,173
WMC Ltd.............................................. 19,100 136,804
Westpac Bank Corp. Ltd............................... 70,138 310,804
------------
3,601,024
------------
BELGIUM -- 0.50%
Delhaize-Le Lion S.A................................. 3,500 174,838
Electrabel S.A....................................... 1,960 418,540
Fortis AG............................................ 1,757 230,499
Groupe Bruxelles Lambert S.A......................... 1,150 143,893
Kredietbank NV....................................... 1,120 334,975
Petrofina S.A........................................ 1,055 330,688
Societe Generale de Belgique......................... 1,553 117,731
Solvay S.A. Class A.................................. 390 239,324
</TABLE>
- --------------------------------------------------------------------------------
10
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
BELGIUM (CONTINUED)
Tractebel............................................ 505 $ 206,730
Union Miniere Group S.A. (b)......................... 2,320 177,727
------------
2,374,945
------------
CANADA -- 0.59%
Alcan Aluminium Ltd.................................. 7,600 231,239
Bank of Montreal..................................... 13,600 332,630
Barrick Gold Corp.................................... 4,400 119,376
Canadian Pacific Ltd................................. 16,900 370,028
Imperial Oil Ltd..................................... 5,900 248,858
Moore Corp. Ltd...................................... 3,900 72,968
Noranda, Inc......................................... 6,300 128,943
Norcen Energy Resources Ltd.......................... 5,800 101,721
Northern Telecom Ltd................................. 3,400 184,864
NOVA Corp............................................ 10,400 94,054
Royal Bank of Canada................................. 9,900 237,423
Seagram Co. Ltd...................................... 6,500 217,761
Thomson Corp......................................... 17,800 281,547
TransCanada Pipelines Ltd............................ 9,700 143,838
------------
2,765,250
------------
FINLAND -- 0.12%
Merita Ltd. Class A (b).............................. 22,200 46,350
Outokupu OY Class A.................................. 3,400 57,083
Oy Nokia Ab Class A.................................. 8,700 320,218
UPM-Kymmene Corp. (b)................................ 7,300 151,000
------------
574,651
------------
FRANCE -- 1.57%
Accor S.A............................................ 1,940 271,329
Alcatel Alsthom...................................... 2,738 238,804
Banque Nationale de Paris............................ 11,430 401,204
CEP Communications................................... 1,984 167,646
CEP Communications Warrants "97" (b)................. 1,984 5,781
Cie Bancaire S.A..................................... 2,311 260,369
Cie de Saint Gobain.................................. 3,174 424,803
Cie de Suez.......................................... 4,467 163,391
Cie Generale des Eaux................................ 5,026 561,373
Colas................................................ 854 152,950
Credit Local de France............................... 4,859 395,478
Elf Aquitaine S.A.................................... 4,934 362,862
GAN (b).............................................. 1,820 48,788
LVMH................................................. 2,879 682,840
Michelin Class B..................................... 5,960 291,285
Pechiney S.A. Class A................................ 5,604 226,315
Peugeot S.A.......................................... 5,120 685,252
Rhone-Poulenc Class A................................ 11,000 289,103
SEITA................................................ 3,700 169,619
Societe Generale..................................... 4,986 548,189
Total S.A. Class B................................... 8,212 609,041
UAP.................................................. 9,066 184,032
Usinor Sacilor....................................... 17,500 252,404
------------
7,392,858
------------
GERMANY -- 1.03%
Allianz AG Holding................................... 288 $ 500,656
BASF AG.............................................. 711 202,496
Bayer AG............................................. 9,780 344,077
Bayerische Motoren Werke AG.......................... 430 248,321
Bayerische Vereinsbank AG............................ 5,794 162,160
Commerzbank AG....................................... 741 153,253
Daimler-Benz AG (b).................................. 438 234,956
Daimler-Benz AG Rights (b)........................... 438 60
Deutsche Bank AG..................................... 11,811 559,473
Hoechst AG........................................... 4,740 160,066
Kaufhof Holding AG................................... 600 226,858
M.A.N. AG............................................ 400 100,256
Mannesmann AG........................................ 1,127 387,982
Muenchener Rueckver AG............................... 171 349,392
Muenchener Rueckver AG Warrants "98" (b)............. 2 248
Preussag AG.......................................... 842 212,146
RWE AG............................................... 5,450 211,970
Schering AG.......................................... 2,085 151,160
Siemens AG........................................... 2,600 139,352
Thyssen AG........................................... 1,250 228,714
Veba AG.............................................. 5,839 310,344
------------
4,883,940
------------
ITALY -- 0.49%
Assicurazioni Generali............................... 11,800 272,109
Danieli & Co. Savings (Risp)......................... 26,000 92,436
Edison Spa........................................... 24,000 144,819
ENI ADR (c).......................................... 8,000 400,000
Fiat Spa-Priv........................................ 85,000 149,157
INA-Istituto Nazionale de Assicurazioni.............. 47,000 70,058
Istituto Mobilaire Italiano Spa...................... 30,000 250,497
Italgas Spa.......................................... 33,000 123,243
La Rinascente........................................ 19,000 136,028
La Rinascente Savings (Risp)......................... 9,000 24,952
La Rinascente Warrants "99" (b)...................... 1,400 1,140
Mediobanca Spa....................................... 6,000 38,103
Montedison Spa (b)................................... 105,000 61,029
SAI-Savings (Risp)................................... 16,500 63,935
Telecom Italia Spa................................... 141,000 243,286
Telecom Italia Mobile Spa............................ 167,000 227,685
------------
2,298,477
------------
JAPAN -- 4.78%
Amada Co. Ltd........................................ 35,000 376,545
Asahi Glass Co. Ltd.................................. 42,000 501,635
Bank of Tokyo-Mitsubishi Ltd......................... 31,800 737,956
Canon, Inc........................................... 30,000 623,624
Canon Sales Co., Inc................................. 11,000 305,886
Citizen Watch Co. Ltd................................ 32,000 266,372
Dai Nippon Printing Co. Ltd.......................... 32,000 618,519
Daiichi Pharmaceutical Co. Ltd....................... 23,000 354,390
Daikin Industries Ltd................................ 34,000 371,987
Daiwa House Industry Co. Ltd......................... 17,000 263,490
</TABLE>
- --------------------------------------------------------------------------------
11
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
JAPAN (CONTINUED)
Fanuc................................................ 13,900 $ 552,546
Fujitsu.............................................. 21,000 191,464
Hitachi Ltd.......................................... 68,000 632,377
Honda Motor Co....................................... 16,000 414,291
Inax................................................. 44,000 437,266
Isetan............................................... 12,000 181,617
Ito Yokado Co. Ltd................................... 16,000 964,247
Kaneka Corp.......................................... 17,000 114,231
Keio Teito Electric Railway.......................... 39,000 231,124
Kinki Nippon Railway................................. 39,000 280,549
Kirin Brewery Co. Ltd................................ 37,000 452,037
Kokuyo............................................... 7,000 193,378
Kuraray Co. Ltd...................................... 30,000 336,429
Maeda Road Construction.............................. 8,000 137,854
Marui Co. Ltd........................................ 5,000 110,775
Matsushita Electric Industrial Co.................... 55,000 1,022,963
Mitsubishi Paper Mills............................... 43,000 268,551
NGK Insulators....................................... 56,000 628,001
Nintendo Corp. Ltd................................... 2,900 215,752
Nippon Denso Co. Ltd................................. 23,000 499,082
Nippon Meat Packers, Inc............................. 22,000 312,906
Nippon Steel Co...................................... 28,000 95,987
Okumura.............................................. 24,000 200,435
Osaka Gas Co......................................... 141,000 515,502
Pioneer Electronic Corp.............................. 5,000 118,981
Sankyo Co. Ltd....................................... 25,000 647,329
Secom................................................ 8,000 528,075
Seino Transportation................................. 12,000 189,275
Sekisui House Ltd.................................... 66,000 752,179
Shinmaywa Industries Ltd............................. 31,000 316,553
Sony Corp............................................ 10,200 670,506
Sumitomo Bank........................................ 36,000 695,834
Sumitomo Electric Industries......................... 28,000 400,797
Takeda Chemical Industries........................... 26,000 459,877
TDK Corp............................................. 6,000 357,763
Tokio Marine & Fire Insurance Co..................... 31,000 412,650
Tokyo Electric Power................................. 14,900 377,657
Tokyo Steel Mfg...................................... 25,000 490,056
Tonen Corp........................................... 25,000 366,972
Toray Industries, Inc................................ 141,000 971,869
Toshiba Corp......................................... 81,000 576,032
Toyo Suisan Kaisha................................... 19,000 232,127
Toyota Motor Corp.................................... 11,000 274,796
Yamazaki Baking Co. Ltd.............................. 17,000 314,639
------------
22,563,735
------------
MALAYSIA -- 0.46%
Genting Bhd.......................................... 12,000 93,780
Hume Industries (Malaysia) Bhd....................... 27,000 132,013
Kuala Lumpur Kepong Bhd.............................. 39,500 99,732
Land & General Holdings Bhd.......................... 51,000 125,701
Malayan Banking Bhd.................................. 26,000 250,080
Malaysia International Shipping Bhd (Frgn.).......... 34,000 105,603
Nestle (Malaysia) Bhd................................ 15,000 120,832
Public Bank Bhd (Frgn.).............................. 78,000 215,694
Resorts World Bhd.................................... 13,000 74,503
Sime Darby Bhd....................................... 86,000 237,817
Telekom Malaysia Bhd................................. 38,000 $ 338,089
Tenaga Nasional Bhd.................................. 70,000 294,566
YTL Corp. Bhd........................................ 14,000 72,940
------------
2,161,350
------------
NETHERLANDS -- 1.12%
ABN AMRO Holdings NV................................. 9,314 499,831
Akzo Nobel NV........................................ 1,100 131,789
DSM NV............................................... 1,910 189,668
Hoogovens NV......................................... 2,900 107,376
ING Groep NV......................................... 21,985 647,752
KPN NV............................................... 11,855 448,764
Philips Electronics NV............................... 6,480 210,698
Royal Dutch Petroleum Co............................. 6,400 988,365
Royal Dutch Petroleum Co. NY Shares (c).............. 6,100 937,875
Unilever NV.......................................... 4,750 687,357
Vendex International NV.............................. 6,300 219,609
VNU-Ver Ned Uitgevers................................ 14,700 228,221
------------
5,297,305
------------
NEW ZEALAND -- 0.51%
Brierley Investments Ltd............................. 385,200 364,168
Carter Holt Harvey Ltd............................... 245,400 559,829
Fletcher Challenge Building.......................... 60,525 118,172
Fletcher Challenge Energy............................ 60,525 133,514
Fletcher Challenge Forest Ltd........................ 16,333 20,253
Fletcher Challenge Paper............................. 121,050 233,857
Telecom Corp. of New Zealand Ltd..................... 198,000 830,143
Telecom Corp. of New Zealand Ltd. ADS (c)............ 2,000 133,500
------------
2,393,436
------------
SPAIN -- 0.56%
Banco Bilbao Vizcaya S.A............................. 3,800 153,825
Banco Central Hispanoamericano....................... 5,010 101,989
Banco Intercontinental Espanol S.A................... 1,630 182,183
Banco Popular Espanol S.A............................ 1,190 211,991
Banco Santander S.A.................................. 3,800 177,239
Cia Sevillana de Electricidad........................ 17,200 158,302
Empresa Nacional de Electridad S.A................... 4,800 299,132
Fomento de Construcciones y Contratas S.A............ 1,450 119,881
Iberdrola S.A........................................ 34,900 357,953
Repsol S.A........................................... 4,100 142,465
Repsol S.A. ADR (c).................................. 4,100 142,475
Telefonica de Espana................................. 24,200 445,454
Vallehermosa S.A..................................... 4,000 78,932
Viscofan Envolturas Celulosicas S.A.................. 4,900 77,392
------------
2,649,213
------------
SWITZERLAND -- 0.41%
ABB AG (Bearer)...................................... 80 98,945
Ciba-Geigy AG (Reg.)................................. 258 314,358
CS Holdings AG (Reg.)................................ 1,973 187,589
Nestle S.A. (Reg.)................................... 463 528,625
Roche Holding AG (Gen.).............................. 36 274,545
</TABLE>
- --------------------------------------------------------------------------------
12
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
SWITZERLAND (CONTINUED)
<S> <C> <C>
Schweiz Bankgesellschaft (Bearer)................... 206 $ 201,622
Societe Generale de Surveillance Holding S.A. (Bear-
er)................................................ 71 169,898
Zurich Versicherungs (Reg.)......................... 569 155,025
------------
1,930,607
------------
UNITED KINGDOM -- 2.95%
Asda Group PLC...................................... 60,200 108,987
Bass PLC............................................ 39,800 500,360
B.A.T. Industries PLC............................... 46,184 359,568
Booker PLC.......................................... 14,100 82,606
British Gas PLC..................................... 167,900 467,041
British Petroleum Co. PLC........................... 96,508 846,601
British Steel PLC................................... 56,000 143,155
British Telecommunications PLC...................... 159,500 857,607
Charter PLC......................................... 19,035 274,506
Coats Viyella PLC................................... 103,300 276,109
FKI PLC............................................. 68,700 181,492
General Electric Co. PLC............................ 174,700 942,050
Glaxo Wellcome PLC.................................. 22,000 296,239
Grand Metropolitan PLC.............................. 95,200 631,708
Guinness PLC........................................ 74,900 544,727
Hanson PLC.......................................... 92,900 260,582
Hillsdown Holdings PLC.............................. 72,200 195,226
House of Fraser PLC................................. 128,800 348,270
Legal & General Group PLC........................... 22,300 231,837
Lloyds Abbey Life PLC............................... 31,300 248,552
Lloyds TSB Group PLC................................ 189,779 928,988
Marks & Spencer PLC................................. 47,000 343,644
Mirror Group PLC.................................... 40,800 129,977
National Power PLC.................................. 37,900 306,263
National Westminster Bank PLC....................... 40,800 390,564
Ocean Group PLC..................................... 28,200 200,270
Peninsular & Oriental Steam Navigation Co........... 32,600 246,210
Reckitt & Colman PLC................................ 28,325 297,555
Redland PLC......................................... 23,200 144,572
RJB Mining PLC...................................... 28,300 243,200
Rolls-Royce PLC..................................... 38,900 135,409
Royal Insurance Holdings PLC........................ 27,366 169,257
RTZ Corp. PLC....................................... 20,100 297,674
Scottish Hydro-Electric PLC......................... 30,900 142,135
Sears PLC........................................... 160,700 247,231
Sedgwick Group PLC.................................. 92,400 198,154
SmithKline Beecham PLC.............................. 33,400 357,357
Tesco PLC........................................... 87,800 401,137
Thames Water PLC.................................... 33,000 290,769
Unilever PLC........................................ 13,400 266,542
Vodafone Group PLC.................................. 45,600 170,070
W.H. Smith Group PLC................................ 29,300 216,278
------------
13,920,479
------------
Total Non-U.S. Equities............................. 74,807,270
------------
EMERGING MARKETS EQUITIES -- 2.13%
Brinson Emerging Markets Equity Fund................ 952,086 $ 10,063,648
------------
Total Equities (Cost $183,698,296).................. 215,701,229
------------
</TABLE>
<TABLE>
<CAPTION>
FACE AMOUNT VALUE
------------- ------------
<S> <C> <C>
Bonds -- 49.64%
U.S. BONDS -- 20.14%
U.S. CORPORATE BONDS -- 2.97%
American Express Credit Account Master Trust 96-1A
6.800%, due 12/15/03............................... $ 1,280,000 $ 1,285,504
Bell South Corp. 9.125%, due 07/01/03............... 209,990 222,475
Choice Credit Card 7.200%, due 03/15/98............. 1,000,000 1,011,210
Chrysler Financial Corp. MTN 6.500%, due 08/21/97... 165,000 165,493
Delta Air Lines 10.060%, due 01/02/16............... 1,000,000 1,155,618
Ford Credit Grantor Trust 95-B 5.900%, due 10/15/00. 159,140 158,539
GMAC MTN 6.500%, due 04/19/99....................... 1,350,000 1,345,167
Green Tree Acceptance Corp. 94-A 6.900%, due
02/15/04........................................... 499,642 494,860
Green Tree Financial 94-2 8.300%, due 05/15/19...... 435,000 446,427
Lehman Brothers Holdings 7.250%, due 04/15/03....... 1,500,000 1,481,769
News America Corp. 7.750%, due 01/20/24............. 1,755,000 1,629,100
Premier Auto Trust 4.220%, due 03/02/99............. 45,500 44,688
Salomon, Inc. 6.750%, due 02/15/03.................. 550,000 526,798
Sears Credit Master Trust II 96-2 6.500%, due
11/15/99........................................... 315,000 315,636
Standard Credit Card Trust 94-1A 4.650%, due
02/07/97........................................... 1,065,000 1,057,087
8.250%, due 01/07/05............................... 500,000 533,075
Thrift Financial Corp. 11.250%, due 01/01/16........ 41,328 45,116
Time Warner Entertainment, Inc.
9.150%, due 02/01/23............................... 990,000 1,024,342
8.375%, due 03/15/23............................... 1,100,000 1,068,206
------------
14,011,110
------------
INTERNATIONAL DOLLAR BONDS -- 2.09%
AT&T Corp. 8.250%, due 01/11/00..................... 675,000 704,954
BBV International 7.000%, due 12/01/25.............. 2,200,000 1,984,004
</TABLE>
- --------------------------------------------------------------------------------
13
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------ -----
<S> <C> <C>
INTERNATIONAL DOLLAR BONDS (CONTINUED)
City of Oslo 7.875%, due 02/03/97................... $ 1,200,000 $ 1,213,505
Hanson PLC Notes 6.750%, due 09/15/05............... 790,000 757,574
International Bank for Reconstruction & Development
9.875%, due 10/01/97............................... 175,000 182,836
Japanese Development Bank 8.375%, due 02/15/01...... 1,000,000 1,060,159
Korea Telecom 7.500%, due 06/01/06.................. 1,500,000 1,502,963
Petroliam Nasional 7.125%, due 08/15/05............. 450,000 443,892
Republic of Italy 6.875%, due 09/27/23.............. 150,000 135,188
Republic of South Africa 9.625%, due 12/15/99....... 1,000,000 1,043,750
Royal Bank of Scotland 7.375%, due 04/01/06......... 220,000 214,830
Swedbank FRN 7.718%, due 10/29/49................... 300,000 308,250
Telstra Corp. Ltd. 6.500%, due 11/28/05............. 350,000 332,740
------------
9,884,645
------------
U.S. GOVERNMENT AGENCIES -- 6.02%
Federal Home Loan Mortgage Corp.
9.200%, due 08/25/97............................... 200,000 206,826
9.000%, due 03/01/17............................... 446,060 470,045
5.800%, due 08/15/19............................... 2,025,000 1,823,675
Federal Home Loan Mortgage Corp. Gold
9.500%, due 10/01/20............................... 606,366 646,283
8.000%, due 05/01/23............................... 1,937,351 1,954,893
9.000%, due 05/01/24............................... 1,260,700 1,323,256
Federal National Mortgage Association
7.600%, due 01/10/97............................... 200,000 202,012
5.000%, due 06/01/01............................... 1,734,960 1,620,366
7.000%, due 03/01/03............................... 1,250,000 1,245,313
6.220%, due 03/13/06............................... 1,700,000 1,605,191
6.700%, due 08/25/20............................... 2,345,000 2,198,953
9.000%, due 08/01/21............................... 342,544 359,592
6.500%, due 08/25/21............................... 1,500,000 1,382,535
8.200%, due 08/25/21............................... 64,406 65,490
8.000%, due 05/01/22............................... 184,196 185,633
8.500%, due 07/01/22............................... 845,692 875,029
8.500%, due 08/01/23............................... 437,635 449,119
7.500%, due 05/01/25............................... 2,016,015 1,990,170
3.000%, due 03/01/26............................... 1,250,000 1,169,131
6.500%, due 03/01/26............................... 1,246,509 1,165,866
6.500%, due 03/01/26............................... 1,200,000 1,122,366
7.000%, due 03/01/26............................... 745,000 716,825
Federal National Mortgage Association Principal
Strips
0.000%, due 11/01/01(e)............................ 225,000 220,476
</TABLE>
<TABLE>
FACE AMOUNT
OR SHARES VALUE
----------- -----
<S> <C> <C>
Government National Mortgage
Association
11.000%, due 09/15/15.............................. $ 275,347 $ 308,129
8.500%, due 05/15/21............................... 75,654 77,782
8.000%, due 08/15/22............................... 524,840 531,983
8.000%, due 11/15/22............................... 533,079 540,334
8.000%, due 12/15/22............................... 1,820,878 1,845,660
7.500%, due 03/15/26............................... 895,000 881,849
6.500%, due 03/20/26............................... 1,145,028 1,059,500
Tennessee Valley Authority 6.875%, due 12/15/43..... 170,000 150,308
------------
28,394,590
------------
U.S. GOVERNMENT OBLIGATIONS-- 9.06%
U.S. Treasury Coupon Strips
0.000%, due 02/15/03............................... 225,000 146,068
0.000%, due 05/15/03............................... 7,000,000 4,462,360
U.S. Treasury Notes and Bonds
6.625%, due 03/31/97............................... 435,000 437,855
5.500%, due 11/15/98............................... 985,000 969,609
6.375%, due 03/31/01............................... 10,805,000 10,754,346
5.750%, due 08/15/03............................... 6,600,000 6,280,309
6.500%, due 05/15/05............................... 5,855,000 5,772,661
8.125%, due 05/15/21............................... 1,155,000 1,301,179
U.S. Treasury Principal Strips
0.000%, due 11/15/04............................... 11,435,000 6,527,441
0.000%, due 05/15/05............................... 7,315,000 4,027,785
0.000%, due 02/15/15............................... 7,630,000 2,062,160
------------
42,741,773
------------
Total U.S. Bonds.................................... 95,032,118
------------
HIGH YIELD BONDS -- 2.55%
Brinson High Yield Fund............................. 1,065,360 12,034,624
------------
NON-U.S. BONDS -- 23.72%
AUSTRALIA -- 1.30%
Government of Australia
9.750%, due 03/15/02............................... AUD 3,700,000 3,041,281
9.000%, due 09/15/04............................... 3,900,000 3,101,643
------------
6,142,924
------------
BELGIUM -- 1.09%
Kingdom of Belgium
8.750%, due 06/25/02............................... BEF 32,000,000 1,161,049
9.000%, due 03/28/03............................... 54,000,000 1,983,402
8.500%, due 10/01/07............................... 56,000,000 2,007,169
------------
5,151,620
------------
CANADA -- 2.43%
Government of Canada
7.500%, due 09/01/00............................... CAD 4,350,000 3,257,276
7.250%, due 06/01/03............................... 2,600,000 1,891,740
4.250%, due 12/01/21 (d)........................... 5,500,000 3,973,613
9.000%, due 06/01/25............................... 2,085,000 1,673,512
4.250%, due 12/01/26 (d)........................... 1,000,000 687,572
------------
11,483,713
------------
</TABLE>
- --------------------------------------------------------------------------------
14
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE AMOUNT
OR SHARES VALUE
----------- -----
<S> <C> <C>
DENMARK -- 2.39%
Kingdom of Denmark
9.000%, due 11/15/98............................. DKK 2,100,000 $ 388,406
9.000%, due 11/15/00............................. 14,600,000 2,756,854
8.000%, due 05/15/03............................. 12,000,000 2,165,655
7.000%, due 12/15/04............................. 17,500,000 2,952,372
8.000%, due 03/15/06............................. 10,500,000 1,861,829
7.000%, due 11/10/24............................. 7,900,000 1,161,052
------------
11,286,168
------------
FRANCE -- 3.13%
Government of France (OAT)
8.500%, due 03/28/00............................. FRF 5,900,000 1,268,019
9.500%, due 01/25/01............................. 8,300,000 1,865,565
8.500%, due 04/25/03............................. 6,500,000 1,429,293
8.250%, due 02/27/04............................. 10,700,000 2,316,878
7.500%, due 04/25/05............................. 22,400,000 4,664,926
8.500%, due 12/26/12............................. 14,500,000 3,250,107
------------
14,794,788
------------
GERMANY -- 5.14%
Bundesrepublik Deutscheland
7.000%, due 09/20/99............................. DEM 7,000,000 4,873,004
8.500%, due 08/21/00............................. 2,600,000 1,901,702
8.375%, due 05/21/01............................. 1,900,000 1,393,075
8.000%, due 07/22/02............................. 1,950,000 1,410,134
6.500%, due 07/15/03............................. 4,800,000 3,198,003
6.750%, due 07/15/04............................. 7,800,000 5,234,676
6.250%, due 01/04/24............................. 2,900,000 1,675,678
Treuhandanstalt
7.750%, due 10/01/02............................. 4,650,000 3,318,636
6.250%, due 03/04/04............................. 1,900,000 1,240,411
------------
24,245,319
------------
ITALY -- 2.54%
Republic of Italy (BTP)
7.875%, due 10/01/96............................. ITL2,100,000,000 1,371,003
7.437%, due 01/01/99............................. 3,100,000,000 2,035,793
8.312%, due 12/01/99............................. 1,900,000,000 1,277,243
10.062%, due 03/01/03............................ 3,500,000,000 2,556,246
7.875%, due 10/01/03............................. 3,300,000,000 2,163,905
7.437%, due 04/01/04............................. 3,100,000,000 1,968,654
8.312%, due 12/01/07............................. 900,000,000 594,618
------------
11,967,462
------------
NETHERLANDS -- 3.06%
Government of Nederlands
6.250%, due 07/15/98............................. NLG 1,400,000 853,829
8.500%, due 03/15/01............................. 1,000,000 659,382
8.750%, due 09/15/01............................. 1,300,000 870,145
6.500%, due 04/15/03............................. 3,100,000 1,870,643
8.500%, due 06/01/06............................. 8,650,000 5,817,681
8.250%, due 02/15/07............................. 4,500,000 2,973,812
7.500%, due 04/15/10............................. 2,200,000 1,376,530
------------
14,422,022
------------
SPAIN -- 1.06%
Government of Spain
7.400%, due 07/30/99............................. ESP 510,000,000 $ 3,953,158
11.300%, due 01/15/02............................ 60,000,000 525,915
8.200%, due 02/28/09............................. 70,000,000 514,473
------------
4,993,546
------------
UNITED KINGDOM -- 1.58%
UK Treasury
7.000%, due 11/06/01............................. GBP 810,000 1,239,860
8.000%, due 06/10/03............................. 1,400,000 2,216,395
8.500%, due 12/07/05............................. 2,470,000 4,002,714
------------
7,458,969
------------
Total Non-U.S. Bonds.............................. 111,946,531
------------
EMERGING MARKETS DEBT -- 3.23%
Brinson Emerging Markets Debt Fund................ 1,118,170 15,250,052
------------
Total Bonds (Cost $232,143,982)................... 234,263,325
------------
Short-Term Investments -- 4.14%
U.S. GOVERNMENT OBLIGATIONS-- 0.19%
U.S. Treasury Bills 5.140%, due 11/14/96.......... 930,000 911,941
------------
COMMERCIAL PAPER -- 3.95%
Airtouch Communications, Inc. 5.500%, due
07/01/96......................................... 1,000,000 1,000,000
Baxter International, Inc. 5.550%, due 07/10/96... 2,000,000 1,997,225
Dial Corp. 5.550%, due 07/17/96................... 1,000,000 997,533
FMC Corp. 5.480%, due 07/08/96.................... 1,500,000 1,498,402
Gatx Capital Corp. 5.500%, due 07/09/96........... 1,000,000 998,778
Kerr-McGee Credit Corp. 5.500%, due 07/09/96...... 2,000,000 1,997,556
The Limited, Inc. 5.650%, due 07/01/96............ 2,484,000 2,484,000
Lockheed Martin Corp. 5.630%, due 07/01/96........ 2,981,000 2,981,000
Melville Corp. 5.658%, due 07/01/96............... 3,660,000 3,660,000
PS Colorado Credit Corp. 5.550%, due 07/02/96..... 1,000,000 999,846
------------
18,614,340
------------
Total Short-Term Investments (Cost $19,526,281)... 19,526,281
------------
Total Investments
(Cost $435,368,559)--99.48% (a) 469,490,835
------------
Cash and other assets, less
liabilities-- 0.52%.............................. 2,472,301
------------
Net Assets--100%.................................. $471,963,136
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
15
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $435,368,559; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $39,563,521
Gross unrealized depreciation................................ (5,441,245)
-----------
Net unrealized appreciation.............................. $34,122,276
===========
</TABLE>
(b)Non-income producing security.
(c)Denominated in U.S. dollars.
(d)Linked to Canada's retail price index. Reset semi-annually.
(e)Interest rate 0.00% until 11/01/96, 7.99% to maturity.
FRN: Floating rate note--The rate disclosed is that in effect at June 30, 1996.
MTN: Medium term note
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4)
The Global Fund had the following open forward foreign currency contracts as of
June 30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ----------- ----------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY BUY
CONTRACTS
Belgian Franc................ 12/04/96 15,000,000 $ 483,794 $ 5,094
British Pound................ 12/04/96 2,000,000 3,105,173 68,823
Canadian Dollar.............. 12/04/96 2,500,000 1,836,532 8,331
Danish Kroner................ 12/04/96 11,000,000 1,889,078 29,336
Dutch Guilder................ 12/04/96 5,000,000 2,962,639 27,893
French Franc................. 12/04/96 13,000,000 2,543,507 35,017
German Mark.................. 12/04/96 8,000,000 5,306,672 65,410
Swiss Franc.................. 12/04/96 700,000 566,693 6,693
FORWARD FOREIGN CURRENCY SALE
CONTRACTS
Australian Dollar............ 12/04/96 9,600,000 7,517,993 4,567
Belgian Franc................ 12/04/96 255,000,000 8,219,394 (85,423)
British Pound................ 12/04/96 4,000,000 6,210,346 (178,346)
Canadian Dollar.............. 12/04/96 14,500,000 10,651,884 (59,438)
Danish Kroner................ 12/04/96 77,000,000 13,223,549 (185,298)
Dutch Guilder................ 12/04/96 39,000,000 23,108,586 (167,409)
French Franc................. 12/04/96 127,000,000 24,848,107 (309,415)
German Mark.................. 12/04/96 53,000,000 35,156,699 (388,921)
Japanese Yen................. 12/04/96 2,400,000,000 22,373,469 479,517
Swiss Franc.................. 12/04/96 2,900,000 2,347,726 (18,783)
---------
$(662,352)
=========
</TABLE>
FUTURES CONTRACTS (NOTE 5)
The Global Fund had the following open futures contracts as of June 30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST/PROCEEDS VALUE GAIN/(LOSS)
---------- ------------- ---------- -----------
<S> <C> <C> <C> <C>
INTEREST RATE FUTURES BUY CON-
TRACTS
5 Year U.S. Treasury Note, 73
contracts..................... Sept 1996 $7,728,906 $7,719,750 $(9,156)
10 Year U.S. Treasury Note, 44
contracts..................... Sept 1996 4,732,750 4,730,000 (2,750)
30 Year U.S. Treasury Bond, 32
contracts..................... Sept 1996 3,508,000 3,505,000 (3,000)
INDEX FUTURES BUY CONTRACTS
Topix, 16 contracts............ Sept 1996 2,471,157 2,495,956 24,799
INDEX FUTURES SALE CONTRACTS
Standard & Poor's 500, 41 con-
tracts........................ Sept 1996 13,937,950 13,874,400 63,550
-------
$73,443
=======
</TABLE>
The segregated cash and market value of investments pledged to cover margin
requirements for the open futures positions at June 30, 1996 were $550,000 and
$911,941, respectively.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
16
<PAGE>
GLOBAL FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Note 1):
Unaffiliated issuers (Cost $392,368,559)........................ $426,419,526
Affiliated issuers (Cost $43,000,000)........................... 43,071,309
Cash............................................................. 1,092,698
Foreign currency, at value (Cost $1,860,136)..................... 1,869,053
Receivables:
Investment securities sold...................................... 3,805,859
Dividends....................................................... 499,451
Interest........................................................ 4,691,390
Fund shares sold................................................ 217,359
Variation margin (Note 5)....................................... 53,189
Other assets..................................................... 17,720
------------
TOTAL ASSETS.................................................. 481,737,554
------------
LIABILITIES:
Payables:
Investment securities purchased................................. 8,505,363
Fund shares redeemed............................................ 109,118
Investment advisory fees (Note 2)............................... 305,964
Net unrealized depreciation on forward foreign currency con-
tracts......................................................... 662,352
Accrued expenses................................................ 191,621
------------
TOTAL LIABILITIES............................................. 9,774,418
------------
NET ASSETS........................................................ $471,963,136
============
NET ASSETS CONSIST OF:
Paid in capital (Note 7)......................................... $414,032,614
Accumulated undistributed net investment income.................. 9,848,069
Accumulated net realized gain.................................... 14,638,128
Net unrealized appreciation...................................... 33,444,325
------------
NET ASSETS.................................................... $471,963,136
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $457,932,962 and 37,481,925 shares is-
sued and outstanding) (Note 7)................................. $ 12.22
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $14,030,174 and 1,151,524 shares issued
and outstanding) (Note 7)...................................... $ 12.18
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
17
<PAGE>
GLOBAL FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest......................................................... $15,935,899
Dividends (net of $232,233 for foreign taxes withheld)........... 4,265,925
-----------
TOTAL INCOME.................................................. 20,201,824
-----------
EXPENSES:
Advisory (Note 2)................................................ 3,415,057
Administration................................................... 293,601
Custodian........................................................ 146,119
Distribution (Note 6)............................................ 27,501
Other............................................................ 600,604
-----------
TOTAL EXPENSES................................................ 4,482,882
-----------
NET INVESTMENT INCOME ........................................ 15,718,942
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments..................................................... 20,797,091
Futures contracts............................................... 1,118,185
Foreign currency transactions................................... 11,661,658
-----------
Net realized gain............................................. 33,576,934
-----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................ 11,972,299
Futures contracts............................................... 73,443
Forward contracts............................................... 1,322,661
Translation of other assets and liabilities denominated in for-
eign currency.................................................. (179,797)
-----------
Change in net unrealized appreciation or depreciation......... 13,188,606
-----------
Net realized and unrealized gain................................. 46,765,540
-----------
Net increase in net assets resulting from operations............. $62,484,482
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
18
<PAGE>
GLOBAL FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
JUNE 30, 1996 JUNE 30, 1995
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 15,718,942 $ 14,388,762
Net realized gain................................ 33,576,934 2,567,030
Change in net unrealized appreciation or depreci-
ation........................................... 13,188,606 23,779,745
------------- ------------
Net increase in net assets resulting from opera-
tions........................................... 62,484,482 40,735,537
------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income......... (20,214,114) (8,427,640)
Distributions in excess of net investment income. (1,430,745) --
Distributions from net realized gain............. (10,937,826) (2,567,030)
Distributions in excess of net realized gain..... -- (275,888)
------------- ------------
Total distributions to shareholders*............. (32,582,685) (11,270,558)
------------- ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 109,483,562 124,484,442
Shares issued on reinvestment of distributions... 31,162,315 10,276,565
Shares redeemed.................................. (64,262,463) (77,406,972)
------------- ------------
Net increase in net assets resulting from capital
share transactions (Note 7)..................... 76,383,414 57,354,035
------------- ------------
TOTAL INCREASE IN NET ASSETS.................. 106,285,211 86,819,014
------------- ------------
NET ASSETS:
Beginning of year................................ 365,677,925 278,858,911
------------- ------------
End of year (including accumulated undistributed
net investment income of
$9,848,069 and $4,495,172, respectively)........ $471,963,136 $365,677,925
============= ============
<CAPTION>
*DISTRIBUTIONS BY CLASS:
<S> <C> <C>
Distributions from and in excess of net investment
income:
Brinson Class.................................... $ (21,444,413) $ (8,427,640)
SwissKey Class................................... (200,446) --
Distributions from and in excess of net realized
gain:
Brinson Class.................................... (10,892,522) (2,842,918)
SwissKey Class................................... (45,304) --
------------- ------------
$ (32,582,685) $(11,270,558)
============= ============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
19
<PAGE>
GLOBAL FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR YEAR YEAR AUGUST 31, 1992*
ENDED ENDED ENDED THROUGH
BRINSON CLASS JUNE 30, 1996 JUNE 30, 1995 JUNE 30, 1994 JUNE 30, 1993
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value, begin-
ning of period......... $ 11.35 $ 10.43 $ 10.87 $ 10.00
-------- -------- -------- --------
Income from investment
operations:
Net investment income. 0.44 0.43 0.33 0.26
Net realized and
unrealized gain
(loss)............... 1.37 0.86 (0.23) 0.81
-------- -------- -------- --------
Total income from
investment opera-
tions.............. 1.81 1.29 0.10 1.07
-------- -------- -------- --------
Less distributions:
Distributions from and
in excess of net in-
vestment
income............... (0.62) (0.27) (0.27) (0.20)
Distributions from and
in excess of net re-
alized gain.......... (0.32) (0.10) (0.27) --
-------- -------- -------- --------
Total distributions. (0.94) (0.37) (0.54) (0.20)
-------- -------- -------- --------
Net asset value, end of
period................. $ 12.22 $ 11.35 $ 10.43 $ 10.87
======== ======== ======== ========
Total return (non-
annualized)............ 16.38% 12.57% 0.77% 10.76%
Ratios/Supplemental data
Net assets, end of pe-
riod (in 000s)........ $457,933 $365,678 $278,859 $191,389
Ratio of expenses to
average net assets:
Before expense reim-
bursement............ 1.04% 1.09% 1.14% 1.35%**
After expense reim-
bursement............ N/A N/A 1.10% 1.05%**
Ratio of net investment
income to average net
assets:
Before expense reim-
bursement............ 3.69% 4.27% 3.21% 3.26%**
After expense reim-
bursement............ N/A N/A 3.25% 3.56%**
Portfolio turnover
rate.................. 142% 238% 231% 149%
Average commission rate
paid per share........ $ 0.0291 N/A N/A N/A
</TABLE>
* Commencement of investment operations
** Annualized
N/A = Not applicable
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
20
<PAGE>
GLOBAL FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
SWISSKEY CLASS JUNE 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period............................. $ 11.60
-------
Income from investment operations:
Net investment income.......................................... 0.39
Net realized and unrealized gain............................... 1.10
-------
Total income from investment operations...................... 1.49
-------
Less distributions:
Distributions from and in excess of net investment income...... (0.59)
Distributions from net realized gain........................... (0.32)
-------
Total distributions.......................................... (0.91)
-------
Net asset value, end of period................................... $ 12.18
=======
Total return (non-annualized).................................... 13.24%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $14,030
Ratio of expenses to average net assets......................... 1.69%**
Ratio of net investment income to average net assets............ 3.04%**
Portfolio turnover rate......................................... 142%
Average commission rate paid per share.......................... $0.0291
</TABLE>
* Commencement of SwissKey Class distribution
** Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
21
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
The Global Equity Fund is an actively managed portfolio that provides
integrated asset management across and within world equity markets. The
investment process is strategic in nature and is driven by deviations of market
price from fundamental value. We believe this philosophy offers the greatest
potential for achieving enhanced long-term returns, while controlling risk.
The Brinson Global Equity Fund has provided an annualized return of 10.42%
since January 31, 1994 (performance inception date), compared to the 11.03%
return of its benchmark, the MSCI World Equity (Free) Index. For the year ended
June 30, 1996, the Fund returned 25.66%, while the benchmark returned 18.92%.
For the first half of 1996, the Fund returned 8.91% compared to the Index
return of 7.29%.
Major global equity markets have provided roughly similar performance year-to-
date with the U.S. and Japan offering U.S. dollar hedged returns of 10.92% and
10.23% respectively. The MSCI World Equity (Free) Index provided a hedged
return of 10.37%. The U.S. extended its fundamental overvaluation despite
slower earnings growth and rising U.S. interest rates. Non-U.S. equity market
strength came amid prospects for improved economic activity and a generally
stable interest rate environment. Due to the extreme overvaluations of many
equity markets, the cash allocation within the Global Equity Fund was expanded
from 10% to 15% earlier in 1996. In the first half of the year this risk hedge
detracted from Fund performance.
The Fund's underweight of the Japanese yen and core-European currencies
contributed strongly to Fund performance. The yen suffered not only from a
nearly 6.00% depreciation, but also from extremely low short-term interest
rates. Core European currencies also depreciated by about 6.00%, but short-term
rates were similar to those in the U.S.
------------------------------------------------------------
22
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 1/31/94*
6/30/96 6/30/96 to 6/30/96
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
BRINSON GLOBAL EQUITY FUND 8.91% 25.66% 10.42%
MSCI World Equity (Free) Index (currency
unhedged)** 7.29 18.92 11.03
MSCI World Equity (Free) Index (currency hedged)** 10.37 29.51 10.23
- -------------------------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson Global Equity Fund.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000
This chart shows the growth in the value of an investment in the Brinson Global
Equity Fund and the MSCI World Equity (Free) Index (currency unhedged and
hedged) if you had invested $100,000 on January 31, 1994, and had reinvested
all your income dividends and capital gain distributions through June 30,
1996. No adjustment has been made for any income taxes payable by shareholders
on income dividends and capital gain distributions. Past performance is no
guarantee of future results. Share price and return will vary with market
conditions; investors may realize a gain or loss upon redemption.
BRINSON GLOBAL EQUITY FUND
VS. MSCI WORLD EQUITY (FREE) INDEX (CURRENCY UNHEDGED AND HEDGED)
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
1/31/94 6/30/96
-------- --------
Brinson Global Equity Fund $100,000 $127,020
MSCI World Equity (Free) Index (currency unhedged) $100,000 $128,777
MSCI World Equity (Free) Index (currency hedged) $100,000 $126,533
Fund returns are net of all fees and costs, while the Index returns are based
solely on the market returns without deduction for fees or transaction costs
for rebalancing.
------------------------------------------------------------
23
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
MARKET ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- ---------------------------------
<S> <C> <C>
U.S. 41.5% 31.5%
Japan 22.3 19.3
Australia 1.6 2.5
Belgium 0.6 1.6
Canada 2.2 1.7
France 3.7 4.9
Germany 3.8 3.3
Hong Kong 1.8 0.0
Italy 1.6 1.7
Malaysia 1.4 1.3
Netherlands 2.3 3.3
New Zealand 0.2 1.6
Spain 1.1 1.7
Sweden 1.2 0.0
Switzerland 3.3 1.2
U.K. 9.0 9.1
Other Markets 2.4 0.3
Cash Reserves 0.0 15.0
- ---------------------------------
100.0% 100.0%
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
Percent of
Net Assets
- ----------------------
<S> <C>
1.
Citicorp 1.99%
2.
Lockheed
Martin
Corp. 1.94
3. Chase
Manhattan
Corp. 1.66
4.
Burlington
Northern
Santa Fe 1.51
5. Enron
Corp. 1.47
6. Avon
Products,
Inc. 1.32
7.
Schering
Plough
Corp. 1.20
8.
Kimberly-
Clark
Corp. 1.16
9.
Mattel,
Inc. 1.09
10. Aon
Corp. 1.03
- ----------------------
</TABLE>
CURRENCY ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- ---------------------------------
<S> <C> <C>
U.S. 41.5% 74.5%
Japan 22.3 4.3
Australia 1.6 1.6
Belgium 0.6 0.0
Canada 2.2 2.2
France 3.7 0.0
Germany 3.8 0.0
Hong Kong 1.8 0.0
Italy 1.6 3.4
Malaysia 1.4 1.3
Netherlands 2.3 0.0
New Zealand 0.2 1.6
Spain 1.1 1.7
Sweden 1.2 0.0
Switzerland 3.3 0.0
U.K. 9.0 9.1
Other Markets 2.4 0.3
- ---------------------------------
100.0% 100.0%
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
Percent of
Net Assets
- -----------------------
<S> <C>
1. Royal
Dutch
Petroleum
Co. 0.87%
2.
Matsushita
Electric
Industrial
Co. 0.84
3. Ito
Yokado Co.
Ltd. 0.80
4. Toray
Industries,
Inc. 0.79
5. General
Electric
Co. PLC 0.61
6. Lloyds
TSB Group
PLC 0.61
7. Sekisui
House Ltd. 0.61
8.
Sumitomo
Bank 0.58
9. Telecom
Corp of New
Zealand
Ltd. 0.57
10. Bank of
Tokyo-
Mitsubishi
Ltd. 0.56
- -----------------------
</TABLE>
------------------------------------------------------------
24
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 1996
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals............................................................... 0.32%
Housing/Paper........................................................... 1.43
Metals.................................................................. 0.14
-----
1.89
Capital Investments
Capital Goods........................................................... 3.56
Technology.............................................................. 1.60
-----
5.16
Consumer
Autos/Durables.......................................................... 0.40
Discretionary........................................................... 2.82
Health: Drugs........................................................... 2.92
Health: Non-Drugs....................................................... 1.47
Non-Durables............................................................ 4.18
Retail/Apparel.......................................................... 1.72
-----
13.51
Energy................................................................... 2.06
Financial
Banks................................................................... 4.36
Non-Banks............................................................... 3.93
-----
8.29
Services................................................................. 2.56
Transportation........................................................... 1.92
Utilities................................................................ 1.57
Miscellaneous............................................................ 1.05
-----
Total U.S. Equities................................................... 38.01*
-----
</TABLE>
- ------------------------------------------------------------
<TABLE>
<S> <C>
NON-U.S. EQUITIES
Aerospace & Military.................................................... 0.13%
Airlines................................................................ 0.07
Appliances & Household Durables......................................... 1.66
Automobiles............................................................. 1.63
Banking................................................................. 6.10
Beverages & Tobacco..................................................... 1.38
Broadcasting & Publishing............................................... 0.64
Building Materials...................................................... 0.89
Business & Public Service............................................... 2.02
Chemicals............................................................... 2.38
Construction............................................................ 1.30
Data Processing......................................................... 0.67
Electric Components..................................................... 0.84
Electronics............................................................. 2.31
Energy.................................................................. 4.29
Financial Services...................................................... 0.59
Food & House Products................................................... 2.45
Forest Products......................................................... 1.07
Gold Mining............................................................. 0.07
Health & Personal Care.................................................. 1.98
Industrial Components................................................... 1.46
Insurance............................................................... 1.96
Leisure & Tourism....................................................... 0.55
Machinery & Engineering................................................. 0.97
Merchandising........................................................... 2.62
Metals.................................................................. 0.32
Miscellaneous Materials................................................. 0.88
Multi-Industry.......................................................... 2.00
Non-Ferrous Metal....................................................... 1.02
Real Estate............................................................. 0.20
Recreation.............................................................. 0.41
Shipping................................................................ 0.34
Steel................................................................... 0.71
Telecommunications...................................................... 2.06
Textiles & Apparel...................................................... 0.16
Transportation.......................................................... 0.58
Utilities............................................................... 2.94
------
Total Non-U.S. Equities.............................................. 51.65*
------
SHORT-TERM INVESTMENTS.................................................. 10.12*
------
TOTAL INVESTMENTS.................................................... 99.78
CASH AND OTHER ASSETS, LESS LIABILITIES................................. 0.22
------
NET ASSETS........................................................... 100.00%
======
</TABLE>
* The Fund held a short position in stock index futures on June 30, 1996 which
reduced U.S. equity exposure from 38.01% to 31.26%. The Fund held a long
position in Topix futures which increased Japanese equity exposure from 1.25%
to 2.03%. These two adjustments result in a net increase in the Fund's
exposure to Short-Term Investments from 10.12% to 16.09%.
------------------------------------------------------------
25
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Equities -- 89.66%
U.S. EQUITIES -- 38.01%
Aetna Life & Casualty Co................................. 6,000 $ 429,000
Allergan, Inc............................................ 10,000 392,500
Allstate Corp............................................ 5,700 260,063
Alza Corp. (b)........................................... 9,800 268,275
American Mobile Satellite Corp., Inc. (b)................ 1,100 17,050
Aon Corp................................................. 12,200 619,150
Automatic Data Processing, Inc........................... 11,500 444,187
Avon Products, Inc....................................... 17,600 794,200
Bard (C.R.), Inc......................................... 6,100 207,400
Beckman Instruments, Inc................................. 3,900 148,200
Biogen, Inc. (b)......................................... 900 49,388
Birmingham Steel Corp.................................... 3,900 63,862
Boeing Co................................................ 2,600 226,525
Boston Technology, Inc. (b).............................. 3,900 65,813
Brinker International, Inc. (b).......................... 2,800 42,000
Burlington Northern Santa Fe............................. 11,200 905,800
Centerior Energy Co...................................... 8,200 60,475
Chase Manhattan Corp..................................... 14,100 995,812
CIGNA Corp............................................... 4,900 577,588
Citicorp................................................. 14,500 1,198,063
CMS Energy Corp.......................................... 10,700 330,363
Coca-Cola Enterprises, Inc............................... 9,400 325,475
Comerica, Inc............................................ 2,700 120,488
Comverse Techonology, Inc. (b)........................... 3,000 91,500
Cooper Cameron Corp. (b)................................. 1,500 65,625
Corning, Inc............................................. 15,300 587,138
Dial Corp................................................ 8,000 229,000
EMC Corp./Mass (b)....................................... 11,100 206,737
Enron Corp............................................... 21,600 882,900
Entergy Corp............................................. 3,000 85,125
Federal Express Corp. (b)................................ 800 65,600
Federated Department Stores (b).......................... 10,300 351,488
FileNet Corp. (b)........................................ 1,500 54,750
First Data Corp.......................................... 2,902 231,072
Food Lion, Inc. Class A.................................. 13,900 110,331
Ford Motor Co............................................ 9,900 320,512
Forest Laboratories, Inc. (b)............................ 6,700 258,788
Gannett Co., Inc......................................... 6,500 459,875
General Instrument Corp. (b)............................. 15,700 453,337
Genzyme Corp. (b)........................................ 1,300 65,325
Goodyear Tire & Rubber Co................................ 11,700 564,525
Health Care and Retirement Corp. (b)..................... 5,250 124,688
Honeywell, Inc........................................... 7,900 430,550
Inland Steel Industries, Inc............................. 3,300 64,762
Interpublic Group of Companies, Inc...................... 4,900 229,688
James River Corp. of Virginia............................ 5,600 147,700
Kimberly-Clark Corp...................................... 9,000 695,250
Kroger Co. (b)........................................... 4,100 161,950
Lockheed Martin Corp..................................... 13,900 1,167,600
Lyondell Petrochemical Co................................ 10,700 258,138
Magna Group, Inc......................................... 1,900 45,600
Manor Care, Inc.......................................... 6,400 252,000
Mattel, Inc.............................................. 22,850 654,081
Melville Corp............................................ 13,300 538,650
Nabisco Holdings Corp. Class A........................... 3,400 105,400
National Semiconductor Corp. (b)......................... 11,400 176,700
Nextel Communications, Inc. Class A (b).................. 9,900 188,719
Old Republic International Corp.......................... 5,650 122,181
Owens Illinois, Inc. (b)................................. 8,700 139,200
Pentair, Inc............................................. 4,600 138,000
Pfizer, Inc.............................................. 600 42,825
Philip Morris Companies, Inc............................. 2,100 218,400
RJR Nabisco Convertible Preferred "C".................... 31,900 207,350
RJR Nabisco Holdings Corp................................ 1,200 42,450
Schering Plough Corp..................................... 11,500 721,625
Seagate Technology, Inc. (b)............................. 3,000 135,000
Sprint Corp.............................................. 7,600 319,200
State Street Boston Corp................................. 2,300 117,300
Timken Co................................................ 2,700 104,625
Transamerica Corp........................................ 2,700 220,725
Tyson Foods, Inc. Class A................................ 8,100 221,737
Ultramar Corp............................................ 4,300 124,700
US Bancorp............................................... 6,700 242,037
USF&G Corp............................................... 8,900 145,737
Westvaco Corp............................................ 2,350 70,206
Whitman Corp............................................. 4,100 98,912
WMX Technologies, Inc.................................... 12,400 406,100
York International Corp.................................. 1,400 72,450
360 Communications Co. (b)............................... 3,433 82,392
-----------
Total U.S. Equities...................................... 22,859,933
-----------
NON-U.S. EQUITIES -- 51.65%
AUSTRALIA -- 2.22%
Amcor Ltd................................................ 10,100 68,764
ANZ Banking Group Ltd.................................... 13,447 63,716
Boral Ltd................................................ 13,800 35,844
Broken Hill Proprietary Co. Ltd.......................... 23,450 324,295
CRA Ltd.................................................. 8,062 124,119
David Jones Ltd.......................................... 37,000 51,255
Lend Lease Corp. Ltd..................................... 6,197 95,113
M.I.M. Holdings Ltd...................................... 29,200 37,692
National Australia Bank Ltd.............................. 14,475 133,870
News Corp. Ltd........................................... 14,500 82,287
Pacific Dunlop Ltd....................................... 17,600 39,619
Qantas Airways Ltd....................................... 23,119 39,123
Santos Ltd............................................... 22,000 76,190
WMC Ltd.................................................. 7,300 52,287
Westpac Bank Corp. Ltd................................... 24,545 108,767
-----------
1,332,941
-----------
BELGIUM -- 1.55%
Delhaize-Le Lion S.A..................................... 1,200 59,945
Electrabel S.A........................................... 850 181,510
Fortis AG................................................ 580 76,089
Groupe Bruxelles Lambert S.A............................. 530 66,316
Kredietbank NV........................................... 465 139,075
Petrofina S.A............................................ 410 128,514
Societe Generale de Belgique............................. 540 40,936
Solvay S.A. Class A...................................... 165 101,252
</TABLE>
- --------------------------------------------------------------------------------
26
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
BELGIUM (CONTINUED)
<S> <C> <C>
Tractebel................................................ 200 $ 81,873
Union Miniere Group S.A. (b)............................. 720 55,157
-----------
930,667
-----------
CANADA -- 1.77%
Alcan Aluminium Ltd...................................... 2,800 85,193
Bank of Montreal......................................... 5,500 134,520
Barrick Gold Corp........................................ 1,600 43,409
Canadian Pacific Ltd..................................... 6,500 142,318
Imperial Oil Ltd......................................... 2,500 105,448
Moore Corp. Ltd.......................................... 1,200 22,452
Noranda, Inc............................................. 2,100 42,981
Norcen Energy Resources Ltd.............................. 2,500 43,845
Northern Telecom Ltd..................................... 1,400 76,120
NOVA Corp................................................ 4,300 38,888
Royal Bank of Canada..................................... 3,500 83,938
Seagram Co. Ltd.......................................... 2,400 80,404
Thomson Corp............................................. 6,500 102,812
TransCanada Pipelines Ltd................................ 4,000 59,315
-----------
1,061,643
-----------
FINLAND -- 0.29%
Merita Ltd. Class A (b).................................. 6,700 13,989
Nokia Ab Class A......................................... 2,600 95,697
Outokumpu Class A........................................ 1,000 16,789
UPM-Kymmene Corp. (b).................................... 2,200 45,507
-----------
171,982
-----------
FRANCE -- 4.72%
Accor S.A................................................ 860 120,280
Alcatel Alsthom.......................................... 1,044 91,056
Banque Nationale de Paris................................ 3,780 132,682
CEP Communications....................................... 704 59,487
CEP Communications Warrants "97" (b)..................... 704 2,051
Cie Bancaire S.A......................................... 992 111,764
Cie de Saint Gobain...................................... 1,328 177,737
Cie de Suez.............................................. 1,651 60,389
Cie Generale des Eaux.................................... 1,934 216,016
Colas.................................................... 330 59,103
Credit Local de France................................... 1,803 146,748
Elf Aquitaine S.A........................................ 1,950 143,409
GAN (b).................................................. 650 17,424
LVMH..................................................... 1,130 268,013
Michelin Class B......................................... 2,410 117,785
Pechiney S.A. Class A.................................... 1,985 80,163
Peugeot S.A.............................................. 1,990 266,338
Rhone-Poulenc Class A.................................... 4,300 113,013
SEITA.................................................... 1,200 55,012
Societe Generale......................................... 1,861 204,609
Total S.A. Class B....................................... 3,090 229,169
UAP...................................................... 3,219 65,343
Usinor Sacilor........................................... 7,200 103,846
-----------
2,841,437
-----------
GERMANY -- 3.18%
Allianz AG Holding....................................... 105 182,531
BASF AG.................................................. 290 82,593
Bayer AG................................................. 4,300 151,281
Bayerische Motoren Werke AG.............................. 170 98,174
Bayerische Vereinsbank AG................................ 2,000 55,975
Commerzbank AG........................................... 330 68,250
Daimler-Benz AG (b)...................................... 160 85,829
Daimler-Benz AG Rights (b)............................... 160 22
Deutsche Bank AG......................................... 4,650 220,265
Hoechst AG............................................... 1,700 57,408
Kaufhof Holding AG....................................... 305 115,319
M.A.N. AG................................................ 100 25,064
Mannesmann AG............................................ 430 148,032
Muenchener Rueckver AG................................... 57 116,464
Muenchener Rueckver AG Warrants "98" (b)................. 3 373
Preussag AG.............................................. 310 78,106
RWE AG................................................... 2,200 85,566
Schering AG.............................................. 850 61,624
Siemens AG............................................... 900 48,237
Thyssen AG............................................... 500 91,485
Veba AG.................................................. 2,650 140,848
-----------
1,913,446
-----------
ITALY -- 1.38%
Assicurazioni Generali................................... 4,200 96,853
Danieli & Co. Savings (Risp)............................. 8,000 28,442
Edison Spa............................................... 9,000 54,307
ENI ADR (c).............................................. 2,300 115,000
Fiat Spa-Priv............................................ 31,000 54,398
INA-Istituto Nazionale de Assicurazioni.................. 14,000 20,868
Istituto Mobilaire Italiano Spa.......................... 11,000 91,849
Italgas Spa.............................................. 13,000 48,550
La Rinascente............................................ 5,000 35,797
La Rinascente Savings (Risp)............................. 6,000 16,635
La Rinascente Warrants "99" (b).......................... 550 448
Mediobanca Spa........................................... 2,800 17,781
Montedison Spa (b)....................................... 44,000 25,574
SAI-Savings (Risp)....................................... 7,000 27,124
Telecom Italia Spa....................................... 61,000 105,251
Telecom Italia Mobile Spa................................ 67,000 91,347
-----------
830,224
-----------
JAPAN -- 18.58%
Amada Co. Ltd............................................ 18,000 193,652
Asahi Glass Co. Ltd...................................... 21,000 250,817
Bank of Tokyo-Mitsubishi Ltd............................. 14,600 339,438
Canon, Inc............................................... 15,000 311,812
Canon Sales Co., Inc..................................... 5,000 139,039
Citizen Watch Co. Ltd.................................... 16,000 133,186
Dai Nippon Printing Co. Ltd.............................. 16,000 309,259
Daiichi Pharmaceutical Co. Ltd........................... 11,000 169,491
Daikin Industries Ltd.................................... 17,000 185,993
Daiwa House Industry Co. Ltd............................. 9,000 139,495
Fanuc.................................................... 6,700 266,335
</TABLE>
- --------------------------------------------------------------------------------
27
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
JAPAN (CONTINUED)
<S> <C> <C>
Fujitsu.................................................. 10,000 $ 91,173
Hitachi Ltd.............................................. 33,000 306,889
Honda Motor Co........................................... 8,000 207,145
Inax..................................................... 21,000 208,695
Isetan................................................... 6,000 90,808
Ito Yokado Co. Ltd....................................... 8,000 482,124
Kaneka Corp.............................................. 9,000 60,475
Keio Teito Electric Railway.............................. 19,000 112,599
Kinki Nippon Railway..................................... 19,000 136,678
Kirin Brewery Co. Ltd.................................... 18,000 219,910
Kokuyo................................................... 4,000 110,502
Kuraray Co. Ltd.......................................... 15,000 168,214
Maeda Road Construction.................................. 3,000 51,695
Marui Co. Ltd............................................ 2,000 44,310
Matsushita Electric Industrial Co........................ 27,000 502,182
Mitsubishi Paper Mills................................... 21,000 131,153
NGK Insulators........................................... 27,000 302,786
Nintendo Corp. Ltd....................................... 1,500 111,596
Nippon Denso Co. Ltd..................................... 12,000 260,391
Nippon Meat Packers, Inc................................. 11,000 156,453
Nippon Steel Co.......................................... 14,000 47,994
Okumura.................................................. 12,000 100,218
Osaka Gas Co............................................. 68,000 248,611
Pioneer Electronic Corp.................................. 3,000 71,389
Sankyo Co. Ltd........................................... 12,000 310,718
Secom.................................................... 4,000 264,037
Seino Transportation..................................... 6,000 94,638
Sekisui House Ltd........................................ 32,000 364,693
Shinmaywa Industries Ltd................................. 15,000 153,171
Sony Corp................................................ 5,000 328,679
Sumitomo Bank............................................ 18,000 347,917
Sumitomo Electric Industries............................. 14,000 200,397
Takeda Chemical Industries............................... 13,000 229,939
TDK Corp................................................. 4,000 238,509
Tokio Marine & Fire Insurance Co......................... 16,000 212,981
Tokyo Electric Power..................................... 7,300 185,027
Tokyo Steel Mfg.......................................... 12,500 245,028
Tonen Corp............................................... 13,000 190,825
Toray Industries, Inc.................................... 69,000 475,596
Toshiba Corp............................................. 40,000 284,460
Toyo Suisan Kaisha....................................... 9,000 109,955
Toyota Motor Corp........................................ 5,000 124,907
Yamazaki Baking Co. Ltd.................................. 8,000 148,065
-----------
11,172,049
-----------
MALAYSIA -- 1.25%
Genting Bhd.............................................. 3,000 23,445
Hume Industries (Malaysia) Bhd........................... 8,000 39,115
Kuala Lumpur Kepong Bhd.................................. 25,000 63,121
Land & General Holdings Bhd.............................. 18,000 44,365
Malayan Banking Bhd...................................... 9,600 92,337
Malaysia International Shipping Bhd (Frgn.).............. 10,000 31,060
Nestle (Malaysia) Bhd.................................... 4,000 32,222
Public Bank Bhd (Frgn.).................................. 23,000 63,602
Resorts World Bhd........................................ 4,000 22,924
Sime Darby Bhd........................................... 31,000 85,725
Telekom Malaysia Bhd..................................... 14,000 124,559
Tenaga Nasional Bhd...................................... 26,000 109,410
YTL Corp. Bhd............................................ 4,000 20,840
-----------
752,725
-----------
NETHERLANDS -- 3.27%
ABN AMRO Holdings NV..................................... 3,454 185,357
Akzo Nobel NV............................................ 300 35,942
DSM NV................................................... 680 67,526
Hoogovens NV............................................. 900 33,324
ING Groep NV............................................. 8,122 242,199
KPN NV................................................... 4,493 170,044
Philips Electronics NV................................... 2,850 92,668
Royal Dutch Petroleum Co................................. 3,400 525,069
Royal Dutch Petroleum Co. NY Shares (c).................. 1,200 184,500
Unilever NV.............................................. 1,750 253,237
Vendex International NV.................................. 2,400 83,661
VNU-Ver Ned Uitgevers.................................... 6,000 93,151
-----------
1,966,678
-----------
NEW ZEALAND -- 1.67%
Brierley Investments Ltd................................. 201,000 190,025
Carter Holt Harvey Ltd................................... 90,500 206,457
Fletcher Challenge Building.............................. 22,750 44,418
Fletcher Challenge Energy................................ 22,550 49,744
Fletcher Challenge Forest Ltd............................ 7,803 9,675
Fletcher Challenge Paper................................. 45,500 87,902
Telecom Corp. of New Zealand Ltd......................... 82,000 343,797
Telecom Corp. of New Zealand Ltd. ADS (c)................ 1,100 73,425
-----------
1,005,443
-----------
SPAIN -- 1.61%
Banco Bilbao Vizcaya S.A................................. 1,800 72,864
Banco Central Hispanoamericano........................... 800 16,286
Banco Intercontinental Espanol S.A....................... 600 67,061
Banco Popular Espanol S.A................................ 400 71,258
Banco Santander S.A...................................... 1,600 74,627
Cia Sevillana de Electricidad............................ 6,300 57,983
Empresa Nacional de Electridad S.A....................... 2,050 127,754
Fomento de Construcciones y
Contratas S.A........................................... 500 41,338
Iberdrola S.A............................................ 13,000 133,335
Repsol S.A............................................... 2,600 90,343
Telefonica de Espana..................................... 8,600 158,302
Vallehermosa S.A......................................... 1,200 23,680
Viscofan Envolturas Celulosicas S.A...................... 2,300 36,327
-----------
971,158
-----------
SWITZERLAND -- 1.31%
ABB AG (Bearer).......................................... 30 37,105
Ciba-Geigy AG (Reg.)..................................... 95 115,752
CS Holdings AG (Reg.).................................... 696 66,174
Nestle S.A. (Reg.)....................................... 213 243,190
Roche Holding AG (Gen.).................................. 18 137,272
</TABLE>
- --------------------------------------------------------------------------------
28
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
SWITZERLAND
(CONTINUED)
<S> <C> <C>
Schweiz Bankgesellschaft (Bearer)......................... 72 $ 70,470
Societe Generale de Surveillance Holding S.A. (Bearer).... 27 64,609
Zurich Versicherungs (Reg.)............................... 203 55,308
-----------
789,880
-----------
UNITED KINGDOM -- 8.85%
Asda Group PLC............................................ 26,000 47,071
Bass PLC.................................................. 12,800 160,920
B.A.T. Industries PLC..................................... 21,000 163,497
Booker PLC................................................ 6,500 38,081
British Gas PLC........................................... 61,500 171,072
British Petroleum Co. PLC................................. 33,835 296,812
British Steel PLC......................................... 52,000 132,929
British Telecommunications PLC............................ 58,700 315,621
Charter PLC............................................... 7,431 107,163
Coats Viyella PLC......................................... 35,000 93,551
FKI PLC................................................... 30,875 81,566
General Electric Co. PLC.................................. 68,100 367,221
Glaxo Wellcome PLC........................................ 11,500 154,852
Grand Metropolitan PLC.................................... 38,000 252,152
Guinness PLC.............................................. 28,300 205,818
Hanson PLC................................................ 35,000 98,174
Hillsdown Holdings PLC.................................... 25,000 67,599
House of Fraser PLC....................................... 47,000 127,086
Legal & General Group PLC................................. 7,700 80,051
Lloyds Abbey Life PLC..................................... 10,500 83,380
Lloyds TSB Group PLC...................................... 74,630 365,321
Marks & Spencer PLC....................................... 15,500 113,329
Mirror Group PLC.......................................... 16,000 50,971
National Power PLC........................................ 12,000 96,970
National Westminster Bank PLC............................. 17,800 170,393
Ocean Group PLC........................................... 11,500 81,671
Peninsular & Oriental Steam Navigation Co................. 12,000 90,629
Reckitt & Colman PLC...................................... 10,500 110,303
Redland PLC............................................... 6,500 40,505
RJB Mining PLC............................................ 10,000 85,936
Rolls-Royce PLC........................................... 22,400 77,974
Royal Insurance Holdings PLC.............................. 11,900 73,601
RTZ Corp. PLC............................................. 8,200 121,439
Scottish Hydro-Electric PLC............................... 9,200 42,319
Sears PLC................................................. 52,000 80,000
Sedgwick Group PLC........................................ 37,000 79,347
SmithKline Beecham PLC.................................... 11,900 127,322
Tesco PLC................................................. 34,000 155,338
Thames Water PLC.......................................... 10,000 88,112
Unilever PLC.............................................. 5,500 109,402
Vodafone Group PLC........................................ 13,600 50,723
W.H. Smith Group PLC...................................... 9,000 66,434
-----------
5,322,655
-----------
Total Non-U.S. Equities................................... 31,062,928
-----------
Total Equities (Cost $48,067,795)......................... 53,922,861
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------ -----
<S> <C> <C>
Short-Term Investments --10.12%
U.S. GOVERNMENT OBLIGATIONS -- 0.37%
U.S. Treasury Bills 5.140%, due 11/14/96................ $ 225,000 $ 220,631
-----------
COMMERCIAL PAPER -- 9.75%
Baxter International, Inc.
5.550%, due 07/10/96................................... 300,000 299,584
FMC Corp. 5.480%, due 07/08/96.......................... 250,000 249,733
Gatx Capital Corp. 5.500%, due 07/09/96................. 750,000 749,083
Kerr-McGee Credit Corp.
5.500%, due 07/09/96................................... 1,000,000 998,778
The Limited, Inc. 5.650%, due 07/01/96.................. 1,065,000 1,065,000
Lockheed Martin Corp.
5.630%, due 07/01/96................................... 1,000,000 1,000,000
Melville Corp. 5.650%, due 07/01/96..................... 1,000,000 1,000,000
PS Colorado Credit Corp.
5.550%, due 07/02/96................................... 500,000 499,923
-----------
5,862,101
-----------
Total Short-Term Investments
(Cost $6,082,732)...................................... 6,082,732
-----------
Total Investments
(Cost $54,150,527) -- 99.78% (a)....................... 60,005,593
-----------
Cash and other assets, less liabilities --0.22%......... 132,489
-----------
Net Assets -- 100%...................................... $60,138,082
===========
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
29
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $54,150,527; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $ 7,101,995
Gross unrealized depreciation................................ (1,246,929)
-----------
Net unrealized appreciation.............................. $ 5,855,066
===========
</TABLE>
(b)Non-income producing security
(c)Denominated in U.S. dollars
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4)
The Global Equity Fund had the following open forward foreign currency
contracts as of June 30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ---------- -----------
<S> <C> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY BUY CONTRACTS
Canadian Dollar............. 12/04/96 430,000 $ 315,883 $ 1,714
Italian Lira................ 12/04/96 1,620,000,000 1,037,810 12,202
FORWARD FOREIGN CURRENCY SALE CONTRACTS
Australian Dollar........... 12/04/96 620,000 485,537 5,193
Belgian Franc............... 12/04/96 28,000,000 902,522 (10,688)
Dutch Guilder............... 12/04/96 3,300,000 1,955,342 (20,085)
French Franc................ 12/04/96 13,750,000 2,690,248 (39,748)
German Mark................. 12/04/96 2,600,000 1,724,668 (23,432)
Japanese Yen................ 12/04/96 840,000,000 7,830,714 88,584
Swiss Franc................. 12/04/96 900,000 728,605 (9,984)
--------
Total................... $ 3,756
========
</TABLE>
FUTURES CONTRACTS (NOTE 5)
INDEX FUTURES CONTRACTS:
The Global Equity Fund had the following open index futures contracts as of
June 30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST/PROCEEDS VALUE GAIN
---------- ------------- ---------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CONTRACTS
Topix, 3 contracts.............. Sept 1996 $ 459,695 $ 467,992 $ 8,297
INDEX FUTURES SALE CONTRACTS
Standard & Poor's 500, 12 con-
tracts......................... Sept 1996 4,079,400 4,060,800 18,600
-------
Total........................ $26,897
=======
</TABLE>
The segregated cash and market value of investments pledged to cover margin
requirements for the open futures positions at June 30, 1996 was $100,200 and
$220,631, respectively.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
30
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $54,150,527) (Note 1)................. $60,005,593
Cash.............................................................. 169,435
Foreign currency, at value (Cost $437,680)........................ 440,249
Receivables:
Investment securities sold....................................... 218,470
Dividends........................................................ 147,249
Fund shares sold................................................. 2,862
Net unrealized appreciation on forward foreign currency con-
tracts.......................................................... 3,756
Other assets...................................................... 6,965
-----------
TOTAL ASSETS................................................... 60,994,579
-----------
LIABILITIES:
Payables:
Investment securities purchased.................................. 663,419
Variation margin (Note 5)........................................ 14,203
Investment advisory fees (Note 2)................................ 35,761
Accrued expenses................................................. 143,114
-----------
TOTAL LIABILITIES.............................................. 856,497
-----------
NET ASSETS......................................................... $60,138,082
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 7).......................................... $49,837,041
Accumulated undistributed net investment income................... 90,547
Accumulated net realized gain..................................... 4,320,936
Net unrealized appreciation....................................... 5,889,558
-----------
NET ASSETS..................................................... $60,138,082
===========
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $27,126,163 and 2,343,988 shares issued
and outstanding) (Note 7)....................................... $ 11.57
===========
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $33,011,919 and 2,852,778 shares issued
and outstanding) (Note 7)....................................... $ 11.57
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
31
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $82,247 for foreign taxes withheld)............. $1,003,890
Interest.......................................................... 139,095
----------
TOTAL INCOME................................................... 1,142,985
----------
EXPENSES:
Advisory (Note 2)................................................. 390,824
Distribution (Note 6)............................................. 191,849
Accounting........................................................ 104,928
Custodian......................................................... 80,000
Professional...................................................... 75,874
Transfer agent.................................................... 64,499
Printing.......................................................... 63,644
Other............................................................. 87,389
----------
TOTAL EXPENSES................................................. 1,059,007
Expenses waived by Advisor (Note 2)............................ (378,626)
----------
NET EXPENSES................................................... 680,381
----------
NET INVESTMENT INCOME ......................................... 462,604
----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................................... 5,977,773
Futures contracts................................................ (481,131)
Foreign currency transactions.................................... 2,763,124
----------
Net realized gain.............................................. 8,259,766
----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................. 1,152,333
Futures contracts................................................ 53,797
Forward contracts................................................ 52,974
Translation of other assets and liabilities denominated in for-
eign currency................................................... (397)
----------
Change in net unrealized appreciation or depreciation.......... 1,258,707
----------
Net realized and unrealized gain................................... 9,518,473
----------
Net increase in net assets resulting from operations............... $9,981,077
==========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
32
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR
YEAR ENDED
ENDED JUNE 30,
JUNE 30, 1996 1995
------------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income.............................. $ 462,604 $ 361,529
Net realized gain (loss)........................... 8,259,766 (947,502)
Change in net unrealized appreciation or
depreciation...................................... 1,258,707 1,778,802
----------- -----------
Net increase in net assets resulting from opera-
tions............................................. 9,981,077 1,192,829
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income........... (337,038) (72,633)
Distributions from net realized gain............... (3,021,585) --
Distributions in excess of net realized gain....... -- (198,395)
----------- -----------
Total distributions to shareholders*............... (3,358,623) (271,028)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold........................................ 11,563,213 133,064
Shares issued in acquisition of SBC World Growth
Fund (Note 1)..................................... 25,670,575 --
Shares issued on reinvestment of distributions..... 3,336,320 271,028
Shares redeemed.................................... (7,760,045) (1,262,526)
----------- -----------
Net increase (decrease) in net assets resulting
from capital share
transactions (Note 7)............................. 32,810,063 (858,434)
----------- -----------
TOTAL INCREASE IN NET ASSETS.................... 39,432,517 63,367
----------- -----------
NET ASSETS:
Beginning of year.................................. 20,705,565 20,642,198
----------- -----------
End of year (including accumulated undistributed
net investment income of $90,547 and $59,734, re-
spectively)....................................... $60,138,082 $20,705,565
=========== ===========
<CAPTION>
*DISTRIBUTIONS BY CLASS:
<S> <C> <C>
Distributions from net investment income:
Brinson Class...................................... $ (295,340) $ (72,633)
SwissKey Class..................................... (41,698) --
Distributions from and in excess of net realized
gain:
Brinson Class...................................... (1,399,995) (198,395)
SwissKey Class..................................... (1,621,590) --
----------- -----------
$(3,358,623) $ (271,028)
=========== ===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
33
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR YEAR JANUARY 28, 1994*
ENDED ENDED THROUGH
BRINSON CLASS JUNE 30, 1996 JUNE 30, 1995 JUNE 30, 1994
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of pe-
riod............................ $ 9.93 $ 9.49 $ 10.00
------- ------- -------
Income from investment opera-
tions:
Net investment income (loss)... 0.18 0.18 0.07
Net realized and unrealized
gain (loss)................... 2.29 0.39 (0.54)
------- ------- -------
Total income (loss) from in-
vestment operations......... 2.47 0.57 (0.47)
------- ------- -------
Less distributions:
Distributions from net invest-
ment income................... (0.14) (0.04) (0.04)
Distributions from and in ex-
cess of net realized gain..... (0.69) (0.09) --
------- ------- -------
Total distributions.......... (0.83) (0.13) (0.04)
------- ------- -------
Net asset value, end of period... $ 11.57 $ 9.93 $ 9.49
======= ======= =======
Total return (non-annualized).... 25.66% 6.06% (4.70%)
Ratios/Supplemental data
Net assets, end of period (in
000s).......................... $27,126 $20,706 $20,642
Ratio of expenses to average net
assets:
Before expense reimbursement... 1.77% 2.06% 2.65%**
After expense reimbursement.... 1.00% 1.00% 1.00%**
Ratio of net investment income
to average net assets:
Before expense reimbursement... 0.57% 0.71% 0.24%**
After expense reimbursement.... 1.34% 1.77% 1.89%**
Portfolio turnover rate......... 74% 36% 21%
Average commission rate paid per
share.......................... $0.0288 N/A N/A
</TABLE>
* Commencement of investment operations
** Annualized
N/A = Not applicable
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
34
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
SWISSKEY CLASS JUNE 30, 1996
- -------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period............................ $ 10.35
-------
Income from investment operations:
Net investment loss........................................... (0.01)
Net realized and unrealized gain.............................. 1.93
-------
Total income from investment operations..................... 1.92
-------
Less distributions:
Distributions from net investment income...................... (0.01)
Distributions from net realized gain.......................... (0.69)
-------
Total distributions......................................... (0.70)
-------
Net asset value, end of period.................................. $ 11.57
=======
Total return (non-annualized)................................... 19.25%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................ $33,012
Ratio of expenses to average net assets:
Before expense reimbursement.................................. 2.53%**
After expense reimbursement................................... 1.76%**
Ratio of net investment income (loss) to average net assets:
Before expense reimbursement.................................. (0.19%)**
After expense reimbursement................................... 0.58%**
Portfolio turnover rate........................................ 74%
Average commission rate paid per share......................... $0.0288
</TABLE>
* Commencement of SwissKey Class distribution
** Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
35
<PAGE>
GLOBAL BOND FUND
- --------------------------------------------------------------------------------
LOGO
The Global Bond Fund is an actively managed portfolio that provides integrated
asset management across and within world fixed income markets. The investment
process is strategic in nature and is driven by deviations of market price from
fundamental value. We believe this philosophy offers the greatest potential
for achieving enhanced long-term returns, while controlling risk.
The Brinson Global Bond Fund has provided an annualized return of 7.40% since
July 31, 1993 (performance inception date). Its benchmark, the Salomon World
Government Bond Index, returned 7.97%. For the year ended June 30, 1996, the
Fund returned 11.50%, while the benchmark returned 0.37%. In the first half of
1996, the Fund produced a return of 2.12% compared to the -1.47% return of the
benchmark.
In the first half of 1996, the Global Bond Fund benefited from a continued
environment of low inflation. The U.S. bond market, which is an underweight in
the Fund, was a notable exception to the positive U.S. dollar-hedged returns
provided by other bond markets. The U.S. bond market was detrimentally affected
by stronger than expected growth in economic activity in general and strong
employment gains in particular. U.S. market participants' fears included higher
inflation and the potential for a tighter monetary policy as reflected in
higher short-term interest rates. Otherwise, global bond markets provided
positive year-to-date hedged returns.
The Japan bond market underweight detracted from performance as continued Bank
of Japan accommodation sustained interest rates at below equilibrium levels.
Low Japanese interest rates do not appear to be fundamentally sustainable and
we do not expect the relatively favorable performance of the bond market to
continue.
The Fund's underweight of the Japanese yen and core-European currencies
contributed strongly to Fund performance. The yen suffered not only from a
nearly 6.00% depreciation, but also from extremely low short-term interest
rates. Core European currencies also depreciated by about 6.00%, but short-term
rates were similar to those in the U.S.
------------------------------------------------------------
36
<PAGE>
GLOBAL BOND FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 7/31/93*
6/30/96 6/30/96 to 6/30/96
- --------------------------------------------------------------------------
<S> <C> <C> <C>
BRINSON GLOBAL BOND FUND 2.12% 11.50% 7.40%
Salomon World Government Bond Index (currency
unhedged) -1.47 0.37 7.97
Salomon World Government Bond Index (currency
hedged) 1.69 8.94 6.77
- --------------------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson Global Bond Fund.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000
This chart shows the growth in the value of an investment in the Brinson Global
Bond Fund and the Salomon World Government Bond Index (currency unhedged and
hedged) if you had invested $100,000 on July 31, 1993, and had reinvested all
your income dividends and capital gain distributions through June 30, 1996. No
adjustment has been made for any income taxes payable by shareholders on income
dividends and capital gain distributions. Past performance is no guarantee of
future results. Share price and return will vary with market conditions;
investors may realize a gain or loss upon redemption.
BRINSON GLOBAL BOND FUND
VS. SALOMON WORLD GOVERNMENT BOND INDEX (CURRENCY UNHEDGED AND HEDGED)
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
7/31/93 6/30/96
-------- --------
Brinson Global Bond Fund $100,000 $123,165
Salomon World Government Bond Index (currency unhedged) $100,000 $125,050
Salomon World Government Bond Index (currency hedged) $100,000 $121,059
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
------------------------------------------------------------
37
<PAGE>
GLOBAL BOND FUND
- --------------------------------------------------------------------------------
LOGO
ASSET ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- -------------------------------
<S> <C> <C>
U.S. 33.3% 27.3%
Japan 19.5 5.0
Australia 1.0 3.5
Austria 0.9 0.0
Belgium 2.6 2.9
Canada 3.0 7.0
Denmark 1.7 6.8
Finland 0.4 0.0
France 7.5 8.5
Germany 10.3 15.3
Italy 6.4 7.3
Netherlands 3.4 8.8
Spain 2.4 2.8
Sweden 1.7 0.0
Switzerland 0.4 0.0
U.K. 5.5 4.8
- -------------------------------
100.0% 100.0%
</TABLE>
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 1996
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. BONDS
Corporate Bonds
Asset-Backed........................................................... 0.79%
CMO.................................................................... 0.45
Consumer............................................................... 0.21
Financial.............................................................. 1.34
Telecommunications..................................................... 0.57
Transportation......................................................... 0.26
------
3.62
International Dollar Bonds............................................. 1.16
U.S. Government Agencies............................................... 7.04
U.S. Government Obligations............................................ 10.51
------
Total U.S. Bonds..................................................... 22.33*
------
NON-U.S. BONDS
Foreign Financial Bonds................................................. 22.97
Foreign Government Bonds................................................ 45.36
------
Total Non-U.S. Bonds................................................. 68.33
------
SHORT-TERM INVESTMENTS.................................................. 7.92*
------
TOTAL INVESTMENTS.................................................... 98.58
CASH AND OTHER ASSETS, LESS LIABILITIES................................. 1.42
------
NET ASSETS........................................................... 100.00%
======
- --------------------------------------------------------------------------------
</TABLE>
*The Fund held a long position in U.S. Treasury futures on June 30, 1996 which
increased U.S. bond exposure from 22.33% to 26.64% and decreased the Fund's
exposure to Short-Term Investments from 7.92% to 3.61%.
CURRENCY ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- -------------------------------
<S> <C> <C>
U.S. 33.3% 76.6%
Japan 19.5 1.5
Australia 1.0 1.0
Austria 0.9 0.0
Belgium 2.6 0.0
Canada 3.0 3.1
Denmark 1.7 0.0
Finland 0.4 0.0
France 7.5 0.0
Germany 10.3 0.0
Italy 6.4 9.5
Netherlands 3.4 0.0
Spain 2.4 2.8
Sweden 1.7 0.0
Switzerland 0.4 0.0
U.K. 5.5 5.5
- -------------------------------
100.0% 100.0%
</TABLE>
------------------------------------------------------------
38
<PAGE>
GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------ -----
<S> <C> <C>
Bonds -- 90.66%
U.S. BONDS -- 22.33%
U.S. CORPORATE BONDS -- 3.62%
Chrysler Financial Corp. MTN
6.500%, due 08/21/97................................... $ 165,000 $ 165,493
Delta Air Lines
10.060%, due 01/02/16.................................. 100,000 115,562
Farmers Insurance Exchange 144-A
8.625%, due 05/01/24................................... 250,000 236,313
Ford Credit Auto Lease Trust
6.350%, due 10/15/98................................... 175,580 176,145
Ford Credit Grantor Trust 95-B
5.900%, due 10/15/00................................... 83,549 83,223
GMAC MTN
6.750%, due 06/10/02................................... 200,000 196,734
Green Tree Acceptance Corp. 94-A
6.900%, due 02/15/04................................... 35,689 35,347
Green Tree Financial 94-2
8.300%, due 05/15/19................................... 25,000 25,657
News America Corp.
7.750%, due 01/20/24................................... 275,000 255,272
Structured Asset Securities Corp.
8.111%, due 04/25/27................................... 139,060 141,076
The Money Store 94-A3
5.525%, due 09/15/18................................... 96,545 93,723
Time Warner Entertainment, Inc.
9.150%, due 02/01/23................................... 45,000 46,561
8.375%, due 03/15/23................................... 50,000 48,555
----------
1,619,661
----------
INTERNATIONAL DOLLAR BONDS -- 1.16%
Korea Development Bank 6.500%, due 11/15/02............. 100,000 95,923
Republic of South Africa 9.625%, due 12/15/99........... 125,000 130,469
Royal Bank of Scotland
7.375%, due 04/01/06................................... 300,000 292,949
----------
519,341
----------
U.S. GOVERNMENT AGENCIES -- 7.04%
Federal Home Loan Mortgage Corp.
7.000%, due 04/15/07................................... 187,253 179,510
5.800%, due 08/15/19................................... 90,000 81,052
Federal Home Loan Mortgage Corp. Gold
8.000%, due 05/01/23................................... 120,698 121,791
9.000%, due 05/01/24................................... 357,779 375,532
9.500%, due 04/01/25................................... 34,781 36,944
Federal National Mortgage Association
7.000%, due 03/01/03................................... 35,000 34,869
6.240%, due 01/28/04................................... 75,000 70,551
6.220%, due 03/13/06................................... 150,000 141,635
6.700%, due 08/25/20................................... 150,000 140,658
9.000%, due 08/01/21................................... 34,254 35,958
8.500%, due 07/01/22................................... 24,800 25,661
7.500%, due 05/01/25................................... 407,838 402,609
6.500%, due 02/01/26................................... 79,685 74,530
6.500%, due 03/01/26................................... 500,000 467,653
7.000%, due 03/01/26................................... 530,000 509,956
Government National Mortgage Association
7.500%, due 03/15/26................................... 330,000 325,150
6.500%, due 03/20/26................................... 69,697 64,491
Tennessee Valley Authority
6.875%, due 12/15/43................................... 65,000 57,471
----------
3,146,021
----------
U.S. GOVERNMENT OBLIGATIONS-- 10.51%
U.S. Treasury Coupon Strips
0.000%, due 05/15/03................................... 385,000 245,430
U.S. Treasury Notes and Bonds
5.500%, due 11/15/98................................... 510,000 502,031
6.375%, due 03/31/01................................... 1,535,000 1,527,804
5.750%, due 08/15/03................................... 680,000 647,062
7.875%, due 11/15/04................................... 155,000 166,625
6.500%, due 05/15/05................................... 400,000 394,375
8.125%, due 05/15/21................................... 610,000 687,203
U.S. Treasury Principal Strips
0.000%, due 05/15/05................................... 505,000 278,063
0.000%, due 02/15/15................................... 510,000 137,838
0.000%, due 11/15/15................................... 445,000 113,680
----------
4,700,111
----------
Total U.S. Bonds........................................ 9,985,134
----------
NON-U.S. BONDS -- 68.33%
AUSTRALIA -- 3.11%
Government of Australia
8.550%, due 08/15/03............................... AUD 1,700,000 1,389,143
----------
BELGIUM -- 3.16%
Kingdom of Belgium
8.750%, due 06/25/02............................... BEF 14,000,000 507,959
9.000%, due 03/28/03................................... 13,000,000 477,485
7.500%, due 07/29/08................................... 13,000,000 429,476
----------
1,414,920
----------
CANADA -- 5.58%
British Columbia
7.250%, due 09/21/05............................... CAD 1,950,000 1,360,281
Government of Canada
4.250%, due 12/01/21................................... 1,570,000 1,134,286
----------
2,494,567
----------
DENMARK -- 6.15%
City of Copenhagen
6.250%, due 03/15/01............................... DKK 2,400,000 413,797
Great Belt
7.000%, due 09/02/03................................... 12,350,000 2,116,168
Kingdom of Denmark
7.000%, due 11/10/24................................... 1,500,000 220,453
----------
2,750,418
----------
</TABLE>
- --------------------------------------------------------------------------------
39
<PAGE>
GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------ -----
<S> <C> <C>
FRANCE -- 8.20%
Eurofima
8.625%, due 09/01/99............................. FRF 5,100,000 $1,084,171
Government of France (OAT)
8.500%, due 12/26/12................................. 5,600,000 1,255,214
8.500%, due 04/25/23................................. 2,400,000 531,095
KFW International Finance
7.750%, due 02/17/98................................. 2,600,000 529,040
Kingdom of Finland
9.000%, due 08/13/03................................. 1,200,000 266,463
----------
3,665,983
----------
GERMANY -- 14.30%
Bundesrepublik Deutscheland
6.250%, due 01/04/24............................. DEM 950,000 548,929
Deutsche Bundesbahn
9.000%, due 12/01/00................................. 540,000 400,751
European Economic Community
6.500%, due 03/10/00................................. 2,650,000 1,808,915
Kingdom of Norway
6.125%, due 05/05/98................................. 1,040,000 705,473
LKB Baden-Wurt Finance
6.500%, due 09/15/08................................. 850,000 537,777
Republic of Finland
5.500%, due 02/05/03................................. 850,000 536,939
Republic of Ireland
7.250%, due 03/18/03................................. 2,700,000 1,858,124
----------
6,396,908
----------
ITALY -- 7.26%
Bayerische Landesbank
10.750%, due 03/01/03............................ ITL 1,000,000,000 706,970
Deutschebank
11.750%, due 02/23/98................................ 900,000,000 617,192
European Investment Bank
12.750%, due 02/15/00................................ 280,000,000 205,714
Landesbank Rheinland
8.250%, due 06/02/98................................. 750,000,000 486,513
LKB Baden-Wurt Finance
10.750%, due 04/14/03................................ 950,000,000 672,396
Nordic Investment Bank
10.800%, due 05/24/03................................ 600,000,000 425,160
Republic of Italy (BTP)
8.312%, due 02/01/01................................. 200,000,000 134,551
----------
3,248,496
----------
JAPAN -- 5.70%
Asian Development Bank
5.000%, 02/05/03................................. JPY 40,000,000 409,367
Government of Japan No.130
6.700%, due 06/20/00................................. 80,000,000 858,049
Government of Japan No.144
6.000%, due 12/20/01................................. 70,000,000 749,453
Republic of Italy
3.500%, due 06/20/01................................. 56,000,000 530,035
----------
2,546,904
----------
NETHERLANDS -- 8.21%
Government of Nederlands
7.500%, due 11/15/99...............................NLG 1,290,000 816,217
8.250%, due 09/15/07.................................. 520,000 343,945
International Nederland Verzekeringen 6.250%, due
12/28/05.............................................. 1,800,000 1,020,271
Rabobank
6.750%, due 06/25/03.................................. 1,750,000 1,063,185
Republic of Austria
6.250%, due 02/28/24.................................. 825,000 427,942
-----------
3,671,560
-----------
SPAIN -- 2.62%
Government of Spain
10.100%, due 02/28/01..............................ESP 140,000,000 1,171,554
-----------
UNITED KINGDOM -- 4.04%
Abbey National
8.750%, due 05/24/04...............................GBP 350,000 552,059
British Gas PLC
8.125%, due 03/31/03.................................. 545,000 837,403
UK Treasury
8.000%, due 06/10/03.................................. 80,000 126,651
8.000%, due 09/27/13.................................. 190,000 289,540
-----------
1,805,653
-----------
Total Non-U.S. Bonds................................... 30,556,106
-----------
Total Bonds (Cost $40,050,938)......................... 40,541,240
-----------
Short-Term Investments-- 7.92%
GOVERNMENT OBLIGATION -- 0.07%
U.S. Treasury Bill 5.030%, due 11/14/96 $ 30,000 29,430
-----------
29,430
-----------
COMMERCIAL PAPER -- 7.85%
Baxter International, Inc.
5.550%, due 07/10/96.................................. 700,000 699,029
The Limited, Inc.
5.650%, due 07/01/96.................................. 1,051,000 1,051,000
Melville Corp.
5.663%, due 07/01/96.................................. 1,763,000 1,763,000
-----------
3,513,029
-----------
Total Short-Term Investments
(Cost $3,542,459)..................................... 3,542,459
-----------
Total Investments
(Cost $43,593,397) -- 98.58% (a)...................... 44,083,699
-----------
Cash and other assets,
less liabilities -- 1.42%............................. 635,306
-----------
Net Assets -- 100%..................................... $44,719,005
===========
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
40
<PAGE>
GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $43,593,397; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation.................................. $ 651,225
Gross unrealized depreciation.................................. (160,923)
---------
Net unrealized appreciation................................. $ 490,302
=========
</TABLE>
FRN: Floating rate note--The rate disclosed is that in effect at June 30, 1996.
MTN: Medium term note
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4)
The Global Bond Fund had the following open forward foreign currency contracts
as of June 30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ---------- ----------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY
BUY CONTRACTS
British Pound........... 12/04/96 230,000 $ 357,095 $ 10,255
Italian Lira............ 12/04/96 1,560,000,000 999,373 13,715
FORWARD FOREIGN CURRENCY
SALE CONTRACTS
Australian Dollar....... 12/04/96 1,300,000 1,018,062 618
Belgian Franc........... 12/04/96 46,500,000 1,498,831 (15,577)
Canadian Dollar......... 12/04/96 2,100,000 1,542,687 (8,608)
Danish Kroner........... 12/04/96 16,600,000 2,850,791 (39,947)
Dutch Guilder........... 12/04/96 6,400,000 3,792,178 (27,472)
French Franc............ 12/04/96 19,400,000 3,795,695 (47,265)
German Mark............. 12/04/96 10,200,000 6,766,006 (74,849)
Japanese Yen............ 12/04/96 160,000,000 1,491,565 46,157
---------
$(142,973)
=========
</TABLE>
FUTURES CONTRACTS (NOTE 5)
The Global Bond Fund had the following open futures contracts as of June 30,
1996:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE LOSS
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
INTEREST RATE FUTURES BUY CONTRACTS
5 Year U.S. Treasury Note, 10 con-
tracts............................ Sept 1996 $1,058,703 $1,057,500 $(1,203)
10 Year U.S. Treasury Note, 3 con-
tracts............................ Sept 1996 322,687 322,500 (187)
30 Year U.S. Treasury Bond, 5 con-
tracts............................ Sept 1996 548,125 547,656 (469)
-------
$(1,859)
=======
</TABLE>
The market value of investments pledged to cover margin requirements for the
open futures positions at June 30, 1996 was $29,430.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
41
<PAGE>
GLOBAL BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $43,593,397) (Note 1)................. $44,083,699
Cash.............................................................. 10,136
Foreign currency, at value (Cost $1,132,083)...................... 1,130,424
Receivables:
Investment securities sold....................................... 479,285
Interest......................................................... 1,042,174
Variation margin (Note 5)........................................ 12,968
Other assets...................................................... 5,848
-----------
TOTAL ASSETS................................................... 46,764,534
-----------
LIABILITIES:
Payables:
Investment securities purchased.................................. 1,809,805
Net unrealized depreciation on forward foreign currency con-
tracts.......................................................... 142,973
Investment advisory fees (Note 2)................................ 1,360
Accrued expenses................................................. 91,391
-----------
TOTAL LIABILITIES.............................................. 2,045,529
-----------
NET ASSETS......................................................... $44,719,005
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 7).......................................... $43,137,444
Accumulated undistributed net investment income................... 1,052,943
Accumulated net realized gain..................................... 198,256
Net unrealized appreciation....................................... 330,362
-----------
NET ASSETS..................................................... $44,719,005
===========
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $41,065,646 and 4,091,541 shares issued
and outstanding) (Note 7)........................................ $ 10.04
===========
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $3,653,359 and 364,428 shares issued and
outstanding) (Note 7)............................................ $ 10.02
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
42
<PAGE>
GLOBAL BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.......................................................... $2,733,764
----------
TOTAL INCOME................................................... 2,733,764
----------
EXPENSES:
Advisory (Note 2)................................................. 310,066
Accounting........................................................ 102,901
Professional...................................................... 62,391
Transfer agent.................................................... 54,917
Registration...................................................... 47,245
Custodian......................................................... 32,416
Distribution (Note 6)............................................. 9,874
Other............................................................. 72,052
----------
TOTAL EXPENSES................................................. 691,862
Expenses waived by Advisor (Note 2)............................ (309,908)
----------
NET EXPENSES................................................... 381,954
----------
NET INVESTMENT INCOME.......................................... 2,351,810
----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................................... 1,372,839
Futures contracts................................................ (11,267)
Foreign currency transactions.................................... 2,661,334
----------
Net realized gain............................................... 4,022,906
----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................. (2,549,382)
Forward contracts................................................ 596,085
Futures contracts................................................ (1,859)
Translation of other assets and liabilities denominated in for-
eign currency................................................... (37,388)
----------
Change in net unrealized appreciation or depreciation........... (1,992,544)
----------
Net realized and unrealized gain.................................. 2,030,362
----------
Net increase in net assets resulting from operations.............. $4,382,172
==========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
43
<PAGE>
GLOBAL BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
JUNE JUNE 30,
30, 1996 1995
----------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income............................... $ 2,351,810 $ 2,663,927
Net realized gain (loss)............................ 4,022,906 (467,411)
Change in net unrealized appreciation or deprecia-
tion .............................................. (1,992,544) 2,879,443
----------- -----------
Net increase in net assets resulting from opera-
tions.............................................. 4,382,172 5,075,959
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income............ (3,447,154) (1,146,710)
Distributions in excess of net investment income.... (1,534,232) --
Distributions from net realized gain................ (355,057) --
----------- -----------
Total distributions to shareholders*................ (5,336,443) (1,146,710)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold......................................... 14,584,928 15,734,111
Shares issued on reinvestment of distributions...... 3,954,345 824,053
Shares redeemed..................................... (24,728,515) (5,474,354)
----------- -----------
Net increase (decrease) in net assets resulting from
capital share transactions (Note 7)................ (6,189,242) 11,083,810
----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS.......... (7,143,513) 15,013,059
----------- -----------
NET ASSETS:
Beginning of year................................... 51,862,518 36,849,459
----------- -----------
End of year (including accumulated undistributed net
investment income of $1,052,943 and $1,095,344, re-
spectively)........................................ $44,719,005 $51,862,518
=========== ===========
*DISTRIBUTIONS BY CLASS:
Distributions from and in excess of net investment
income
Brinson Class...................................... (4,734,956) (1,146,710)
SwissKey Class..................................... (246,430) --
Distributions from net realized gain
Brinson Class...................................... (338,786) --
SwissKey Class..................................... (16,271) --
----------- -----------
Total distributions to shareholders................. (5,336,443) (1,146,710)
----------- -----------
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
44
<PAGE>
GLOBAL BOND FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR YEAR JULY 30, 1993*
ENDED ENDED THROUGH
BRINSON CLASS JUNE 30, 1996 JUNE 30, 1995 JUNE 30, 1994
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of peri-
od................................. $ 10.39 $ 9.55 $ 10.00
------- ------- -------
Income (loss) from investment oper-
ations:
Net investment income ............ 0.84 0.50 0.45
Net realized and unrealized gain
(loss)........................... 0.31 0.58 (0.52)
------- ------- -------
Total income (loss) from invest-
ment operations................ 1.15 1.08 (0.07)
------- ------- -------
Less distributions:
Distributions from and in excess
of net investment income......... (1.40) (0.24) (0.28)
Distributions from and in excess
of net realized gain............. (0.10) -- (0.10)
------- ------- -------
Total distributions............. (1.50) (0.24) (0.38)
------- ------- -------
Net asset value, end of period...... $ 10.04 $ 10.39 $ 9.55
======= ======= =======
Total return (non-annualized)....... 11.50% 11.34% (0.79%)
Ratios/Supplemental data
Net assets, end of period (in
000s)............................. $41,066 $51,863 $36,849
Ratio of expenses to average net
assets:
Before expense reimbursement...... 1.65% 1.43% 1.78%**
After expense reimbursement....... 0.90% 0.90% 0.90%**
Ratio of net investment income to
average net assets:
Before expense reimbursement...... 4.98% 5.53% 4.03%**
After expense reimbursement....... 5.73% 6.06% 4.91%**
Portfolio turnover rate............ 184% 199% 189%
</TABLE>
* Commencement of investment operations
** Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
45
<PAGE>
GLOBAL BOND FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
SWISSKEY CLASS JUNE 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period............................. $10.56
------
Income from investment operations:
Net investment income.......................................... 0.78
Net realized and unrealized gain............................... 0.15
------
Total income from investment operations...................... 0.93
------
Less distributions:
Distributions from and in excess of net investment income...... (1.37)
Distributions from net realized gain........................... (0.10)
------
Total distributions.......................................... (1.47)
------
Net asset value, end of period................................... $10.02
======
Total return (non-annualized).................................... 9.17%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $3,653
Ratio of expenses to average net assets:
Before expense reimbursement................................... 2.14%**
After expense reimbursement.................................... 1.39%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................... 4.49%**
After expense reimbursement.................................... 5.24%**
Portfolio turnover rate......................................... 184%
</TABLE>
* Commencement of SwissKey Class distribution
** Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
46
<PAGE>
THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1.SIGNIFICANT ACCOUNTING POLICIES
The Brinson Funds (the "Trust") is an open-end, management investment company
registered under the Investment Company Act of 1940, as amended, as a series
company. The Trust currently offers shares of seven series: Global Fund, Global
Equity Fund, Global Bond Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Bond
Fund and Non-U.S. Equity Fund. Each Fund has two classes of shares outstanding,
Brinson Class and SwissKey Class. There are an unlimited number of shares of
each class with par value of $0.001 authorized. Each share represents an
identical interest in the investments of the Funds and has the same rights.
The Trust entered into an Agreement and Plan of Reorganization dated June 16,
1995 (the "Plan of Reorganization"), with SwissKey Funds. On July 28, 1995,
pursuant to the Plan of Reorganization, the Trust acquired all of the net
assets of the SBC World Growth Fund of the SwissKey Funds, which totalled
$25,670,575 (including $3,848,285 of net unrealized appreciation) in exchange
solely for 2,474,177 SwissKey Fund shares of the Trust's Global Equity Fund.
The SwissKey Fund shares were then distributed to shareholders of the SBC World
Growth Fund according to their respective interests, and the SBC World Growth
Fund was dissolved. The total net assets of the Global Equity Fund were
$47,088,147 immediately after the acquisition.
The following is a summary of significant accounting policies consistently
followed by the Global Fund, Global Equity Fund and Global Bond Fund (each a
"Fund," collectively the "Funds") in the preparation of their financial
statements.
A.INVESTMENT VALUATION: Securities for which quotations are readily available
are valued at the last available sales price on the exchange or market on which
they are principally traded, or lacking any sales, at the last available bid
price on the exchange or market on which such securities are principally
traded. Securities for which market quotations are not readily available,
including restricted securities which are subject to limitations on their sale,
are valued at fair value as determined in good faith by or under the direction
of the Trust's Board of Trustees. Investments in affiliated investment
companies are valued each day based on the closing net asset value of the fund.
Fixed income/debt securities are valued by using market quotations or
independent services that use prices provided by market makers or estimates of
market values obtained from yield data relating to instruments or securities
with similar characteristics. Futures contracts are valued at the settlement
price established each day on the exchange on which they are traded. Forward
contracts are valued daily using quoted forward exchange rates. Short-term
obligations with a maturity of 60 days or less are valued at amortized cost,
which approximates market value.
B.FOREIGN CURRENCY TRANSLATION: Investment securities and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
at the mean between the bid and offered quotations of such currencies against
the U.S. dollar as of the date of valuation. Purchases and sales of portfolio
securities, commitments under forward foreign currency contracts, income
receipts and expense accruals are translated at the prevailing exchange rate on
the date of each transaction. Realized and unrealized foreign exchange gains or
losses on investments are included as a component of net realized and
unrealized gain or loss in the statement of operations.
C.INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade
date basis. Gains and losses on securities sold are determined on an identified
cost basis.
D.INVESTMENT INCOME: Interest income, which includes the amortization of
premiums and discounts, is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date, except that certain dividends from foreign
securities are recorded as the information becomes available.
E.FEDERAL INCOME TAXES: It is the policy of the Funds to comply with all
requirements of the Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute substantially all of their taxable
income to their shareholders. The Funds have met the requirements of the Code
applicable to regulated investment companies for the year ended June 30, 1996.
Therefore, no federal income tax provision was required.
- --------------------------------------------------------------------------------
47
<PAGE>
THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
F.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Funds to distribute
their respective net investment income on a semi-annual basis and net capital
gains, if any, annually. Distributions to shareholders are recorded on the ex-
dividend date. Income and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. These differences are primarily due to differing
treatments for foreign currency transactions. Differences in dividends per
share between the classes are due to distribution expenses. Amounts equal to
7.28% and 14.67% of the amount taxable as ordinary income qualify for the
dividends received deduction available to corporate shareholders for the Global
Fund and the Global Equity Fund, respectively.
G.INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by the
Fund will be borne on a pro rata basis by each of the classes, except that the
Brinson Class shares will not incur any of the distribution expenses.
H.USE OF ESTIMATES: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the amounts reported in the financial statements
and accompanying notes. Actual results may differ from those estimates.
2.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Brinson Partners, Inc. (the "Advisor"), a registered investment advisor,
provides the Funds with investment management services. As compensation for
these services, the Funds pay the Advisor a monthly fee based on each Fund's
respective average daily net assets. The Advisor has agreed to waive its fees
and reimburse each Fund to the extent total annualized expenses exceed a
specified percentage of each Fund's respective average daily net assets.
Investment advisory fees and other transactions with affiliates, for the year
ended June 30, 1996, were as follows:
<TABLE>
<CAPTION>
FEES
ADVISORY BRINSON CLASS SWISSKEY CLASS ADVISORY WAIVED AND/OR
FEE EXPENSE CAP EXPENSE CAP FEES REIMBURSED
-------- ------------- -------------- ---------- -------------
<S> <C> <C> <C> <C> <C>
Global Fund............. 0.80% 1.10% 1.75% $3,415,057 $ --
Global Equity Fund...... 0.80 1.00 1.76 390,824 378,626
Global Bond Fund........ 0.75 0.90 1.39 310,066 309,908
</TABLE>
Certain officers of the Funds are also officers and directors of the Advisor.
All officers serve without direct compensation from the Funds. Trustees' fees
paid to unaffiliated trustees were $11,404, $4,361 and $4,429 for the Global
Fund, Global Equity Fund and Global Bond Fund, respectively.
At June 30, 1996, the Global Fund was invested in shares of certain affiliated
investment companies also sponsored by Brinson Partners, Inc. These investments
are listed in the schedule of investments and represent 9.13% of the Fund's
total net assets. At June 30, 1996, net unrealized appreciation on these
investments was $71,309.
3.INVESTMENT TRANSACTIONS
Investment transactions for the year ended June 30, 1996, excluding short-term
investments, were as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
Global Fund........................................... $713,034,559 $608,243,355
Global Equity Fund.................................... 57,828,955 34,016,248
Global Bond Fund...................................... 71,111,891 74,477,691
</TABLE>
- --------------------------------------------------------------------------------
48
<PAGE>
THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
4.FORWARD FOREIGN CURRENCY CONTRACTS
The Funds engage in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. Forward foreign currency contracts are also used to achieve
currency allocation strategies. A forward foreign currency contract is a
commitment to purchase or sell a foreign currency at a future date at a
negotiated forward rate. Risks associated with such contracts include movement
in the value of the foreign currency relative to the U.S. dollar and the
ability of the counterparty to perform. The unrealized gain, if any, represents
the credit risk to the Fund on a forward foreign currency contract.
Fluctuations in the value of forward foreign currency contracts are recorded
daily as net unrealized gains or losses. The Funds realize a gain or loss upon
settlement of the contracts. The statement of operations reflects net realized
and net unrealized gains and losses on these contracts. The counterparty to all
forward foreign currency contracts, at and for the year ended June 30, 1996,
was the Funds' custodian.
5.FUTURES CONTRACTS
The Funds may purchase or sell exchange-traded futures contracts, which are
contracts that obligate the Funds to make or take delivery of a financial
instrument or the cash value of a securities index at a specified future date
at a specified price. The Funds enter into such contracts to hedge a portion of
their portfolio. Risks of entering into futures contracts include the
possibility that there may be an illiquid market or that a change in the value
of the contract may not correlate with changes in the value of the underlying
securities. Upon entering into a futures contract, the Funds are required to
deposit either cash or securities (initial margin). Subsequent payments
(variation margin) are made or received by the Funds, generally on a daily
basis. The variation margin payments are equal to the daily changes in the
contract value and are recorded as unrealized gains or losses. The Funds
recognize a realized gain or loss when the contract is closed or expires. The
statement of operations reflects net realized and net unrealized gains and
losses on these contracts.
6.DISTRIBUTION PLAN
The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plan governs payments made for
the expenses incurred in the promotion and distribution of the SwissKey Class
of shares. Annual fees under the Plan, which include a 0.25% service fee, total
0.65%, 0.76% and 0.49% of the average daily net assets of the SwissKey Class of
the Global Fund, Global Equity Fund and Global Bond Fund, respectively.
7.CAPITAL TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
GLOBAL FUND
----------------------------------------------
YEAR ENDED YEAR ENDED
JUNE 30, 1996 JUNE 30, 1995
---------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class.................. 7,972,013 $ 95,544,500 11,726,672 $124,484,442
SwissKey Class................. 1,155,619 13,939,062 -- --
--------- ------------ ---------- ------------
Total Sales................. 9,127,632 $109,483,562 11,726,672 $124,484,442
========= ============ ========== ============
Dividend Reinvestment:
Brinson Class.................. 2,632,284 $ 30,918,724 960,415 $ 10,276,565
SwissKey Class................. 20,488 243,591 -- --
--------- ------------ ---------- ------------
Total Dividend Reinvestment. 2,652,772 $ 31,162,315 960,415 $ 10,276,565
========= ============ ========== ============
Redemptions:
Brinson Class.................. 5,330,521 $ 63,966,318 7,205,445 $ 77,406,972
SwissKey Class................. 24,583 296,145 -- --
--------- ------------ ---------- ------------
Total Redemptions........... 5,355,104 $ 64,262,463 7,205,445 $ 77,406,972
========= ============ ========== ============
</TABLE>
- --------------------------------------------------------------------------------
49
<PAGE>
THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL EQUITY FUND
-------------------------------------------
YEAR ENDED YEAR ENDED
JUNE 30, 1996 JUNE 30, 1995
--------------------- ---------------------
SHARES VALUE SHARES VALUE
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Sales:
Brinson Class.................... 285,419 $ 3,205,567 13,700 $ 133,064
SwissKey Class................... 746,285 8,357,646 -- --
--------- ----------- --------- -----------
Total Sales................... 1,031,704 $11,563,213 13,700 $ 133,064
========= =========== ========= ===========
Shares issued in acquisition of
SBC World Growth Fund:
Brinson Class.................... -- -- -- --
SwissKey Class................... 2,474,177 $25,670,575 -- --
--------- ----------- --------- -----------
Total......................... 2,474,177 $25,670,575 -- --
========= =========== ========= ===========
Dividend Reinvestment:
Brinson Class.................... 160,063 $ 1,694,631 28,495 $ 271,028
SwissKey Class................... 155,720 1,641,689 -- --
--------- ----------- --------- -----------
Total Dividend Reinvestment... 315,783 $ 3,336,320 28,495 $ 271,028
========= =========== ========= ===========
Redemptions:
Brinson Class.................... 186,600 $ 2,055,092 131,587 $ 1,262,526
SwissKey Class................... 523,404 5,704,953 -- --
--------- ----------- --------- -----------
Total Redemptions............. 710,004 $ 7,760,045 131,587 $ 1,262,526
========= =========== ========= ===========
<CAPTION>
GLOBAL BOND FUND
-------------------------------------------
YEAR ENDED YEAR ENDED
JUNE 30, 1996 JUNE 30, 1995
--------------------- ---------------------
SHARES VALUE SHARES VALUE
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Sales:
Brinson Class.................... 1,094,889 $10,985,420 1,615,817 $15,734,111
SwissKey Class................... 345,211 3,599,508 -- --
--------- ----------- --------- -----------
Total Sales................... 1,440,100 $14,584,928 1,615,817 $15,734,111
========= =========== ========= ===========
Dividend Reinvestment:
Brinson Class.................... 374,786 $ 3,722,031 80,422 $ 824,053
SwissKey Class................... 23,414 232,314 -- --
--------- ----------- --------- -----------
Total Dividend Reinvestment... 398,200 $ 3,954,345 80,422 $ 824,053
========= =========== ========= ===========
Redemptions:
Brinson Class.................... 2,369,683 $24,686,522 564,413 $ 5,474,354
SwissKey Class................... 4,197 41,993 -- --
--------- ----------- --------- -----------
Total Redemptions............. 2,373,880 $24,728,515 564,413 $ 5,474,354
========= =========== ========= ===========
</TABLE>
- --------------------------------------------------------------------------------
50
<PAGE>
REPORT OF INDEPENDENT AUDITORS
- --------------------------------------------------------------------------------
The Board of Trustees and Shareholders The Brinson Funds --
Global Fund
Global Equity Fund
Global Bond Fund
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of the Brinson Funds -- Global Fund,
Global Equity Fund, and Global Bond Fund as of June 30, 1996, the related
statements of operations for the year then ended and changes in net assets and
the financial highlights for the periods indicated therein. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with 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. Our procedures included confirmations of securities owned as of
June 30, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Brinson Funds -- Global Fund, Global Equity Fund and Global Bond Fund at June
30, 1996, the results of their operations for the year then ended and the
changes in their net assets and the financial highlights for the periods
indicated therein, in conformity with generally accepted accounting principles.
/s/ Ernst & Young LLP
Ernst & Young LLP
Chicago, Illinois
August 9, 1996
- --------------------------------------------------------------------------------
51
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS
- --------------------------------------------------------------------------------
A Special Meeting of Shareholders was held on February 16, 1996. At the
meeting, shareholders of the Funds were asked to consider and act upon
amendments to the Trust's fundamental investment policies to (1) permit each
Fund to invest in affiliated investment companies; and (2) permit each Fund to
enter into forward foreign currency transactions for non-hedging purposes. In
addition, shareholders of the Global Fund and Global Bond Fund were asked to
consider and act upon an amendment to the Trust's fundamental investment
policies to increase the limitation on permissible loans of portfolio
securities from 25% to 33 1/3% of its assets.
The results of all matters voted on by shareholders of the Funds at the Special
Meeting held on February 16, 1996 were as follows:
A.AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO PERMIT EACH FUND
TO INVEST IN AFFILIATED INVESTMENT COMPANIES:
<TABLE>
<CAPTION>
For Against Abstain
---------- --------- -------
<S> <C> <C> <C>
Global Fund........................................ 20,933,211 3,029,356 496,583
Global Equity Fund................................. 2,476,475 17,186 30,717
Global Bond Fund................................... 2,114,717 -0- -0-
</TABLE>
B.AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO PERMIT EACH FUND
TO ENTER INTO FORWARD FOREIGN CURRENCY TRANSACTIONS FOR NON-HEDGING
PURPOSES:
<TABLE>
<CAPTION>
For Against Abstain
---------- --------- -------
<S> <C> <C> <C>
Global Fund........................................ 18,496,343 5,463,419 499,388
Global Equity Fund................................. 2,451,785 32,234 40,359
Global Bond Fund................................... 1,645,298 2,405 467,014
</TABLE>
C.THE RESULTS OF THE ADDITIONAL MATTER VOTED ON BY SHAREHOLDERS OF THE GLOBAL
FUND AND GLOBAL BOND FUND AT THE SPECIAL MEETING HELD ON FEBRUARY 16, 1996
WERE AS FOLLOWS:
<TABLE>
<CAPTION>
For Against Abstain
---------- --------- ---------
<S> <C> <C> <C>
Global Fund...................................... 16,589,743 5,914,892 1,954,515
Global Bond Fund................................. 1,647,702 -0- 467,015
</TABLE>
- --------------------------------------------------------------------------------
52
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTED BY:
FUND/PLAN BROKER SERVICES, INC.
2 W. ELM STREET
CONSHOHOCKEN, PA 19428
This report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution to prospective investors in the
Funds unless preceded or accompanied by an effective Prospectus which includes
details regarding the Funds' objectives, policies, expenses and other
information.
- --------------------------------------------------------------------------------
<PAGE>
THE BRINSON FUNDS
- --------------------------------------------------------------------------------
209 South LaSalle Street . Chicago, Illinois 60604-1295 . Tel: (800) 448-2430
<PAGE>
-----------------------------
THE BRINSON FUNDS
BRINSON NON-U.S. EQUITY FUND
ANNUAL REPORT
JUNE 30, 1996
GLOBAL INSTITUTIONAL ASSET MANAGEMENT
-----------------------------
CHICAGO.BASEL.LONDON.MELBOURNE.NEW YORK.PARIS.SINGAPORE.SYDNEY.TOKYO
<PAGE>
TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
LOGO
TRUSTEES
Walter E. Auch
Frank K. Reilly, CFA
Edward M. Roob
OFFICERS
Frank K. Reilly, CFA Carolyn M. Burke, CPA
Chairman of the Board Assistant Secretary
Catherine E. Macrae
E. Thomas McFarlan Assistant Secretary
President and Treasurer
Debra L. Nichols
Thomas J. Digenan, CPA Assistant Secretary
Assistant Treasurer
Bruce G. Leto
Secretary
------------------------------------------------------------
1
<PAGE>
THE FUND'S ADVISOR -- BRINSON PARTNERS, INC.
- --------------------------------------------------------------------------------
LOGO
Brinson Partners, Inc. is an institutional investment management firm structured
around teams of investment specialists covering major world asset classes. We
specialize in managing multiple asset portfolios that provide clients with the
opportunity to participate in all major world asset classes. It is important
that investment decisions, whether they pertain to a global portfolio or a
single asset class portfolio, be made within the context of a global capital
market perspective. Our coordinated application of investment strategies
distinguishes Brinson Partners, Inc. as a leader in global investment
management of institutional assets.
We firmly believe that asset allocation is portfolio management at its highest
and most important level. Performance is maximized through a comprehensive
understanding of global investment markets and their interrelationships.
Portfolio structure is tailored to specific client objectives and focused upon
both risk and return considerations in the context of full long-term investment
cycles.
At Brinson Partners, Inc. our investment decisions are based on fundamental
research, internally developed valuation systems and seasoned judgment. Our
independent team approach allows for rapid responses to market changes, while
providing each client with the benefit of our best talent and the flexibility
to customize portfolios to meet unique requirements.
------------------------------------------------------------
2
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LOGO
Shareholder Letter............................................................ 4
Global Economic and Market Highlights......................................... 5
Non-U.S. Equity Fund.......................................................... 6
Schedule of Investments....................................................... 9
Financial Statements..........................................................13
Financial Highlights..........................................................16
Notes to Financial Statements.................................................18
Report of Independent Auditors................................................21
Special Meeting of Shareholders...............................................22
------------------------------------------------------------
3
<PAGE>
SHAREHOLDER LETTER
- --------------------------------------------------------------------------------
LOGO
August 19, 1996
Dear Shareholder:
We appreciate the confidence you have placed in us and are pleased to present
you with the June 30, 1996 Annual Report for the Non-U.S. Equity Fund. This
Report presents our current global economic and market outlook, as well as the
Fund's recent investment strategies and performance. To summarize this
information:
For the period from August 31, 1993 (inception date of the Fund) to June 30,
1996, the Fund provided an annualized total return of 6.80%. In the first half
of 1996, the Fund returned 7.00%.
Market Strategy
The Fund holds a 5% strategic cash position reflecting our view that, with very
few exceptions, non-U.S. equity markets are modestly attractive. The Japanese
equity market, which is the largest component of the index, is somewhat more
overpriced than most of the other non-U.S. markets. Given our valuation
analyses and fundamental considerations, we are underweight Japan by 6.5%. The
other markets in the index are accordingly overweight by 1.5%.
Currency Strategy
Currency strategy continues to emphasize those currencies that offer the
highest expected cash returns in U.S. dollar terms. We continue to have limited
exposure to the overvalued DM-bloc currencies and maintain an underweight in
the yen. Offsetting these underweights is a large overweight in the U.S. dollar
(39.0%). Our position is near neutral in the British pound, and in the
Australian and Canadian dollar.
We look forward to the challenges ahead and, as always, welcome your thoughts
and comments.
Sincerely,
/s/ Gary P. Brinson
Gary P. Brinson, CFA
President and Chief Investment Officer
Brinson Partners, Inc.
------------------------------------------------------------
4
<PAGE>
GLOBAL ECONOMIC AND MARKET HIGHLIGHTS
- -------------------------------------------------------------------------------
LOGO
Since the yen's peak in 1995, the Japanese economy has begun showing signs of
recovery. Real GDP growth has recently turned up and output prices appear to
have stopped falling. However, structural problems persist, as unemployment
hit an all-time high in May.
With continued slow economic growth through much of continental Europe, unem-
ployment remains high. While the overpriced currencies of the deutschemark
bloc are a contributing factor, structural rigidity and accompanying high la-
bor costs exacerbate the problems. The U.S. continues to be a leader among de-
veloped countries in productivity improvements and the restraint of labor
costs.
Price pressures in most countries remain subdued, due to continuing central
bank responsibility. The last 15 years have seen a powerful trend toward a re-
duction and convergence in inflation rates across countries. Nevertheless,
bond markets have yet to fully accept a lower-inflation world. Any indication
of potential price pressures, such as the recent strong employment reports in
the U.S., adversely affects bond prices.
NON-U.S. EQUITY ENVIRONMENT
MAJOR MARKETS
<TABLE>
<CAPTION>
Total Return in 6 months 1 year Annualized
U.S. Dollar ended ended 8/31/93*
Hedged Terms 6/30/96 6/30/96 to 6/30/96
- ---------------------------------------------
<S> <C> <C> <C>
Japan 10.23% 51.04% 5.39%
U.K. 2.20 14.41 8.83
Germany 12.38 21.40 9.33
France 17.54 19.52 2.67
Canada 9.60 14.15 11.31
Netherlands 20.20 38.76 17.59
Australia 0.01 6.53 5.75
- ---------------------------------------------
</TABLE>
MAJOR CURRENCIES
<TABLE>
<CAPTION>
Percent Change 6 months 1 year Annualized
Relative to ended ended 8/31/93*
U.S. Dollars 6/30/96 6/30/96 to 6/30/96
- ---------------------------------------------
<S> <C> <C> <C>
Yen -5.95% -22.60% -1.63%
Pound 0.08 -2.33 1.55
Deutschemark -5.97 -9.07 3.50
Canadian Dollar -0.13 0.60 -1.17
- ---------------------------------------------
</TABLE>
*Inception date of the Non-U.S. Equity Fund
------------------------------------------------------------
5
<PAGE>
NON-U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
The Non-U.S. Equity Fund invests in the common stocks of companies
headquartered outside the U.S. We believe that in a non-U.S. investment program
the country allocation is the most important. Currency strategies are
separately developed and coordinated with market allocations. Our industry
strategies and individual security selections are determined by fundamental
research.
Since its inception on August 31, 1993, the Non-U.S. Equity Fund has earned an
annualized return of 6.80% versus 8.03% for the benchmark, the Morgan Stanley
Capital International Non-U.S. Equity (Free) Index. For the year ended June 30,
1996, the Fund returned 23.64% while the benchmark returned 13.61%. For the
first half of 1996, the Non-U.S. Equity Fund returned 7.00% compared to the
4.82% return of the benchmark.
In the first half of 1996, the best performing markets in dollar-hedged terms,
with returns in the 17-20% region, were the Netherlands, Spain, France and
Ireland. In general, non-U.S. markets were strong, in aggregate growing 9.96%
in dollar-hedged terms. In sharp contrast, New Zealand declined 3.97%, while
Australia was flat. Japan's 10.23% rise was about average, relative to the
other non-U.S. markets and similar to the 10.92% increase in the U.S. market.
Market allocation had a negative impact on returns. Cash detracted in an
environment of strong market performance. Overweighting the weakly performing
Anglo-Saxon markets and underweighting Hong Kong and Switzerland dampened
returns.
Currency management had a very significant positive impact on performance,
accounting for most of the value added by the Fund. Our defensive strategies
included a large underweight of the Japanese yen and minimal exposure to the
DM-related currencies. These strategies proved highly successful in a period
where the yen declined 8.24% and the DM-related currencies fell considerably;
varying from 9.77% for the Swiss franc, 7.11% for the Dutch guilder and 6.92%
for the deutschemark.
Overall stock selection was positive. Substantial value was added by Japanese
stock selection, while selection in the other markets detracted from
performance.
------------------------------------------------------------
6
<PAGE>
NON-U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 8/31/93*
6/30/96 6/30/96 to 6/30/96
- ------------------------------------------------------------------------
<S> <C> <C> <C>
BRINSON NON-U.S. EQUITY FUND 7.00% 23.64% 6.80%
MSCI Non-U.S. Equity (Free) Index (currency
unhedged)** 4.82 13.61 8.03
MSCI Non-U.S. Equity (Free) Index (currency
hedged)** 9.96 30.97 7.81
- ------------------------------------------------------------------------
</TABLE>
*Inception date of the Brinson Non-U.S. Equity Fund
**Performance is net of withholding taxes on dividends.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000
This chart shows the growth No adjustment has been made
in the value of an for any income taxes payable
investment in the Brinson by shareholders on income
Non-U.S. Equity Fund and the dividends and capital gain
MSCI Non-U.S. Equity (Free) distributions. Past
Index (currency unhedged and performance is no guarantee
hedged) if you had invested of future results. Share
$100,000 on August 31, 1993, price and return will vary
and had reinvested all your with market conditions;
income dividends and capital investors may realize a gain
gain distributions through or loss upon redemption.
June 30, 1996.
BRINSON NON-U.S. EQUITY FUND
VS. MSCI NON-U.S. EQUITY (FREE) INDEX (CURRENCY UNHEDGED AND HEDGED)
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
8/31/93 6/30/96
-------- --------
Brinson Non-U.S. Equity Fund $100,000 $120,489
MSCI Non-U.S. Equity (Free) Index
(currency unhedged) $100,000 $124,467
MSCI Non-U.S. Equity (Free) Index
(currency hedged) $100,000 $123,756
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
-------------------------------------------------------------
7
<PAGE>
NON-U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 1996
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
NON-U.S. EQUITIES
Aerospace & Military..................................................... 0.26%
Airlines................................................................. 0.11
Appliances & Household Durables.......................................... 2.73
Automobiles.............................................................. 2.90
Banking.................................................................. 11.09
Beverages & Tobacco...................................................... 2.51
Broadcasting & Publishing................................................ 1.16
Building Materials....................................................... 1.13
Business & Public Service................................................ 3.42
Chemicals................................................................ 4.09
Construction............................................................. 2.22
Data Processing.......................................................... 1.08
Electric Components...................................................... 1.25
Electronics.............................................................. 4.05
Energy................................................................... 8.03
Financial Services....................................................... 1.14
Food & House Products.................................................... 4.39
Forest Products.......................................................... 1.60
Gold Mining.............................................................. 0.15
Health & Personal Care................................................... 3.19
Industrial Components.................................................... 2.40
Insurance................................................................ 3.71
Leisure & Tourism........................................................ 1.07
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
Machinery & Engineering................................................ 1.63%
Merchandising.......................................................... 4.61
Metals................................................................. 1.10
Miscellaneous Materials................................................ 1.45
Multi-Industry......................................................... 3.47
Non-Ferrous Metals..................................................... 1.88
Real Estate............................................................ 0.38
Recreation............................................................. 0.66
Shipping............................................................... 0.67
Steel.................................................................. 0.79
Telecommunications..................................................... 4.10
Textiles & Apparel..................................................... 0.29
Transportation......................................................... 0.93
Utilities.............................................................. 5.32
------
Total Non-U.S. Equities.............................................. 90.96*
------
SHORT-TERM INVESTMENTS................................................. 7.00*
------
TOTAL INVESTMENTS.................................................... 97.96
CASH AND OTHER ASSETS,
LESS LIABILITIES...................................................... 2.04
------
NET ASSETS........................................................... 100.00%
======
</TABLE>
MARKET AND CURRENCY STRATEGY
As of June 30, 1996
<TABLE>
<CAPTION>
Portfolio
-----------------
Market Currency
Strategy Strategy Index
- ---------------------------------------
<S> <C> <C> <C>
U.S. Dollar 0.0% 39.0% 0.0%
Japan 31.5 20.0 38.0
Australia 4.6 2.7 2.6
Belgium 2.9 0.4 1.1
Canada 3.3 3.3 3.8
Finland 0.6 0.6 0.5
France 9.2 0.6 6.3
Germany 6.1 0.6 6.5
Hong Kong 0.0 0.0 3.2
Italy 3.0 6.6 2.6
Malaysia 2.4 2.4 2.4
Netherlands 6.1 0.0 4.0
New Zealand 3.0 3.0 0.4
Spain 3.1 3.1 1.8
Sweden 0.0 0.0 2.1
Switzerland 2.3 0.8 5.6
U.K. 16.9 16.9 15.5
Cash Reserves 5.0 0.0 0.0
Other Markets 0.0 0.0 3.6
- ---------------------------------------
100.0% 100.0% 100.0%
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of June 30, 1996
Percent of Net Assets
- -----------------------
<TABLE>
<S> <C>
1. Royal Dutch Petroleum Co. 1.80%
2. Matsushita Electric Industrial Co. 1.38
3. Toray Industries, Inc. 1.31
4. Ito Yokado Co. 1.30
5. Lloyds TSB Group PLC 1.14
6. General Electric PLC 1.13
7. Sekisui House Ltd. 1.02
8. Bank of Tokyo - Mitsubishi Ltd. 0.99
9. Broken Hill Proprietary Co. Ltd. 0.98
10. Sumitomo Bank 0.95
- ---------------------------------------------
</TABLE>
*The Fund held a long position in Topix futures on June 30, 1996 which
increased Japanese equity exposure from 30.27% to 31.22% and decreased the
Fund's exposure to Short-Term Investments from 7.00% to 6.05%
------------------------------------------------------------
8
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Non-U.S. Equities -- 90.96%
AUSTRALIA -- 4.03%
Amcor Ltd................................................. 68,700 $ 467,733
ANZ Banking Group Ltd. ................................... 84,819 401,897
Boral Ltd. ............................................... 100,000 259,740
Broken Hill Proprietary Co. Ltd. ......................... 151,270 2,091,943
CRA Ltd. ................................................. 52,210 803,800
David Jones Ltd. ......................................... 238,600 330,528
Lend Lease Corp. Ltd. .................................... 42,578 653,500
M.I.M. Holdings Ltd. ..................................... 205,900 265,782
National Australia Bank Ltd. ............................. 86,448 799,500
News Corp. Ltd. .......................................... 83,000 471,019
Pacific Dunlop Ltd. ...................................... 123,700 278,459
Qantas Airways Ltd. ...................................... 135,847 229,887
Santos Ltd................................................ 139,900 484,502
WMC Ltd. ................................................. 46,700 334,490
Westpac Banking Corp. Ltd. ............................... 165,851 734,940
------------
8,607,720
------------
BELGIUM -- 2.69%
Delhaize-Le Lion, S.A. ................................... 7,500 374,654
Electrabel S.A. .......................................... 5,165 1,102,938
Fortis AG................................................. 3,710 486,710
Groupe Bruxelles Lambert S.A. ............................ 3,030 379,126
Kredietbank NV............................................ 2,910 870,337
Petrofina S.A. ........................................... 2,575 807,130
Societe Generale de Belgique.............................. 3,428 259,872
Solvay S.A. Class A....................................... 935 573,763
Tractebel................................................. 1,350 552,645
Union Miniere Group S.A. (b).............................. 4,380 335,537
------------
5,742,712
------------
CANADA -- 3.33%
Alcan Aluminium Ltd. ..................................... 19,100 581,140
Bank of Montreal.......................................... 35,100 858,480
Barrick Gold Corp. ....................................... 11,600 314,719
Canadian Pacific Ltd. .................................... 43,600 954,628
Imperial Oil Ltd. ........................................ 15,800 666,432
Moore Corp. Ltd. ......................................... 7,400 138,452
Noranda, Inc. ............................................ 15,500 317,242
Norcen Energy Resources Ltd. ............................. 17,400 305,163
Northern Telecom Ltd. .................................... 9,100 494,782
NOVA Corp. ............................................... 28,400 256,839
Royal Bank of Canada...................................... 26,000 623,535
Seagram Co. Ltd. ......................................... 16,200 542,728
Thomson Corp. ............................................ 42,900 678,559
TransCanada Pipelines Ltd. ............................... 26,000 385,545
------------
7,118,244
------------
FINLAND -- 0.50%
Merita Ltd. Class A (b)................................... 42,000 87,690
Nokia Ab Class A.......................................... 16,000 588,906
Outokumpu Class A......................................... 6,500 109,129
UPM-Kymmene Corp. (b)..................................... 14,000 289,589
------------
1,075,314
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
FRANCE -- 8.53%
Accor S.A. ................................................. 5,070 $ 709,091
Alcatel Alsthom............................................. 6,814 594,306
Banque Nationale de Paris................................... 25,930 910,169
CEP Communications.......................................... 4,600 388,695
CEP Communications Warrants "97" (b)........................ 4,400 12,820
Cie Bancaire S.A. .......................................... 5,988 674,639
Cie de Saint Gobain......................................... 8,520 1,140,303
Cie de Suez................................................. 10,427 381,392
Cie Generale des Eaux....................................... 12,519 1,398,295
Colas....................................................... 1,977 354,078
Credit Local de France...................................... 11,850 964,481
Elf Aquitaine S.A. ......................................... 12,734 936,498
GAN (b)..................................................... 3,480 93,287
LVMH........................................................ 7,115 1,687,532
Michelin Class B............................................ 14,700 718,438
Pechiney S.A. Class A....................................... 12,711 513,329
Peugeot S.A. ............................................... 12,680 1,697,071
Rhone-Poulenc Class A....................................... 28,000 735,897
Sanofi...................................................... 1 75
SEITA....................................................... 8,400 385,082
Societe Generale............................................ 12,040 1,323,745
Total S.A. Class B.......................................... 20,360 1,509,994
UAP......................................................... 21,191 430,159
Usinor Sacilor.............................................. 45,400 654,808
-----------
18,214,184
-----------
GERMANY -- 5.86%
Allianz AG Holding.......................................... 728 1,265,546
BASF AG..................................................... 1,883 536,286
Bayer AG.................................................... 25,440 895,021
Bayerische Motoren Werke AG................................. 1,400 808,488
Bayerische Vereinsbank AG................................... 13,314 372,628
Commerzbank AG.............................................. 1,964 406,194
Daimler-Benz AG (b)......................................... 1,010 541,794
Daimler-Benz AG Rights (b).................................. 1,010 139
Deutsche Bank AG............................................ 29,757 1,409,553
Hoechst AG.................................................. 13,080 441,700
Kaufhof Holding AG.......................................... 1,472 556,362
M.A.N. AG................................................... 800 200,513
Mannesmann AG............................................... 2,877 990,440
Muenchener Rueckver AG...................................... 422 862,243
Muenchener Rueckver AG Warrants "98" (b).................... 12 1,490
Preussag AG................................................. 2,169 546,489
RWE AG...................................................... 13,500 525,064
Schering AG................................................. 5,242 380,037
Siemens AG.................................................. 6,000 321,582
Thyssen AG.................................................. 3,400 622,101
Veba AG..................................................... 15,588 828,506
-----------
12,512,176
-----------
ITALY -- 2.55%
Assicurazioni Generali...................................... 26,500 611,093
Danieli & Co. Savings (Risp)................................ 49,000 174,207
Edison Spa.................................................. 57,000 343,944
ENI ADR (c)................................................. 22,100 1,105,000
Fiat Spa-Priv............................................... 231,000 405,355
INA-Istituto Nazionale de Assicurazioni..................... 89,000 132,662
</TABLE>
- --------------------------------------------------------------------------------
9
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
ITALY (CONTINUED)
Istituto Mobilaire Italiano Spa........................... 67,000 $ 559,444
Italgas Spa............................................... 95,000 354,790
La Rinascente............................................. 27,000 193,304
La Rinascente Savings (Risp).............................. 29,000 80,400
La Rinascente Warrants "99" (b)........................... 2,800 2,280
Mediobanca Spa............................................ 15,000 95,257
Montedison Spa (b)........................................ 242,000 140,658
SAI-Savings (Risp)........................................ 37,000 143,371
Telecom Italia Spa........................................ 357,000 615,979
Telecom Italia Mobile Spa................................. 357,000 486,728
------------
5,444,472
------------
JAPAN -- 30.27%
Amada Co. Ltd. ........................................... 101,000 1,086,602
Asahi Glass Co. Ltd. ..................................... 120,000 1,433,242
Bank of Tokyo-Mitsubishi Ltd. ............................ 90,600 2,106,374
Canon, Inc................................................ 86,000 1,787,723
Canon Sales Co., Inc. .................................... 31,000 862,042
Citizen Watch Co. Ltd. ................................... 92,000 765,818
Dai Nippon Printing Co. Ltd. ............................. 91,000 1,758,913
Daiichi Pharmaceutical Co. Ltd............................ 63,000 970,721
Daikin Industries ltd..................................... 95,000 1,039,374
Daiwa House Industry Co. Ltd.............................. 48,000 743,973
Fanuc..................................................... 40,100 1,594,035
Fujitsu................................................... 57,000 519,687
Hitachi Ltd............................................... 195,000 1,813,434
Honda Motor Co............................................ 43,000 1,113,407
Inax...................................................... 126,000 1,252,172
Isetan.................................................... 32,000 484,312
Ito Yokado Co. Ltd........................................ 46,000 2,772,211
Kaneka Corp............................................... 50,000 335,973
Keio Teito Electric Railway............................... 113,000 669,667
Kinki Nippon Railway...................................... 114,000 820,066
Kirin Brewery Co. Ltd..................................... 108,000 1,319,458
Kokuyo.................................................... 20,000 552,509
Kuraray Co. Ltd........................................... 88,000 986,858
Maeda Road Construction................................... 22,000 379,098
Marui Co. Ltd............................................. 13,000 288,016
Matsushita Electric Industrial Co......................... 158,000 2,938,693
Mitsubishi Paper Mills.................................... 118,000 736,953
NGK Insulators............................................ 161,000 1,805,502
Nintendo Corp. Ltd........................................ 8,500 632,377
Nippon Denso Co. Ltd...................................... 65,000 1,410,449
Nippon Meat Packers, Inc.................................. 61,000 867,604
Nippon Steel Co........................................... 76,000 260,536
Okumura................................................... 68,000 567,899
Orix Corp................................................. 2,000 74,033
Osaka Gas Co.............................................. 408,000 1,491,666
Pioneer Electronic Corp................................... 16,000 380,739
Sankyo Co. Ltd. .......................................... 73,000 1,890,202
Secom..................................................... 23,000 1,518,215
Seino Transportation...................................... 33,000 520,508
Sekisui House Ltd......................................... 192,000 2,188,156
Shinmaywa Industries Ltd. ................................ 87,000 888,391
Sony Corp................................................. 30,600 2,011,517
Sumitomo Bank............................................. 105,000 2,029,515
Sumitomo Electric Industries.............................. 82,000 1,173,763
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
Takeda Chemical Industries.............................. 71,000 $ 1,255,819
TDK Corp................................................ 18,000 1,073,291
Tokio Marine & Fire Insurance Co........................ 91,000 1,211,327
Tokyo Electric Power.................................... 43,500 1,102,557
Tokyo Steel Mfg......................................... 72,700 1,425,082
Tonen Corp.............................................. 69,000 1,012,843
Toray Industries, Inc................................... 407,000 2,805,325
Toshiba Corp............................................ 233,000 1,656,981
Toyo Suisan Kaisha...................................... 52,000 635,295
Toyota Motor Corp....................................... 30,000 749,443
Yamazaki Baking Co. Ltd. ............................... 48,000 888,391
------------
64,658,757
------------
MALAYSIA -- 2.39%
Genting Bhd............................................. 28,000 218,820
Hume Industries (Malaysia) Bhd.......................... 64,000 312,921
Kuala Lumpur Kepong Bhd................................. 141,000 356,004
Land & General Holdings Bhd............................. 125,500 309,324
Malayan Banking Bhd..................................... 59,000 567,490
Malaysia International Shipping Bhd (Frgn.)............. 81,000 251,583
Nestle (Malaysia) Bhd................................... 36,000 289,997
Public Bank Bhd (Frgn.)................................. 144,000 398,204
Resorts World Bhd....................................... 39,000 223,509
Sime Darby Bhd.......................................... 197,000 544,766
Telekom Malaysia Bhd.................................... 87,000 774,046
Tenaga Nasional Bhd..................................... 162,000 681,709
YTL Corp. Bhd........................................... 34,000 177,140
------------
5,105,513
------------
NETHERLANDS -- 6.07%
ABN AMRO Holdings NV.................................... 23,087 1,238,953
Akzo Nobel NV........................................... 2,000 239,616
DSM NV.................................................. 4,150 412,107
Hoogovens NV............................................ 5,600 207,347
ING Groep NV............................................ 56,811 1,694,112
KPN NV.................................................. 29,790 1,127,444
Philips Electronics NV.................................. 15,200 494,229
Royal Dutch Petroleum Co................................ 24,830 3,834,547
Royal Dutch Petroleum Co. NY Shares (c)................. 6,200 953,250
Unilever NV............................................. 11,740 1,698,857
Vendex International NV................................. 15,800 550,764
VNU-Ver Ned Uitgevers................................... 33,500 520,095
------------
12,971,321
------------
NEW ZEALAND -- 2.71%
Brierley Investments Ltd................................ 1,017,600 962,039
Carter Holt Harvey Ltd.................................. 608,600 1,388,394
Fletcher Challenge Building............................. 151,550 295,895
Fletcher Challenge Energy............................... 151,550 334,309
Fletcher Challenge Forest Ltd........................... 70,445 87,350
Fletcher Challenge Paper................................ 229,100 442,599
Telecom Corp. of New Zealand Ltd........................ 10,500 700,875
Telecom Corp. of New Zealand Ltd. ADS (c)............... 376,200 1,577,272
------------
5,788,733
------------
</TABLE>
- --------------------------------------------------------------------------------
10
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
SPAIN -- 2.97%
Banco Bilbao-Vizcaya S. A.................................. 10,300 $ 416,946
Banco Central Hispanoamericano............................. 9,430 191,967
Banco Intercontinental Espanol S.A......................... 4,420 494,019
Banco Popular Espanol S.A.................................. 2,480 441,797
Banco Santander S.A........................................ 9,500 443,098
Cia Sevillana de Electricidad.............................. 45,900 422,444
Empresa Nacional de Electridad S.A......................... 12,800 797,686
Fomento de Construcciones y Contratas S.A.................. 3,800 314,170
Iberdrola S.A.............................................. 83,600 857,447
Repsol S.A................................................. 1,200 41,697
Repsol S.A. ADR (c)........................................ 15,500 538,625
Telefonica de Espana....................................... 57,900 1,065,775
Vallehermosa S.A........................................... 7,700 151,945
Viscofan Envolturas Celulosicas S.A........................ 11,300 178,475
------------
6,356,091
------------
SWITZERLAND -- 2.41%
ABB AG (Bearer)............................................ 210 259,732
Ciba-Geigy AG (Reg.)....................................... 653 795,642
CS Holdings AG (Reg.)...................................... 5,278 501,823
Nestle S.A. (Reg.)......................................... 1,251 1,428,315
Roche Holding AG (Gen.).................................... 99 754,998
Schweiz Bankgesellschaft (Bearer).......................... 560 548,097
Societe Generale de Surveillance S.A. (Bearer)............. 190 454,658
Zurich Versicherungs (Reg.)................................ 1,491 406,225
------------
5,149,490
------------
UNITED KINGDOM -- 16.65%
Asda Group PLC............................................. 152,200 275,545
Bass PLC................................................... 91,500 1,150,326
B.A.T. Industries PLC...................................... 124,000 965,408
Booker PLC................................................. 44,500 260,707
British Gas PLC............................................ 400,300 1,113,500
British Petroleum Co. PLC.................................. 218,123 1,913,449
British Steel PLC.......................................... 336,000 858,928
British Telecommunications PLC............................. 377,200 2,028,146
Charter PLC................................................ 49,449 713,111
Coats Viyella PLC.......................................... 229,100 612,357
FKI PLC.................................................... 187,625 495,668
General Electric Co. PLC................................... 447,700 2,414,171
Glaxo Wellcome PLC......................................... 61,500 828,124
Grand Metropolitan PLC..................................... 248,700 1,650,270
Guinness PLC............................................... 197,200 1,434,182
Hanson PLC................................................. 225,500 632,521
Hillsdown Holdings PLC..................................... 182,900 494,555
House of Fraser PLC........................................ 358,800 970,182
Legal and General Group PLC................................ 56,000 582,191
Lloyds Abbey Life PLC...................................... 79,100 628,129
Lloyds TSB Group PLC....................................... 496,185 2,428,878
Marks & Spencer PLC........................................ 116,900 854,723
Mirror Group PLC........................................... 129,600 412,867
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
National Power PLC........................................ 93,500 $ 755,556
National Westminster Bank PLC............................. 111,500 1,067,350
Ocean Group PLC........................................... 73,800 524,112
Peninsular & Oriental Steam Navigation Co................. 85,700 647,245
Reckitt & Colman PLC...................................... 64,575 678,364
Redland PLC............................................... 45,600 284,158
RJB Mining PLC............................................ 72,000 618,741
Rolls-Royce PLC........................................... 156,500 544,771
Royal Insurance Holdings PLC.............................. 87,300 539,944
RTZ Corp. PLC............................................. 50,800 752,329
Scottish Hydro-Electric PLC............................... 68,800 316,469
Sears PLC................................................. 384,700 591,846
Sedgwick Group PLC........................................ 258,000 553,287
SmithKline Beecham PLC.................................... 70,800 757,510
Tesco PLC................................................. 226,900 1,036,653
Thames Water PLC.......................................... 74,600 657,315
Unilever PLC.............................................. 35,200 700,171
Vodafone Group PLC........................................ 96,500 359,907
W.H. Smith Group PLC...................................... 62,500 461,344
------------
35,565,010
------------
Total Non-U.S. Equities
(Cost $181,044,716)...................................... 194,309,737
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------------ ------------
Short-Term Investments -- 7.00%
<S> <C> <C>
COMMERCIAL PAPER -- 7.00%
Airtouch Communications, Inc.
5.480%, due 07/01/96................................ $ 1,000,000 $ 1,000,000
5.500%, due 07/01/96................................ 945,000 945,000
Baxter International, Inc.
5.550%, due 07/10/96................................ 2,000,000 1,997,225
Dial Corp. 5.550%, due 07/17/96...................... 1,000,000 997,533
FMC Corp. 5.480%, due 07/08/96....................... 1,200,000 1,198,722
GATX Capital Corp.
5.500%, due 07/09/96................................ 1,750,000 1,747,861
Kerr-McGee Credit Corp.
5.500%, due 07/09/96................................ 1,750,000 1,747,861
The Limited, Inc.
5.650%, due 07/01/96................................ 2,000,000 2,000,000
Lockheed Martin Corp.
5.630%, due 07/01/96................................ 832,000 832,000
Melville Corp. 5.650%, due 07/01/96.................. 2,500,000 2,500,000
------------
Total Short-Term Investments
(Cost $14,966,202).................................. 14,966,202
------------
Total Investments
(Cost $196,010,918) -- 97.96% (a)................... 209,275,939
------------
Cash and other assets,
less liabilities -- 2.04%........................... 4,352,390
------------
Net Assets -- 100%................................... $213,628,329
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
11
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $196,010,918; net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $18,350,459
Gross unrealized depreciation................................ (5,085,438)
-----------
Net unrealized appreciation................................ $13,265,021
===========
</TABLE>
(b) Non-income producing security
(c) Denominated in U.S. dollars
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4)
The Non-U.S. Equity Fund had the following open forward foreign currency
contracts as of June 30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- -------------- ----------- ----------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY
BUY CONTRACTS
British Pound........... 08/20/96 1,700,000 $ 2,639,327 $ 34,417
Italian Lira............ 08/20/96 11,400,000,000 7,388,147 338,472
FORWARD FOREIGN CURRENCY SALE CONTRACTS
<CAPTION>
Australian Dollar....... 08/20/96 4,400,00 3,457,136 (30,328)
<S> <C> <C> <C> <C>
Belgian Franc........... 08/20/96 145,000,000 4,642,492 163,864
British Pound........... 08/20/96 1,700,000 2,639,327 (40,325)
Dutch Guilder........... 08/20/96 19,800,000 11,642,173 449,694
French Franc............ 08/20/96 84,900,000 16,529,282 230,752
German Mark............. 08/20/96 16,600,000 10,938,140 423,315
Japanese Yen............ 08/20/96 2,435,000,000 22,357,865 329,733
Swiss Franc............. 08/20/96 3,600,000 2,888,002 165,951
----------
Total................. $2,065,545
==========
FUTURES CONTRACTS (NOTE 5)
The Non-U.S. Equity Fund had the following open index futures contracts as of
June 30, 1996:
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE GAIN
---------- -------------- ----------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CON-
TRACTS
Topix, 13 contracts..... Sept. 1996 $ 2,007,816 $ 2,027,965 $ 20,149
==========
</TABLE>
The segregated cash pledged to cover margin requirements for the open positions
at June 30, 1996 was $528,401.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
12
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $196,010,918) (Note 1)............... $209,275,939
Cash............................................................. 675,750
Foreign currency, at value (Cost $1,251,418)..................... 1,234,254
Receivables:
Investment securities sold...................................... 132,264
Dividends....................................................... 921,822
Variation margin (Note 5)....................................... 20,149
Fund shares sold................................................ 383,610
Net unrealized appreciation on forward foreign currency con-
tracts.......................................................... 2,065,545
Other assets..................................................... 53,522
------------
TOTAL ASSETS.................................................. 214,762,855
------------
LIABILITIES:
Payables:
Investment securities purchased................................. 853,302
Fund shares redeemed............................................ 6,371
Investment advisory fees (Note 2)............................... 105,026
Accrued expenses................................................ 169,827
------------
TOTAL LIABILITIES............................................. 1,134,526
------------
NET ASSETS........................................................ $213,628,329
============
NET ASSETS CONSIST OF:
Paid in capital (Note 7)......................................... $189,936,001
Accumulated undistributed net investment income.................. 785,599
Accumulated net realized gain.................................... 7,570,744
Net unrealized appreciation...................................... 15,335,985
------------
NET ASSETS.................................................... $213,628,329
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $212,365,969 and 19,010,079 shares is-
sued and outstanding) (Note 7)................................. $ 11.17
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $1,262,360 and 113,519 shares issued
and outstanding) (Note 7)...................................... $ 11.12
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
13
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $514,189 for foreign taxes withheld)........... $ 3,856,097
Interest......................................................... 1,167,297
-----------
TOTAL INCOME.................................................. 5,023,394
-----------
EXPENSES:
Advisory (Note 2)................................................ 1,403,109
Accounting....................................................... 130,116
Custodian........................................................ 128,212
Administration................................................... 119,433
Distribution (Note 6)............................................ 3,544
Other............................................................ 325,926
-----------
TOTAL EXPENSES................................................ 2,110,340
Expenses waived by Advisor (Note 2)........................... (352,910)
-----------
NET EXPENSES.................................................. 1,757,430
-----------
NET INVESTMENT INCOME ........................................ 3,265,964
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments..................................................... 5,732,039
Futures contracts............................................... 2,389,926
Foreign currency transactions................................... 14,138,848
-----------
Net realized gain............................................. 22,260,813
-----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency ............................... 9,461,343
Futures contracts .............................................. 20,149
Forward contracts............................................... 1,441,930
Translation of other assets and liabilities denominated in for-
eign currency.................................................. (4,433)
-----------
Change in net unrealized appreciation or depreciation......... 10,918,989
-----------
Net realized and unrealized gain.................................. 33,179,802
-----------
Net increase in net assets resulting from operations.............. $36,445,766
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
14
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
JUNE 30, 1996 JUNE 30, 1995
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 3,265,964 $ 2,518,556
Net realized gain (loss)......................... 22,260,813 (5,050,764)
Change in net unrealized appreciation or depreci-
ation .......................................... 10,918,989 2,039,362
------------ ------------
Net increase (decrease) in net assets resulting
from operations................................. 36,445,766 (492,846)
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income:
Brinson Class................................... (3,057,609) --
SwissKey Class.................................. (8,629) --
Distributions from net realized gain:
Brinson Class................................... (8,632,717) --
SwissKey Class.................................. (14,731) --
------------ ------------
Total distributions to shareholders............. (11,713,686) --
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 86,752,018 110,628,882
Shares issued on reinvestment of distributions... 10,473,903 --
Shares redeemed.................................. (56,648,208) (33,361,344)
------------ ------------
Net increase in net assets resulting from capital
share transactions (Note 7)..................... 40,577,713 77,267,538
------------ ------------
TOTAL INCREASE IN NET ASSETS................... 65,309,793 76,774,692
------------ ------------
NET ASSETS:
Beginning of year................................ 148,318,536 71,543,844
------------ ------------
End of year (including accumulated undistributed
net investment income of $785,599 and $632,906,
respectively)................................... $213,628,329 $148,318,536
============ ============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
15
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR YEAR AUGUST 31, 1993*
ENDED ENDED THROUGH
BRINSON CLASS JUNE 30, 1996 JUNE 30, 1995 JUNE 30, 1994
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of pe-
riod............................. $ 9.68 $ 9.69 $ 10.00
-------- -------- -------
Income from investment opera-
tions:
Net investment income........... 0.18 0.15 0.10
Net realized and unrealized gain
(loss)......................... 2.05 (0.16) (0.34)
-------- -------- -------
Total income (loss) from in-
vestment operations.......... 2.23 (0.01) (0.24)
-------- -------- -------
Less distributions:
Distributions from net invest-
ment income.................... (0.18) -- (0.07)
Distributions from net realized
gain........................... (0.56) -- --
-------- -------- -------
Total distributions........... (0.74) -- (0.07)
-------- -------- -------
Net asset value, end of period.... $ 11.17 $ 9.68 $ 9.69
======== ======== =======
Total return (non-annualized)..... 23.64% (0.10%) (2.45%)
Ratios/Supplemental data
Net assets, end of period (in
000s)........................... $212,366 $148,319 $71,544
Ratio of expenses to average net
assets:
Before expense reimbursement.... 1.20% 1.23% 1.60%**
After expense reimbursement..... 1.00% 1.00% 1.00%**
Ratio of net investment income to
average net assets:
Before expense reimbursement.... 1.67% 1.93% 1.28%**
After expense reimbursement..... 1.87% 2.16% 1.88%**
Portfolio turnover rate.......... 20% 14% 12%
Average commission rate paid per
share........................... $ 0.0219 N/A N/A
</TABLE>
* Commencement of investment operations
** Annualized
N/A = Not applicable
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
16
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
SWISSKEY CLASS JUNE 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period............................. $ 10.26
-------
Income from investment operations:
Net investment income.......................................... 0.12
Net realized and unrealized gain............................... 1.45
-------
Total income from investment operations...................... 1.57
-------
Less distributions:
Distributions from net investment income....................... (0.15)
Distributions from net realized gain........................... (0.56)
-------
Total distributions.......................................... (0.71)
-------
Net asset value, end of period................................... $ 11.12
=======
Total return (non-annualized).................................... 15.78%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $ 1,262
Ratio of expenses to average net assets:
Before expense reimbursement................................... 2.04%**
After expense reimbursement.................................... 1.84%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................... 0.83%**
After expense reimbursement.................................... 1.03%**
Portfolio turnover rate......................................... 20%
Average commission rate paid per share.......................... $0.0219
</TABLE>
* Commencement of SwissKey Class distribution
** Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
17
<PAGE>
NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1.SIGNIFICANT ACCOUNTING POLICIES
The Brinson Funds (the "Trust") is an open-end, management investment company
registered under the Investment Company Act of 1940, as amended, as a series
company. The Trust currently offers shares of seven series: Global Fund, Global
Equity Fund, Global Bond Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Bond
Fund and Non-U.S. Equity Fund. The Fund has two classes of shares outstanding,
Brinson Class and SwissKey Class. There are an unlimited number of shares of
each class with par value of $0.001 authorized. Each share of the Fund
represents an identical interest in the investments of the Fund and has the
same rights. The following is a summary of significant accounting policies
consistently followed by the Non-U.S. Equity Fund (the "Fund") in the
preparation of its financial statements.
A.INVESTMENT VALUATION: Securities for which market quotations are readily
available are valued at the last available sales price on the exchange or
market on which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which such securities are
principally traded. Securities for which market quotations are not readily
available, including restricted securities which are subject to limitations on
their sale, are valued at fair value as determined in good faith by or under
the direction of the Trust's Board of Trustees. Futures contracts are valued at
the settlement price established each day on the exchange on which they are
traded. Forward contracts are valued daily using quoted forward exchange rates.
Short-term obligations with a maturity of 60 days or less are valued at
amortized cost, which approximates market value.
B.FOREIGN CURRENCY TRANSLATION: Investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars at the mean
between the bid and offered quotations of such currencies against the U.S.
dollar as of the date of valuation. Purchases and sales of portfolio
securities, commitments under forward foreign currency contracts, income
receipts and expense accruals are translated at the prevailing exchange rate on
the date of each transaction. Realized and unrealized foreign exchange gains or
losses on investments are included as a component of net realized and
unrealized gain or loss in the statement of operations.
C.INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade
date basis. Gains and losses on securities sold are determined on an identified
cost basis.
D.INVESTMENT INCOME: Interest income, which includes amortization of premiums
and discounts, is recorded on the accrual basis. Dividend income is recorded on
the ex-dividend date, except that certain dividends from foreign securities are
recorded as the information becomes available.
E.FEDERAL INCOME TAXES: It is the policy of the Fund to comply with all
requirements of the Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute substantially all of its taxable income
to its shareholders. The Fund has met the requirements of the Code applicable
to regulated investment companies for the year ended June 30, 1996, therefore,
no federal income tax provision was required.
F.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Fund to distribute its
net investment income on a semi-annual basis and net capital gains, if any,
annually. Distributions to shareholders are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for foreign
currency transactions. Differences in dividends per share between the classes
are due to distribution expenses.
G.INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by the
Fund will be borne on a pro rata basis by each of the classes, except that the
Brinson Class shares will not incur any of the distribution expenses.
H.USE OF ESTIMATES: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the amounts reported in the financial statements
and accompanying notes. Actual results may differ from those estimates.
- --------------------------------------------------------------------------------
18
<PAGE>
NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
2.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Brinson Partners, Inc. (the "Advisor"), a registered investment advisor,
provides the Fund with investment management services. As compensation for
these services, the Fund pays the Advisor a monthly fee based on the Fund's
average daily net assets. The Advisor has agreed to waive its fees and
reimburse the Fund to the extent total annualized expenses exceed a specified
percentage of the Fund's average daily net assets. The expense cap is 1.00% and
1.84% of the average daily net assets of the Brinson Class and SwissKey Class,
respectively. Investment advisory fees and other transactions with affiliates
for the year ended June 30, 1996, were as follows:
<TABLE>
<CAPTION>
ADVISORY ADVISORY FEES
FEE FEES WAIVED
-------- ---------- --------
<S> <C> <C> <C>
Non-U.S. Equity Fund............................... 0.80% $1,403,109 $352,910
</TABLE>
Certain officers of the Fund are also officers of the Advisor. All officers
serve without direct compensation from the Fund. Trustees' fees paid to
unaffiliated trustees were $6,836.
3.INVESTMENT TRANSACTIONS
Investment transactions for the year ended June 30, 1996, excluding short-term
investments, were as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
------------ -----------
<S> <C> <C>
Non-U.S. Equity Fund................................... $104,448,627 $61,894,241
</TABLE>
4.FORWARD FOREIGN CURRENCY CONTRACTS
The Fund engages in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. Forward foreign currency contracts are also used to achieve
currency allocation strategies. A forward foreign currency contract is a
commitment to purchase or sell a foreign currency at a future date at a
negotiated forward rate. Risks associated with such contracts include movement
in the value of the foreign currency relative to the U.S. dollar and the
ability of the counterparty to perform. The unrealized gain, if any, represents
the credit risk to the Fund on a forward foreign currency contract.
Fluctuations in the value of forward foreign currency contracts are recorded
daily as net unrealized gains or losses. The Fund realizes a gain or loss upon
settlement of the contracts. The statement of operations reflects net realized
and net unrealized gains and losses on these contracts. The counterparty to all
forward foreign currency contracts, at and for the year ended June 30, 1996,
was the Fund's custodian.
5.FUTURES CONTRACTS
The Fund may purchase or sell exchange-traded futures contracts, which are
contracts that obligate the Fund to make or take delivery of a financial
instrument or the cash value of a securities index at a specified future date
at a specified price. The Fund enters into such contracts to hedge a portion of
its portfolio. Risks of entering into futures contracts include the possibility
that there may be an illiquid market or that a change in the value of the
contract may not correlate with changes in the value of the underlying
securities. Upon entering into a futures contract, the Fund is required to
deposit either cash or securities (initial margin). Subsequent payments
(variation margin) are made or received by the Fund, generally on a daily
basis. The variation margin payments are equal to the daily changes in the
contract value and are recorded as unrealized gains or losses. The Fund
recognizes a realized gain or loss when the contract is closed or expires. The
statement of operations reflects net realized and net unrealized gains and
losses on these contracts.
6.DISTRIBUTION PLAN
The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plan governs payments made for
the expenses incurred in the promotion and distribution of the SwissKey Class
of shares. Annual fees under the Plan, which include a 0.25% service fee, total
0.84% of the average daily net assets of the SwissKey Class.
- --------------------------------------------------------------------------------
19
<PAGE>
NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
7. CAPITAL TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
JUNE 30, 1996 JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class.................... 8,044,119 $85,398,213 11,370,317 $110,628,882
SwissKey Class................... 125,829 1,353,805 -- --
--------- ----------- ---------- ------------
Total Sales................... 8,169,948 $86,752,018 11,370,317 $110,628,882
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class.................... 998,992 $10,452,496 -- --
SwissKey Class................... 2,042 21,407 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment... 1,001,034 $10,473,903 -- --
========= =========== ========== ============
Redemptions:
Brinson Class.................... 5,347,882 $56,492,091 3,435,839 $ 33,361,344
SwissKey Class................... 14,352 156,117 -- --
--------- ----------- ---------- ------------
Total Redemptions............. 5,362,234 $56,648,208 3,435,839 $ 33,361,344
========= =========== ========== ============
</TABLE>
- --------------------------------------------------------------------------------
20
<PAGE>
REPORT OF INDEPENDENT AUDITORS
- --------------------------------------------------------------------------------
The Board of Trustees and Shareholders
The Brinson Funds--Non-U.S. Equity Fund
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of The Brinson Funds--Non-U.S. Equity Fund as of
June 30, 1996, the related statements of operations for the year then ended and
changes in net assets and the financial highlights for 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. Our procedures included confirmation of securities owned as of June
30, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
Brinson Funds--Non-U.S. Equity Fund at June 30, 1996, the results of its
operations for the year then ended, and the changes in its net assets and the
financial highlights for the periods indicated therein, in conformity with
generally accepted accounting principles.
/s/ Ernst & Young LLP
ERNST & YOUNG LLP
Chicago, Illinois
August 9, 1996
- --------------------------------------------------------------------------------
21
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS
- --------------------------------------------------------------------------------
A Special Meeting of Shareholders was held on February 16, 1996. At the
meeting, shareholders of the Fund were asked to consider and act upon
amendments to the Trust's fundamental investment policies to (1) permit the
Fund to invest in affiliated investment companies; (2) permit the Fund to enter
into forward foreign currency transactions for non-hedging purposes; and (3)
increase the limitation on permissible loans of portfolio securities from 25%
to 33 1/3% of its assets.
The results of all matters voted on by shareholders of the Fund at the Special
Meeting held on February 16, 1996, were as follows:
A. AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO PERMIT THE FUND
TO INVEST IN AFFILIATED INVESTMENT COMPANIES:
<TABLE>
<CAPTION>
For Against Abstain
--------- --------- -------
<S> <C> <C> <C>
Non- U.S. Equity Fund............................... 9,111,850 144,663 2,020
B. AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO PERMIT THE FUND
TO ENTER INTO FORWARD FOREIGN CURRENCY TRANSACTIONS FOR NON-HEDGING PURPOSES:
<CAPTION>
For Against Abstain
--------- --------- -------
<S> <C> <C> <C>
Non- U.S. Equity Fund............................... 7,927,862 1,328,651 2,020
C. AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO INCREASE THE
LIMITATION ON PERMISSIBLE LOANS OF PORTFOLIO SECURITIES FROM 25% TO 33 1/3%
OF ITS ASSETS:
<CAPTION>
For Against Abstain
--------- --------- -------
<S> <C> <C> <C>
Non- U.S. Equity Fund............................... 8,914,286 291,422 52,825
</TABLE>
- --------------------------------------------------------------------------------
22
<PAGE>
DISTRIBUTED BY: FUND/PLAN BROKER SERVICES, INC.
2 W. ELM STREET
CONSHOHOCKEN, PA 19428
This report is submitted for the general information of the shareholders of the
Fund. It is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective Prospectus which includes
details regarding the Fund's objectives, policies, expenses and other
information.
- --------------------------------------------------------------------------------
<PAGE>
THE BRINSON FUNDS
- --------------------------------------------------------------------------------
209 South LaSalle Street . Chicago, Illinois 60604-1295 . Tel: (800) 448-2430
<PAGE>
[LOGO] SWISSKEY FUNDS
SWISSKEY NON-U.S. EQUITY FUND
ANNUAL REPORT
JUNE 30, 1996
Your Key to Performance
-----------------------------
<PAGE>
TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
LOGO
TRUSTEES
Walter E. Auch
Frank K. Reilly, CFA
Edward M. Roob
OFFICERS
Frank K. Reilly, CFA Carolyn M. Burke, CPA
Chairman of the Board Assistant Secretary
Catherine E. Macrae
E. Thomas McFarlan Assistant Secretary
President and Treasurer
Debra L. Nichols
Thomas J. Digenan, CPA Assistant Secretary
Assistant Treasurer
Bruce G. Leto
Secretary
------------------------------------------------------------
1
<PAGE>
THE FUND'S ADVISOR -- BRINSON PARTNERS, INC.
- --------------------------------------------------------------------------------
LOGO
Brinson Partners, Inc. is an institutional investment management firm structured
around teams of investment specialists covering major world asset classes. We
specialize in managing multiple asset portfolios that provide clients with the
opportunity to participate in all major world asset classes. It is important
that investment decisions, whether they pertain to a global portfolio or a
single asset class portfolio, be made within the context of a global capital
market perspective. Our coordinated application of investment strategies
distinguishes Brinson Partners, Inc. as a leader in global investment
management of institutional assets.
We firmly believe that asset allocation is portfolio management at its highest
and most important level. Performance is maximized through a comprehensive
understanding of global investment markets and their interrelationships.
Portfolio structure is tailored to specific client objectives and focused upon
both risk and return considerations in the context of full long-term investment
cycles.
At Brinson Partners, Inc. our investment decisions are based on fundamental
research, internally developed valuation systems and seasoned judgment. Our
independent team approach allows for rapid responses to market changes, while
providing each client with the benefit of our best talent and the flexibility
to customize portfolios to meet unique requirements.
------------------------------------------------------------
2
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LOGO
Shareholder Letter............................................................ 4
Global Economic and Market Highlights......................................... 5
Non-U.S. Equity Fund.......................................................... 6
Schedule of Investments....................................................... 9
Financial Statements..........................................................13
Financial Highlights..........................................................16
Notes to Financial Statements.................................................18
Report of Independent Auditors................................................21
Special Meeting of Shareholders...............................................22
------------------------------------------------------------
3
<PAGE>
SHAREHOLDER LETTER
- --------------------------------------------------------------------------------
LOGO
August 19, 1996
Dear Shareholder:
We appreciate the confidence you have placed in us and are pleased to present
you with the June 30, 1996 Annual Report for the Non-U.S. Equity Fund. The
SwissKey Funds provide you with the opportunity to invest in a diversified
family of mutual funds specializing in global investing. One of the many
benefits offered by these funds is management by Brinson Partners, Inc., the
worldwide portfolio manager of Swiss Bank Corporation and leader in the trend
toward global and non-U.S. portfolio management. Another benefit is the fact
that you do not incur a sales charge upon purchasing or redeeming shares so
your full investment works for you. We also offer toll-free access to
investment information and free transfer of investments between funds. This
Report presents our current global economic and market outlook, as well as the
Fund's recent investment strategies and performance. To summarize this
information:
For the period from July 31, 1995 to June 30, 1996, the Fund provided an
unannualized total return of 15.78%. In the first half of 1996, the Fund
returned 6.63%.
Market Strategy
The Fund holds a 5% strategic cash position reflecting our view that, with very
few exceptions, non-U.S. equity markets are modestly attractive. The Japanese
equity market, which is the largest component of the index, is somewhat more
overpriced than most of the other non-U.S. markets. Given our valuation
analyses and fundamental considerations, we are underweight Japan by 6.5%. The
other markets in the index are accordingly overweight by 1.5%.
Currency Strategy
Currency strategy continues to emphasize those currencies that offer the
highest expected cash returns in U.S. dollar terms. We continue to have limited
exposure to the overvalued DM-bloc currencies and maintain an underweight in
the yen. Offsetting these underweights is a large overweight in the U.S. dollar
(39.0%). Our position is near neutral in the British pound, and in the
Australian and Canadian dollar.
We look forward to the challenges ahead and, as always, welcome your thoughts
and comments.
Sincerely,
/s/ Raoul Weil /s/ Raymond Simon
Raoul Weil Raymond Simon
Managing Director Executive Director
Private Investors & Private Investors &
Asset Management Asset Management
------------------------------------------------------------
4
<PAGE>
GLOBAL ECONOMIC AND MARKET HIGHLIGHTS
- -------------------------------------------------------------------------------
LOGO
Since the yen's peak in 1995, the Japanese economy has begun showing signs of
recovery. Real GDP growth has recently turned up and output prices appear to
have stopped falling. However, structural problems persist, as unemployment
hit an all-time high in May.
With continued slow economic growth through much of continental Europe, unem-
ployment remains high. While the overpriced currencies of the deutschemark
bloc are a contributing factor, structural rigidity and accompanying high la-
bor costs exacerbate the problems. The U.S. continues to be a leader among de-
veloped countries in productivity improvements and the restraint of labor
costs.
Price pressures in most countries remain subdued, due to continuing central
bank responsibility. The last 15 years have seen a powerful trend toward a re-
duction and convergence in inflation rates across countries. Nevertheless,
bond markets have yet to fully accept a lower-inflation world. Any indication
of potential price pressures, such as the recent strong employment reports in
the U.S., adversely affects bond prices.
NON-U.S. EQUITY ENVIRONMENT
<TABLE>
<CAPTION>
MAJOR MARKETS
Total Return in 6 months 1 year
U.S. Dollar ended ended
Hedged Terms 6/30/96 6/30/96
- --------------------------------------
<S> <C> <C>
Japan 10.23% 51.04%
U.K. 2.20 14.41
Germany 12.38 21.40
France 17.54 19.52
Canada 9.60 14.15
Netherlands 20.20 38.76
Australia 0.01 6.53
- --------------------------------------
MAJOR CURRENCIES
Percent Change 6 months 1 year
Relative to ended ended
U.S. Dollars 6/30/96 6/30/96
- ---------------------------------
Yen -5.95% -22.60%
Pound 0.08 -2.33
Deutschemark -5.97 -9.07
Canadian Dollar -0.13 0.60
- ---------------------------------
</TABLE>
------------------------------------------------------------
5
<PAGE>
NON-U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
The Non-U.S. Equity Fund invests in the common stocks of companies
headquartered outside the U.S. We believe that in a non-U.S. investment program
the country allocation decision is the most important. Currency strategies are
separately developed and coordinated with market allocations. Our industry
strategies and individual security selections are determined by fundamental
research.
Since its inception on July 31, 1995, the SwissKey Non-U.S. Equity Fund has
earned an unannualized return of 15.78% versus 7.13% for the benchmark, the
Morgan Stanley Capital International Non-U.S. Equity (Free) Index. For the
first half of 1996, the SwissKey Non-U.S. Equity Fund returned 6.63% compared
to the 4.82% return of the benchmark.
In the first half of 1996, the best performing markets in dollar-hedged terms,
with returns in the 17-20% region, were the Netherlands, Spain, France and
Ireland. In general, non-U.S. markets were strong, in aggregate growing 9.96%
in dollar-hedged terms. In sharp contrast, New Zealand declined 3.97%, while
Australia was flat. Japan's 10.23% rise was about average, relative to the
other non-U.S. markets and similar to the 10.92% increase in the U.S. market.
Market allocation had a negative impact on returns. Cash detracted in an
environment of strong market performance. Overweighting the weakly performing
Anglo-Saxon markets and underweighting Hong Kong and Switzerland dampened
returns.
Currency management had a very significant positive impact on performance,
accounting for most of the value added by the Fund. Our defensive strategies
included a large underweight of the Japanese yen and minimal exposure to the
DM-related currencies. These strategies proved highly successful in a period
where the yen declined 8.24% and the DM-related currencies fell considerably;
varying from 9.77% for the Swiss franc, 7.11% for the Dutch guilder and 6.92%
for the deutschemark.
Overall stock selection was positive. Substantial value was added by Japanese
stock selection, while selection in the other markets detracted from
performance.
------------------------------------------------------------
6
<PAGE>
NON-U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months
ended Since
6/30/96 inception*
- ------------------------------------------------------
<S> <C> <C>
SWISSKEY NON-U.S. EQUITY FUND 6.63% 15.78%
MSCI Non-U.S. Equity (Free) Index 4.82 7.13
- ------------------------------------------------------
</TABLE>
*Inception date of the SwissKey Non-U.S. Equity Fund is July 31, 1995.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth No adjustment has been made
in the value of an for any income taxes payable
investment in the SwissKey by shareholders on income
Non-U.S. Equity Fund and the dividends and capital gain
MSCI Non-U.S. Equity (Free) distributions. Past
Index if you had invested performance is no guarantee
$10,000 on July 31, 1995, of future results. Share
and had reinvested all your price and return will vary
income dividends and capital with market conditions;
gain distributions through investors may realize a gain
June 30, 1996. or loss upon redemption.
SWISSKEY NON-U.S. EQUITY FUND
VS. MSCI NON-U.S. EQUITY (FREE) INDEX
Wealth Value with Dividends Reinvested
[GRAPH APPEARS HERE]
7/31/95 6/30/96
------- -------
SwissKey Non-U.S. Equity Fund $10,000 $11,578
MSCI Non-U.S. Equity (Free) Index $10,000 $10,713
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
-------------------------------------------------------------
7
<PAGE>
NON-U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 1996
<TABLE>
- ---------------------------------------
<S> <C>
NON-U.S. EQUITIES
Aerospace & Military 0.26%
Airlines 0.11
Appliances & Household Durables 2.73
Automobiles 2.90
Banking 11.09
Beverages & Tobacco 2.51
Broadcasting & Publishing 1.16
Building Materials 1.13
Business & Public Service 3.42
Chemicals 4.09
Construction 2.22
Data Processing 1.08
Electric Components 1.25
Electronics 4.05
Energy 8.03
Financial Services 1.14
Food & House Products 4.39
Forest Products 1.60
Gold Mining 0.15
Health & Personal Care 3.19
Industrial Components 2.40
Insurance 3.71
Leisure & Tourism 1.07
- ---------------------------------------
</TABLE>
<TABLE>
<S> <C>
Machinery & Engineering 1.63%
Merchandising 4.61
Metals 1.10
Miscellaneous Materials 1.45
Multi-Industry 3.47
Non-Ferrous Metals 1.88
Real Estate 0.38
Recreation 0.66
Shipping 0.67
Steel 0.79
Telecommunications 4.10
Textiles & Apparel 0.29
Transportation 0.93
Utilities 5.32
------
Total Non-U.S. Equities 90.96*
------
SHORT-TERM INVESTMENTS 7.00*
------
TOTAL INVESTMENTS 97.96
CASH AND OTHER ASSETS,
LESS LIABILITIES 2.04
------
NET ASSETS 100.00%
======
</TABLE>
MARKET AND CURRENCY STRATEGY
As of June 30, 1996
<TABLE>
<CAPTION>
Portfolio
-----------------
Market Currency
Strategy Strategy Index
- ---------------------------------------
<S> <C> <C> <C>
U.S. Dollar 0.0% 39.0% 0.0%
Japan 31.5 20.0 38.0
Australia 4.6 2.7 2.6
Belgium 2.9 0.4 1.1
Canada 3.3 3.3 3.8
Finland 0.6 0.6 0.5
France 9.2 0.6 6.3
Germany 6.1 0.6 6.5
Hong Kong 0.0 0.0 3.2
Italy 3.0 6.6 2.6
Malaysia 2.4 2.4 2.4
Netherlands 6.1 0.0 4.0
New Zealand 3.0 3.0 0.4
Spain 3.1 3.1 1.8
Sweden 0.0 0.0 2.1
Switzerland 2.3 0.8 5.6
U.K. 16.9 16.9 15.5
Cash Reserves 5.0 0.0 0.0
Other Markets 0.0 0.0 3.6
- ---------------------------------------
100.0% 100.0% 100.0%
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
Percent of Net Assets
- -----------------------
<S> <C>
1. Royal Dutch Petroleum Co. 1.80%
2. Matsushita Electric Industrial Co. 1.38
3. Toray Industries, Inc. 1.31
4. Ito Yokado Co. 1.30
5. Lloyds TSB Group PLC 1.14
6. General Electric PLC 1.13
7. Sekisui House Ltd. 1.02
8. Bank of Tokyo - Mitsubishi Ltd. 0.99
9. Broken Hill Proprietary Co. Ltd. 0.98
10. Sumitomo Bank 0.95
- ---------------------------------------------
</TABLE>
*The Fund held a long position in Topix futures on June 30, 1996 which
increased Japanese equity exposure from 30.27% to 31.22% and decreased the
Fund's exposure to Short-Term Investments from 7.00% to 6.05%
------------------------------------------------------------
8
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Non-U.S. Equities -- 90.96%
AUSTRALIA -- 4.03%
Amcor Ltd................................................. 68,700 $ 467,733
ANZ Banking Group Ltd. ................................... 84,819 401,897
Boral Ltd. ............................................... 100,000 259,740
Broken Hill Proprietary Co. Ltd. ......................... 151,270 2,091,943
CRA Ltd. ................................................. 52,210 803,800
David Jones Ltd. ......................................... 238,600 330,528
Lend Lease Corp. Ltd. .................................... 42,578 653,500
M.I.M. Holdings Ltd. ..................................... 205,900 265,782
National Australia Bank Ltd. ............................. 86,448 799,500
News Corp. Ltd. .......................................... 83,000 471,019
Pacific Dunlop Ltd. ...................................... 123,700 278,459
Qantas Airways Ltd. ...................................... 135,847 229,887
Santos Ltd................................................ 139,900 484,502
WMC Ltd. ................................................. 46,700 334,490
Westpac Banking Corp. Ltd. ............................... 165,851 734,940
------------
8,607,720
------------
BELGIUM -- 2.69%
Delhaize-Le Lion, S.A. ................................... 7,500 374,654
Electrabel S.A. .......................................... 5,165 1,102,938
Fortis AG................................................. 3,710 486,710
Groupe Bruxelles Lambert S.A. ............................ 3,030 379,126
Kredietbank NV............................................ 2,910 870,337
Petrofina S.A. ........................................... 2,575 807,130
Societe Generale de Belgique.............................. 3,428 259,872
Solvay S.A. Class A....................................... 935 573,763
Tractebel................................................. 1,350 552,645
Union Miniere Group S.A. (b).............................. 4,380 335,537
------------
5,742,712
------------
CANADA -- 3.33%
Alcan Aluminium Ltd. ..................................... 19,100 581,140
Bank of Montreal.......................................... 35,100 858,480
Barrick Gold Corp. ....................................... 11,600 314,719
Canadian Pacific Ltd. .................................... 43,600 954,628
Imperial Oil Ltd. ........................................ 15,800 666,432
Moore Corp. Ltd. ......................................... 7,400 138,452
Noranda, Inc. ............................................ 15,500 317,242
Norcen Energy Resources Ltd. ............................. 17,400 305,163
Northern Telecom Ltd. .................................... 9,100 494,782
NOVA Corp. ............................................... 28,400 256,839
Royal Bank of Canada...................................... 26,000 623,535
Seagram Co. Ltd. ......................................... 16,200 542,728
Thomson Corp. ............................................ 42,900 678,559
TransCanada Pipelines Ltd. ............................... 26,000 385,545
------------
7,118,244
------------
FINLAND -- 0.50%
Merita Ltd. Class A (b)................................... 42,000 87,690
Nokia Ab Class A.......................................... 16,000 588,906
Outokumpu Class A......................................... 6,500 109,129
UPM-Kymmene Corp. (b)..................................... 14,000 289,589
------------
1,075,314
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
FRANCE -- 8.53%
Accor S.A. ................................................. 5,070 $ 709,091
Alcatel Alsthom............................................. 6,814 594,306
Banque Nationale de Paris................................... 25,930 910,169
CEP Communications.......................................... 4,600 388,695
CEP Communications Warrants "97" (b)........................ 4,400 12,820
Cie Bancaire S.A. .......................................... 5,988 674,639
Cie de Saint Gobain......................................... 8,520 1,140,303
Cie de Suez................................................. 10,427 381,392
Cie Generale des Eaux....................................... 12,519 1,398,295
Colas....................................................... 1,977 354,078
Credit Local de France...................................... 11,850 964,481
Elf Aquitaine S.A. ......................................... 12,734 936,498
GAN (b)..................................................... 3,480 93,287
LVMH........................................................ 7,115 1,687,532
Michelin Class B............................................ 14,700 718,438
Pechiney S.A. Class A....................................... 12,711 513,329
Peugeot S.A. ............................................... 12,680 1,697,071
Rhone-Poulenc Class A....................................... 28,000 735,897
Sanofi...................................................... 1 75
SEITA....................................................... 8,400 385,082
Societe Generale............................................ 12,040 1,323,745
Total S.A. Class B.......................................... 20,360 1,509,994
UAP......................................................... 21,191 430,159
Usinor Sacilor.............................................. 45,400 654,808
-----------
18,214,184
-----------
GERMANY -- 5.86%
Allianz AG Holding.......................................... 728 1,265,546
BASF AG..................................................... 1,883 536,286
Bayer AG.................................................... 25,440 895,021
Bayerische Motoren Werke AG................................. 1,400 808,488
Bayerische Vereinsbank AG................................... 13,314 372,628
Commerzbank AG.............................................. 1,964 406,194
Daimler-Benz AG (b)......................................... 1,010 541,794
Daimler-Benz AG Rights (b).................................. 1,010 139
Deutsche Bank AG............................................ 29,757 1,409,553
Hoechst AG.................................................. 13,080 441,700
Kaufhof Holding AG.......................................... 1,472 556,362
M.A.N. AG................................................... 800 200,513
Mannesmann AG............................................... 2,877 990,440
Muenchener Rueckver AG...................................... 422 862,243
Muenchener Rueckver AG Warrants "98" (b).................... 12 1,490
Preussag AG................................................. 2,169 546,489
RWE AG...................................................... 13,500 525,064
Schering AG................................................. 5,242 380,037
Siemens AG.................................................. 6,000 321,582
Thyssen AG.................................................. 3,400 622,101
Veba AG..................................................... 15,588 828,506
-----------
12,512,176
-----------
ITALY -- 2.55%
Assicurazioni Generali...................................... 26,500 611,093
Danieli & Co. Savings (Risp)................................ 49,000 174,207
Edison Spa.................................................. 57,000 343,944
ENI ADR (c)................................................. 22,100 1,105,000
Fiat Spa-Priv............................................... 231,000 405,355
INA-Istituto Nazionale de Assicurazioni..................... 89,000 132,662
</TABLE>
- --------------------------------------------------------------------------------
9
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
ITALY (CONTINUED)
Istituto Mobilaire Italiano Spa........................... 67,000 $ 559,444
Italgas Spa............................................... 95,000 354,790
La Rinascente............................................. 27,000 193,304
La Rinascente Savings (Risp).............................. 29,000 80,400
La Rinascente Warrants "99" (b)........................... 2,800 2,280
Mediobanca Spa............................................ 15,000 95,257
Montedison Spa (b)........................................ 242,000 140,658
SAI-Savings (Risp)........................................ 37,000 143,371
Telecom Italia Spa........................................ 357,000 615,979
Telecom Italia Mobile Spa................................. 357,000 486,728
------------
5,444,472
------------
JAPAN -- 30.27%
Amada Co. Ltd. ........................................... 101,000 1,086,602
Asahi Glass Co. Ltd. ..................................... 120,000 1,433,242
Bank of Tokyo-Mitsubishi Ltd. ............................ 90,600 2,106,374
Canon, Inc................................................ 86,000 1,787,723
Canon Sales Co., Inc. .................................... 31,000 862,042
Citizen Watch Co. Ltd. ................................... 92,000 765,818
Dai Nippon Printing Co. Ltd. ............................. 91,000 1,758,913
Daiichi Pharmaceutical Co. Ltd............................ 63,000 970,721
Daikin Industries ltd..................................... 95,000 1,039,374
Daiwa House Industry Co. Ltd.............................. 48,000 743,973
Fanuc..................................................... 40,100 1,594,035
Fujitsu................................................... 57,000 519,687
Hitachi Ltd............................................... 195,000 1,813,434
Honda Motor Co............................................ 43,000 1,113,407
Inax...................................................... 126,000 1,252,172
Isetan.................................................... 32,000 484,312
Ito Yokado Co. Ltd........................................ 46,000 2,772,211
Kaneka Corp............................................... 50,000 335,973
Keio Teito Electric Railway............................... 113,000 669,667
Kinki Nippon Railway...................................... 114,000 820,066
Kirin Brewery Co. Ltd..................................... 108,000 1,319,458
Kokuyo.................................................... 20,000 552,509
Kuraray Co. Ltd........................................... 88,000 986,858
Maeda Road Construction................................... 22,000 379,098
Marui Co. Ltd............................................. 13,000 288,016
Matsushita Electric Industrial Co......................... 158,000 2,938,693
Mitsubishi Paper Mills.................................... 118,000 736,953
NGK Insulators............................................ 161,000 1,805,502
Nintendo Corp. Ltd........................................ 8,500 632,377
Nippon Denso Co. Ltd...................................... 65,000 1,410,449
Nippon Meat Packers, Inc.................................. 61,000 867,604
Nippon Steel Co........................................... 76,000 260,536
Okumura................................................... 68,000 567,899
Orix Corp................................................. 2,000 74,033
Osaka Gas Co.............................................. 408,000 1,491,666
Pioneer Electronic Corp................................... 16,000 380,739
Sankyo Co. Ltd. .......................................... 73,000 1,890,202
Secom..................................................... 23,000 1,518,215
Seino Transportation...................................... 33,000 520,508
Sekisui House Ltd......................................... 192,000 2,188,156
Shinmaywa Industries Ltd. ................................ 87,000 888,391
Sony Corp................................................. 30,600 2,011,517
Sumitomo Bank............................................. 105,000 2,029,515
Sumitomo Electric Industries.............................. 82,000 1,173,763
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
Takeda Chemical Industries.............................. 71,000 $ 1,255,819
TDK Corp................................................ 18,000 1,073,291
Tokio Marine & Fire Insurance Co........................ 91,000 1,211,327
Tokyo Electric Power.................................... 43,500 1,102,557
Tokyo Steel Mfg......................................... 72,700 1,425,082
Tonen Corp.............................................. 69,000 1,012,843
Toray Industries, Inc................................... 407,000 2,805,325
Toshiba Corp............................................ 233,000 1,656,981
Toyo Suisan Kaisha...................................... 52,000 635,295
Toyota Motor Corp....................................... 30,000 749,443
Yamazaki Baking Co. Ltd. ............................... 48,000 888,391
------------
64,658,757
------------
MALAYSIA -- 2.39%
Genting Bhd............................................. 28,000 218,820
Hume Industries (Malaysia) Bhd.......................... 64,000 312,921
Kuala Lumpur Kepong Bhd................................. 141,000 356,004
Land & General Holdings Bhd............................. 125,500 309,324
Malayan Banking Bhd..................................... 59,000 567,490
Malaysia International Shipping Bhd (Frgn.)............. 81,000 251,583
Nestle (Malaysia) Bhd................................... 36,000 289,997
Public Bank Bhd (Frgn.)................................. 144,000 398,204
Resorts World Bhd....................................... 39,000 223,509
Sime Darby Bhd.......................................... 197,000 544,766
Telekom Malaysia Bhd.................................... 87,000 774,046
Tenaga Nasional Bhd..................................... 162,000 681,709
YTL Corp. Bhd........................................... 34,000 177,140
------------
5,105,513
------------
NETHERLANDS -- 6.07%
ABN AMRO Holdings NV.................................... 23,087 1,238,953
Akzo Nobel NV........................................... 2,000 239,616
DSM NV.................................................. 4,150 412,107
Hoogovens NV............................................ 5,600 207,347
ING Groep NV............................................ 56,811 1,694,112
KPN NV.................................................. 29,790 1,127,444
Philips Electronics NV.................................. 15,200 494,229
Royal Dutch Petroleum Co................................ 24,830 3,834,547
Royal Dutch Petroleum Co. NY Shares (c)................. 6,200 953,250
Unilever NV............................................. 11,740 1,698,857
Vendex International NV................................. 15,800 550,764
VNU-Ver Ned Uitgevers................................... 33,500 520,095
------------
12,971,321
------------
NEW ZEALAND -- 2.71%
Brierley Investments Ltd................................ 1,017,600 962,039
Carter Holt Harvey Ltd.................................. 608,600 1,388,394
Fletcher Challenge Building............................. 151,550 295,895
Fletcher Challenge Energy............................... 151,550 334,309
Fletcher Challenge Forest Ltd........................... 70,445 87,350
Fletcher Challenge Paper................................ 229,100 442,599
Telecom Corp. of New Zealand Ltd........................ 10,500 700,875
Telecom Corp. of New Zealand Ltd. ADS (c)............... 376,200 1,577,272
------------
5,788,733
------------
</TABLE>
- --------------------------------------------------------------------------------
10
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
SPAIN -- 2.97%
Banco Bilbao-Vizcaya S. A.................................. 10,300 $ 416,946
Banco Central Hispanoamericano............................. 9,430 191,967
Banco Intercontinental Espanol S.A......................... 4,420 494,019
Banco Popular Espanol S.A.................................. 2,480 441,797
Banco Santander S.A........................................ 9,500 443,098
Cia Sevillana de Electricidad.............................. 45,900 422,444
Empresa Nacional de Electridad S.A......................... 12,800 797,686
Fomento de Construcciones y Contratas S.A.................. 3,800 314,170
Iberdrola S.A.............................................. 83,600 857,447
Repsol S.A................................................. 1,200 41,697
Repsol S.A. ADR (c)........................................ 15,500 538,625
Telefonica de Espana....................................... 57,900 1,065,775
Vallehermosa S.A........................................... 7,700 151,945
Viscofan Envolturas Celulosicas S.A........................ 11,300 178,475
------------
6,356,091
------------
SWITZERLAND -- 2.41%
ABB AG (Bearer)............................................ 210 259,732
Ciba-Geigy AG (Reg.)....................................... 653 795,642
CS Holdings AG (Reg.)...................................... 5,278 501,823
Nestle S.A. (Reg.)......................................... 1,251 1,428,315
Roche Holding AG (Gen.).................................... 99 754,998
Schweiz Bankgesellschaft (Bearer).......................... 560 548,097
Societe Generale de Surveillance S.A. (Bearer)............. 190 454,658
Zurich Versicherungs (Reg.)................................ 1,491 406,225
------------
5,149,490
------------
UNITED KINGDOM -- 16.65%
Asda Group PLC............................................. 152,200 275,545
Bass PLC................................................... 91,500 1,150,326
B.A.T. Industries PLC...................................... 124,000 965,408
Booker PLC................................................. 44,500 260,707
British Gas PLC............................................ 400,300 1,113,500
British Petroleum Co. PLC.................................. 218,123 1,913,449
British Steel PLC.......................................... 336,000 858,928
British Telecommunications PLC............................. 377,200 2,028,146
Charter PLC................................................ 49,449 713,111
Coats Viyella PLC.......................................... 229,100 612,357
FKI PLC.................................................... 187,625 495,668
General Electric Co. PLC................................... 447,700 2,414,171
Glaxo Wellcome PLC......................................... 61,500 828,124
Grand Metropolitan PLC..................................... 248,700 1,650,270
Guinness PLC............................................... 197,200 1,434,182
Hanson PLC................................................. 225,500 632,521
Hillsdown Holdings PLC..................................... 182,900 494,555
House of Fraser PLC........................................ 358,800 970,182
Legal and General Group PLC................................ 56,000 582,191
Lloyds Abbey Life PLC...................................... 79,100 628,129
Lloyds TSB Group PLC....................................... 496,185 2,428,878
Marks & Spencer PLC........................................ 116,900 854,723
Mirror Group PLC........................................... 129,600 412,867
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
National Power PLC........................................ 93,500 $ 755,556
National Westminster Bank PLC............................. 111,500 1,067,350
Ocean Group PLC........................................... 73,800 524,112
Peninsular & Oriental Steam Navigation Co................. 85,700 647,245
Reckitt & Colman PLC...................................... 64,575 678,364
Redland PLC............................................... 45,600 284,158
RJB Mining PLC............................................ 72,000 618,741
Rolls-Royce PLC........................................... 156,500 544,771
Royal Insurance Holdings PLC.............................. 87,300 539,944
RTZ Corp. PLC............................................. 50,800 752,329
Scottish Hydro-Electric PLC............................... 68,800 316,469
Sears PLC................................................. 384,700 591,846
Sedgwick Group PLC........................................ 258,000 553,287
SmithKline Beecham PLC.................................... 70,800 757,510
Tesco PLC................................................. 226,900 1,036,653
Thames Water PLC.......................................... 74,600 657,315
Unilever PLC.............................................. 35,200 700,171
Vodafone Group PLC........................................ 96,500 359,907
W.H. Smith Group PLC...................................... 62,500 461,344
------------
35,565,010
------------
Total Non-U.S. Equities
(Cost $181,044,716)...................................... 194,309,737
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------------ ------------
Short-Term Investments -- 7.00%
<S> <C> <C>
COMMERCIAL PAPER -- 7.00%
Airtouch Communications, Inc.
5.480%, due 07/01/96................................ $ 1,000,000 $ 1,000,000
5.500%, due 07/01/96................................ 945,000 945,000
Baxter International, Inc.
5.550%, due 07/10/96................................ 2,000,000 1,997,225
Dial Corp. 5.550%, due 07/17/96...................... 1,000,000 997,533
FMC Corp. 5.480%, due 07/08/96....................... 1,200,000 1,198,722
GATX Capital Corp.
5.500%, due 07/09/96................................ 1,750,000 1,747,861
Kerr-McGee Credit Corp.
5.500%, due 07/09/96................................ 1,750,000 1,747,861
The Limited, Inc.
5.650%, due 07/01/96................................ 2,000,000 2,000,000
Lockheed Martin Corp.
5.630%, due 07/01/96................................ 832,000 832,000
Melville Corp. 5.650%, due 07/01/96.................. 2,500,000 2,500,000
------------
Total Short-Term Investments
(Cost $14,966,202).................................. 14,966,202
------------
Total Investments
(Cost $196,010,918) -- 97.96% (a)................... 209,275,939
------------
Cash and other assets,
less liabilities -- 2.04%........................... 4,352,390
------------
Net Assets -- 100%................................... $213,628,329
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
11
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $196,010,918; net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $18,350,459
Gross unrealized depreciation................................ (5,085,438)
-----------
Net unrealized appreciation................................ $13,265,021
===========
</TABLE>
(b) Non-income producing security
(c) Denominated in U.S. dollars
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4)
The Non-U.S. Equity Fund had the following open forward foreign currency
contracts as of June 30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- -------------- ----------- ----------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY
BUY CONTRACTS
British Pound........... 08/20/96 1,700,000 $ 2,639,327 $ 34,417
Italian Lira............ 08/20/96 11,400,000,000 7,388,147 338,472
FORWARD FOREIGN CURRENCY SALE CONTRACTS
<CAPTION>
Australian Dollar....... 08/20/96 4,400,00 3,457,136 (30,328)
<S> <C> <C> <C> <C>
Belgian Franc........... 08/20/96 145,000,000 4,642,492 163,864
British Pound........... 08/20/96 1,700,000 2,639,327 (40,325)
Dutch Guilder........... 08/20/96 19,800,000 11,642,173 449,694
French Franc............ 08/20/96 84,900,000 16,529,282 230,752
German Mark............. 08/20/96 16,600,000 10,938,140 423,315
Japanese Yen............ 08/20/96 2,435,000,000 22,357,865 329,733
Swiss Franc............. 08/20/96 3,600,000 2,888,002 165,951
----------
Total................. $2,065,545
==========
FUTURES CONTRACTS (NOTE 5)
The Non-U.S. Equity Fund had the following open index futures contracts as of
June 30, 1996:
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE GAIN
---------- -------------- ----------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CON-
TRACTS
Topix, 13 contracts..... Sept. 1996 $ 2,007,816 $ 2,027,965 $ 20,149
==========
</TABLE>
The segregated cash pledged to cover margin requirements for the open positions
at June 30, 1996 was $528,401.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
12
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $196,010,918) (Note 1)............... $209,275,939
Cash............................................................. 675,750
Foreign currency, at value (Cost $1,251,418)..................... 1,234,254
Receivables:
Investment securities sold...................................... 132,264
Dividends....................................................... 921,822
Variation margin (Note 5)....................................... 20,149
Fund shares sold................................................ 383,610
Net unrealized appreciation on forward foreign currency con-
tracts.......................................................... 2,065,545
Other assets..................................................... 53,522
------------
TOTAL ASSETS.................................................. 214,762,855
------------
LIABILITIES:
Payables:
Investment securities purchased................................. 853,302
Fund shares redeemed............................................ 6,371
Investment advisory fees (Note 2)............................... 105,026
Accrued expenses................................................ 169,827
------------
TOTAL LIABILITIES............................................. 1,134,526
------------
NET ASSETS........................................................ $213,628,329
============
NET ASSETS CONSIST OF:
Paid in capital (Note 7)......................................... $189,936,001
Accumulated undistributed net investment income.................. 785,599
Accumulated net realized gain.................................... 7,570,744
Net unrealized appreciation...................................... 15,335,985
------------
NET ASSETS.................................................... $213,628,329
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $212,365,969 and 19,010,079 shares is-
sued and outstanding) (Note 7)................................. $ 11.17
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $1,262,360 and 113,519 shares issued
and outstanding) (Note 7)...................................... $ 11.12
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
13
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $514,189 for foreign taxes withheld)........... $ 3,856,097
Interest......................................................... 1,167,297
-----------
TOTAL INCOME.................................................. 5,023,394
-----------
EXPENSES:
Advisory (Note 2)................................................ 1,403,109
Accounting....................................................... 130,116
Custodian........................................................ 128,212
Administration................................................... 119,433
Distribution (Note 6)............................................ 3,544
Other............................................................ 325,926
-----------
TOTAL EXPENSES................................................ 2,110,340
Expenses waived by Advisor (Note 2)........................... (352,910)
-----------
NET EXPENSES.................................................. 1,757,430
-----------
NET INVESTMENT INCOME ........................................ 3,265,964
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments..................................................... 5,732,039
Futures contracts............................................... 2,389,926
Foreign currency transactions................................... 14,138,848
-----------
Net realized gain............................................. 22,260,813
-----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency ............................... 9,461,343
Futures contracts .............................................. 20,149
Forward contracts............................................... 1,441,930
Translation of other assets and liabilities denominated in for-
eign currency.................................................. (4,433)
-----------
Change in net unrealized appreciation or depreciation......... 10,918,989
-----------
Net realized and unrealized gain.................................. 33,179,802
-----------
Net increase in net assets resulting from operations.............. $36,445,766
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
14
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
JUNE 30, 1996 JUNE 30, 1995
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 3,265,964 $ 2,518,556
Net realized gain (loss)......................... 22,260,813 (5,050,764)
Change in net unrealized appreciation or depreci-
ation .......................................... 10,918,989 2,039,362
------------ ------------
Net increase (decrease) in net assets resulting
from operations................................. 36,445,766 (492,846)
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income:
Brinson Class................................... (3,057,609) --
SwissKey Class.................................. (8,629) --
Distributions from net realized gain:
Brinson Class................................... (8,632,717) --
SwissKey Class.................................. (14,731) --
------------ ------------
Total distributions to shareholders............. (11,713,686) --
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 86,752,018 110,628,882
Shares issued on reinvestment of distributions... 10,473,903 --
Shares redeemed.................................. (56,648,208) (33,361,344)
------------ ------------
Net increase in net assets resulting from capital
share transactions (Note 7)..................... 40,577,713 77,267,538
------------ ------------
TOTAL INCREASE IN NET ASSETS................... 65,309,793 76,774,692
------------ ------------
NET ASSETS:
Beginning of year................................ 148,318,536 71,543,844
------------ ------------
End of year (including accumulated undistributed
net investment income of $785,599 and $632,906,
respectively)................................... $213,628,329 $148,318,536
============ ============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
15
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR YEAR AUGUST 31, 1993*
ENDED ENDED THROUGH
BRINSON CLASS JUNE 30, 1996 JUNE 30, 1995 JUNE 30, 1994
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of pe-
riod............................. $ 9.68 $ 9.69 $ 10.00
-------- -------- -------
Income from investment opera-
tions:
Net investment income........... 0.18 0.15 0.10
Net realized and unrealized gain
(loss)......................... 2.05 (0.16) (0.34)
-------- -------- -------
Total income (loss) from in-
vestment operations.......... 2.23 (0.01) (0.24)
-------- -------- -------
Less distributions:
Distributions from net invest-
ment income.................... (0.18) -- (0.07)
Distributions from net realized
gain........................... (0.56) -- --
-------- -------- -------
Total distributions........... (0.74) -- (0.07)
-------- -------- -------
Net asset value, end of period.... $ 11.17 $ 9.68 $ 9.69
======== ======== =======
Total return (non-annualized)..... 23.64% (0.10%) (2.45%)
Ratios/Supplemental data
Net assets, end of period (in
000s)........................... $212,366 $148,319 $71,544
Ratio of expenses to average net
assets:
Before expense reimbursement.... 1.20% 1.23% 1.60%**
After expense reimbursement..... 1.00% 1.00% 1.00%**
Ratio of net investment income to
average net assets:
Before expense reimbursement.... 1.67% 1.93% 1.28%**
After expense reimbursement..... 1.87% 2.16% 1.88%**
Portfolio turnover rate.......... 20% 14% 12%
Average commission rate paid per
share........................... $ 0.0219 N/A N/A
</TABLE>
* Commencement of investment operations
** Annualized
N/A = Not applicable
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
16
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
SWISSKEY CLASS JUNE 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period............................. $ 10.26
-------
Income from investment operations:
Net investment income.......................................... 0.12
Net realized and unrealized gain............................... 1.45
-------
Total income from investment operations...................... 1.57
-------
Less distributions:
Distributions from net investment income....................... (0.15)
Distributions from net realized gain........................... (0.56)
-------
Total distributions.......................................... (0.71)
-------
Net asset value, end of period................................... $ 11.12
=======
Total return (non-annualized).................................... 15.78%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $ 1,262
Ratio of expenses to average net assets:
Before expense reimbursement................................... 2.04%**
After expense reimbursement.................................... 1.84%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................... 0.83%**
After expense reimbursement.................................... 1.03%**
Portfolio turnover rate......................................... 20%
Average commission rate paid per share.......................... $0.0219
</TABLE>
* Commencement of SwissKey Class distribution
** Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
17
<PAGE>
NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1.SIGNIFICANT ACCOUNTING POLICIES
The Brinson Funds (the "Trust") is an open-end, management investment company
registered under the Investment Company Act of 1940, as amended, as a series
company. The Trust currently offers shares of seven series: Global Fund, Global
Equity Fund, Global Bond Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Bond
Fund and Non-U.S. Equity Fund. The Fund has two classes of shares outstanding,
Brinson Class and SwissKey Class. There are an unlimited number of shares of
each class with par value of $0.001 authorized. Each share of the Fund
represents an identical interest in the investments of the Fund and has the
same rights. The following is a summary of significant accounting policies
consistently followed by the Non-U.S. Equity Fund (the "Fund") in the
preparation of its financial statements.
A.INVESTMENT VALUATION: Securities for which market quotations are readily
available are valued at the last available sales price on the exchange or
market on which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which such securities are
principally traded. Securities for which market quotations are not readily
available, including restricted securities which are subject to limitations on
their sale, are valued at fair value as determined in good faith by or under
the direction of the Trust's Board of Trustees. Futures contracts are valued at
the settlement price established each day on the exchange on which they are
traded. Forward contracts are valued daily using quoted forward exchange rates.
Short-term obligations with a maturity of 60 days or less are valued at
amortized cost, which approximates market value.
B.FOREIGN CURRENCY TRANSLATION: Investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars at the mean
between the bid and offered quotations of such currencies against the U.S.
dollar as of the date of valuation. Purchases and sales of portfolio
securities, commitments under forward foreign currency contracts, income
receipts and expense accruals are translated at the prevailing exchange rate on
the date of each transaction. Realized and unrealized foreign exchange gains or
losses on investments are included as a component of net realized and
unrealized gain or loss in the statement of operations.
C.INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade
date basis. Gains and losses on securities sold are determined on an identified
cost basis.
D.INVESTMENT INCOME: Interest income, which includes amortization of premiums
and discounts, is recorded on the accrual basis. Dividend income is recorded on
the ex-dividend date, except that certain dividends from foreign securities are
recorded as the information becomes available.
E.FEDERAL INCOME TAXES: It is the policy of the Fund to comply with all
requirements of the Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute substantially all of its taxable income
to its shareholders. The Fund has met the requirements of the Code applicable
to regulated investment companies for the year ended June 30, 1996, therefore,
no federal income tax provision was required.
F.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Fund to distribute its
net investment income on a semi-annual basis and net capital gains, if any,
annually. Distributions to shareholders are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for foreign
currency transactions. Differences in dividends per share between the classes
are due to distribution expenses.
G.INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by the
Fund will be borne on a pro rata basis by each of the classes, except that the
Brinson Class shares will not incur any of the distribution expenses.
H.USE OF ESTIMATES: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the amounts reported in the financial statements
and accompanying notes. Actual results may differ from those estimates.
- --------------------------------------------------------------------------------
18
<PAGE>
NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
2.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Brinson Partners, Inc. (the "Advisor"), a registered investment advisor,
provides the Fund with investment management services. As compensation for
these services, the Fund pays the Advisor a monthly fee based on the Fund's
average daily net assets. The Advisor has agreed to waive its fees and
reimburse the Fund to the extent total annualized expenses exceed a specified
percentage of the Fund's average daily net assets. The expense cap is 1.00% and
1.84% of the average daily net assets of the Brinson Class and SwissKey Class,
respectively. Investment advisory fees and other transactions with affiliates
for the year ended June 30, 1996, were as follows:
<TABLE>
<CAPTION>
ADVISORY ADVISORY FEES
FEE FEES WAIVED
-------- ---------- --------
<S> <C> <C> <C>
Non-U.S. Equity Fund............................... 0.80% $1,403,109 $352,910
</TABLE>
Certain officers of the Fund are also officers of the Advisor. All officers
serve without direct compensation from the Fund. Trustees' fees paid to
unaffiliated trustees were $6,836.
3.INVESTMENT TRANSACTIONS
Investment transactions for the year ended June 30, 1996, excluding short-term
investments, were as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
------------ -----------
<S> <C> <C>
Non-U.S. Equity Fund................................... $104,448,627 $61,894,241
</TABLE>
4.FORWARD FOREIGN CURRENCY CONTRACTS
The Fund engages in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. Forward foreign currency contracts are also used to achieve
currency allocation strategies. A forward foreign currency contract is a
commitment to purchase or sell a foreign currency at a future date at a
negotiated forward rate. Risks associated with such contracts include movement
in the value of the foreign currency relative to the U.S. dollar and the
ability of the counterparty to perform. The unrealized gain, if any, represents
the credit risk to the Fund on a forward foreign currency contract.
Fluctuations in the value of forward foreign currency contracts are recorded
daily as net unrealized gains or losses. The Fund realizes a gain or loss upon
settlement of the contracts. The statement of operations reflects net realized
and net unrealized gains and losses on these contracts. The counterparty to all
forward foreign currency contracts, at and for the year ended June 30, 1996,
was the Fund's custodian.
5.FUTURES CONTRACTS
The Fund may purchase or sell exchange-traded futures contracts, which are
contracts that obligate the Fund to make or take delivery of a financial
instrument or the cash value of a securities index at a specified future date
at a specified price. The Fund enters into such contracts to hedge a portion of
its portfolio. Risks of entering into futures contracts include the possibility
that there may be an illiquid market or that a change in the value of the
contract may not correlate with changes in the value of the underlying
securities. Upon entering into a futures contract, the Fund is required to
deposit either cash or securities (initial margin). Subsequent payments
(variation margin) are made or received by the Fund, generally on a daily
basis. The variation margin payments are equal to the daily changes in the
contract value and are recorded as unrealized gains or losses. The Fund
recognizes a realized gain or loss when the contract is closed or expires. The
statement of operations reflects net realized and net unrealized gains and
losses on these contracts.
6.DISTRIBUTION PLAN
The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plan governs payments made for
the expenses incurred in the promotion and distribution of the SwissKey Class
of shares. Annual fees under the Plan, which include a 0.25% service fee, total
0.84% of the average daily net assets of the SwissKey Class.
- --------------------------------------------------------------------------------
19
<PAGE>
NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
7. CAPITAL TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
JUNE 30, 1996 JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class.................... 8,044,119 $85,398,213 11,370,317 $110,628,882
SwissKey Class................... 125,829 1,353,805 -- --
--------- ----------- ---------- ------------
Total Sales................... 8,169,948 $86,752,018 11,370,317 $110,628,882
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class.................... 998,992 $10,452,496 -- --
SwissKey Class................... 2,042 21,407 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment... 1,001,034 $10,473,903 -- --
========= =========== ========== ============
Redemptions:
Brinson Class.................... 5,347,882 $56,492,091 3,435,839 $ 33,361,344
SwissKey Class................... 14,352 156,117 -- --
--------- ----------- ---------- ------------
Total Redemptions............. 5,362,234 $56,648,208 3,435,839 $ 33,361,344
========= =========== ========== ============
</TABLE>
- --------------------------------------------------------------------------------
20
<PAGE>
REPORT OF INDEPENDENT AUDITORS
- --------------------------------------------------------------------------------
The Board of Trustees and Shareholders
The Brinson Funds--Non-U.S. Equity Fund
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of The Brinson Funds--Non-U.S. Equity Fund as of
June 30, 1996, the related statements of operations for the year then ended and
changes in net assets and the financial highlights for 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. Our procedures included confirmation of securities owned as of June
30, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
Brinson Funds--Non-U.S. Equity Fund at June 30, 1996, the results of its
operations for the year then ended, and the changes in its net assets and the
financial highlights for the periods indicated therein, in conformity with
generally accepted accounting principles.
/s/ Ernst & Young LLP
ERNST & YOUNG LLP
Chicago, Illinois
August 9, 1996
- --------------------------------------------------------------------------------
21
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS
- --------------------------------------------------------------------------------
A Special Meeting of Shareholders was held on February 16, 1996. At the
meeting, shareholders of the Fund were asked to consider and act upon
amendments to the Trust's fundamental investment policies to (1) permit the
Fund to invest in affiliated investment companies; (2) permit the Fund to enter
into forward foreign currency transactions for non-hedging purposes; and (3)
increase the limitation on permissible loans of portfolio securities from 25%
to 33 1/3% of its assets.
The results of all matters voted on by shareholders of the Fund at the Special
Meeting held on February 16, 1996, were as follows:
A. AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO PERMIT THE FUND
TO INVEST IN AFFILIATED INVESTMENT COMPANIES:
<TABLE>
<CAPTION>
For Against Abstain
--------- --------- -------
<S> <C> <C> <C>
Non- U.S. Equity Fund............................... 9,111,850 144,663 2,020
B. AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO PERMIT THE FUND
TO ENTER INTO FORWARD FOREIGN CURRENCY TRANSACTIONS FOR NON-HEDGING PURPOSES:
<CAPTION>
For Against Abstain
--------- --------- -------
<S> <C> <C> <C>
Non- U.S. Equity Fund............................... 7,927,862 1,328,651 2,020
C. AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO INCREASE THE
LIMITATION ON PERMISSIBLE LOANS OF PORTFOLIO SECURITIES FROM 25% TO 33 1/3%
OF ITS ASSETS:
<CAPTION>
For Against Abstain
--------- --------- -------
<S> <C> <C> <C>
Non- U.S. Equity Fund............................... 8,914,286 291,422 52,825
</TABLE>
- --------------------------------------------------------------------------------
22
<PAGE>
DISTRIBUTED BY: FUND/PLAN BROKER SERVICES, INC.
2 W. ELM STREET
CONSHOHOCKEN, PA 19428
This report is submitted for the general information of the shareholders of the
Fund. It is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective Prospectus which includes
details regarding the Fund's objectives, policies, expenses and other
information.
- --------------------------------------------------------------------------------
<PAGE>
LOGO
10 East 50th Street . New York, New York 10022 . Tel: (800) SWISSKEY
<PAGE>
LOGO
SWISSKEY FUNDS
SWISSKEY GLOBAL FUND
SWISSKEY GLOBAL EQUITY FUND
SWISSKEY GLOBAL BOND FUND
ANNUAL REPORT
JUNE 30, 1996
Your Key to Performance
-----------------------------
<PAGE>
TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
LOGO
TRUSTEES
Walter E. Auch
Frank K. Reilly, CFA
Edward M. Roob
OFFICERS
Frank K. Reilly, CFA Carolyn M. Burke, CPA
Chairman of the Board
Assistant Secretary
E. Thomas McFarlan Catherine E. Macrae
President and Treasurer
Assistant Secretary
Thomas J. Digenan, CPA Debra L. Nichols
Assistant Treasurer
Assistant Secretary
Bruce G. Leto
Secretary
------------------------------------------------------------
1
<PAGE>
THE FUNDS' ADVISOR -- BRINSON PARTNERS, INC.
- --------------------------------------------------------------------------------
LOGO
Brinson Partners, Inc. is an institutional investment management firm structured
around teams of investment specialists covering major world asset classes. We
specialize in managing multiple asset portfolios that provide clients with the
opportunity to participate in all major world asset classes. It is important
that investment decisions, whether they pertain to a global portfolio or a
single asset class portfolio, be made within the context of a global capital
market perspective. Our coordinated application of investment strategies
distinguishes Brinson Partners, Inc. as a leader in global investment
management of institutional assets.
We firmly believe that asset allocation is portfolio management at its highest
and most important level. Performance is maximized through a comprehensive
understanding of global investment markets and their interrelationships.
Portfolio structure is tailored to specific client objectives and focused upon
both risk and return considerations in the context of full long-term investment
cycles.
At Brinson Partners, Inc. our investment decisions are based on fundamental
research, internally developed valuation systems and seasoned judgment. Our
independent team approach allows for rapid responses to market changes, while
providing each client with the benefit of our best talent and the flexibility
to customize portfolios to meet unique requirements.
------------------------------------------------------------
2
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LOGO
Shareholder Letter............................................................ 4
Global Economic and Market Highlights......................................... 5
Global Fund................................................................... 6
Schedule of Investments.....................................................10
Financial Statements........................................................17
Financial Highlights........................................................20
Global Equity Fund............................................................22
Schedule of Investments.....................................................26
Financial Statements........................................................31
Financial Highlights........................................................34
Global Bond Fund..............................................................36
Schedule of Investments.....................................................39
Financial Statements........................................................42
Financial Highlights........................................................45
The SwissKey Funds--Notes to Financial Statements.............................47
Report of Independent Auditors................................................51
Special Meeting of Shareholders...............................................52
------------------------------------------------------------
3
<PAGE>
SHAREHOLDER LETTER
- --------------------------------------------------------------------------------
LOGO
August 19, 1996
Dear Shareholder:
We appreciate the confidence you have placed in us and are pleased to present
you with the June 30, 1996 Annual Report for the Global Fund, Global Equity
Fund and Global Bond Fund. The SwissKey Funds provide you with the opportunity
to invest in a diversified family of mutual funds specializing in global
investing. One of the many benefits offered by these funds is management by
Brinson Partners, Inc., the worldwide portfolio manager of Swiss Bank
Corporation and leader in the trend toward global and non-U.S. portfolio
management. Another benefit is the fact that you do not incur a sales charge
upon purchasing or redeeming shares so your full investment works for you. We
also offer toll-free access to investment information and free transfer of
investments between funds. This Report presents our current global economic and
market outlook, as well as the Funds' recent investment strategies and
performance. To summarize this information:
Global Fund
For the period from July 31, 1995 to June 30, 1996, the Fund provided an
unannualized total return of 13.24%. The Fund returned 4.27% in the first half
of 1996.
The strategy of underweighting the overpriced equity markets in favor of the
attractive bond markets remains in place. A portion of foreign currency
exposure is hedged into U.S. dollars.
Global Equity Fund
For the period from July 31, 1995 to June 30, 1996, the Fund provided an
unannualized total return of 19.25%. The Fund returned 8.47% in the first half
of 1996.
Reflecting only modestly attractive equity markets, the Fund maintains its 15%
cash hedge. Primary underweights include the U.S. market, in light of its
overvaluation and increasing volatility. A portion of foreign currency exposure
is hedged into U.S. dollars.
Global Bond Fund
For the period from July 31, 1995 to June 30, 1996, the Fund provided an
unannualized total return of 9.17%. The Fund returned 1.82% in the first half
of 1996.
Bond markets are generally attractive, with the exception of the Japanese
market which continues to be the largest underweight. A portion of foreign
currency exposure is hedged into U.S. dollars.
We look forward to the challenges ahead and, as always, welcome your comments
and suggestions.
Sincerely,
/s/ Raoul Weil /s/ Raymond Simon
Raoul Weil Raymond Simon
Managing Director Executive Director
Private Investors & Private Investors &
Asset Management Asset Management
------------------------------------------------------------
4
<PAGE>
GLOBAL ECONOMIC AND MARKET HIGHLIGHTS
- --------------------------------------------------------------------------------
LOGO
Since the yen's peak in 1995, the Japanese economy has begun showing signs of
recovery. Real GDP growth has recently turned up and output prices appear to
have stopped falling. However, structural problems persist, as unemployment hit
an all-time high in May.
With continued slow economic growth through much of continental Europe,
unemployment remains high. While the overpriced currencies of the deutschemark
bloc are a contributing factor, structural rigidity and accompanying high labor
costs exacerbate the problems. The U.S. continues to be a leader among
developed countries in productivity improvements and the restraint of labor
costs.
Price pressures in most countries remain subdued, due to continuing central
bank responsibility. The last 15 years have seen a powerful trend toward a
reduction and convergence in inflation rates across countries. Nevertheless,
bond markets have yet to fully accept a lower-inflation world. Any indication
of potential price pressures, such as the recent strong employment reports in
the U.S., adversely affects bond prices.
GLOBAL ENVIRONMENT
<TABLE>
<CAPTION>
6 months 1 year
MAJOR MARKETS ended ended
Total Return in U.S. Dollars 6/30/96 6/30/96
- -------------------------------------------------------
<S> <C> <C>
U.S. Equity 10.27% 26.22%
Non-U.S. Equities (currency unhedged) 4.82 13.61
Non-U.S. Equities (currency hedged) 9.96 30.97
U.S. Bonds -1.25 4.99
Non-U.S. Bonds (currency unhedged) -1.28 -1.68
Non-U.S. Bonds (currency hedged) 3.55 11.52
U.S. Cash Equivalents 2.53 5.35
- -------------------------------------------------------
<CAPTION>
MAJOR CURRENCIES 6 months 1 year
Percent Change Relative to U.S. ended ended
Dollars 6/30/96 6/30/96
- -------------------------------------------------------
<S> <C> <C>
Yen -5.95% -22.60%
Pound 0.08 -2.33
Deutschemark -5.97 -9.07
Canadian Dollar -0.13 0.60
- -------------------------------------------------------
</TABLE>
------------------------------------------------------------
5
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
LOGO
The Global Fund is an actively managed, diversified mutual fund that provides
integrated asset management across and within securities markets. The
investment process is strategic in nature and is driven by deviations of market
price from fundamental value. We believe this philosophy offers the greatest
potential for achieving enhanced long-term returns, while controlling risk.
The SwissKey Global Fund has provided an unannualized return of 13.24% since
its inception on July 31, 1995. This compares with the corresponding 12.57%
return of its benchmark, the GSMI Mutual Fund Index. For the first half of
1996, the SwissKey Global Fund returned 4.27% compared to the 5.55% return of
the benchmark.
Substantial positive contributions to performance came from equity security
selection and from the strategy of hedging risks in the overpriced yen,
deutschemark, and DM-related currencies. Because many equity markets provided
double-digit returns in dollar-hedged terms, the primary negative contributor
to performance was the above-normal allocation to bond markets with
corresponding underweights in equities.
Market strategy within the Global Fund centers on reducing the risk of exposure
to the overpriced equity markets; the relatively attractive bond markets are
the primary overweights. Strategy for emerging markets investments mirrors that
of the developed markets, with a small underweight in equities and a small
overweight in bonds. A small underweight is also carried in the U.S. high yield
bond market.
Currency strategy continues to focus on controlling the risk of exposure to the
overpriced yen and DM-related currencies. Strategy primarily favors the
attractively priced U.S. dollar.
------------------------------------------------------------
6
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months
ended Since
6/30/96 inception*
- ---------------------------------------------
<S> <C> <C>
SWISSKEY GLOBAL FUND 4.27% 13.24%
GSMI Mutual Fund Index** 5.55 12.57
- ---------------------------------------------
</TABLE>
*Inception date of the SwissKey Global Fund is July 31, 1995.
**An un-managed index compiled by the Advisor, constructed as follows: 40%
Wilshire 5000 Index; 22% MSCI Non-U.S. Equity (Free) Index; 19% Salomon BIG
Bond Index; 2% International Dollar Bond Index; 9% Salomon Non-U.S. Government
Bond Index (unhedged); 2% JP Morgan EMBI+; 3% IFC Investable Index; and 3% High
Yield Bond Index.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth in the value of an investment in the SwissKey
Global Fund and the GSMI Mutual Fund Index if you had invested $10,000 on July
31, 1995, and had reinvested all your income dividends and capital gain
distributions through June 30, 1996. No adjustment has been made for any income
taxes payable by shareholders on income dividends and capital gain
distributions. Past performance is no guarantee of future results. Share
price and return will vary with market conditions; investors may realize a gain
or loss upon redemption.
SWISSKEY GLOBAL FUND
VS. GSMI MUTUAL FUND INDEX
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
7/31/95 6/30/96
------- -------
SwissKey Global Fund $10,000 $11,324
GSMI Mutual Fund Index $10,000 $11,257
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
-------------------------------------------------------------
7
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
LOGO
ASSET ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. EQUITY 40.0% 25.0%
Large Cap. Stocks 28.0 18.0
Small/Int. Cap. 12.0 7.0
NON-U.S. EQUITIES 22.0 17.0
Japan Equities 8.4 5.4
Other Equities 13.6 11.6
EMERGING MARKETS EQUITIES 3.0 2.0
DOLLAR BONDS 21.0 24.5
U.S. Bonds 19.0 22.5
International $ Bonds 2.0 2.0
HIGH YIELD BONDS 3.0 2.5
NON-U.S. BONDS 9.0 25.0
Japan Bonds 2.6 0.0
Other Bonds 6.4 25.0
EMERGING MARKETS DEBT 2.0 3.0
CASH EQUIVALENTS 0.0 1.0
- -----------------------------------------------------------------------------------------------
100.0% 100.0%
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------------------------
<S> <C>
1. Citicorp 1.39%
2. Lockheed Martin Corp. 1.35
3. Chase Manhattan Corp. 1.16
4. Burlington Northern Santa Fe 1.05
5. Enron Corp. 1.02
6. Avon Products, Inc. 0.92
7. Schering Plough Corp. 0.84
8. Kimberly-Clark Corp. 0.80
9. Mattel, Inc. 0.76
10. Aon Corp. 0.72
- ------------------------------------------------------------------------------
</TABLE>
CURRENCY ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- --------------------------------------
<S> <C> <C>
U.S. 66.0% 85.9%
Japan 11.0 0.0
U.K. 4.1 4.1
Continental Europe 12.2 5.0
Canada 1.2 1.2
Emerging Markets 3.0 2.0
Other 2.5 1.8
- --------------------------------------
100.0% 100.0%
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------------------------
<S> <C>
1. Matsushita Electric Industrial Co. 0.22%
2. Royal Dutch Petroleum Co. 0.21
3. Toray Industries, Inc. 0.21
4. Ito Yokado Co. Ltd. 0.20
5. General Electric Co. PLC 0.20
6. Royal Dutch Petroleum Co. NY Shares 0.20
7. Lloyds TSB Group PLC 0.20
8. British Telecommunications PLC 0.18
9. Broken Hill Proprietary Co. Ltd. 0.18
10. British Petroleum Co. PLC 0.18
- ------------------------------------------------------------------------------
</TABLE>
------------------------------------------------------------
8
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 1996
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals............................................................... 0.22%
Housing/Paper........................................................... 0.99
Metals.................................................................. 0.10
-----
1.31
Capital Investment
Capital Goods........................................................... 2.48
Technology.............................................................. 1.12
-----
3.60
Consumer
Autos/Durables.......................................................... 0.28
Discretionary........................................................... 1.97
Health: Drugs........................................................... 2.03
Health: Non-Drugs....................................................... 1.03
Non-Durables............................................................ 2.92
Retail/Apparel.......................................................... 1.20
-----
9.43
Energy................................................................... 1.43
Financial
Banks................................................................... 3.04
Non-Banks............................................................... 2.74
-----
5.78
Post Venture............................................................. 1.21
Services................................................................. 1.78
Transportation........................................................... 1.34
Utilities................................................................ 1.09
Miscellaneous............................................................ 0.75
-----
Total U.S. Equities................................................... 27.72*
-----
NON-U.S. EQUITIES
Aerospace & Military..................................................... 0.03
Airlines................................................................. 0.02
Appliances & Household Durables.......................................... 0.43
Automobiles.............................................................. 0.50
Banking.................................................................. 1.97
Beverages & Tobacco...................................................... 0.45
Broadcasting & Publishing................................................ 0.22
Building Materials....................................................... 0.21
Business & Public Service................................................ 0.58
Chemicals................................................................ 0.69
Construction............................................................. 0.37
Data Processing.......................................................... 0.17
Electric Components...................................................... 0.20
Electronics.............................................................. 0.70
Energy................................................................... 1.44
Financial Services....................................................... 0.20
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
Food & House Products................................................... 0.77%
Forest Products......................................................... 0.30
Gold Mining............................................................. 0.03
Health & Personal Care.................................................. 0.55
Industrial Components................................................... 0.38
Insurance............................................................... 0.69
Leisure & Tourism....................................................... 0.21
Machinery & Engineering................................................. 0.28
Merchandising........................................................... 0.78
Metals.................................................................. 0.15
Miscellaneous Materials................................................. 0.24
Multi-Industry.......................................................... 0.62
Non-Ferrous Metals...................................................... 0.36
Real Estate............................................................. 0.08
Recreation.............................................................. 0.11
Shipping................................................................ 0.11
Steel................................................................... 0.12
Telecommunications...................................................... 0.78
Textiles and Apparel.................................................... 0.06
Transportation.......................................................... 0.15
Utilities............................................................... 0.90
------
Total Non-U.S. Equities.............................................. 15.85*
------
EMERGING MARKETS EQUITIES............................................... 2.13
------
U.S. BONDS
Corporate Bonds
Asset-Backed........................................................... 0.93
CMO.................................................................... 0.21
Consumer............................................................... 0.44
Financial.............................................................. 0.75
Telecommunications..................................................... 0.39
Transportation......................................................... 0.25
------
2.97
U.S. Government Agencies................................................ 6.02
U.S. Government Obligations............................................. 9.06
International Dollar Bonds.............................................. 2.09
------
Total U.S. Bonds..................................................... 20.14*
------
HIGH YIELD BONDS........................................................ 2.55
------
NON-U.S. BONDS
Foreign Government Bonds................................................ 23.72
------
EMERGING MARKETS DEBT................................................... 3.23
------
SHORT-TERM INVESTMENTS.................................................. 4.14*
------
TOTAL INVESTMENTS.................................................... 99.48
CASH AND OTHER ASSETS, LESS LIABILITIES................................. 0.52
------
NET ASSETS........................................................... 100.00%
======
</TABLE>
* The Fund held a long position in Topix futures on June
30, 1996 which increased Japanese equity exposure from
4.78% to 5.31%. The Fund held a long position in U.S.
Treasury futures which increased U.S. bond exposure from
20.14% to 23.52%. The Fund also held a short position in
stock index futures which reduced U.S. equity exposure
from 27.72% to 24.78%. These three adjustments result in
a net decrease in the Fund's exposure to Short-Term
Investments from 4.14% to 3.17%.
------------------------------------------------------------
9
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Equities -- 45.70%
U.S. EQUITIES -- 27.72%
Aetna Life & Casualty Co............................. 32,900 $ 2,352,350
Allergan, Inc........................................ 54,900 2,154,825
Allstate Corp........................................ 31,200 1,423,500
Alza Corp. (b)....................................... 53,500 1,464,563
American Mobile Satellite Corp., Inc. (b)............ 5,900 91,450
Aon Corp............................................. 66,800 3,390,100
Automatic Data Processing, Inc....................... 62,700 2,421,787
Avon Products, Inc................................... 96,200 4,341,025
Bard (C.R.), Inc..................................... 33,100 1,125,400
Beckman Instruments, Inc............................. 21,400 813,200
Biogen, Inc. (b)..................................... 5,000 274,375
Birmingham Steel Corp................................ 21,500 352,063
Boeing Co............................................ 14,200 1,237,175
Boston Technology, Inc. (b).......................... 21,400 361,125
Brinker International, Inc. (b)...................... 15,500 232,500
Brinson Post Venture Fund............................ 423,765 5,722,985
Burlington Northern Santa Fe......................... 61,200 4,949,550
Centerior Energy Co.................................. 45,000 331,875
Chase Manhattan Corp................................. 77,300 5,459,313
CIGNA Corp........................................... 26,500 3,123,687
Citicorp............................................. 79,200 6,543,900
CMS Energy Corp...................................... 58,500 1,806,188
Coca-Cola Enterprises, Inc........................... 51,300 1,776,262
Comerica, Inc........................................ 14,700 655,988
Comverse Technology, Inc. (b)........................ 16,400 500,200
Cooper Cameron Corp. (b)............................. 8,083 353,631
Corning, Inc......................................... 83,600 3,208,150
Dial Corp............................................ 43,800 1,253,775
EMC Corp. /Mass (b).................................. 60,900 1,134,263
Enron Corp........................................... 118,100 4,827,337
Entergy Corp......................................... 16,300 462,513
Federal Express Corp. (b)............................ 6,100 500,200
Federated Department Stores (b)...................... 56,900 1,941,712
FileNet Corp. (b).................................... 8,300 302,950
First Data Corp...................................... 15,989 1,273,124
Food Lion, Inc. Class A.............................. 76,000 603,250
Ford Motor Co........................................ 54,000 1,748,250
Forest Laboratories, Inc. (b)........................ 36,300 1,402,087
Gannett Co., Inc..................................... 35,700 2,525,775
General Instrument Corp. (b)......................... 85,400 2,465,925
Genzyme Corp. (b).................................... 7,000 351,750
Goodyear Tire & Rubber Co............................ 64,200 3,097,650
Health Care and Retirement Corp. (b)................. 28,800 684,000
Honeywell, Inc....................................... 43,200 2,354,400
Inland Steel Industries, Inc......................... 15,100 296,338
Interpublic Group of Companies, Inc.................. 26,600 1,246,875
James River Corp. of Virginia........................ 30,800 812,350
Kimberly-Clark Corp.................................. 48,900 3,777,525
Kroger Co. (b)....................................... 22,500 888,750
Lockheed Martin Corp................................. 75,800 6,367,200
Lyondell Petrochemical Co............................ 58,500 1,411,313
Magna Group, Inc..................................... 9,300 223,200
Manor Care, Inc...................................... 34,950 1,376,156
Mattel, Inc.......................................... 124,675 3,568,822
Melville Corp........................................ 72,700 2,944,350
Nabisco Holdings Corp. Class A....................... 7,200 254,700
National Semiconductor Corp. (b)..................... 62,400 967,200
Nextel Communications, Inc. Class A (b).............. 53,900 1,027,469
Old Republic International Corp...................... 31,050 671,456
Owens Illinois, Inc. (b)............................. 47,800 764,800
Pentair, Inc......................................... 25,200 756,000
Pfizer, Inc.......................................... 3,500 249,813
Philip Morris Companies, Inc......................... 11,400 1,185,600
RJR Nabisco Convertible Preferred "C"................ 174,200 1,132,300
RJR Nabisco Holdings Corp............................ 17,340 537,540
Schering Plough Corp................................. 63,100 3,959,525
Seagate Technology, Inc. (b)......................... 16,600 747,000
Sprint Corp.......................................... 41,700 1,751,400
State Street Boston Corp............................. 12,700 647,700
Timken Co............................................ 14,900 577,375
Transamerica Corp.................................... 14,900 1,218,075
Tyson Foods, Inc. Class A............................ 47,400 1,297,575
Ultramar Corp........................................ 23,400 678,600
US Bancorp........................................... 36,500 1,318,562
USF&G Corp........................................... 48,500 794,187
Westvaco Corp........................................ 12,750 380,906
Whitman Corp......................................... 22,500 542,812
WMX Technologies, Inc................................ 68,000 2,227,000
York International Corp.............................. 7,500 388,125
360 Communications Co. (b)........................... 18,566 445,584
------------
Total U.S. Equities.................................. 130,830,311
------------
NON-U.S. EQUITIES -- 15.85%
AUSTRALIA -- 0.76%
Amcor Ltd............................................ 29,400 200,165
ANZ Banking Group Ltd................................ 33,753 159,932
Boral Ltd............................................ 46,100 119,740
Broken Hill Proprietary Co. Ltd...................... 61,780 854,368
CRA Ltd.............................................. 20,645 317,840
David Jones Ltd...................................... 115,100 159,446
Lend Lease Corp. Ltd................................. 18,056 277,129
M.I.M. Holdings Ltd.................................. 97,900 126,373
National Australia Bank Ltd.......................... 33,947 313,953
News Corp. Ltd....................................... 36,100 204,865
Pacific Dunlop Ltd................................... 47,600 107,151
Qantas Airways Ltd................................... 66,350 112,281
Santos Ltd........................................... 57,800 200,173
WMC Ltd.............................................. 19,100 136,804
Westpac Bank Corp. Ltd............................... 70,138 310,804
------------
3,601,024
------------
BELGIUM -- 0.50%
Delhaize-Le Lion S.A................................. 3,500 174,838
Electrabel S.A....................................... 1,960 418,540
Fortis AG............................................ 1,757 230,499
Groupe Bruxelles Lambert S.A......................... 1,150 143,893
Kredietbank NV....................................... 1,120 334,975
Petrofina S.A........................................ 1,055 330,688
Societe Generale de Belgique......................... 1,553 117,731
Solvay S.A. Class A.................................. 390 239,324
</TABLE>
- --------------------------------------------------------------------------------
10
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
BELGIUM (CONTINUED)
Tractebel............................................ 505 $ 206,730
Union Miniere Group S.A. (b)......................... 2,320 177,727
------------
2,374,945
------------
CANADA -- 0.59%
Alcan Aluminium Ltd.................................. 7,600 231,239
Bank of Montreal..................................... 13,600 332,630
Barrick Gold Corp.................................... 4,400 119,376
Canadian Pacific Ltd................................. 16,900 370,028
Imperial Oil Ltd..................................... 5,900 248,858
Moore Corp. Ltd...................................... 3,900 72,968
Noranda, Inc......................................... 6,300 128,943
Norcen Energy Resources Ltd.......................... 5,800 101,721
Northern Telecom Ltd................................. 3,400 184,864
NOVA Corp............................................ 10,400 94,054
Royal Bank of Canada................................. 9,900 237,423
Seagram Co. Ltd...................................... 6,500 217,761
Thomson Corp......................................... 17,800 281,547
TransCanada Pipelines Ltd............................ 9,700 143,838
------------
2,765,250
------------
FINLAND -- 0.12%
Merita Ltd. Class A (b).............................. 22,200 46,350
Outokupu OY Class A.................................. 3,400 57,083
Oy Nokia Ab Class A.................................. 8,700 320,218
UPM-Kymmene Corp. (b)................................ 7,300 151,000
------------
574,651
------------
FRANCE -- 1.57%
Accor S.A............................................ 1,940 271,329
Alcatel Alsthom...................................... 2,738 238,804
Banque Nationale de Paris............................ 11,430 401,204
CEP Communications................................... 1,984 167,646
CEP Communications Warrants "97" (b)................. 1,984 5,781
Cie Bancaire S.A..................................... 2,311 260,369
Cie de Saint Gobain.................................. 3,174 424,803
Cie de Suez.......................................... 4,467 163,391
Cie Generale des Eaux................................ 5,026 561,373
Colas................................................ 854 152,950
Credit Local de France............................... 4,859 395,478
Elf Aquitaine S.A.................................... 4,934 362,862
GAN (b).............................................. 1,820 48,788
LVMH................................................. 2,879 682,840
Michelin Class B..................................... 5,960 291,285
Pechiney S.A. Class A................................ 5,604 226,315
Peugeot S.A.......................................... 5,120 685,252
Rhone-Poulenc Class A................................ 11,000 289,103
SEITA................................................ 3,700 169,619
Societe Generale..................................... 4,986 548,189
Total S.A. Class B................................... 8,212 609,041
UAP.................................................. 9,066 184,032
Usinor Sacilor....................................... 17,500 252,404
------------
7,392,858
------------
GERMANY -- 1.03%
Allianz AG Holding................................... 288 500,656
BASF AG.............................................. 711 202,496
Bayer AG............................................. 9,780 344,077
Bayerische Motoren Werke AG.......................... 430 248,321
Bayerische Vereinsbank AG............................ 5,794 162,160
Commerzbank AG....................................... 741 153,253
Daimler-Benz AG (b).................................. 438 234,956
Daimler-Benz AG Rights (b)........................... 438 60
Deutsche Bank AG..................................... 11,811 559,473
Hoechst AG........................................... 4,740 160,066
Kaufhof Holding AG................................... 600 226,858
M.A.N. AG............................................ 400 100,256
Mannesmann AG........................................ 1,127 387,982
Muenchener Rueckver AG............................... 171 349,392
Muenchener Rueckver AG Warrants "98" (b)............. 2 248
Preussag AG.......................................... 842 212,146
RWE AG............................................... 5,450 211,970
Schering AG.......................................... 2,085 151,160
Siemens AG........................................... 2,600 139,352
Thyssen AG........................................... 1,250 228,714
Veba AG.............................................. 5,839 310,344
------------
4,883,940
------------
ITALY -- 0.49%
Assicurazioni Generali............................... 11,800 272,109
Danieli & Co. Savings (Risp)......................... 26,000 92,436
Edison Spa........................................... 24,000 144,819
ENI ADR (c).......................................... 8,000 400,000
Fiat Spa-Priv........................................ 85,000 149,157
INA-Istituto Nazionale de Assicurazioni.............. 47,000 70,058
Istituto Mobilaire Italiano Spa...................... 30,000 250,497
Italgas Spa.......................................... 33,000 123,243
La Rinascente........................................ 19,000 136,028
La Rinascente Savings (Risp)......................... 9,000 24,952
La Rinascente Warrants "99" (b)...................... 1,400 1,140
Mediobanca Spa....................................... 6,000 38,103
Montedison Spa (b)................................... 105,000 61,029
SAI-Savings (Risp)................................... 16,500 63,935
Telecom Italia Spa................................... 141,000 243,286
Telecom Italia Mobile Spa............................ 167,000 227,685
------------
2,298,477
------------
JAPAN -- 4.78%
Amada Co. Ltd........................................ 35,000 376,545
Asahi Glass Co. Ltd.................................. 42,000 501,635
Bank of Tokyo-Mitsubishi Ltd......................... 31,800 737,956
Canon, Inc........................................... 30,000 623,624
Canon Sales Co., Inc................................. 11,000 305,886
Citizen Watch Co. Ltd................................ 32,000 266,372
Dai Nippon Printing Co. Ltd.......................... 32,000 618,519
Daiichi Pharmaceutical Co. Ltd....................... 23,000 354,390
Daikin Industries Ltd................................ 34,000 371,987
Daiwa House Industry Co. Ltd......................... 17,000 263,490
</TABLE>
- --------------------------------------------------------------------------------
11
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
JAPAN (CONTINUED)
Fanuc................................................ 13,900 $ 552,546
Fujitsu.............................................. 21,000 191,464
Hitachi Ltd.......................................... 68,000 632,377
Honda Motor Co....................................... 16,000 414,291
Inax................................................. 44,000 437,266
Isetan............................................... 12,000 181,617
Ito Yokado Co. Ltd................................... 16,000 964,247
Kaneka Corp.......................................... 17,000 114,231
Keio Teito Electric Railway.......................... 39,000 231,124
Kinki Nippon Railway................................. 39,000 280,549
Kirin Brewery Co. Ltd................................ 37,000 452,037
Kokuyo............................................... 7,000 193,378
Kuraray Co. Ltd...................................... 30,000 336,429
Maeda Road Construction.............................. 8,000 137,854
Marui Co. Ltd........................................ 5,000 110,775
Matsushita Electric Industrial Co.................... 55,000 1,022,963
Mitsubishi Paper Mills............................... 43,000 268,551
NGK Insulators....................................... 56,000 628,001
Nintendo Corp. Ltd................................... 2,900 215,752
Nippon Denso Co. Ltd................................. 23,000 499,082
Nippon Meat Packers, Inc............................. 22,000 312,906
Nippon Steel Co...................................... 28,000 95,987
Okumura.............................................. 24,000 200,435
Osaka Gas Co......................................... 141,000 515,502
Pioneer Electronic Corp.............................. 5,000 118,981
Sankyo Co. Ltd....................................... 25,000 647,329
Secom................................................ 8,000 528,075
Seino Transportation................................. 12,000 189,275
Sekisui House Ltd.................................... 66,000 752,179
Shinmaywa Industries Ltd............................. 31,000 316,553
Sony Corp............................................ 10,200 670,506
Sumitomo Bank........................................ 36,000 695,834
Sumitomo Electric Industries......................... 28,000 400,797
Takeda Chemical Industries........................... 26,000 459,877
TDK Corp............................................. 6,000 357,763
Tokio Marine & Fire Insurance Co..................... 31,000 412,650
Tokyo Electric Power................................. 14,900 377,657
Tokyo Steel Mfg...................................... 25,000 490,056
Tonen Corp........................................... 25,000 366,972
Toray Industries, Inc................................ 141,000 971,869
Toshiba Corp......................................... 81,000 576,032
Toyo Suisan Kaisha................................... 19,000 232,127
Toyota Motor Corp.................................... 11,000 274,796
Yamazaki Baking Co. Ltd.............................. 17,000 314,639
------------
22,563,735
------------
MALAYSIA -- 0.46%
Genting Bhd.......................................... 12,000 93,780
Hume Industries (Malaysia) Bhd....................... 27,000 132,013
Kuala Lumpur Kepong Bhd.............................. 39,500 99,732
Land & General Holdings Bhd.......................... 51,000 125,701
Malayan Banking Bhd.................................. 26,000 250,080
Malaysia International Shipping Bhd (Frgn.).......... 34,000 105,603
Nestle (Malaysia) Bhd................................ 15,000 120,832
Public Bank Bhd (Frgn.).............................. 78,000 215,694
Resorts World Bhd.................................... 13,000 74,503
Sime Darby Bhd....................................... 86,000 237,817
Telekom Malaysia Bhd................................. 38,000 338,089
Tenaga Nasional Bhd.................................. 70,000 294,566
YTL Corp. Bhd........................................ 14,000 72,940
------------
2,161,350
------------
NETHERLANDS -- 1.12%
ABN AMRO Holdings NV................................. 9,314 499,831
Akzo Nobel NV........................................ 1,100 131,789
DSM NV............................................... 1,910 189,668
Hoogovens NV......................................... 2,900 107,376
ING Groep NV......................................... 21,985 647,752
KPN NV............................................... 11,855 448,764
Philips Electronics NV............................... 6,480 210,698
Royal Dutch Petroleum Co............................. 6,400 988,365
Royal Dutch Petroleum Co. NY Shares (c).............. 6,100 937,875
Unilever NV.......................................... 4,750 687,357
Vendex International NV.............................. 6,300 219,609
VNU-Ver Ned Uitgevers................................ 14,700 228,221
------------
5,297,305
------------
NEW ZEALAND -- 0.51%
Brierley Investments Ltd............................. 385,200 364,168
Carter Holt Harvey Ltd............................... 245,400 559,829
Fletcher Challenge Building.......................... 60,525 118,172
Fletcher Challenge Energy............................ 60,525 133,514
Fletcher Challenge Forest Ltd........................ 16,333 20,253
Fletcher Challenge Paper............................. 121,050 233,857
Telecom Corp. of New Zealand Ltd..................... 198,000 830,143
Telecom Corp. of New Zealand Ltd. ADS (c)............ 2,000 133,500
------------
2,393,436
------------
SPAIN -- 0.56%
Banco Bilbao Vizcaya S.A............................. 3,800 153,825
Banco Central Hispanoamericano....................... 5,010 101,989
Banco Intercontinental Espanol S.A................... 1,630 182,183
Banco Popular Espanol S.A............................ 1,190 211,991
Banco Santander S.A.................................. 3,800 177,239
Cia Sevillana de Electricidad........................ 17,200 158,302
Empresa Nacional de Electridad S.A................... 4,800 299,132
Fomento de Construcciones y Contratas S.A............ 1,450 119,881
Iberdrola S.A........................................ 34,900 357,953
Repsol S.A........................................... 4,100 142,465
Repsol S.A. ADR (c).................................. 4,100 142,475
Telefonica de Espana................................. 24,200 445,454
Vallehermosa S.A..................................... 4,000 78,932
Viscofan Envolturas Celulosicas S.A.................. 4,900 77,392
------------
2,649,213
------------
SWITZERLAND -- 0.41%
ABB AG (Bearer)...................................... 80 98,945
Ciba-Geigy AG (Reg.)................................. 258 314,358
CS Holdings AG (Reg.)................................ 1,973 187,589
Nestle S.A. (Reg.)................................... 463 528,625
Roche Holding AG (Gen.).............................. 36 274,545
</TABLE>
- --------------------------------------------------------------------------------
12
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
SWITZERLAND (CONTINUED)
Schweiz Bankgesellschaft (Bearer)................... 206 $ 201,622
Societe Generale de Surveillance Holding S.A. (Bear-
er)................................................ 71 169,898
Zurich Versicherungs (Reg.)......................... 569 155,025
------------
1,930,607
------------
UNITED KINGDOM -- 2.95%
Asda Group PLC...................................... 60,200 108,987
Bass PLC............................................ 39,800 500,360
B.A.T. Industries PLC............................... 46,184 359,568
Booker PLC.......................................... 14,100 82,606
British Gas PLC..................................... 167,900 467,041
British Petroleum Co. PLC........................... 96,508 846,601
British Steel PLC................................... 56,000 143,155
British Telecommunications PLC...................... 159,500 857,607
Charter PLC......................................... 19,035 274,506
Coats Viyella PLC................................... 103,300 276,109
FKI PLC............................................. 68,700 181,492
General Electric Co. PLC............................ 174,700 942,050
Glaxo Wellcome PLC.................................. 22,000 296,239
Grand Metropolitan PLC.............................. 95,200 631,708
Guinness PLC........................................ 74,900 544,727
Hanson PLC.......................................... 92,900 260,582
Hillsdown Holdings PLC.............................. 72,200 195,226
House of Fraser PLC................................. 128,800 348,270
Legal & General Group PLC........................... 22,300 231,837
Lloyds Abbey Life PLC............................... 31,300 248,552
Lloyds TSB Group PLC................................ 189,779 928,988
Marks & Spencer PLC................................. 47,000 343,644
Mirror Group PLC.................................... 40,800 129,977
National Power PLC.................................. 37,900 306,263
National Westminster Bank PLC....................... 40,800 390,564
Ocean Group PLC..................................... 28,200 200,270
Peninsular & Oriental Steam Navigation Co........... 32,600 246,210
Reckitt & Colman PLC................................ 28,325 297,555
Redland PLC......................................... 23,200 144,572
RJB Mining PLC...................................... 28,300 243,200
Rolls-Royce PLC..................................... 38,900 135,409
Royal Insurance Holdings PLC........................ 27,366 169,257
RTZ Corp. PLC....................................... 20,100 297,674
Scottish Hydro-Electric PLC......................... 30,900 142,135
Sears PLC........................................... 160,700 247,231
Sedgwick Group PLC.................................. 92,400 198,154
SmithKline Beecham PLC.............................. 33,400 357,357
Tesco PLC........................................... 87,800 401,137
Thames Water PLC.................................... 33,000 290,769
Unilever PLC........................................ 13,400 266,542
Vodafone Group PLC.................................. 45,600 170,070
W.H. Smith Group PLC................................ 29,300 216,278
------------
13,920,479
------------
Total Non-U.S. Equities............................. 74,807,270
------------
EMERGING MARKETS EQUITIES -- 2.13%
Brinson Emerging Markets Equity Fund................ 952,086 $ 10,063,648
------------
Total Equities (Cost $183,698,296).................. 215,701,229
------------
</TABLE>
<TABLE>
<CAPTION>
FACE AMOUNT VALUE
------------- ------------
<S> <C> <C>
Bonds -- 49.64%
U.S. BONDS -- 20.14%
U.S. CORPORATE BONDS -- 2.97%
American Express Credit Account Master Trust 96-1A
6.800%, due 12/15/03............................... $ 1,280,000 $ 1,285,504
Bell South Corp. 9.125%, due 07/01/03............... 209,990 222,475
Choice Credit Card 7.200%, due 03/15/98............. 1,000,000 1,011,210
Chrysler Financial Corp. MTN 6.500%, due 08/21/97... 165,000 165,493
Delta Air Lines 10.060%, due 01/02/16............... 1,000,000 1,155,618
Ford Credit Grantor Trust 95-B 5.900%, due 10/15/00. 159,140 158,539
GMAC MTN 6.500%, due 04/19/99....................... 1,350,000 1,345,167
Green Tree Acceptance Corp. 94-A 6.900%, due
02/15/04........................................... 499,642 494,860
Green Tree Financial 94-2 8.300%, due 05/15/19...... 435,000 446,427
Lehman Brothers Holdings 7.250%, due 04/15/03....... 1,500,000 1,481,769
News America Corp. 7.750%, due 01/20/24............. 1,755,000 1,629,100
Premier Auto Trust 4.220%, due 03/02/99............. 45,500 44,688
Salomon, Inc. 6.750%, due 02/15/03.................. 550,000 526,798
Sears Credit Master Trust II 96-2 6.500%, due
11/15/99........................................... 315,000 315,636
Standard Credit Card Trust 94-1A 4.650%, due
02/07/97........................................... 1,065,000 1,057,087
8.250%, due 01/07/05............................... 500,000 533,075
Thrift Financial Corp. 11.250%, due 01/01/16........ 41,328 45,116
Time Warner Entertainment, Inc.
9.150%, due 02/01/23............................... 990,000 1,024,342
8.375%, due 03/15/23............................... 1,100,000 1,068,206
------------
14,011,110
------------
INTERNATIONAL DOLLAR BONDS -- 2.09%
AT&T Corp. 8.250%, due 01/11/00..................... 675,000 704,954
BBV International 7.000%, due 12/01/25.............. 2,200,000 1,984,004
</TABLE>
- --------------------------------------------------------------------------------
13
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------ -----
<S> <C> <C>
INTERNATIONAL DOLLAR BONDS (CONTINUED)
City of Oslo 7.875%, due 02/03/97................... $ 1,200,000 $ 1,213,505
Hanson PLC Notes 6.750%, due 09/15/05............... 790,000 757,574
International Bank for Reconstruction & Development
9.875%, due 10/01/97............................... 175,000 182,836
Japanese Development Bank 8.375%, due 02/15/01...... 1,000,000 1,060,159
Korea Telecom 7.500%, due 06/01/06.................. 1,500,000 1,502,963
Petroliam Nasional 7.125%, due 08/15/05............. 450,000 443,892
Republic of Italy 6.875%, due 09/27/23.............. 150,000 135,188
Republic of South Africa 9.625%, due 12/15/99....... 1,000,000 1,043,750
Royal Bank of Scotland 7.375%, due 04/01/06......... 220,000 214,830
Swedbank FRN 7.718%, due 10/29/49................... 300,000 308,250
Telstra Corp. Ltd. 6.500%, due 11/28/05............. 350,000 332,740
------------
9,884,645
------------
U.S. GOVERNMENT AGENCIES -- 6.02%
Federal Home Loan Mortgage Corp.
9.200%, due 08/25/97............................... 200,000 206,826
9.000%, due 03/01/17............................... 446,060 470,045
5.800%, due 08/15/19............................... 2,025,000 1,823,675
Federal Home Loan Mortgage Corp. Gold
9.500%, due 10/01/20............................... 606,366 646,283
8.000%, due 05/01/23............................... 1,937,351 1,954,893
9.000%, due 05/01/24............................... 1,260,700 1,323,256
Federal National Mortgage Association
7.600%, due 01/10/97............................... 200,000 202,012
5.000%, due 06/01/01............................... 1,734,960 1,620,366
7.000%, due 03/01/03............................... 1,250,000 1,245,313
6.220%, due 03/13/06............................... 1,700,000 1,605,191
6.700%, due 08/25/20............................... 2,345,000 2,198,953
9.000%, due 08/01/21............................... 342,544 359,592
6.500%, due 08/25/21............................... 1,500,000 1,382,535
8.200%, due 08/25/21............................... 64,406 65,490
8.000%, due 05/01/22............................... 184,196 185,633
8.500%, due 07/01/22............................... 845,692 875,029
8.500%, due 08/01/23............................... 437,635 449,119
7.500%, due 05/01/25............................... 2,016,015 1,990,170
3.000%, due 03/01/26............................... 1,250,000 1,169,131
6.500%, due 03/01/26............................... 1,246,509 1,165,866
6.500%, due 03/01/26............................... 1,200,000 1,122,366
7.000%, due 03/01/26............................... 745,000 716,825
Federal National Mortgage Association Principal
Strips
0.000%, due 11/01/01(e)............................ 225,000 220,476
</TABLE>
<TABLE>
<CAPTION>
FACE AMOUNT
OR SHARES VALUE
----------- -----
<S> <C> <C>
Government National Mortgage
Association
11.000%, due 09/15/15.............................. $ 275,347 $ 308,129
8.500%, due 05/15/21............................... 75,654 77,782
8.000%, due 08/15/22............................... 524,840 531,983
8.000%, due 11/15/22............................... 533,079 540,334
8.000%, due 12/15/22............................... 1,820,878 1,845,660
7.500%, due 03/15/26............................... 895,000 881,849
6.500%, due 03/20/26............................... 1,145,028 1,059,500
Tennessee Valley Authority 6.875%, due 12/15/43..... 170,000 150,308
------------
28,394,590
------------
U.S. GOVERNMENT OBLIGATIONS-- 9.06%
U.S. Treasury Coupon Strips
0.000%, due 02/15/03............................... 225,000 146,068
0.000%, due 05/15/03............................... 7,000,000 4,462,360
U.S. Treasury Notes and Bonds
6.625%, due 03/31/97............................... 435,000 437,855
5.500%, due 11/15/98............................... 985,000 969,609
6.375%, due 03/31/01............................... 10,805,000 10,754,346
5.750%, due 08/15/03............................... 6,600,000 6,280,309
6.500%, due 05/15/05............................... 5,855,000 5,772,661
8.125%, due 05/15/21............................... 1,155,000 1,301,179
U.S. Treasury Principal Strips
0.000%, due 11/15/04............................... 11,435,000 6,527,441
0.000%, due 05/15/05............................... 7,315,000 4,027,785
0.000%, due 02/15/15............................... 7,630,000 2,062,160
------------
42,741,773
------------
Total U.S. Bonds.................................... 95,032,118
------------
HIGH YIELD BONDS -- 2.55%
Brinson High Yield Fund............................. 1,065,360 12,034,624
------------
NON-U.S. BONDS -- 23.72%
AUSTRALIA -- 1.30%
Government of Australia
9.750%, due 03/15/02............................... AUD 3,700,000 3,041,281
9.000%, due 09/15/04............................... 3,900,000 3,101,643
------------
6,142,924
------------
BELGIUM -- 1.09%
Kingdom of Belgium
8.750%, due 06/25/02............................... BEF 32,000,000 1,161,049
9.000%, due 03/28/03............................... 54,000,000 1,983,402
8.500%, due 10/01/07............................... 56,000,000 2,007,169
------------
5,151,620
------------
CANADA -- 2.43%
Government of Canada
7.500%, due 09/01/00............................... CAD 4,350,000 3,257,276
7.250%, due 06/01/03............................... 2,600,000 1,891,740
4.250%, due 12/01/21 (d)........................... 5,500,000 3,973,613
9.000%, due 06/01/25............................... 2,085,000 1,673,512
4.250%, due 12/01/26 (d)........................... 1,000,000 687,572
------------
11,483,713
------------
</TABLE>
- --------------------------------------------------------------------------------
14
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE AMOUNT
OR SHARES VALUE
----------- -----
<S> <C> <C>
DENMARK -- 2.39%
Kingdom of Denmark
9.000%, due 11/15/98............................. DKK 2,100,000 $ 388,406
9.000%, due 11/15/00............................. 14,600,000 2,756,854
8.000%, due 05/15/03............................. 12,000,000 2,165,655
7.000%, due 12/15/04............................. 17,500,000 2,952,372
8.000%, due 03/15/06............................. 10,500,000 1,861,829
7.000%, due 11/10/24............................. 7,900,000 1,161,052
------------
11,286,168
------------
FRANCE -- 3.13%
Government of France (OAT)
8.500%, due 03/28/00............................. FRF 5,900,000 1,268,019
9.500%, due 01/25/01............................. 8,300,000 1,865,565
8.500%, due 04/25/03............................. 6,500,000 1,429,293
8.250%, due 02/27/04............................. 10,700,000 2,316,878
7.500%, due 04/25/05............................. 22,400,000 4,664,926
8.500%, due 12/26/12............................. 14,500,000 3,250,107
------------
14,794,788
------------
GERMANY -- 5.14%
Bundesrepublik Deutscheland
7.000%, due 09/20/99............................. DEM 7,000,000 4,873,004
8.500%, due 08/21/00............................. 2,600,000 1,901,702
8.375%, due 05/21/01............................. 1,900,000 1,393,075
8.000%, due 07/22/02............................. 1,950,000 1,410,134
6.500%, due 07/15/03............................. 4,800,000 3,198,003
6.750%, due 07/15/04............................. 7,800,000 5,234,676
6.250%, due 01/04/24............................. 2,900,000 1,675,678
Treuhandanstalt
7.750%, due 10/01/02............................. 4,650,000 3,318,636
6.250%, due 03/04/04............................. 1,900,000 1,240,411
------------
24,245,319
------------
ITALY -- 2.54%
Republic of Italy (BTP)
7.875%, due 10/01/96............................. ITL2,100,000,000 1,371,003
7.437%, due 01/01/99............................. 3,100,000,000 2,035,793
8.312%, due 12/01/99............................. 1,900,000,000 1,277,243
10.062%, due 03/01/03............................ 3,500,000,000 2,556,246
7.875%, due 10/01/03............................. 3,300,000,000 2,163,905
7.437%, due 04/01/04............................. 3,100,000,000 1,968,654
8.312%, due 12/01/07............................. 900,000,000 594,618
------------
11,967,462
------------
NETHERLANDS -- 3.06%
Government of Nederlands
6.250%, due 07/15/98............................. NLG 1,400,000 853,829
8.500%, due 03/15/01............................. 1,000,000 659,382
8.750%, due 09/15/01............................. 1,300,000 870,145
6.500%, due 04/15/03............................. 3,100,000 1,870,643
8.500%, due 06/01/06............................. 8,650,000 5,817,681
8.250%, due 02/15/07............................. 4,500,000 2,973,812
7.500%, due 04/15/10............................. 2,200,000 1,376,530
------------
14,422,022
------------
SPAIN -- 1.06%
Government of Spain
7.400%, due 07/30/99............................. ESP 510,000,000 $ 3,953,158
11.300%, due 01/15/02............................ 60,000,000 525,915
8.200%, due 02/28/09............................. 70,000,000 514,473
------------
4,993,546
------------
UNITED KINGDOM -- 1.58%
UK Treasury
7.000%, due 11/06/01............................. GBP 810,000 1,239,860
8.000%, due 06/10/03............................. 1,400,000 2,216,395
8.500%, due 12/07/05............................. 2,470,000 4,002,714
------------
7,458,969
------------
Total Non-U.S. Bonds.............................. 111,946,531
------------
EMERGING MARKETS DEBT -- 3.23%
Brinson Emerging Markets Debt Fund................ 1,118,170 15,250,052
------------
Total Bonds (Cost $232,143,982)................... 234,263,325
------------
Short-Term Investments -- 4.14%
U.S. GOVERNMENT OBLIGATIONS-- 0.19%
U.S. Treasury Bills 5.140%, due 11/14/96.......... 930,000 911,941
------------
COMMERCIAL PAPER -- 3.95%
Airtouch Communications, Inc. 5.500%, due
07/01/96......................................... 1,000,000 1,000,000
Baxter International, Inc. 5.550%, due 07/10/96... 2,000,000 1,997,225
Dial Corp. 5.550%, due 07/17/96................... 1,000,000 997,533
FMC Corp. 5.480%, due 07/08/96.................... 1,500,000 1,498,402
Gatx Capital Corp. 5.500%, due 07/09/96........... 1,000,000 998,778
Kerr-McGee Credit Corp. 5.500%, due 07/09/96...... 2,000,000 1,997,556
The Limited, Inc. 5.650%, due 07/01/96............ 2,484,000 2,484,000
Lockheed Martin Corp. 5.630%, due 07/01/96........ 2,981,000 2,981,000
Melville Corp. 5.658%, due 07/01/96............... 3,660,000 3,660,000
PS Colorado Credit Corp. 5.550%, due 07/02/96..... 1,000,000 999,846
------------
18,614,340
------------
Total Short-Term Investments (Cost $19,526,281)... 19,526,281
------------
Total Investments
(Cost $435,368,559)--99.48% (a) 469,490,835
------------
Cash and other assets, less
liabilities-- 0.52%.............................. 2,472,301
------------
Net Assets--100%.................................. $471,963,136
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
15
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $435,368,559; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $39,563,521
Gross unrealized depreciation................................ (5,441,245)
-----------
Net unrealized appreciation.............................. $34,122,276
===========
</TABLE>
(b)Non-income producing security.
(c)Denominated in U.S. dollars.
(d)Linked to Canada's retail price index. Reset semi-annually.
(e)Interest rate 0.00% until 11/01/96, 7.99% to maturity.
FRN: Floating rate note--The rate disclosed is that in effect at June 30, 1996.
MTN: Medium term note
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4)
The Global Fund had the following open forward foreign currency contracts as of
June 30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ----------- ----------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY BUY
CONTRACTS
Belgian Franc................ 12/04/96 15,000,000 $ 483,794 $ 5,094
British Pound................ 12/04/96 2,000,000 3,105,173 68,823
Canadian Dollar.............. 12/04/96 2,500,000 1,836,532 8,331
Danish Kroner................ 12/04/96 11,000,000 1,889,078 29,336
Dutch Guilder................ 12/04/96 5,000,000 2,962,639 27,893
French Franc................. 12/04/96 13,000,000 2,543,507 35,017
German Mark.................. 12/04/96 8,000,000 5,306,672 65,410
Swiss Franc.................. 12/04/96 700,000 566,693 6,693
FORWARD FOREIGN CURRENCY SALE
CONTRACTS
Australian Dollar............ 12/04/96 9,600,000 7,517,993 4,567
Belgian Franc................ 12/04/96 255,000,000 8,219,394 (85,423)
British Pound................ 12/04/96 4,000,000 6,210,346 (178,346)
Canadian Dollar.............. 12/04/96 14,500,000 10,651,884 (59,438)
Danish Kroner................ 12/04/96 77,000,000 13,223,549 (185,298)
Dutch Guilder................ 12/04/96 39,000,000 23,108,586 (167,409)
French Franc................. 12/04/96 127,000,000 24,848,107 (309,415)
German Mark.................. 12/04/96 53,000,000 35,156,699 (388,921)
Japanese Yen................. 12/04/96 2,400,000,000 22,373,469 479,517
Swiss Franc.................. 12/04/96 2,900,000 2,347,726 (18,783)
---------
$(662,352)
=========
</TABLE>
FUTURES CONTRACTS (NOTE 5)
The Global Fund had the following open futures contracts as of June 30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST/PROCEEDS VALUE GAIN/(LOSS)
---------- ------------- ---------- -----------
<S> <C> <C> <C> <C>
INTEREST RATE FUTURES BUY CON-
TRACTS
5 Year U.S. Treasury Note, 73
contracts..................... Sept 1996 $7,728,906 $7,719,750 $(9,156)
10 Year U.S. Treasury Note, 44
contracts..................... Sept 1996 4,732,750 4,730,000 (2,750)
30 Year U.S. Treasury Bond, 32
contracts..................... Sept 1996 3,508,000 3,505,000 (3,000)
INDEX FUTURES BUY CONTRACTS
Topix, 16 contracts............ Sept 1996 2,471,157 2,495,956 24,799
INDEX FUTURES SALE CONTRACTS
Standard & Poor's 500, 41 con-
tracts........................ Sept 1996 13,937,950 13,874,400 63,550
-------
$73,443
=======
</TABLE>
The segregated cash and market value of investments pledged to cover margin
requirements for the open futures positions at June 30, 1996 were $550,000 and
$911,941, respectively.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
16
<PAGE>
GLOBAL FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Note 1):
Unaffiliated issuers (Cost $392,368,559)........................ $426,419,526
Affiliated issuers (Cost $43,000,000)........................... 43,071,309
Cash............................................................. 1,092,698
Foreign currency, at value (Cost $1,860,136)..................... 1,869,053
Receivables:
Investment securities sold...................................... 3,805,859
Dividends....................................................... 499,451
Interest........................................................ 4,691,390
Fund shares sold................................................ 217,359
Variation margin (Note 5)....................................... 53,189
Other assets..................................................... 17,720
------------
TOTAL ASSETS.................................................. 481,737,554
------------
LIABILITIES:
Payables:
Investment securities purchased................................. 8,505,363
Fund shares redeemed............................................ 109,118
Investment advisory fees (Note 2)............................... 305,964
Net unrealized depreciation on forward foreign currency con-
tracts......................................................... 662,352
Accrued expenses................................................ 191,621
------------
TOTAL LIABILITIES............................................. 9,774,418
------------
NET ASSETS........................................................ $471,963,136
============
NET ASSETS CONSIST OF:
Paid in capital (Note 7)......................................... $414,032,614
Accumulated undistributed net investment income.................. 9,848,069
Accumulated net realized gain.................................... 14,638,128
Net unrealized appreciation...................................... 33,444,325
------------
NET ASSETS.................................................... $471,963,136
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $457,932,962 and 37,481,925 shares is-
sued and outstanding) (Note 7)................................. $ 12.22
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $14,030,174 and 1,151,524 shares issued
and outstanding) (Note 7)...................................... $ 12.18
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
17
<PAGE>
GLOBAL FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest......................................................... $15,935,899
Dividends (net of $232,233 for foreign taxes withheld)........... 4,265,925
-----------
TOTAL INCOME.................................................. 20,201,824
-----------
EXPENSES:
Advisory (Note 2)................................................ 3,415,057
Administration................................................... 293,601
Custodian........................................................ 146,119
Distribution (Note 6)............................................ 27,501
Other............................................................ 600,604
-----------
TOTAL EXPENSES................................................ 4,482,882
-----------
NET INVESTMENT INCOME ........................................ 15,718,942
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments..................................................... 20,797,091
Futures contracts............................................... 1,118,185
Foreign currency transactions................................... 11,661,658
-----------
Net realized gain............................................. 33,576,934
-----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................ 11,972,299
Futures contracts............................................... 73,443
Forward contracts............................................... 1,322,661
Translation of other assets and liabilities denominated in for-
eign currency.................................................. (179,797)
-----------
Change in net unrealized appreciation or depreciation......... 13,188,606
-----------
Net realized and unrealized gain................................. 46,765,540
-----------
Net increase in net assets resulting from operations............. $62,484,482
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
18
<PAGE>
GLOBAL FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
JUNE 30, 1996 JUNE 30, 1995
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 15,718,942 $ 14,388,762
Net realized gain................................ 33,576,934 2,567,030
Change in net unrealized appreciation or depreci-
ation........................................... 13,188,606 23,779,745
------------- ------------
Net increase in net assets resulting from opera-
tions........................................... 62,484,482 40,735,537
------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income......... (20,214,114) (8,427,640)
Distributions in excess of net investment income. (1,430,745) --
Distributions from net realized gain............. (10,937,826) (2,567,030)
Distributions in excess of net realized gain..... -- (275,888)
------------- ------------
Total distributions to shareholders*............. (32,582,685) (11,270,558)
------------- ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 109,483,562 124,484,442
Shares issued on reinvestment of distributions... 31,162,315 10,276,565
Shares redeemed.................................. (64,262,463) (77,406,972)
------------- ------------
Net increase in net assets resulting from capital
share transactions (Note 7)..................... 76,383,414 57,354,035
------------- ------------
TOTAL INCREASE IN NET ASSETS.................. 106,285,211 86,819,014
------------- ------------
NET ASSETS:
Beginning of year................................ 365,677,925 278,858,911
------------- ------------
End of year (including accumulated undistributed
net investment income of
$9,848,069 and $4,495,172, respectively)........ $471,963,136 $365,677,925
============= ============
<CAPTION>
*DISTRIBUTIONS BY CLASS:
<S> <C> <C>
Distributions from and in excess of net investment
income:
Brinson Class.................................... $ (21,444,413) $ (8,427,640)
SwissKey Class................................... (200,446) --
Distributions from and in excess of net realized
gain:
Brinson Class.................................... (10,892,522) (2,842,918)
SwissKey Class................................... (45,304) --
------------- ------------
$ (32,582,685) $(11,270,558)
============= ============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
19
<PAGE>
GLOBAL FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR YEAR YEAR AUGUST 31, 1992*
ENDED ENDED ENDED THROUGH
BRINSON CLASS JUNE 30, 1996 JUNE 30, 1995 JUNE 30, 1994 JUNE 30, 1993
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value, begin-
ning of period......... $ 11.35 $ 10.43 $ 10.87 $ 10.00
-------- -------- -------- --------
Income from investment
operations:
Net investment income. 0.44 0.43 0.33 0.26
Net realized and
unrealized gain
(loss)............... 1.37 0.86 (0.23) 0.81
-------- -------- -------- --------
Total income from
investment opera-
tions.............. 1.81 1.29 0.10 1.07
-------- -------- -------- --------
Less distributions:
Distributions from and
in excess of net in-
vestment
income............... (0.62) (0.27) (0.27) (0.20)
Distributions from and
in excess of net re-
alized gain.......... (0.32) (0.10) (0.27) --
-------- -------- -------- --------
Total distributions. (0.94) (0.37) (0.54) (0.20)
-------- -------- -------- --------
Net asset value, end of
period................. $ 12.22 $ 11.35 $ 10.43 $ 10.87
======== ======== ======== ========
Total return (non-
annualized)............ 16.38% 12.57% 0.77% 10.76%
Ratios/Supplemental data
Net assets, end of pe-
riod (in 000s)........ $457,933 $365,678 $278,859 $191,389
Ratio of expenses to
average net assets:
Before expense reim-
bursement............ 1.04% 1.09% 1.14% 1.35%**
After expense reim-
bursement............ N/A N/A 1.10% 1.05%**
Ratio of net investment
income to average net
assets:
Before expense reim-
bursement............ 3.69% 4.27% 3.21% 3.26%**
After expense reim-
bursement............ N/A N/A 3.25% 3.56%**
Portfolio turnover
rate.................. 142% 238% 231% 149%
Average commission rate
paid per share........ $ 0.0291 N/A N/A N/A
</TABLE>
* Commencement of investment operations
** Annualized
N/A = Not applicable
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
20
<PAGE>
GLOBAL FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
SWISSKEY CLASS JUNE 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period............................. $ 11.60
-------
Income from investment operations:
Net investment income.......................................... 0.39
Net realized and unrealized gain............................... 1.10
-------
Total income from investment operations...................... 1.49
-------
Less distributions:
Distributions from and in excess of net investment income...... (0.59)
Distributions from net realized gain........................... (0.32)
-------
Total distributions.......................................... (0.91)
-------
Net asset value, end of period................................... $ 12.18
=======
Total return (non-annualized).................................... 13.24%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $14,030
Ratio of expenses to average net assets......................... 1.69%**
Ratio of net investment income to average net assets............ 3.04%**
Portfolio turnover rate......................................... 142%
Average commission rate paid per share.......................... $0.0291
</TABLE>
* Commencement of SwissKey Class distribution
** Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
21
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
The Global Equity Fund is an actively managed portfolio that provides
integrated asset management across and within world equity markets. The
investment process is strategic in nature and is driven by deviations of market
price from fundamental value. We believe this philosophy offers the greatest
potential for achieving enhanced long-term returns, while controlling risk.
The SwissKey Global Equity Fund has provided an unannualized return of 19.25%
since its inception on July 31, 1995, compared to the 13.25% return of its
benchmark, the MSCI World Equity (Free) Index. For the first half of 1996, the
Fund returned 8.47% compared to the Index return of 7.29%.
Major global equity markets have provided roughly similar performance year-to-
date with the U.S. and Japan offering U.S. dollar hedged returns of 10.92% and
10.23% respectively. The MSCI World Equity (Free) Index provided a hedged
return of 10.37%. The U.S. extended its fundamental overvaluation despite
slower earnings growth and rising U.S. interest rates. Non-U.S. equity market
strength came amid prospects for improved economic activity and a generally
stable interest rate environment. Due to the extreme overvaluations of many
equity markets, the cash allocation within the Global Equity Fund was expanded
from 10% to 15% earlier in 1996. In the first half of the year this risk hedge
detracted from Fund performance.
The Fund's underweight of the Japanese yen and core-European currencies
contributed strongly to Fund performance. The yen suffered not only from a
nearly 6.00% depreciation, but also from extremely low short-term interest
rates. Core European currencies also depreciated by about 6.00%, but short-term
rates were similar to those in the U.S.
------------------------------------------------------------
22
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months
ended Since
6/30/96 inception*
- -----------------------------------------------------
<S> <C> <C>
SWISSKEY GLOBAL EQUITY FUND 8.47% 19.25%
MSCI World Equity (Free) Index** 7.29 13.25
- -----------------------------------------------------
</TABLE>
*Inception date of the SwissKey Global Equity Fund is July 31, 1995.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth in the value of an investment in the SwissKey
Global Equity Fund and the MSCI World Equity (Free) Index if you had invested
$10,000 on July 31, 1995, and had reinvested all your income dividends and
capital gain distributions through June 30, 1996. No adjustment has been made
for any income taxes payable by shareholders on income dividends and capital
gain distributions. Past performance is no guarantee of future results. Share
price and return will vary with market conditions; investors may realize a gain
or loss upon redemption.
SWISSKEY GLOBAL EQUITY FUND
VS. MSCI WORLD EQUITY (FREE) INDEX
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
7/31/95 6/30/96
------- -------
SwissKey Global Equity Fund $10,000 $11,925
MSCI World Equity (Free) Index $10,000 $11,325
Fund returns are net of all fees and costs, while the Index returns are based
solely on the market returns without deduction for fees or transaction costs
for rebalancing.
------------------------------------------------------------
23
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
MARKET ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- ---------------------------------
<S> <C> <C>
U.S. 41.5% 31.5%
Japan 22.3 19.3
Australia 1.6 2.5
Belgium 0.6 1.6
Canada 2.2 1.7
France 3.7 4.9
Germany 3.8 3.3
Hong Kong 1.8 0.0
Italy 1.6 1.7
Malaysia 1.4 1.3
Netherlands 2.3 3.3
New Zealand 0.2 1.6
Spain 1.1 1.7
Sweden 1.2 0.0
Switzerland 3.3 1.2
U.K. 9.0 9.1
Other Markets 2.4 0.3
Cash Reserves 0.0 15.0
- ---------------------------------
100.0% 100.0%
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
Percent of
Net Assets
- ----------------------
<S> <C>
1.
Citicorp 1.99%
2.
Lockheed
Martin
Corp. 1.94
3. Chase
Manhattan
Corp. 1.66
4.
Burlington
Northern
Santa Fe 1.51
5. Enron
Corp. 1.47
6. Avon
Products,
Inc. 1.32
7.
Schering
Plough
Corp. 1.20
8.
Kimberly-
Clark
Corp. 1.16
9.
Mattel,
Inc. 1.09
10. Aon
Corp. 1.03
- ----------------------
</TABLE>
CURRENCY ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- ---------------------------------
<S> <C> <C>
U.S. 41.5% 74.5%
Japan 22.3 4.3
Australia 1.6 1.6
Belgium 0.6 0.0
Canada 2.2 2.2
France 3.7 0.0
Germany 3.8 0.0
Hong Kong 1.8 0.0
Italy 1.6 3.4
Malaysia 1.4 1.3
Netherlands 2.3 0.0
New Zealand 0.2 1.6
Spain 1.1 1.7
Sweden 1.2 0.0
Switzerland 3.3 0.0
U.K. 9.0 9.1
Other Markets 2.4 0.3
- ---------------------------------
100.0% 100.0%
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
Percent of
Net Assets
- -----------------------
<S> <C>
1. Royal
Dutch
Petroleum
Co. 0.87%
2.
Matsushita
Electric
Industrial
Co. 0.84
3. Ito
Yokado Co.
Ltd. 0.80
4. Toray
Industries,
Inc. 0.79
5. General
Electric
Co. PLC 0.61
6. Lloyds
TSB Group
PLC 0.61
7. Sekisui
House Ltd. 0.61
8.
Sumitomo
Bank 0.58
9. Telecom
Corp of New
Zealand
Ltd. 0.57
10. Bank of
Tokyo-
Mitsubishi
Ltd. 0.56
- -----------------------
</TABLE>
------------------------------------------------------------
24
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 1996
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals............................................................... 0.32%
Housing/Paper........................................................... 1.43
Metals.................................................................. 0.14
-----
1.89
Capital Investments
Capital Goods........................................................... 3.56
Technology.............................................................. 1.60
-----
5.16
Consumer
Autos/Durables.......................................................... 0.40
Discretionary........................................................... 2.82
Health: Drugs........................................................... 2.92
Health: Non-Drugs....................................................... 1.47
Non-Durables............................................................ 4.18
Retail/Apparel.......................................................... 1.72
-----
13.51
Energy................................................................... 2.06
Financial
Banks................................................................... 4.36
Non-Banks............................................................... 3.93
-----
8.29
Services................................................................. 2.56
Transportation........................................................... 1.92
Utilities................................................................ 1.57
Miscellaneous............................................................ 1.05
-----
Total U.S. Equities................................................... 38.01*
-----
</TABLE>
- ------------------------------------------------------------
<TABLE>
<S> <C>
NON-U.S. EQUITIES
Aerospace & Military.................................................... 0.13%
Airlines................................................................ 0.07
Appliances & Household Durables......................................... 1.66
Automobiles............................................................. 1.63
Banking................................................................. 6.10
Beverages & Tobacco..................................................... 1.38
Broadcasting & Publishing............................................... 0.64
Building Materials...................................................... 0.89
Business & Public Service............................................... 2.02
Chemicals............................................................... 2.38
Construction............................................................ 1.30
Data Processing......................................................... 0.67
Electric Components..................................................... 0.84
Electronics............................................................. 2.31
Energy.................................................................. 4.29
Financial Services...................................................... 0.59
Food & House Products................................................... 2.45
Forest Products......................................................... 1.07
Gold Mining............................................................. 0.07
Health & Personal Care.................................................. 1.98
Industrial Components................................................... 1.46
Insurance............................................................... 1.96
Leisure & Tourism....................................................... 0.55
Machinery & Engineering................................................. 0.97
Merchandising........................................................... 2.62
Metals.................................................................. 0.32
Miscellaneous Materials................................................. 0.88
Multi-Industry.......................................................... 2.00
Non-Ferrous Metal....................................................... 1.02
Real Estate............................................................. 0.20
Recreation.............................................................. 0.41
Shipping................................................................ 0.34
Steel................................................................... 0.71
Telecommunications...................................................... 2.06
Textiles & Apparel...................................................... 0.16
Transportation.......................................................... 0.58
Utilities............................................................... 2.94
------
Total Non-U.S. Equities.............................................. 51.65*
------
SHORT-TERM INVESTMENTS.................................................. 10.12*
------
TOTAL INVESTMENTS.................................................... 99.78
CASH AND OTHER ASSETS, LESS LIABILITIES................................. 0.22
------
NET ASSETS........................................................... 100.00%
======
</TABLE>
* The Fund held a short position in stock index futures on June 30, 1996 which
reduced U.S. equity exposure from 38.01% to 31.26%. The Fund held a long
position in Topix futures which increased Japanese equity exposure from 1.25%
to 2.03%. These two adjustments result in a net increase in the Fund's
exposure to Short-Term Investments from 10.12% to 16.09%.
------------------------------------------------------------
25
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Equities -- 89.66%
U.S. EQUITIES -- 38.01%
Aetna Life & Casualty Co................................. 6,000 $ 429,000
Allergan, Inc............................................ 10,000 392,500
Allstate Corp............................................ 5,700 260,063
Alza Corp. (b)........................................... 9,800 268,275
American Mobile Satellite Corp., Inc. (b)................ 1,100 17,050
Aon Corp................................................. 12,200 619,150
Automatic Data Processing, Inc........................... 11,500 444,187
Avon Products, Inc....................................... 17,600 794,200
Bard (C.R.), Inc......................................... 6,100 207,400
Beckman Instruments, Inc................................. 3,900 148,200
Biogen, Inc. (b)......................................... 900 49,388
Birmingham Steel Corp.................................... 3,900 63,862
Boeing Co................................................ 2,600 226,525
Boston Technology, Inc. (b).............................. 3,900 65,813
Brinker International, Inc. (b).......................... 2,800 42,000
Burlington Northern Santa Fe............................. 11,200 905,800
Centerior Energy Co...................................... 8,200 60,475
Chase Manhattan Corp..................................... 14,100 995,812
CIGNA Corp............................................... 4,900 577,588
Citicorp................................................. 14,500 1,198,063
CMS Energy Corp.......................................... 10,700 330,363
Coca-Cola Enterprises, Inc............................... 9,400 325,475
Comerica, Inc............................................ 2,700 120,488
Comverse Techonology, Inc. (b)........................... 3,000 91,500
Cooper Cameron Corp. (b)................................. 1,500 65,625
Corning, Inc............................................. 15,300 587,138
Dial Corp................................................ 8,000 229,000
EMC Corp./Mass (b)....................................... 11,100 206,737
Enron Corp............................................... 21,600 882,900
Entergy Corp............................................. 3,000 85,125
Federal Express Corp. (b)................................ 800 65,600
Federated Department Stores (b).......................... 10,300 351,488
FileNet Corp. (b)........................................ 1,500 54,750
First Data Corp.......................................... 2,902 231,072
Food Lion, Inc. Class A.................................. 13,900 110,331
Ford Motor Co............................................ 9,900 320,512
Forest Laboratories, Inc. (b)............................ 6,700 258,788
Gannett Co., Inc......................................... 6,500 459,875
General Instrument Corp. (b)............................. 15,700 453,337
Genzyme Corp. (b)........................................ 1,300 65,325
Goodyear Tire & Rubber Co................................ 11,700 564,525
Health Care and Retirement Corp. (b)..................... 5,250 124,688
Honeywell, Inc........................................... 7,900 430,550
Inland Steel Industries, Inc............................. 3,300 64,762
Interpublic Group of Companies, Inc...................... 4,900 229,688
James River Corp. of Virginia............................ 5,600 147,700
Kimberly-Clark Corp...................................... 9,000 695,250
Kroger Co. (b)........................................... 4,100 161,950
Lockheed Martin Corp..................................... 13,900 1,167,600
Lyondell Petrochemical Co................................ 10,700 258,138
Magna Group, Inc......................................... 1,900 45,600
Manor Care, Inc.......................................... 6,400 252,000
Mattel, Inc.............................................. 22,850 654,081
Melville Corp............................................ 13,300 538,650
Nabisco Holdings Corp. Class A........................... 3,400 105,400
National Semiconductor Corp. (b)......................... 11,400 176,700
Nextel Communications, Inc. Class A (b).................. 9,900 188,719
Old Republic International Corp.......................... 5,650 122,181
Owens Illinois, Inc. (b)................................. 8,700 139,200
Pentair, Inc............................................. 4,600 138,000
Pfizer, Inc.............................................. 600 42,825
Philip Morris Companies, Inc............................. 2,100 218,400
RJR Nabisco Convertible Preferred "C".................... 31,900 207,350
RJR Nabisco Holdings Corp................................ 1,200 42,450
Schering Plough Corp..................................... 11,500 721,625
Seagate Technology, Inc. (b)............................. 3,000 135,000
Sprint Corp.............................................. 7,600 319,200
State Street Boston Corp................................. 2,300 117,300
Timken Co................................................ 2,700 104,625
Transamerica Corp........................................ 2,700 220,725
Tyson Foods, Inc. Class A................................ 8,100 221,737
Ultramar Corp............................................ 4,300 124,700
US Bancorp............................................... 6,700 242,037
USF&G Corp............................................... 8,900 145,737
Westvaco Corp............................................ 2,350 70,206
Whitman Corp............................................. 4,100 98,912
WMX Technologies, Inc.................................... 12,400 406,100
York International Corp.................................. 1,400 72,450
360 Communications Co. (b)............................... 3,433 82,392
-----------
Total U.S. Equities...................................... 22,859,933
-----------
NON-U.S. EQUITIES -- 51.65%
AUSTRALIA -- 2.22%
Amcor Ltd................................................ 10,100 68,764
ANZ Banking Group Ltd.................................... 13,447 63,716
Boral Ltd................................................ 13,800 35,844
Broken Hill Proprietary Co. Ltd.......................... 23,450 324,295
CRA Ltd.................................................. 8,062 124,119
David Jones Ltd.......................................... 37,000 51,255
Lend Lease Corp. Ltd..................................... 6,197 95,113
M.I.M. Holdings Ltd...................................... 29,200 37,692
National Australia Bank Ltd.............................. 14,475 133,870
News Corp. Ltd........................................... 14,500 82,287
Pacific Dunlop Ltd....................................... 17,600 39,619
Qantas Airways Ltd....................................... 23,119 39,123
Santos Ltd............................................... 22,000 76,190
WMC Ltd.................................................. 7,300 52,287
Westpac Bank Corp. Ltd................................... 24,545 108,767
-----------
1,332,941
-----------
BELGIUM -- 1.55%
Delhaize-Le Lion S.A..................................... 1,200 59,945
Electrabel S.A........................................... 850 181,510
Fortis AG................................................ 580 76,089
Groupe Bruxelles Lambert S.A............................. 530 66,316
Kredietbank NV........................................... 465 139,075
Petrofina S.A............................................ 410 128,514
Societe Generale de Belgique............................. 540 40,936
Solvay S.A. Class A...................................... 165 101,252
</TABLE>
- --------------------------------------------------------------------------------
26
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
BELGIUM (CONTINUED)
<S> <C> <C>
Tractebel................................................ 200 $ 81,873
Union Miniere Group S.A. (b)............................. 720 55,157
-----------
930,667
-----------
CANADA -- 1.77%
Alcan Aluminium Ltd...................................... 2,800 85,193
Bank of Montreal......................................... 5,500 134,520
Barrick Gold Corp........................................ 1,600 43,409
Canadian Pacific Ltd..................................... 6,500 142,318
Imperial Oil Ltd......................................... 2,500 105,448
Moore Corp. Ltd.......................................... 1,200 22,452
Noranda, Inc............................................. 2,100 42,981
Norcen Energy Resources Ltd.............................. 2,500 43,845
Northern Telecom Ltd..................................... 1,400 76,120
NOVA Corp................................................ 4,300 38,888
Royal Bank of Canada..................................... 3,500 83,938
Seagram Co. Ltd.......................................... 2,400 80,404
Thomson Corp............................................. 6,500 102,812
TransCanada Pipelines Ltd................................ 4,000 59,315
-----------
1,061,643
-----------
FINLAND -- 0.29%
Merita Ltd. Class A (b).................................. 6,700 13,989
Nokia Ab Class A......................................... 2,600 95,697
Outokumpu Class A........................................ 1,000 16,789
UPM-Kymmene Corp. (b).................................... 2,200 45,507
-----------
171,982
-----------
FRANCE -- 4.72%
Accor S.A................................................ 860 120,280
Alcatel Alsthom.......................................... 1,044 91,056
Banque Nationale de Paris................................ 3,780 132,682
CEP Communications....................................... 704 59,487
CEP Communications Warrants "97" (b)..................... 704 2,051
Cie Bancaire S.A......................................... 992 111,764
Cie de Saint Gobain...................................... 1,328 177,737
Cie de Suez.............................................. 1,651 60,389
Cie Generale des Eaux.................................... 1,934 216,016
Colas.................................................... 330 59,103
Credit Local de France................................... 1,803 146,748
Elf Aquitaine S.A........................................ 1,950 143,409
GAN (b).................................................. 650 17,424
LVMH..................................................... 1,130 268,013
Michelin Class B......................................... 2,410 117,785
Pechiney S.A. Class A.................................... 1,985 80,163
Peugeot S.A.............................................. 1,990 266,338
Rhone-Poulenc Class A.................................... 4,300 113,013
SEITA.................................................... 1,200 55,012
Societe Generale......................................... 1,861 204,609
Total S.A. Class B....................................... 3,090 229,169
UAP...................................................... 3,219 65,343
Usinor Sacilor........................................... 7,200 103,846
-----------
2,841,437
-----------
GERMANY -- 3.18%
Allianz AG Holding....................................... 105 182,531
BASF AG.................................................. 290 82,593
Bayer AG................................................. 4,300 151,281
Bayerische Motoren Werke AG.............................. 170 98,174
Bayerische Vereinsbank AG................................ 2,000 55,975
Commerzbank AG........................................... 330 68,250
Daimler-Benz AG (b)...................................... 160 85,829
Daimler-Benz AG Rights (b)............................... 160 22
Deutsche Bank AG......................................... 4,650 220,265
Hoechst AG............................................... 1,700 57,408
Kaufhof Holding AG....................................... 305 115,319
M.A.N. AG................................................ 100 25,064
Mannesmann AG............................................ 430 148,032
Muenchener Rueckver AG................................... 57 116,464
Muenchener Rueckver AG Warrants "98" (b)................. 3 373
Preussag AG.............................................. 310 78,106
RWE AG................................................... 2,200 85,566
Schering AG.............................................. 850 61,624
Siemens AG............................................... 900 48,237
Thyssen AG............................................... 500 91,485
Veba AG.................................................. 2,650 140,848
-----------
1,913,446
-----------
ITALY -- 1.38%
Assicurazioni Generali................................... 4,200 96,853
Danieli & Co. Savings (Risp)............................. 8,000 28,442
Edison Spa............................................... 9,000 54,307
ENI ADR (c).............................................. 2,300 115,000
Fiat Spa-Priv............................................ 31,000 54,398
INA-Istituto Nazionale de Assicurazioni.................. 14,000 20,868
Istituto Mobilaire Italiano Spa.......................... 11,000 91,849
Italgas Spa.............................................. 13,000 48,550
La Rinascente............................................ 5,000 35,797
La Rinascente Savings (Risp)............................. 6,000 16,635
La Rinascente Warrants "99" (b).......................... 550 448
Mediobanca Spa........................................... 2,800 17,781
Montedison Spa (b)....................................... 44,000 25,574
SAI-Savings (Risp)....................................... 7,000 27,124
Telecom Italia Spa....................................... 61,000 105,251
Telecom Italia Mobile Spa................................ 67,000 91,347
-----------
830,224
-----------
JAPAN -- 18.58%
Amada Co. Ltd............................................ 18,000 193,652
Asahi Glass Co. Ltd...................................... 21,000 250,817
Bank of Tokyo-Mitsubishi Ltd............................. 14,600 339,438
Canon, Inc............................................... 15,000 311,812
Canon Sales Co., Inc..................................... 5,000 139,039
Citizen Watch Co. Ltd.................................... 16,000 133,186
Dai Nippon Printing Co. Ltd.............................. 16,000 309,259
Daiichi Pharmaceutical Co. Ltd........................... 11,000 169,491
Daikin Industries Ltd.................................... 17,000 185,993
Daiwa House Industry Co. Ltd............................. 9,000 139,495
Fanuc.................................................... 6,700 266,335
</TABLE>
- --------------------------------------------------------------------------------
27
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
JAPAN (CONTINUED)
<S> <C> <C>
Fujitsu.................................................. 10,000 $ 91,173
Hitachi Ltd.............................................. 33,000 306,889
Honda Motor Co........................................... 8,000 207,145
Inax..................................................... 21,000 208,695
Isetan................................................... 6,000 90,808
Ito Yokado Co. Ltd....................................... 8,000 482,124
Kaneka Corp.............................................. 9,000 60,475
Keio Teito Electric Railway.............................. 19,000 112,599
Kinki Nippon Railway..................................... 19,000 136,678
Kirin Brewery Co. Ltd.................................... 18,000 219,910
Kokuyo................................................... 4,000 110,502
Kuraray Co. Ltd.......................................... 15,000 168,214
Maeda Road Construction.................................. 3,000 51,695
Marui Co. Ltd............................................ 2,000 44,310
Matsushita Electric Industrial Co........................ 27,000 502,182
Mitsubishi Paper Mills................................... 21,000 131,153
NGK Insulators........................................... 27,000 302,786
Nintendo Corp. Ltd....................................... 1,500 111,596
Nippon Denso Co. Ltd..................................... 12,000 260,391
Nippon Meat Packers, Inc................................. 11,000 156,453
Nippon Steel Co.......................................... 14,000 47,994
Okumura.................................................. 12,000 100,218
Osaka Gas Co............................................. 68,000 248,611
Pioneer Electronic Corp.................................. 3,000 71,389
Sankyo Co. Ltd........................................... 12,000 310,718
Secom.................................................... 4,000 264,037
Seino Transportation..................................... 6,000 94,638
Sekisui House Ltd........................................ 32,000 364,693
Shinmaywa Industries Ltd................................. 15,000 153,171
Sony Corp................................................ 5,000 328,679
Sumitomo Bank............................................ 18,000 347,917
Sumitomo Electric Industries............................. 14,000 200,397
Takeda Chemical Industries............................... 13,000 229,939
TDK Corp................................................. 4,000 238,509
Tokio Marine & Fire Insurance Co......................... 16,000 212,981
Tokyo Electric Power..................................... 7,300 185,027
Tokyo Steel Mfg.......................................... 12,500 245,028
Tonen Corp............................................... 13,000 190,825
Toray Industries, Inc.................................... 69,000 475,596
Toshiba Corp............................................. 40,000 284,460
Toyo Suisan Kaisha....................................... 9,000 109,955
Toyota Motor Corp........................................ 5,000 124,907
Yamazaki Baking Co. Ltd.................................. 8,000 148,065
-----------
11,172,049
-----------
MALAYSIA -- 1.25%
Genting Bhd.............................................. 3,000 23,445
Hume Industries (Malaysia) Bhd........................... 8,000 39,115
Kuala Lumpur Kepong Bhd.................................. 25,000 63,121
Land & General Holdings Bhd.............................. 18,000 44,365
Malayan Banking Bhd...................................... 9,600 92,337
Malaysia International Shipping Bhd (Frgn.).............. 10,000 31,060
Nestle (Malaysia) Bhd.................................... 4,000 32,222
Public Bank Bhd (Frgn.).................................. 23,000 63,602
Resorts World Bhd........................................ 4,000 22,924
Sime Darby Bhd........................................... 31,000 85,725
Telekom Malaysia Bhd..................................... 14,000 124,559
Tenaga Nasional Bhd...................................... 26,000 109,410
YTL Corp. Bhd............................................ 4,000 20,840
-----------
752,725
-----------
NETHERLANDS -- 3.27%
ABN AMRO Holdings NV..................................... 3,454 185,357
Akzo Nobel NV............................................ 300 35,942
DSM NV................................................... 680 67,526
Hoogovens NV............................................. 900 33,324
ING Groep NV............................................. 8,122 242,199
KPN NV................................................... 4,493 170,044
Philips Electronics NV................................... 2,850 92,668
Royal Dutch Petroleum Co................................. 3,400 525,069
Royal Dutch Petroleum Co. NY Shares (c).................. 1,200 184,500
Unilever NV.............................................. 1,750 253,237
Vendex International NV.................................. 2,400 83,661
VNU-Ver Ned Uitgevers.................................... 6,000 93,151
-----------
1,966,678
-----------
NEW ZEALAND -- 1.67%
Brierley Investments Ltd................................. 201,000 190,025
Carter Holt Harvey Ltd................................... 90,500 206,457
Fletcher Challenge Building.............................. 22,750 44,418
Fletcher Challenge Energy................................ 22,550 49,744
Fletcher Challenge Forest Ltd............................ 7,803 9,675
Fletcher Challenge Paper................................. 45,500 87,902
Telecom Corp. of New Zealand Ltd......................... 82,000 343,797
Telecom Corp. of New Zealand Ltd. ADS (c)................ 1,100 73,425
-----------
1,005,443
-----------
SPAIN -- 1.61%
Banco Bilbao Vizcaya S.A................................. 1,800 72,864
Banco Central Hispanoamericano........................... 800 16,286
Banco Intercontinental Espanol S.A....................... 600 67,061
Banco Popular Espanol S.A................................ 400 71,258
Banco Santander S.A...................................... 1,600 74,627
Cia Sevillana de Electricidad............................ 6,300 57,983
Empresa Nacional de Electridad S.A....................... 2,050 127,754
Fomento de Construcciones y
Contratas S.A........................................... 500 41,338
Iberdrola S.A............................................ 13,000 133,335
Repsol S.A............................................... 2,600 90,343
Telefonica de Espana..................................... 8,600 158,302
Vallehermosa S.A......................................... 1,200 23,680
Viscofan Envolturas Celulosicas S.A...................... 2,300 36,327
-----------
971,158
-----------
SWITZERLAND -- 1.31%
ABB AG (Bearer).......................................... 30 37,105
Ciba-Geigy AG (Reg.)..................................... 95 115,752
CS Holdings AG (Reg.).................................... 696 66,174
Nestle S.A. (Reg.)....................................... 213 243,190
Roche Holding AG (Gen.).................................. 18 137,272
</TABLE>
- --------------------------------------------------------------------------------
28
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
SWITZERLAND
(CONTINUED)
<S> <C> <C>
Schweiz Bankgesellschaft (Bearer)......................... 72 $ 70,470
Societe Generale de Surveillance Holding S.A. (Bearer).... 27 64,609
Zurich Versicherungs (Reg.)............................... 203 55,308
-----------
789,880
-----------
UNITED KINGDOM -- 8.85%
Asda Group PLC............................................ 26,000 47,071
Bass PLC.................................................. 12,800 160,920
B.A.T. Industries PLC..................................... 21,000 163,497
Booker PLC................................................ 6,500 38,081
British Gas PLC........................................... 61,500 171,072
British Petroleum Co. PLC................................. 33,835 296,812
British Steel PLC......................................... 52,000 132,929
British Telecommunications PLC............................ 58,700 315,621
Charter PLC............................................... 7,431 107,163
Coats Viyella PLC......................................... 35,000 93,551
FKI PLC................................................... 30,875 81,566
General Electric Co. PLC.................................. 68,100 367,221
Glaxo Wellcome PLC........................................ 11,500 154,852
Grand Metropolitan PLC.................................... 38,000 252,152
Guinness PLC.............................................. 28,300 205,818
Hanson PLC................................................ 35,000 98,174
Hillsdown Holdings PLC.................................... 25,000 67,599
House of Fraser PLC....................................... 47,000 127,086
Legal & General Group PLC................................. 7,700 80,051
Lloyds Abbey Life PLC..................................... 10,500 83,380
Lloyds TSB Group PLC...................................... 74,630 365,321
Marks & Spencer PLC....................................... 15,500 113,329
Mirror Group PLC.......................................... 16,000 50,971
National Power PLC........................................ 12,000 96,970
National Westminster Bank PLC............................. 17,800 170,393
Ocean Group PLC........................................... 11,500 81,671
Peninsular & Oriental Steam Navigation Co................. 12,000 90,629
Reckitt & Colman PLC...................................... 10,500 110,303
Redland PLC............................................... 6,500 40,505
RJB Mining PLC............................................ 10,000 85,936
Rolls-Royce PLC........................................... 22,400 77,974
Royal Insurance Holdings PLC.............................. 11,900 73,601
RTZ Corp. PLC............................................. 8,200 121,439
Scottish Hydro-Electric PLC............................... 9,200 42,319
Sears PLC................................................. 52,000 80,000
Sedgwick Group PLC........................................ 37,000 79,347
SmithKline Beecham PLC.................................... 11,900 127,322
Tesco PLC................................................. 34,000 155,338
Thames Water PLC.......................................... 10,000 88,112
Unilever PLC.............................................. 5,500 109,402
Vodafone Group PLC........................................ 13,600 50,723
W.H. Smith Group PLC...................................... 9,000 66,434
-----------
5,322,655
-----------
Total Non-U.S. Equities................................... 31,062,928
-----------
Total Equities (Cost $48,067,795)......................... 53,922,861
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------ -----
<S> <C> <C>
Short-Term Investments --10.12%
U.S. GOVERNMENT OBLIGATIONS -- 0.37%
U.S. Treasury Bills 5.140%, due 11/14/96................ $ 225,000 $ 220,631
-----------
COMMERCIAL PAPER -- 9.75%
Baxter International, Inc.
5.550%, due 07/10/96................................... 300,000 299,584
FMC Corp. 5.480%, due 07/08/96.......................... 250,000 249,733
Gatx Capital Corp. 5.500%, due 07/09/96................. 750,000 749,083
Kerr-McGee Credit Corp.
5.500%, due 07/09/96................................... 1,000,000 998,778
The Limited, Inc. 5.650%, due 07/01/96.................. 1,065,000 1,065,000
Lockheed Martin Corp.
5.630%, due 07/01/96................................... 1,000,000 1,000,000
Melville Corp. 5.650%, due 07/01/96..................... 1,000,000 1,000,000
PS Colorado Credit Corp.
5.550%, due 07/02/96................................... 500,000 499,923
-----------
5,862,101
-----------
Total Short-Term Investments
(Cost $6,082,732)...................................... 6,082,732
-----------
Total Investments
(Cost $54,150,527) -- 99.78% (a)....................... 60,005,593
-----------
Cash and other assets, less liabilities --0.22%......... 132,489
-----------
Net Assets -- 100%...................................... $60,138,082
===========
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
29
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $54,150,527; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $ 7,101,995
Gross unrealized depreciation................................ (1,246,929)
-----------
Net unrealized appreciation.............................. $ 5,855,066
===========
</TABLE>
(b)Non-income producing security
(c)Denominated in U.S. dollars
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4)
The Global Equity Fund had the following open forward foreign currency
contracts as of June 30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ---------- -----------
<S> <C> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY BUY CONTRACTS
Canadian Dollar............. 12/04/96 430,000 $ 315,883 $ 1,714
Italian Lira................ 12/04/96 1,620,000,000 1,037,810 12,202
FORWARD FOREIGN CURRENCY SALE CONTRACTS
Australian Dollar........... 12/04/96 620,000 485,537 5,193
Belgian Franc............... 12/04/96 28,000,000 902,522 (10,688)
Dutch Guilder............... 12/04/96 3,300,000 1,955,342 (20,085)
French Franc................ 12/04/96 13,750,000 2,690,248 (39,748)
German Mark................. 12/04/96 2,600,000 1,724,668 (23,432)
Japanese Yen................ 12/04/96 840,000,000 7,830,714 88,584
Swiss Franc................. 12/04/96 900,000 728,605 (9,984)
--------
Total................... $ 3,756
========
</TABLE>
FUTURES CONTRACTS (NOTE 5)
INDEX FUTURES CONTRACTS:
The Global Equity Fund had the following open index futures contracts as of
June 30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST/PROCEEDS VALUE GAIN
---------- ------------- ---------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CONTRACTS
Topix, 3 contracts.............. Sept 1996 $ 459,695 $ 467,992 $ 8,297
INDEX FUTURES SALE CONTRACTS
Standard & Poor's 500, 12 con-
tracts......................... Sept 1996 4,079,400 4,060,800 18,600
-------
Total........................ $26,897
=======
</TABLE>
The segregated cash and market value of investments pledged to cover margin
requirements for the open futures positions at June 30, 1996 was $100,200 and
$220,631, respectively.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
30
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $54,150,527) (Note 1)................. $60,005,593
Cash.............................................................. 169,435
Foreign currency, at value (Cost $437,680)........................ 440,249
Receivables:
Investment securities sold....................................... 218,470
Dividends........................................................ 147,249
Fund shares sold................................................. 2,862
Net unrealized appreciation on forward foreign currency con-
tracts.......................................................... 3,756
Other assets...................................................... 6,965
-----------
TOTAL ASSETS................................................... 60,994,579
-----------
LIABILITIES:
Payables:
Investment securities purchased.................................. 663,419
Variation margin (Note 5)........................................ 14,203
Investment advisory fees (Note 2)................................ 35,761
Accrued expenses................................................. 143,114
-----------
TOTAL LIABILITIES.............................................. 856,497
-----------
NET ASSETS......................................................... $60,138,082
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 7).......................................... $49,837,041
Accumulated undistributed net investment income................... 90,547
Accumulated net realized gain..................................... 4,320,936
Net unrealized appreciation....................................... 5,889,558
-----------
NET ASSETS..................................................... $60,138,082
===========
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $27,126,163 and 2,343,988 shares issued
and outstanding) (Note 7)....................................... $ 11.57
===========
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $33,011,919 and 2,852,778 shares issued
and outstanding) (Note 7)....................................... $ 11.57
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
31
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $82,247 for foreign taxes withheld)............. $1,003,890
Interest.......................................................... 139,095
----------
TOTAL INCOME................................................... 1,142,985
----------
EXPENSES:
Advisory (Note 2)................................................. 390,824
Distribution (Note 6)............................................. 191,849
Accounting........................................................ 104,928
Custodian......................................................... 80,000
Professional...................................................... 75,874
Transfer agent.................................................... 64,499
Printing.......................................................... 63,644
Other............................................................. 87,389
----------
TOTAL EXPENSES................................................. 1,059,007
Expenses waived by Advisor (Note 2)............................ (378,626)
----------
NET EXPENSES................................................... 680,381
----------
NET INVESTMENT INCOME ......................................... 462,604
----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................................... 5,977,773
Futures contracts................................................ (481,131)
Foreign currency transactions.................................... 2,763,124
----------
Net realized gain.............................................. 8,259,766
----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................. 1,152,333
Futures contracts................................................ 53,797
Forward contracts................................................ 52,974
Translation of other assets and liabilities denominated in for-
eign currency................................................... (397)
----------
Change in net unrealized appreciation or depreciation.......... 1,258,707
----------
Net realized and unrealized gain................................... 9,518,473
----------
Net increase in net assets resulting from operations............... $9,981,077
==========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
32
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR
YEAR ENDED
ENDED JUNE 30,
JUNE 30, 1996 1995
------------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income.............................. $ 462,604 $ 361,529
Net realized gain (loss)........................... 8,259,766 (947,502)
Change in net unrealized appreciation or
depreciation...................................... 1,258,707 1,778,802
----------- -----------
Net increase in net assets resulting from opera-
tions............................................. 9,981,077 1,192,829
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income........... (337,038) (72,633)
Distributions from net realized gain............... (3,021,585) --
Distributions in excess of net realized gain....... -- (198,395)
----------- -----------
Total distributions to shareholders*............... (3,358,623) (271,028)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold........................................ 11,563,213 133,064
Shares issued in acquisition of SBC World Growth
Fund (Note 1)..................................... 25,670,575 --
Shares issued on reinvestment of distributions..... 3,336,320 271,028
Shares redeemed.................................... (7,760,045) (1,262,526)
----------- -----------
Net increase (decrease) in net assets resulting
from capital share
transactions (Note 7)............................. 32,810,063 (858,434)
----------- -----------
TOTAL INCREASE IN NET ASSETS.................... 39,432,517 63,367
----------- -----------
NET ASSETS:
Beginning of year.................................. 20,705,565 20,642,198
----------- -----------
End of year (including accumulated undistributed
net investment income of $90,547 and $59,734, re-
spectively)....................................... $60,138,082 $20,705,565
=========== ===========
<CAPTION>
*DISTRIBUTIONS BY CLASS:
<S> <C> <C>
Distributions from net investment income:
Brinson Class...................................... $ (295,340) $ (72,633)
SwissKey Class..................................... (41,698) --
Distributions from and in excess of net realized
gain:
Brinson Class...................................... (1,399,995) (198,395)
SwissKey Class..................................... (1,621,590) --
----------- -----------
$(3,358,623) $ (271,028)
=========== ===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
33
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR YEAR JANUARY 28, 1994*
ENDED ENDED THROUGH
BRINSON CLASS JUNE 30, 1996 JUNE 30, 1995 JUNE 30, 1994
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of pe-
riod............................ $ 9.93 $ 9.49 $ 10.00
------- ------- -------
Income from investment opera-
tions:
Net investment income (loss)... 0.18 0.18 0.07
Net realized and unrealized
gain (loss)................... 2.29 0.39 (0.54)
------- ------- -------
Total income (loss) from in-
vestment operations......... 2.47 0.57 (0.47)
------- ------- -------
Less distributions:
Distributions from net invest-
ment income................... (0.14) (0.04) (0.04)
Distributions from and in ex-
cess of net realized gain..... (0.69) (0.09) --
------- ------- -------
Total distributions.......... (0.83) (0.13) (0.04)
------- ------- -------
Net asset value, end of period... $ 11.57 $ 9.93 $ 9.49
======= ======= =======
Total return (non-annualized).... 25.66% 6.06% (4.70%)
Ratios/Supplemental data
Net assets, end of period (in
000s).......................... $27,126 $20,706 $20,642
Ratio of expenses to average net
assets:
Before expense reimbursement... 1.77% 2.06% 2.65%**
After expense reimbursement.... 1.00% 1.00% 1.00%**
Ratio of net investment income
to average net assets:
Before expense reimbursement... 0.57% 0.71% 0.24%**
After expense reimbursement.... 1.34% 1.77% 1.89%**
Portfolio turnover rate......... 74% 36% 21%
Average commission rate paid per
share.......................... $0.0288 N/A N/A
</TABLE>
* Commencement of investment operations
** Annualized
N/A = Not applicable
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
34
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
SWISSKEY CLASS JUNE 30, 1996
- -------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period............................ $ 10.35
-------
Income from investment operations:
Net investment loss........................................... (0.01)
Net realized and unrealized gain.............................. 1.93
-------
Total income from investment operations..................... 1.92
-------
Less distributions:
Distributions from net investment income...................... (0.01)
Distributions from net realized gain.......................... (0.69)
-------
Total distributions......................................... (0.70)
-------
Net asset value, end of period.................................. $ 11.57
=======
Total return (non-annualized)................................... 19.25%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................ $33,012
Ratio of expenses to average net assets:
Before expense reimbursement.................................. 2.53%**
After expense reimbursement................................... 1.76%**
Ratio of net investment income (loss) to average net assets:
Before expense reimbursement.................................. (0.19%)**
After expense reimbursement................................... 0.58%**
Portfolio turnover rate........................................ 74%
Average commission rate paid per share......................... $0.0288
</TABLE>
* Commencement of SwissKey Class distribution
** Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
35
<PAGE>
GLOBAL BOND FUND
- --------------------------------------------------------------------------------
LOGO
The Global Bond Fund is an actively managed portfolio that provides integrated
asset management across and within world fixed income markets. The investment
process is strategic in nature and is driven by deviations of market price from
fundamental value. We believe this philosophy offers the greatest potential
for achieving enhanced long-term returns, while controlling risk.
The SwissKey Global Bond Fund has provided an unannualized return of 9.17%
since July 31, 1995 (performance inception date). Its benchmark, the Salomon
World Government Bond Index, returned 0.13%. In the first half of 1996, the
Fund produced a return of 1.82% compared to the -1.47% return of the benchmark.
Below is a discussion of the global bond markets as well as our current
investment strategies.
In the first half of 1996, the Global Bond Fund benefited from a continued
environment of low inflation. The U.S. bond market, which is an underweight in
the Fund, was a notable exception to the positive U.S. dollar-hedged returns
provided by other bond markets. The U.S. bond market was detrimentally affected
by stronger than expected growth in economic activity in general and strong
employment gains in particular. U.S. market participants' fears included higher
inflation and the potential for a tighter monetary policy as reflected in
higher short-term interest rates. Otherwise, global bond markets provided
positive year-to-date hedged returns.
The Japan bond market underweight detracted from performance as continued Bank
of Japan accommodation sustained interest rates at below equilibrium levels.
Low Japanese interest rates do not appear to be fundamentally sustainable and
we do not expect the relatively favorable performance of the bond market to
continue.
The Fund's underweight of the Japanese yen and core-European currencies
contributed strongly to Fund performance. The yen suffered not only from a
nearly 6.00% depreciation, but also from extremely low short-term interest
rates. Core European currencies also depreciated by about 6.00%, but short-term
rates were similar to those in the U.S.
------------------------------------------------------------
36
<PAGE>
GLOBAL BOND FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months
ended Since
6/30/96 Inception*
- --------------------------------------------------------
<S> <C> <C>
SWISSKEY GLOBAL BOND FUND 1.82% 9.17%
Salomon World Government Bond Index -1.47 0.13
- --------------------------------------------------------
</TABLE>
*Inception date of the SwissKey Global Bond Fund is July 31, 1995.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth in the value of an investment in the SwissKey
Global Bond Fund and the Salomon World Government Bond Index if you had
invested $10,000 on July 31, 1995, and had reinvested all your income dividends
and capital gain distributions through June 30, 1996. No adjustment has been
made for any income taxes payable by shareholders on income dividends and
capital gain distributions. Past performance is no guarantee of future
results. Share price and return will vary with market conditions; investors
may realize a gain or loss upon redemption.
SWISSKEY GLOBAL BOND FUND
VS. SALOMON WORLD GOVERNMENT BOND INDEX
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
7/31/95 6/30/96
------- -------
Swisskey Global Bond Fund $10,000 $10,917
Salomon World Government Bond Index $10,000 $10,013
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
------------------------------------------------------------
37
<PAGE>
GLOBAL BOND FUND
- --------------------------------------------------------------------------------
LOGO
ASSET ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- -------------------------------
<S> <C> <C>
U.S. 33.3% 27.3%
Japan 19.5 5.0
Australia 1.0 3.5
Austria 0.9 0.0
Belgium 2.6 2.9
Canada 3.0 7.0
Denmark 1.7 6.8
Finland 0.4 0.0
France 7.5 8.5
Germany 10.3 15.3
Italy 6.4 7.3
Netherlands 3.4 8.8
Spain 2.4 2.8
Sweden 1.7 0.0
Switzerland 0.4 0.0
U.K. 5.5 4.8
- -------------------------------
100.0% 100.0%
</TABLE>
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 1996
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. BONDS
Corporate Bonds
Asset-Backed........................................................... 0.79%
CMO.................................................................... 0.45
Consumer............................................................... 0.21
Financial.............................................................. 1.34
Telecommunications..................................................... 0.57
Transportation......................................................... 0.26
------
3.62
International Dollar Bonds............................................. 1.16
U.S. Government Agencies............................................... 7.04
U.S. Government Obligations............................................ 10.51
------
Total U.S. Bonds..................................................... 22.33*
------
NON-U.S. BONDS
Foreign Financial Bonds................................................. 22.97
Foreign Government Bonds................................................ 45.36
------
Total Non-U.S. Bonds................................................. 68.33
------
SHORT-TERM INVESTMENTS.................................................. 7.92*
------
TOTAL INVESTMENTS.................................................... 98.58
CASH AND OTHER ASSETS, LESS LIABILITIES................................. 1.42
------
NET ASSETS........................................................... 100.00%
======
- --------------------------------------------------------------------------------
</TABLE>
*The Fund held a long position in U.S. Treasury futures on June 30, 1996 which
increased U.S. bond exposure from 22.33% to 26.64% and decreased the Fund's
exposure to Short-Term Investments from 7.92% to 3.61%.
CURRENCY ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- -------------------------------
<S> <C> <C>
U.S. 33.3% 76.6%
Japan 19.5 1.5
Australia 1.0 1.0
Austria 0.9 0.0
Belgium 2.6 0.0
Canada 3.0 3.1
Denmark 1.7 0.0
Finland 0.4 0.0
France 7.5 0.0
Germany 10.3 0.0
Italy 6.4 9.5
Netherlands 3.4 0.0
Spain 2.4 2.8
Sweden 1.7 0.0
Switzerland 0.4 0.0
U.K. 5.5 5.5
- -------------------------------
100.0% 100.0%
</TABLE>
------------------------------------------------------------
38
<PAGE>
GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------ -----
<S> <C> <C>
Bonds -- 90.66%
U.S. BONDS -- 22.33%
U.S. CORPORATE BONDS -- 3.62%
Chrysler Financial Corp. MTN
6.500%, due 08/21/97.................................... $ 165,000 $ 165,493
Delta Air Lines
10.060%, due 01/02/16................................... 100,000 115,562
Farmers Insurance Exchange 144-A
8.625%, due 05/01/24.................................... 250,000 236,313
Ford Credit Auto Lease Trust
6.350%, due 10/15/98.................................... 175,580 176,145
Ford Credit Grantor Trust 95-B
5.900%, due 10/15/00.................................... 83,549 83,223
GMAC MTN
6.750%, due 06/10/02.................................... 200,000 196,734
Green Tree Acceptance Corp. 94-A
6.900%, due 02/15/04.................................... 35,689 35,347
Green Tree Financial 94-2
8.300%, due 05/15/19.................................... 25,000 25,657
News America Corp.
7.750%, due 01/20/24.................................... 275,000 255,272
Structured Asset Securities Corp.
8.111%, due 04/25/27.................................... 139,060 141,076
The Money Store 94-A3
5.525%, due 09/15/18.................................... 96,545 93,723
Time Warner Entertainment, Inc.
9.150%, due 02/01/23.................................... 45,000 46,561
8.375%, due 03/15/23.................................... 50,000 48,555
----------
1,619,661
----------
INTERNATIONAL DOLLAR BONDS -- 1.16%
Korea Development Bank 6.500%, due 11/15/02.............. 100,000 95,923
Republic of South Africa 9.625%, due 12/15/99............ 125,000 130,469
Royal Bank of Scotland
7.375%, due 04/01/06.................................... 300,000 292,949
----------
519,341
----------
U.S. GOVERNMENT AGENCIES -- 7.04%
Federal Home Loan Mortgage Corp.
7.000%, due 04/15/07.................................... 187,253 179,510
5.800%, due 08/15/19.................................... 90,000 81,052
Federal Home Loan Mortgage Corp. Gold
8.000%, due 05/01/23.................................... 120,698 121,791
9.000%, due 05/01/24.................................... 357,779 375,532
9.500%, due 04/01/25.................................... 34,781 36,944
Federal National Mortgage Association
7.000%, due 03/01/03.................................... 35,000 34,869
6.240%, due 01/28/04.................................... 75,000 70,551
6.220%, due 03/13/06.................................... 150,000 141,635
6.700%, due 08/25/20.................................... 150,000 140,658
9.000%, due 08/01/21.................................... 34,254 35,958
8.500%, due 07/01/22.................................... 24,800 25,661
7.500%, due 05/01/25.................................... 407,838 402,609
6.500%, due 02/01/26.................................... 79,685 74,530
6.500%, due 03/01/26.................................... 500,000 467,653
7.000%, due 03/01/26.................................... 530,000 509,956
Government National Mortgage Association
7.500%, due 03/15/26.................................... 330,000 325,150
6.500%, due 03/20/26.................................... 69,697 64,491
Tennessee Valley Authority
6.875%, due 12/15/43.................................... 65,000 57,471
----------
3,146,021
----------
U.S. GOVERNMENT OBLIGATIONS-- 10.51%
U.S. Treasury Coupon Strips
0.000%, due 05/15/03.................................... 385,000 245,430
U.S. Treasury Notes and Bonds
5.500%, due 11/15/98.................................... 510,000 502,031
6.375%, due 03/31/01.................................... 1,535,000 1,527,804
5.750%, due 08/15/03.................................... 680,000 647,062
7.875%, due 11/15/04.................................... 155,000 166,625
6.500%, due 05/15/05.................................... 400,000 394,375
8.125%, due 05/15/21.................................... 610,000 687,203
U.S. Treasury Principal Strips
0.000%, due 05/15/05.................................... 505,000 278,063
0.000%, due 02/15/15.................................... 510,000 137,838
0.000%, due 11/15/15.................................... 445,000 113,680
----------
4,700,111
----------
Total U.S. Bonds......................................... 9,985,134
----------
NON-U.S. BONDS -- 68.33%
AUSTRALIA -- 3.11%
Government of Australia
8.550%, due 08/15/03................................ AUD 1,700,000 1,389,143
----------
BELGIUM -- 3.16%
Kingdom of Belgium
8.750%, due 06/25/02................................ BEF 14,000,000 507,959
9.000%, due 03/28/03.................................... 13,000,000 477,485
7.500%, due 07/29/08.................................... 13,000,000 429,476
----------
1,414,920
----------
CANADA -- 5.58%
British Columbia
7.250%, due 09/21/05................................ CAD 1,950,000 1,360,281
Government of Canada
4.250%, due 12/01/21.................................... 1,570,000 1,134,286
----------
2,494,567
----------
DENMARK -- 6.15%
City of Copenhagen
6.250%, due 03/15/01................................ DKK 2,400,000 413,797
Great Belt
7.000%, due 09/02/03.................................... 12,350,000 2,116,168
Kingdom of Denmark
7.000%, due 11/10/24.................................... 1,500,000 220,453
----------
2,750,418
----------
</TABLE>
- --------------------------------------------------------------------------------
39
<PAGE>
GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------ -----
<S> <C> <C>
FRANCE -- 8.20%
Eurofima
8.625%, due 09/01/99............................. FRF 5,100,000 $1,084,171
Government of France (OAT)
8.500%, due 12/26/12................................. 5,600,000 1,255,214
8.500%, due 04/25/23................................. 2,400,000 531,095
KFW International Finance
7.750%, due 02/17/98................................. 2,600,000 529,040
Kingdom of Finland
9.000%, due 08/13/03................................. 1,200,000 266,463
----------
3,665,983
----------
GERMANY -- 14.30%
Bundesrepublik Deutscheland
6.250%, due 01/04/24............................. DEM 950,000 548,929
Deutsche Bundesbahn
9.000%, due 12/01/00................................. 540,000 400,751
European Economic Community
6.500%, due 03/10/00................................. 2,650,000 1,808,915
Kingdom of Norway
6.125%, due 05/05/98................................. 1,040,000 705,473
LKB Baden-Wurt Finance
6.500%, due 09/15/08................................. 850,000 537,777
Republic of Finland
5.500%, due 02/05/03................................. 850,000 536,939
Republic of Ireland
7.250%, due 03/18/03................................. 2,700,000 1,858,124
----------
6,396,908
----------
ITALY -- 7.26%
Bayerische Landesbank
10.750%, due 03/01/03............................ ITL 1,000,000,000 706,970
Deutschebank
11.750%, due 02/23/98................................ 900,000,000 617,192
European Investment Bank
12.750%, due 02/15/00................................ 280,000,000 205,714
Landesbank Rheinland
8.250%, due 06/02/98................................. 750,000,000 486,513
LKB Baden-Wurt Finance
10.750%, due 04/14/03................................ 950,000,000 672,396
Nordic Investment Bank
10.800%, due 05/24/03................................ 600,000,000 425,160
Republic of Italy (BTP)
8.312%, due 02/01/01................................. 200,000,000 134,551
----------
3,248,496
----------
JAPAN -- 5.70%
Asian Development Bank
5.000%, 02/05/03................................. JPY 40,000,000 409,367
Government of Japan No.130
6.700%, due 06/20/00................................. 80,000,000 858,049
Government of Japan No.144
6.000%, due 12/20/01................................. 70,000,000 749,453
Republic of Italy
3.500%, due 06/20/01................................. 56,000,000 530,035
----------
2,546,904
----------
NETHERLANDS -- 8.21%
Government of Nederlands
7.500%, due 11/15/99...............................NLG 1,290,000 $ 816,217
8.250%, due 09/15/07.................................. 520,000 343,945
International Nederland Verzekeringen 6.250%, due
12/28/05.............................................. 1,800,000 1,020,271
Rabobank
6.750%, due 06/25/03.................................. 1,750,000 1,063,185
Republic of Austria
6.250%, due 02/28/24.................................. 825,000 427,942
-----------
3,671,560
-----------
SPAIN -- 2.62%
Government of Spain
10.100%, due 02/28/01..............................ESP 140,000,000 1,171,554
-----------
UNITED KINGDOM -- 4.04%
Abbey National
8.750%, due 05/24/04...............................GBP 350,000 552,059
British Gas PLC
8.125%, due 03/31/03.................................. 545,000 837,403
UK Treasury
8.000%, due 06/10/03.................................. 80,000 126,651
8.000%, due 09/27/13.................................. 190,000 289,540
-----------
1,805,653
-----------
Total Non-U.S. Bonds................................... 30,556,106
-----------
Total Bonds (Cost $40,050,938)......................... 40,541,240
-----------
Short-Term Investments-- 7.92%
GOVERNMENT OBLIGATION -- 0.07%
U.S. Treasury Bill 5.030%, due 11/14/96 $ 30,000 29,430
-----------
29,430
-----------
COMMERCIAL PAPER -- 7.85%
Baxter International, Inc.
5.550%, due 07/10/96.................................. 700,000 699,029
The Limited, Inc.
5.650%, due 07/01/96.................................. 1,051,000 1,051,000
Melville Corp.
5.663%, due 07/01/96.................................. 1,763,000 1,763,000
-----------
3,513,029
-----------
Total Short-Term Investments
(Cost $3,542,459)..................................... 3,542,459
-----------
Total Investments
(Cost $43,593,397) -- 98.58% (a)...................... 44,083,699
-----------
Cash and other assets,
less liabilities -- 1.42%............................. 635,306
-----------
Net Assets -- 100%..................................... $44,719,005
===========
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
40
<PAGE>
GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $43,593,397; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation.................................. $ 651,225
Gross unrealized depreciation.................................. (160,923)
---------
Net unrealized appreciation................................. $ 490,302
=========
</TABLE>
FRN: Floating rate note--The rate disclosed is that in effect at June 30, 1996.
MTN: Medium term note
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4)
The Global Bond Fund had the following open forward foreign currency contracts
as of June 30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ---------- ----------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY
BUY CONTRACTS
British Pound........... 12/04/96 230,000 $ 357,095 $ 10,255
Italian Lira............ 12/04/96 1,560,000,000 999,373 13,715
FORWARD FOREIGN CURRENCY
SALE CONTRACTS
Australian Dollar....... 12/04/96 1,300,000 1,018,062 618
Belgian Franc........... 12/04/96 46,500,000 1,498,831 (15,577)
Canadian Dollar......... 12/04/96 2,100,000 1,542,687 (8,608)
Danish Kroner........... 12/04/96 16,600,000 2,850,791 (39,947)
Dutch Guilder........... 12/04/96 6,400,000 3,792,178 (27,472)
French Franc............ 12/04/96 19,400,000 3,795,695 (47,265)
German Mark............. 12/04/96 10,200,000 6,766,006 (74,849)
Japanese Yen............ 12/04/96 160,000,000 1,491,565 46,157
---------
$(142,973)
=========
</TABLE>
FUTURES CONTRACTS (NOTE 5)
The Global Bond Fund had the following open futures contracts as of June 30,
1996:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE LOSS
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
INTEREST RATE FUTURES BUY CONTRACTS
5 Year U.S. Treasury Note, 10 con-
tracts............................ Sept 1996 $1,058,703 $1,057,500 $(1,203)
10 Year U.S. Treasury Note, 3 con-
tracts............................ Sept 1996 322,687 322,500 (187)
30 Year U.S. Treasury Bond, 5 con-
tracts............................ Sept 1996 548,125 547,656 (469)
-------
$(1,859)
=======
</TABLE>
The market value of investments pledged to cover margin requirements for the
open futures positions at June 30, 1996 was $29,430.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
41
<PAGE>
GLOBAL BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $43,593,397) (Note 1)................. $44,083,699
Cash.............................................................. 10,136
Foreign currency, at value (Cost $1,132,083)...................... 1,130,424
Receivables:
Investment securities sold....................................... 479,285
Interest......................................................... 1,042,174
Variation margin (Note 5)........................................ 12,968
Other assets...................................................... 5,848
-----------
TOTAL ASSETS................................................... 46,764,534
-----------
LIABILITIES:
Payables:
Investment securities purchased.................................. 1,809,805
Net unrealized depreciation on forward foreign currency con-
tracts.......................................................... 142,973
Investment advisory fees (Note 2)................................ 1,360
Accrued expenses................................................. 91,391
-----------
TOTAL LIABILITIES.............................................. 2,045,529
-----------
NET ASSETS......................................................... $44,719,005
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 7).......................................... $43,137,444
Accumulated undistributed net investment income................... 1,052,943
Accumulated net realized gain..................................... 198,256
Net unrealized appreciation....................................... 330,362
-----------
NET ASSETS..................................................... $44,719,005
===========
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $41,065,646 and 4,091,541 shares issued
and outstanding) (Note 7)........................................ $ 10.04
===========
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $3,653,359 and 364,428 shares issued and
outstanding) (Note 7)............................................ $ 10.02
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
42
<PAGE>
GLOBAL BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.......................................................... $2,733,764
----------
TOTAL INCOME................................................... 2,733,764
----------
EXPENSES:
Advisory (Note 2)................................................. 310,066
Accounting........................................................ 102,901
Professional...................................................... 62,391
Transfer agent.................................................... 54,917
Registration...................................................... 47,245
Custodian......................................................... 32,416
Distribution (Note 6)............................................. 9,874
Other............................................................. 72,052
----------
TOTAL EXPENSES................................................. 691,862
Expenses waived by Advisor (Note 2)............................ (309,908)
----------
NET EXPENSES................................................... 381,954
----------
NET INVESTMENT INCOME.......................................... 2,351,810
----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................................... 1,372,839
Futures contracts................................................ (11,267)
Foreign currency transactions.................................... 2,661,334
----------
Net realized gain............................................... 4,022,906
----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................. (2,549,382)
Forward contracts................................................ 596,085
Futures contracts................................................ (1,859)
Translation of other assets and liabilities denominated in for-
eign currency................................................... (37,388)
----------
Change in net unrealized appreciation or depreciation........... (1,992,544)
----------
Net realized and unrealized gain.................................. 2,030,362
----------
Net increase in net assets resulting from operations.............. $4,382,172
==========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
43
<PAGE>
GLOBAL BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
JUNE JUNE 30,
30, 1996 1995
----------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income............................... $ 2,351,810 $ 2,663,927
Net realized gain (loss)............................ 4,022,906 (467,411)
Change in net unrealized appreciation or deprecia-
tion .............................................. (1,992,544) 2,879,443
----------- -----------
Net increase in net assets resulting from opera-
tions.............................................. 4,382,172 5,075,959
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income............ (3,447,154) (1,146,710)
Distributions in excess of net investment income.... (1,534,232) --
Distributions from net realized gain................ (355,057) --
----------- -----------
Total distributions to shareholders*................ (5,336,443) (1,146,710)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold......................................... 14,584,928 15,734,111
Shares issued on reinvestment of distributions...... 3,954,345 824,053
Shares redeemed..................................... (24,728,515) (5,474,354)
----------- -----------
Net increase (decrease) in net assets resulting from
capital share transactions (Note 7)................ (6,189,242) 11,083,810
----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS.......... (7,143,513) 15,013,059
----------- -----------
NET ASSETS:
Beginning of year................................... 51,862,518 36,849,459
----------- -----------
End of year (including accumulated undistributed net
investment income of $1,052,943 and $1,095,344, re-
spectively)........................................ $44,719,005 $51,862,518
=========== ===========
*DISTRIBUTIONS BY CLASS:
Distributions from and in excess of net investment
income
Brinson Class...................................... (4,734,956) (1,146,710)
SwissKey Class..................................... (246,430) --
Distributions from net realized gain
Brinson Class...................................... (338,786) --
SwissKey Class..................................... (16,271) --
----------- -----------
Total distributions to shareholders................. (5,336,443) (1,146,710)
----------- -----------
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
44
<PAGE>
GLOBAL BOND FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR YEAR JULY 30, 1993*
ENDED ENDED THROUGH
BRINSON CLASS JUNE 30, 1996 JUNE 30, 1995 JUNE 30, 1994
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of peri-
od................................. $ 10.39 $ 9.55 $ 10.00
------- ------- -------
Income (loss) from investment oper-
ations:
Net investment income ............ 0.84 0.50 0.45
Net realized and unrealized gain
(loss)........................... 0.31 0.58 (0.52)
------- ------- -------
Total income (loss) from invest-
ment operations................ 1.15 1.08 (0.07)
------- ------- -------
Less distributions:
Distributions from and in excess
of net investment income......... (1.40) (0.24) (0.28)
Distributions from and in excess
of net realized gain............. (0.10) -- (0.10)
------- ------- -------
Total distributions............. (1.50) (0.24) (0.38)
------- ------- -------
Net asset value, end of period...... $ 10.04 $ 10.39 $ 9.55
======= ======= =======
Total return (non-annualized)....... 11.50% 11.34% (0.79%)
Ratios/Supplemental data
Net assets, end of period (in
000s)............................. $41,066 $51,863 $36,849
Ratio of expenses to average net
assets:
Before expense reimbursement...... 1.65% 1.43% 1.78%**
After expense reimbursement....... 0.90% 0.90% 0.90%**
Ratio of net investment income to
average net assets:
Before expense reimbursement...... 4.98% 5.53% 4.03%**
After expense reimbursement....... 5.73% 6.06% 4.91%**
Portfolio turnover rate............ 184% 199% 189%
</TABLE>
* Commencement of investment operations
** Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
45
<PAGE>
GLOBAL BOND FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
SWISSKEY CLASS JUNE 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period............................. $10.56
------
Income from investment operations:
Net investment income.......................................... 0.78
Net realized and unrealized gain............................... 0.15
------
Total income from investment operations...................... 0.93
------
Less distributions:
Distributions from and in excess of net investment income...... (1.37)
Distributions from net realized gain........................... (0.10)
------
Total distributions.......................................... (1.47)
------
Net asset value, end of period................................... $10.02
======
Total return (non-annualized).................................... 9.17%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $3,653
Ratio of expenses to average net assets:
Before expense reimbursement................................... 2.14%**
After expense reimbursement.................................... 1.39%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................... 4.49%**
After expense reimbursement.................................... 5.24%**
Portfolio turnover rate......................................... 184%
</TABLE>
* Commencement of SwissKey Class distribution
** Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
46
<PAGE>
THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1.SIGNIFICANT ACCOUNTING POLICIES
The Brinson Funds (the "Trust") is an open-end, management investment company
registered under the Investment Company Act of 1940, as amended, as a series
company. The Trust currently offers shares of seven series: Global Fund, Global
Equity Fund, Global Bond Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Bond
Fund and Non-U.S. Equity Fund. Each Fund has two classes of shares outstanding,
Brinson Class and SwissKey Class. There are an unlimited number of shares of
each class with par value of $0.001 authorized. Each share represents an
identical interest in the investments of the Funds and has the same rights.
The Trust entered into an Agreement and Plan of Reorganization dated June 16,
1995 (the "Plan of Reorganization"), with SwissKey Funds. On July 28, 1995,
pursuant to the Plan of Reorganization, the Trust acquired all of the net
assets of the SBC World Growth Fund of the SwissKey Funds, which totalled
$25,670,575 (including $3,848,285 of net unrealized appreciation) in exchange
solely for 2,474,177 SwissKey Fund shares of the Trust's Global Equity Fund.
The SwissKey Fund shares were then distributed to shareholders of the SBC World
Growth Fund according to their respective interests, and the SBC World Growth
Fund was dissolved. The total net assets of the Global Equity Fund were
$47,088,147 immediately after the acquisition.
The following is a summary of significant accounting policies consistently
followed by the Global Fund, Global Equity Fund and Global Bond Fund (each a
"Fund," collectively the "Funds") in the preparation of their financial
statements.
A.INVESTMENT VALUATION: Securities for which quotations are readily available
are valued at the last available sales price on the exchange or market on which
they are principally traded, or lacking any sales, at the last available bid
price on the exchange or market on which such securities are principally
traded. Securities for which market quotations are not readily available,
including restricted securities which are subject to limitations on their sale,
are valued at fair value as determined in good faith by or under the direction
of the Trust's Board of Trustees. Investments in affiliated investment
companies are valued each day based on the closing net asset value of the fund.
Fixed income/debt securities are valued by using market quotations or
independent services that use prices provided by market makers or estimates of
market values obtained from yield data relating to instruments or securities
with similar characteristics. Futures contracts are valued at the settlement
price established each day on the exchange on which they are traded. Forward
contracts are valued daily using quoted forward exchange rates. Short-term
obligations with a maturity of 60 days or less are valued at amortized cost,
which approximates market value.
B.FOREIGN CURRENCY TRANSLATION: Investment securities and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
at the mean between the bid and offered quotations of such currencies against
the U.S. dollar as of the date of valuation. Purchases and sales of portfolio
securities, commitments under forward foreign currency contracts, income
receipts and expense accruals are translated at the prevailing exchange rate on
the date of each transaction. Realized and unrealized foreign exchange gains or
losses on investments are included as a component of net realized and
unrealized gain or loss in the statement of operations.
C.INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade
date basis. Gains and losses on securities sold are determined on an identified
cost basis.
D.INVESTMENT INCOME: Interest income, which includes the amortization of
premiums and discounts, is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date, except that certain dividends from foreign
securities are recorded as the information becomes available.
E.FEDERAL INCOME TAXES: It is the policy of the Funds to comply with all
requirements of the Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute substantially all of their taxable
income to their shareholders. The Funds have met the requirements of the Code
applicable to regulated investment companies for the year ended June 30, 1996.
Therefore, no federal income tax provision was required.
- --------------------------------------------------------------------------------
47
<PAGE>
THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
F.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Funds to distribute
their respective net investment income on a semi-annual basis and net capital
gains, if any, annually. Distributions to shareholders are recorded on the ex-
dividend date. Income and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. These differences are primarily due to differing
treatments for foreign currency transactions. Differences in dividends per
share between the classes are due to distribution expenses. Amounts equal to
7.28% and 14.67% of the amount taxable as ordinary income qualify for the
dividends received deduction available to corporate shareholders for the Global
Fund and the Global Equity Fund, respectively.
G.INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by the
Fund will be borne on a pro rata basis by each of the classes, except that the
Brinson Class shares will not incur any of the distribution expenses.
H.USE OF ESTIMATES: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the amounts reported in the financial statements
and accompanying notes. Actual results may differ from those estimates.
2.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Brinson Partners, Inc. (the "Advisor"), a registered investment advisor,
provides the Funds with investment management services. As compensation for
these services, the Funds pay the Advisor a monthly fee based on each Fund's
respective average daily net assets. The Advisor has agreed to waive its fees
and reimburse each Fund to the extent total annualized expenses exceed a
specified percentage of each Fund's respective average daily net assets.
Investment advisory fees and other transactions with affiliates, for the year
ended June 30, 1996, were as follows:
<TABLE>
<CAPTION>
FEES
ADVISORY BRINSON CLASS SWISSKEY CLASS ADVISORY WAIVED AND/OR
FEE EXPENSE CAP EXPENSE CAP FEES REIMBURSED
-------- ------------- -------------- ---------- -------------
<S> <C> <C> <C> <C> <C>
Global Fund............. 0.80% 1.10% 1.75% $3,415,057 $ --
Global Equity Fund...... 0.80 1.00 1.76 390,824 378,626
Global Bond Fund........ 0.75 0.90 1.39 310,066 309,908
</TABLE>
Certain officers of the Funds are also officers and directors of the Advisor.
All officers serve without direct compensation from the Funds. Trustees' fees
paid to unaffiliated trustees were $11,404, $4,361 and $4,429 for the Global
Fund, Global Equity Fund and Global Bond Fund, respectively.
At June 30, 1996, the Global Fund was invested in shares of certain affiliated
investment companies also sponsored by Brinson Partners, Inc. These investments
are listed in the schedule of investments and represent 9.13% of the Fund's
total net assets. At June 30, 1996, net unrealized appreciation on these
investments was $71,309.
3.INVESTMENT TRANSACTIONS
Investment transactions for the year ended June 30, 1996, excluding short-term
investments, were as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
Global Fund........................................... $713,034,559 $608,243,355
Global Equity Fund.................................... 57,828,955 34,016,248
Global Bond Fund...................................... 71,111,891 74,477,691
</TABLE>
- --------------------------------------------------------------------------------
48
<PAGE>
THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
4.FORWARD FOREIGN CURRENCY CONTRACTS
The Funds engage in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. Forward foreign currency contracts are also used to achieve
currency allocation strategies. A forward foreign currency contract is a
commitment to purchase or sell a foreign currency at a future date at a
negotiated forward rate. Risks associated with such contracts include movement
in the value of the foreign currency relative to the U.S. dollar and the
ability of the counterparty to perform. The unrealized gain, if any, represents
the credit risk to the Fund on a forward foreign currency contract.
Fluctuations in the value of forward foreign currency contracts are recorded
daily as net unrealized gains or losses. The Funds realize a gain or loss upon
settlement of the contracts. The statement of operations reflects net realized
and net unrealized gains and losses on these contracts. The counterparty to all
forward foreign currency contracts, at and for the year ended June 30, 1996,
was the Funds' custodian.
5.FUTURES CONTRACTS
The Funds may purchase or sell exchange-traded futures contracts, which are
contracts that obligate the Funds to make or take delivery of a financial
instrument or the cash value of a securities index at a specified future date
at a specified price. The Funds enter into such contracts to hedge a portion of
their portfolio. Risks of entering into futures contracts include the
possibility that there may be an illiquid market or that a change in the value
of the contract may not correlate with changes in the value of the underlying
securities. Upon entering into a futures contract, the Funds are required to
deposit either cash or securities (initial margin). Subsequent payments
(variation margin) are made or received by the Funds, generally on a daily
basis. The variation margin payments are equal to the daily changes in the
contract value and are recorded as unrealized gains or losses. The Funds
recognize a realized gain or loss when the contract is closed or expires. The
statement of operations reflects net realized and net unrealized gains and
losses on these contracts.
6.DISTRIBUTION PLAN
The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plan governs payments made for
the expenses incurred in the promotion and distribution of the SwissKey Class
of shares. Annual fees under the Plan, which include a 0.25% service fee, total
0.65%, 0.76% and 0.49% of the average daily net assets of the SwissKey Class of
the Global Fund, Global Equity Fund and Global Bond Fund, respectively.
7.CAPITAL TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
GLOBAL FUND
----------------------------------------------
YEAR ENDED YEAR ENDED
JUNE 30, 1996 JUNE 30, 1995
---------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class.................. 7,972,013 $ 95,544,500 11,726,672 $124,484,442
SwissKey Class................. 1,155,619 13,939,062 -- --
--------- ------------ ---------- ------------
Total Sales................. 9,127,632 $109,483,562 11,726,672 $124,484,442
========= ============ ========== ============
Dividend Reinvestment:
Brinson Class.................. 2,632,284 $ 30,918,724 960,415 $ 10,276,565
SwissKey Class................. 20,488 243,591 -- --
--------- ------------ ---------- ------------
Total Dividend Reinvestment. 2,652,772 $ 31,162,315 960,415 $ 10,276,565
========= ============ ========== ============
Redemptions:
Brinson Class.................. 5,330,521 $ 63,966,318 7,205,445 $ 77,406,972
SwissKey Class................. 24,583 296,145 -- --
--------- ------------ ---------- ------------
Total Redemptions........... 5,355,104 $ 64,262,463 7,205,445 $ 77,406,972
========= ============ ========== ============
</TABLE>
- --------------------------------------------------------------------------------
49
<PAGE>
THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL EQUITY FUND
-------------------------------------------
YEAR ENDED YEAR ENDED
JUNE 30, 1996 JUNE 30, 1995
--------------------- ---------------------
SHARES VALUE SHARES VALUE
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Sales:
Brinson Class.................... 285,419 $ 3,205,567 13,700 $ 133,064
SwissKey Class................... 746,285 8,357,646 -- --
--------- ----------- --------- -----------
Total Sales................... 1,031,704 $11,563,213 13,700 $ 133,064
========= =========== ========= ===========
Shares issued in acquisition of
SBC World Growth Fund:
Brinson Class.................... -- -- -- --
SwissKey Class................... 2,474,177 $25,670,575 -- --
--------- ----------- --------- -----------
Total......................... 2,474,177 $25,670,575 -- --
========= =========== ========= ===========
Dividend Reinvestment:
Brinson Class.................... 160,063 $ 1,694,631 28,495 $ 271,028
SwissKey Class................... 155,720 1,641,689 -- --
--------- ----------- --------- -----------
Total Dividend Reinvestment... 315,783 $ 3,336,320 28,495 $ 271,028
========= =========== ========= ===========
Redemptions:
Brinson Class.................... 186,600 $ 2,055,092 131,587 $ 1,262,526
SwissKey Class................... 523,404 5,704,953 -- --
--------- ----------- --------- -----------
Total Redemptions............. 710,004 $ 7,760,045 131,587 $ 1,262,526
========= =========== ========= ===========
<CAPTION>
GLOBAL BOND FUND
-------------------------------------------
YEAR ENDED YEAR ENDED
JUNE 30, 1996 JUNE 30, 1995
--------------------- ---------------------
SHARES VALUE SHARES VALUE
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Sales:
Brinson Class.................... 1,094,889 $10,985,420 1,615,817 $15,734,111
SwissKey Class................... 345,211 3,599,508 -- --
--------- ----------- --------- -----------
Total Sales................... 1,440,100 $14,584,928 1,615,817 $15,734,111
========= =========== ========= ===========
Dividend Reinvestment:
Brinson Class.................... 374,786 $ 3,722,031 80,422 $ 824,053
SwissKey Class................... 23,414 232,314 -- --
--------- ----------- --------- -----------
Total Dividend Reinvestment... 398,200 $ 3,954,345 80,422 $ 824,053
========= =========== ========= ===========
Redemptions:
Brinson Class.................... 2,369,683 $24,686,522 564,413 $ 5,474,354
SwissKey Class................... 4,197 41,993 -- --
--------- ----------- --------- -----------
Total Redemptions............. 2,373,880 $24,728,515 564,413 $ 5,474,354
========= =========== ========= ===========
</TABLE>
- --------------------------------------------------------------------------------
50
<PAGE>
REPORT OF INDEPENDENT AUDITORS
- --------------------------------------------------------------------------------
The Board of Trustees and Shareholders
The Brinson Funds --
Global Fund
Global Equity Fund
Global Bond Fund
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of The Brinson Funds -- Global Fund,
Global Equity Fund, and Global Bond Fund as of June 30, 1996, the related
statements of operations for the year then ended and changes in net assets and
the financial highlights for the periods indicated therein. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with 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. Our procedures included confirmations of securities owned as of
June 30, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
Brinson Funds -- Global Fund, Global Equity Fund and Global Bond Fund at June
30, 1996, the results of their operations for the year then ended and the
changes in their net assets and the financial highlights for the periods
indicated therein, in conformity with generally accepted accounting principles.
/s/ Ernst & Young LLP
Ernst & Young LLP
Chicago, Illinois
August 9, 1996
- --------------------------------------------------------------------------------
51
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS
- --------------------------------------------------------------------------------
A Special Meeting of Shareholders was held on February 16, 1996. At the
meeting, shareholders of the Funds were asked to consider and act upon
amendments to the Trust's fundamental investment policies to (1) permit each
Fund to invest in affiliated investment companies; and (2) permit each Fund to
enter into forward foreign currency transactions for non-hedging purposes. In
addition, shareholders of the Global Fund and Global Bond Fund were asked to
consider and act upon an amendment to the Trust's fundamental investment
policies to increase the limitation on permissible loans of portfolio
securities from 25% to 33 1/3% of its assets.
The results of all matters voted on by shareholders of the Funds at the Special
Meeting held on February 16, 1996 were as follows:
A.AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO PERMIT EACH FUND
TO INVEST IN AFFILIATED INVESTMENT COMPANIES:
<TABLE>
<CAPTION>
For Against Abstain
---------- --------- -------
<S> <C> <C> <C>
Global Fund........................................ 20,933,211 3,029,356 496,583
Global Equity Fund................................. 2,476,475 17,186 30,717
Global Bond Fund................................... 2,114,717 -0- -0-
</TABLE>
B.AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO PERMIT EACH FUND
TO ENTER INTO FORWARD FOREIGN CURRENCY TRANSACTIONS FOR NON-HEDGING
PURPOSES:
<TABLE>
<CAPTION>
For Against Abstain
---------- --------- -------
<S> <C> <C> <C>
Global Fund........................................ 18,496,343 5,463,419 499,388
Global Equity Fund................................. 2,451,785 32,234 40,359
Global Bond Fund................................... 1,645,298 2,405 467,014
</TABLE>
C.THE RESULTS OF THE ADDITIONAL MATTER VOTED ON BY SHAREHOLDERS OF THE GLOBAL
FUND AND GLOBAL BOND FUND AT THE SPECIAL MEETING HELD ON FEBRUARY 16, 1996
WERE AS FOLLOWS:
<TABLE>
<CAPTION>
For Against Abstain
---------- --------- ---------
<S> <C> <C> <C>
Global Fund...................................... 16,589,743 5,914,892 1,954,515
Global Bond Fund................................. 1,647,702 -0- 467,015
</TABLE>
- --------------------------------------------------------------------------------
52
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTED BY:
FUND/PLAN BROKER SERVICES, INC.
2 W. ELM STREET
CONSHOHOCKEN, PA 19428
This report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution to prospective investors in the
Funds unless preceded or accompanied by an effective Prospectus which includes
details regarding the Funds' objectives, policies, expenses and other
information.
- --------------------------------------------------------------------------------
<PAGE>
LOGO
10 East 50th Street . New York, New York 10022 . Tel: (800) SWISSKEY
<PAGE>
[LOGO OF SWISSKEY FUNDS]
SWISSKEY U.S. BALANCED FUND
SWISSKEY U.S. EQUITY FUND
SWISSKEY U.S. BOND FUND
ANNUAL REPORT
JUNE 30, 1996
Your Key to Performance
-----------------------------
<PAGE>
TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
LOGO
TRUSTEES
Walter E. Auch
Frank K. Reilly, CFA
Edward M. Roob
OFFICERS
Frank K. Reilly, CFA Carolyn M. Burke, CPA
Chairman of the Board
Assistant Secretary
E. Thomas McFarlan Catherine E. Macrae
President and Treasurer
Assistant Secretary
Thomas J. Digenan, CPA Debra L. Nichols
Assistant Treasurer
Assistant Secretary
Bruce G. Leto
Secretary
------------------------------------------------------------
1
<PAGE>
THE FUNDS' ADVISOR -- BRINSON PARTNERS, INC.
- --------------------------------------------------------------------------------
LOGO
Brinson Partners, Inc. is an institutional investment management firm structured
around teams of investment specialists covering major world asset classes. We
specialize in managing multiple asset portfolios that provide clients with the
opportunity to participate in all major world asset classes. It is important
that investment decisions, whether they pertain to a global portfolio or a
single asset class portfolio, be made within the context of a global capital
market perspective. Our coordinated application of investment strategies
distinguishes Brinson Partners, Inc. as a leader in global investment
management of institutional assets.
We firmly believe that asset allocation is portfolio management at its highest
and most important level. Performance is maximized through a comprehensive
understanding of global investment markets and their interrelationships.
Portfolio structure is tailored to specific client objectives and focused upon
both risk and return considerations in the context of full long-term investment
cycles.
At Brinson Partners, Inc., our investment decisions are based on fundamental
research, internally developed valuation systems and seasoned judgment. Our
independent team approach allows for rapid responses to market changes, while
providing each client with the benefit of our best talent and the flexibility
to customize portfolios to meet unique requirements.
------------------------------------------------------------
2
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LOGO
Shareholder Letter........................................................... 4
U.S. Economic and Market Highlights.......................................... 5
U.S. Balanced Fund........................................................... 6
Schedule of Investments..................................................... 9
Financial Statements........................................................ 12
Financial Highlights........................................................ 15
U.S. Equity Fund............................................................. 17
Schedule of Investments..................................................... 20
Financial Statements........................................................ 22
Financial Highlights........................................................ 25
U.S. Bond Fund............................................................... 27
Schedule of Investments..................................................... 29
Financial Statements........................................................ 30
Financial Highlights........................................................ 33
The SwissKey Funds--Notes to Financial Statements............................ 35
Report of Independent Auditors............................................... 38
Special Meeting of Shareholders.............................................. 39
------------------------------------------------------------
3
<PAGE>
SHAREHOLDER LETTER
- --------------------------------------------------------------------------------
LOGO
August 19, 1996
Dear Shareholder:
We appreciate the confidence you have placed in us and are pleased to present
you with the June 30, 1996 Annual Report for the U.S. Balanced Fund, U.S.
Equity Fund and U.S. Bond Fund. The SwissKey Funds provide you with the
opportunity to invest in a diversified family of mutual funds. One of the many
benefits offered by these funds is management by Brinson Partners, Inc., the
worldwide portfolio manager of Swiss Bank Corporation. Another benefit is the
fact that you do not incur a sales charge upon purchasing or redeeming shares
so your full investment works for you. We also offer toll-free access to
investment information and free transfer of investments between funds.
U.S. Balanced Fund
For the period from July 31, 1995 to June 30, 1996, the Fund has provided an
unannualized total return of 11.54%. In the first half of 1996, the Fund
returned 2.89%.
The Fund's market allocation has been characterized by an underweight in the
U.S. equity market and an overweight to the U.S. bond market where return and
risk characteristics are presently more attractive.
U.S. Equity Fund
For the period from July 31, 1995 to June 30, 1996, the Fund provided an
unannualized total return of 25.70%. The Fund returned 10.90% in the first
half of 1996.
Fund strategy presently maintains a modest overweight in stocks with high book-
to-price, earnings variability and financial leverage characteristics. In
addition, the Fund is underweighted the foreign earnings exposure embedded in
U.S. corporate earnings, particularly relative to the S&P 500. Current industry
positions include relative overweights in capital goods, banks, transportation,
insurance and autos/durables issues. The Fund remains underweighted in
technology, utility, consumer non-durable and retail/apparel stocks.
U.S. Bond Fund
For the period from August 31, 1995 to June 30, 1996, the Fund returned 3.24%.
In the first half of 1996, the Fund returned -1.94%.
The strategic duration of the U.S. Bond Fund was lengthened from 1.20 to 1.25
times benchmark duration in late July. Since early March, intermediate and
long-term U.S. interest rates have risen an additional fifty basis points.
Market yields are now about 100 basis points above our equilibrium estimates.
The increase in market yields reflected the worries of many bond market
investors that stronger U.S. macroeconomic activity, tighter labor markets and
higher inflation would lead to Federal Reserve tightening. We believe these
risks are diminishing and that U.S. economic growth will slow in the second
half of 1996 thus producing a more favorable environment for exposure to U.S.
interest rates.
We look forward to the challenges ahead and, as always, welcome your comments
and suggestions.
Sincerely,
/s/ Raoul Weil /s/ Raymond Simon
Raoul Weil Raymond Simon
Executive Director Executive Director
Private Investors & Private Investors &
Asset Management Asset Management
------------------------------------------------------------
4
<PAGE>
U.S. ECONOMIC AND MARKET HIGHLIGHTS
- --------------------------------------------------------------------------------
LOGO
Most indications point to continued modest growth this year, although with
typical fluctuations. Recently, real GDP has grown at a rate well above market
expectations, and recent employment data have also been stronger than expected.
This has led to weakness in the bond market, despite little evidence for a
causal link from employment to inflation.
After showing relatively strong price pressure in the first four months of the
year from increases in food and energy prices, the May and June CPI reports
showed a slackening of inflationary pressure. Looking forward, temporary
supply-demand imbalances should have no long-term impact on inflation.
Fiscal policy issues, including the federal budget deficit, have effectively
been put on hold during the run-up to the election. Despite the political
posturing, continued reduction in the deficit is likely to persist in the long
run. This is exemplified by the Administration's latest estimate of the current
year's deficit: $117 billion, down from the March estimate of $146 billion.
U.S. ENVIRONMENT
MAJOR MARKETS
Six Months Ended June 30, 1996
Total Return
[CHART APPEARS HERE]
U.S. Cash Equivalents 2.53
U.S. Bonds -1.25
U.S. Equities 10.27
SALOMON U.S. TREASURY BENCHMARK RETURNS
Six Months Ended June 30, 1996
Total Return
[CHART APPEARS HERE]
Maturity (Years)
1 2.41
2 1.16
3 0.29
5 -1.76
10 -5.01
30 -9.34
TOP TEN INDUSTRY RETURNS RELATIVE TO S&P 500
Six Months Ended June 30, 1996
1. Oil Services
2. Cosmetics
3. Leisure, Luxury
4. Real Property
5. Retail (Other)
6. Apparel, Textiles
7. Motor Vehicles
8. Misc. Finance
9. Business Machines
10. Beverages
Source: BARRA
BOTTOM TEN INDUSTRY RETURNS RELATIVE TO S&P 500
Six Months Ended June 30, 1996
1. Electric Utilities
2. Liquor
3. Paper
4. Telephone, Telegraph
5. Aluminum
6. Other Insurance
7. Foreign Petroleum
8. Trucking, Freight
9. Iron & Steel
10. Coal & Uranium
Source: BARRA
-------------------------------------------------------------
5
<PAGE>
U.S. BALANCED FUND
- --------------------------------------------------------------------------------
LOGO
The U.S. Balanced Fund is an actively managed, diversified portfolio that
provides integrated asset management across and within U.S. stocks, bonds and
cash. The investment process is strategic in nature and is driven by deviations
of market price from fundamental value. We believe this philosophy offers the
greatest potential for achieving enhanced long-term returns, while controlling
risk.
The SwissKey U.S. Balanced Fund has provided an unannualized return of 11.54%
since its inception on July 31, 1995. This compares with the corresponding
15.44% return of its benchmark, the U.S. Balanced Mutual Fund Index. In the
first half of 1996, the Fund returned 2.89% while the benchmark returned 6.14%.
The primary positive contributor to performance in the first half of 1996 was
security selection within the equity component of the Fund. However, this was
not large enough to overcome the negative impact of the underweight in equities
and overweight in bonds.
In the first six months of 1996, the bond market suffered losses, with the
Salomon BIG Index showing a decline of 1.25%. Stronger than expected economic
news and resurgent inflation fears caused an increase in volatility and
resulted in yields moving back up. Equities were not adversely affected in the
first half, as the Wilshire 5000 Index posted a 10.27% gain.
Strategy within the Fund continues to focus on reducing the risk in the
overpriced equity market. The increased level of the equity market drove prices
to levels well in excess of fundamental value. The market had yet to reflect
the less robust quarterly earnings comparisons that are now starting to emerge.
Strategy within the equity portion of the Fund reflects an underweight in
exposure to companies with foreign earnings, consistent with an underpriced
U.S. dollar.
The rise in yields in the first half of the year caused bonds to become more
attractive, with yields in excess of those required as compensation for the
risk of owning bonds. Our outlook is for inflation to remain relatively benign,
which should produce attractive real returns for bondholders. Within the bond
segment of the Fund, higher duration bonds are overweighted as the intermediate
and long segments of the yield curve are more attractive than the short end.
------------------------------------------------------------
6
<PAGE>
U.S. BALANCED FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months
ended Since
6/30/96 inception*
- ------------------------------------------------------
<S> <C> <C>
SWISSKEY U.S. BALANCED FUND 2.89% 11.54%
- ------------------------------------------------------
U.S. Balanced Mutual Fund Index** 6.14 15.44
- ------------------------------------------------------
</TABLE>
*Inception date of the SwissKey U.S. Balanced Fund is July 31, 1995.
**An un-managed index compiled by the Advisor, constructed as follows: 65%
Wilshire 5000 Index and 35% Salomon Brothers Broad Investment Grade Bond Index.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth adjustment has been made for
in the value of an any income
investment in the SwissKey taxes payable by
U.S. Balanced Fund and the shareholders on income
U.S. Balanced Mutual Fund dividends and capital gain
Index if you had invested distributions. Past
$10,000 on July 31, 1995, performance is no guarantee
and had reinvested all your of future results. Share
income dividends and capital price and return will vary
gain distributions through with market conditions;
June 30, 1996. No investors may realize a gain
or loss upon redemption.
SWISSKEY U.S. BALANCED FUND
VS. U.S. BALANCED MUTUAL FUND INDEX
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
7/31/95 6/30/96
------- -------
SwissKey U.S. Balanced Fund $10,000 $11,544
U.S. Balanced Mutual Fund Index $10,000 $11,154
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
------------------------------------------------------------
7
<PAGE>
U.S. BALANCED FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 1996
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals.............................................................. 0.34%
Housing/Paper.......................................................... 1.55
Metals................................................................. 0.15
-----
2.04
Capital Investment
Capital Goods.......................................................... 3.87
Technology............................................................. 1.74
-----
5.61
Consumer
Autos/Durables......................................................... 0.44
Discretionary.......................................................... 3.07
Health: Drugs.......................................................... 3.17
Health: Non-Drugs...................................................... 1.60
Non-Durables........................................................... 4.55
Retail/Apparel......................................................... 1.87
-----
14.70
Energy.................................................................. 2.24
Financial
Banks.................................................................. 4.74
Non-Banks.............................................................. 4.27
-----
9.01
</TABLE>
<TABLE>
<S> <C>
Services................................................................ 2.78%
Transportation.......................................................... 2.09
Utilities............................................................... 1.70
Miscellaneous........................................................... 1.18
------
Total U.S. Equities.................................................. 41.35*
------
U.S. BONDS
Corporate Bonds
Asset-Backed........................................................... 1.83
CMO.................................................................... 0.53
Consumer............................................................... 1.32
Financial.............................................................. 2.22
Industrial............................................................. 0.52
Telecommunications..................................................... 0.69
------
7.11
International Dollar Bonds.............................................. 4.03
U.S. Government Agencies................................................ 17.87
U.S. Government Obligations............................................. 26.73
------
Total U.S. Bonds..................................................... 55.74*
------
SHORT-TERM INVESTMENTS.................................................. 6.76*
------
TOTAL INVESTMENTS.................................................... 103.85
LIABILITIES, LESS
CASH AND OTHER ASSETS.................................................. (3.85)
------
NET ASSETS.............................................................. 100.00%
======
</TABLE>
*The Fund held a long position in U.S. Treasury futures on
June 30, 1996 which increased U.S. bond exposure from
55.74% to 59.30%. The Fund also held a short position in
stock index futures which reduced U.S. equity exposure from
41.35% to 34.54%. These two adjustments result in a net
increase in the Fund's exposure to Short-Term Investments
from 6.76% to 10.01%.
ASSET ALLOCATION
As of June 30, 1996
<TABLE>
<CAPTION>
CURRENT
BENCHMARK STRATEGY
- ------------------------------------
<S> <C> <C>
U.S. Equity 65% 35%
U.S. Bonds 35 60
Cash Equivalents 0 5
- ------------------------------------
100% 100%
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
- --------------------------------------------
<S> <C>
1. Citicorp 2.16%
2. Lockheed Martin Corp. 2.11
3. Chase Manhattan Corp. 1.80
4. Burlington Northern Santa Fe 1.64
5. Enron Corp. 1.60
6. Avon Products, Inc. 1.44
7. Schering Plough Corp. 1.31
8. Kimberly-Clark Corp. 1.25
9. Mattel, Inc. 1.18
10. Aon Corp. 1.12
- --------------------------------------------
</TABLE>
------------------------------------------------------------
- ---------------
8
<PAGE>
U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
U.S. Equities -- 41.35%
Aetna Life & Casualty Co................................... 24,900 $ 1,780,350
Allergan, Inc.............................................. 41,500 1,628,875
Allstate Corp.............................................. 23,600 1,076,750
Alza Corp. (b)............................................. 40,500 1,108,688
American Mobile Satellite Corp., Inc. (b).................. 4,300 66,650
Aon Corp................................................... 50,500 2,562,875
Automatic Data Processing, Inc............................. 47,400 1,830,825
Avon Products, Inc......................................... 72,800 3,285,100
Bard (C.R.), Inc........................................... 25,100 853,400
Beckman Instruments, Inc................................... 16,200 615,600
Biogen, Inc. (b)........................................... 3,800 208,525
Birmingham Steel Corp...................................... 16,300 266,913
Boeing Co.................................................. 10,700 932,238
Boston Technology, Inc. (b)................................ 16,200 273,375
Brinker International, Inc. (b)............................ 11,700 175,500
Burlington Northern Santa Fe............................... 46,300 3,744,513
Centerior Energy Co........................................ 34,000 250,750
Chase Manhattan Corp....................................... 58,400 4,124,500
CIGNA Corp................................................. 20,100 2,369,288
Citicorp................................................... 59,900 4,949,237
CMS Energy Corp............................................ 44,200 1,364,675
Coca Cola Enterprises, Inc................................. 38,800 1,343,450
Comerica, Inc.............................................. 11,100 495,337
Comverse Technology, Inc. (b).............................. 12,400 378,200
Cooper Cameron Corp. (b)................................... 5,730 250,687
Corning, Inc............................................... 63,200 2,425,300
Dial Corp.................................................. 33,100 947,488
EMC Corp./Mass (b)......................................... 46,000 856,750
Enron Corp................................................. 89,300 3,650,138
Entergy Corp............................................... 12,300 349,012
Federal Express Corp. (b).................................. 4,800 393,600
Federated Department Stores (b)............................ 43,100 1,470,787
FileNet Corp. (b).......................................... 6,200 226,300
First Data Corp............................................ 12,129 965,772
Food Lion, Inc. Class A.................................... 57,500 456,406
Ford Motor Co.............................................. 40,800 1,320,900
Forest Laboratories, Inc. (b).............................. 27,500 1,062,187
Gannett Co., Inc........................................... 27,000 1,910,250
General Instrument Corp. (b)............................... 64,600 1,865,325
Genzyme Corp. (b).......................................... 5,300 266,325
Goodyear Tire & Rubber Co.................................. 48,500 2,340,125
Health Care and Retirement Corp. (b)....................... 21,750 516,563
Honeywell, Inc............................................. 32,700 1,782,150
Inland Steel Industries, Inc............................... 10,400 204,100
Interpublic Group of Companies, Inc........................ 20,100 942,187
James River Corp. of Virginia.............................. 23,300 614,537
Kimberly-Clark Corp........................................ 37,000 2,858,250
Kroger Co. (b)............................................. 17,000 671,500
Lockheed Martin Corp....................................... 57,300 4,813,200
Lyondell Petrochemical Co.................................. 44,300 1,068,737
Magna Group, Inc........................................... 7,200 172,800
Manor Care, Inc............................................ 26,500 1,043,437
Mattel, Inc................................................ 94,250 2,697,906
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Melville Corp.......................................... 55,000 $ 2,227,500
Nabisco Holdings Corp. Class A......................... 5,200 183,950
National Semiconductor Corp. (b)....................... 47,200 731,600
Nextel Communications, Inc. Class A (b)................ 40,700 775,844
Old Republic International Corp........................ 23,450 507,106
Owens Illinois, Inc. (b)............................... 36,200 579,200
Pentair, Inc........................................... 19,000 570,000
Pfizer, Inc............................................ 2,700 192,713
Philip Morris Companies, Inc........................... 8,600 894,400
RJR Nabisco Convertible Preferred "C".................. 131,600 855,400
RJR Nabisco Holdings Corp.............................. 13,040 404,240
Schering Plough Corp................................... 47,700 2,993,175
Seagate Technology, Inc. (b)........................... 12,600 567,000
Sprint Corp............................................ 31,600 1,327,200
State Street Boston Corp............................... 9,600 489,600
Timken Co.............................................. 11,300 437,875
Transamerica Corp...................................... 11,300 923,775
Tyson Foods, Inc. Class A.............................. 33,600 919,800
Ultramar Corp.......................................... 17,700 513,300
US Bancorp............................................. 27,600 997,050
USF&G Corp............................................. 36,700 600,963
Westvaco Corp.......................................... 9,650 288,294
Whitman Corp........................................... 17,000 410,125
WMX Technologies, Inc.................................. 51,400 1,683,350
York International Corp................................ 5,600 289,800
360 Communications Co. (b)............................. 14,100 338,400
------------
Total U.S. Equities (Cost $77,173,388)................. 94,529,993
------------
<CAPTION>
FACE
AMOUNT VALUE
---------- ------------
<S> <C> <C>
Bonds -- 55.74%
U.S. CORPORATE BONDS -- 7.11%
American Express Credit Account Master Trust 96-1A
6.800%, due 12/15/03.................................. $1,280,000 $ 1,285,504
Bell South Corp. 0.000%, due 12/15/15.................. 3,175,000 635,010
Chrysler Financial Corp. MTN 6.500%, due 08/21/97...... 1,000,000 1,002,990
Dayton Hudson Credit Card 95-1 6.100%, due 09/25/98.... 2,000,000 1,990,960
Ford Motor Credit Corp. MTN 5.370%, due 09/08/98....... 945,000 922,462
GE Capital Mtg. Services, Inc. 94-10A 6.500%, due
03/25/24.............................................. 1,512,666 1,204,566
GMAC MTN 6.750%, due 06/10/02.......................... 1,000,000 983,670
Grace W.R. & Co. 8.000%, due 08/15/04.................. 1,150,000 1,195,000
Nationwide CSN Trust 9.875%, due 02/15/25.............. 1,000,000 1,099,173
News America Corp. 7.750%, due 01/20/24................ 1,000,000 928,262
Standard Credit Card Trust 94-1A 4.650%, due 02/07/97.. 2,000,000 1,985,140
TCI Communication 6.820%, due 09/15/10................. 2,100,000 2,092,119
</TABLE>
- --------------------------------------------------------------------------------
9
<PAGE>
U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
---------- -----------
<S> <C> <C>
Time Warner Entertainment, Inc.
9.150%, due 02/01/23................................... $ 430,000 $ 444,916
8.375%, due 03/15/23................................... 500,000 485,548
-----------
16,255,320
-----------
INTERNATIONAL DOLLAR BONDS--4.03%
Bangkok Bank Public Co. Ltd. 7.250%, due 09/15/05....... 2,100,000 2,028,810
Hanson PLC Notes 6.750%, due 09/15/05................... 1,000,000 958,955
International Bank for Reconstruction & Development
6.375%, due 07/21/05................................... 1,500,000 1,439,499
Petroliam Nasional 7.125%, due 08/15/05................. 1,500,000 1,479,639
Republic of Italy 6.875%, due 09/27/23.................. 1,500,000 1,348,594
S.E. Banken 144-A 6.625%, due 03/12/01.................. 2,000,000 1,948,200
-----------
9,203,697
-----------
U.S. GOVERNMENT AGENCIES--17.87%
Federal Home Loan Mortgage Corp. 8.250%, due 08/15/23... 1,695,000 1,750,617
Federal Home Loan Mortgage Corp. Gold
8.000%, due 05/01/23................................... 928,443 936,850
9.000%, due 03/01/24................................... 467,845 491,060
9.500%, due 04/01/25................................... 1,530,375 1,625,538
Federal National Mortgage Association
7.000%, due 03/01/03................................... 2,055,000 2,047,294
6.000%, due 12/25/08................................... 2,600,000 2,295,514
6.700%, due 08/25/20................................... 3,860,000 3,619,599
8.000%, due 06/01/24................................... 319,102 321,593
8.000%, due 07/01/24................................... 18,032 18,173
8.000%, due 08/01/24................................... 42,378 42,709
8.000%, due 11/01/24................................... 23,832 24,018
8.000%, due 03/01/25................................... 206,820 208,434
8.000%, due 04/01/25................................... 676,076 681,353
7.500%, due 05/01/25................................... 1,561,833 1,541,810
8.000%, due 05/01/25................................... 1,818,141 1,832,330
8.000%, due 06/01/25................................... 1,540,977 1,553,004
6.000%, due 03/01/26................................... 1,850,000 1,730,314
6.500%, due 03/01/26................................... 603,222 564,196
7.000%, due 03/01/26................................... 4,695,000 4,517,435
Federal National Mortgage Association
Principal Strip 0.000%, due 11/22/01(c)................ 2,400,000 2,343,360
Government National Mortgage Association
11.000%, due 09/15/15.................................. 388,028 434,225
7.750%, due 06/16/20................................... 600,000 613,406
8.000%, due 08/15/22................................... 1,049,680 1,063,965
7.000%, due 06/15/23................................... 430,480 412,854
7.000%, due 07/15/23................................... 451,385 432,903
7.000%, due 09/15/23................................... 99,483 95,410
9.000%, due 07/15/24................................... 194,488 203,482
8.500%, due 11/15/24................................... 186,892 192,147
8.500%, due 01/15/25................................... 408,634 420,124
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
----------- ------------
<S> <C> <C>
9.000%, due 05/15/25................................. $ 507,805 $ 531,288
7.500%, due 06/15/25................................. 2,186,028 2,154,134
8.000%, due 02/15/26................................. 2,489,061 2,522,937
7.500%, due 03/15/26................................. 2,250,000 2,216,936
6.500%, due 03/20/26................................. 1,503,472 1,391,170
------------
40,830,182
------------
U.S. GOVERNMENT OBLIGATIONS--26.73%
U.S. Treasury Notes and Bonds
5.500%, due 11/15/98................................. 6,975,000 6,866,016
6.375%, due 03/31/01................................. 11,785,000 11,729,752
5.750%, due 08/15/03................................. 15,025,000 14,297,219
6.500%, due 05/15/05................................. 8,625,000 8,503,707
8.125%, due 05/15/21................................. 1,480,000 1,667,312
U.S. Treasury Principal Strips
0.000%, due 11/15/04................................. 16,725,000 9,547,132
0.000%, due 05/15/05................................. 9,860,000 5,429,113
0.000%, due 02/15/15................................. 4,990,000 1,348,647
0.000%, due 08/15/15................................. 1,470,000 382,876
0.000%, due 11/15/15................................. 5,240,000 1,338,610
------------
61,110,384
------------
Total U.S. Bonds (Cost $128,481,496).................. 127,399,583
------------
SHORT-TERM INVESTMENTS--6.76%
U.S. GOVERNMENT OBLIGATIONS--0.34%
U.S. Treasury Bills
5.030%, due 11/14/96................................. 15,000 14,715
5.050%, due 11/14/96................................. 55,000 53,951
5.140%, due 11/14/96................................. 710,000 696,213
------------
764,879
------------
COMMERCIAL PAPER--6.42%
Airtouch Communications, Inc. 5.480%, due 07/01/96.... 1,000,000 1,000,000
Dial Corp. 5.550%, due 07/17/96....................... 2,000,000 1,995,067
FMC Corp. 5.480%, due 07/08/96........................ 1,500,000 1,498,401
The Limited, Inc., 5.650%, due 07/01/96............... 2,000,000 2,000,000
Lockheed Martin Corp. 5.630%, due 07/01/96............ 4,216,000 4,216,000
Melville Corp. 5.650%, due 07/01/96................... 2,500,000 2,500,000
PS Colorado Credit Corp. 5.550%, due 07/02/96......... 1,500,000 1,499,769
------------
14,709,237
------------
Total Short-Term Investments (Cost $15,474,116)....... 15,474,116
------------
Total Investments
(Cost $221,129,000)--103.85%(a)...................... 237,403,692
------------
Liabilities, less cash and other assets--(3.85%)...... (8,795,399)
------------
Net Assets--100%...................................... $228,608,293
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
10
<PAGE>
U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $221,129,000; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $18,777,078
Gross unrealized depreciation................................ (2,502,386)
-----------
Net unrealized appreciation................................ $16,274,692
===========
</TABLE>
(b) Non-income producing security
(c) Interest rate 0.00% until 11/01/96, 7.94%, until maturity
MTN: Medium term note
FUTURES CONTRACTS (NOTE 4)
The U.S. Balanced Fund had the following open futures contracts as of June 30,
1996:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST/PROCEEDS VALUE GAIN/(LOSS)
---------- ------------- ----------- -----------
<S> <C> <C> <C> <C>
INTEREST RATE FUTURES
BUY CONTRACTS
5 Year U.S. Treasury
Note, 36 contracts..... Sept. 1996 $ 1,863,625 $ 1,862,031 $(1,594)
10 Year U.S. Treasury
Note, 23 contracts..... Sept. 1996 2,473,937 2,472,500 (1,437)
30 Year U.S. Treasury
Bond, 17 contracts..... Sept. 1996 3,811,125 3,807,000 (4,125)
INDEX FUTURES SALE CON-
TRACTS
Standard & Poors 500, 46
contracts.............. Sept. 1996 15,637,700 15,566,400 71,300
-------
Total................. $64,144
=======
</TABLE>
The aggregate market value of investments pledged to cover margin requirements
for the open futures positions at June 30, 1996 was $764,879.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
11
<PAGE>
U.S. BALANCED FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $221,129,000) (Note 1)............... $237,403,692
Receivables:
Investment securities sold...................................... 9,757,122
Dividends....................................................... 117,126
Interest........................................................ 1,308,008
Fund shares sold................................................ 112,481
Due from Advisor (Note 2)....................................... 116,395
Other assets..................................................... 54,849
------------
TOTAL ASSETS.................................................. 248,869,673
------------
LIABILITIES:
Payables:
Investment securities purchased................................. 19,680,997
Fund shares redeemed............................................ 366,239
Variation margin (Note 4)....................................... 32,031
Accrued expenses................................................ 182,113
------------
TOTAL LIABILITIES............................................. 20,261,380
------------
NET ASSETS........................................................ $228,608,293
============
NET ASSETS CONSIST OF:
Paid in capital (Note 6)......................................... $206,237,387
Accumulated undistributed net investment income.................. 1,459,205
Accumulated net realized gain.................................... 4,572,865
Net unrealized appreciation...................................... 16,338,836
------------
NET ASSETS.................................................... $228,608,293
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $227,828,950 and 19,452,253 shares is-
sued and outstanding) (Note 6)................................. $ 11.71
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of
$779,343 and 66,755 shares issued and outstanding) (Note 6).... $ 11.67
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
12
<PAGE>
U.S. BALANCED FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest.......................................................... $ 8,113,714
Dividends......................................................... 1,870,968
-----------
TOTAL INCOME................................................... 9,984,682
-----------
EXPENSES:
Advisory (Note 2)................................................. 1,465,283
Administration.................................................... 140,841
Custodian......................................................... 76,416
Distribution (Note 5)............................................. 1,205
Other............................................................. 441,819
-----------
TOTAL EXPENSES................................................. 2,125,564
Expenses waived by Advisor (Note 2)............................ (449,752)
-----------
NET EXPENSES................................................... 1,675,812
-----------
NET INVESTMENT INCOME ......................................... 8,308,870
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................................... 8,975,089
Futures contracts................................................ (741,884)
-----------
Net realized gain.............................................. 8,233,205
-----------
Change in net unrealized appreciation or depreciation on:
Investments ..................................................... 8,614,843
Futures contracts................................................ 61,569
-----------
Change in net unrealized appreciation or depreciation.......... 8,676,412
-----------
Net realized and unrealized gain.................................. 16,909,617
-----------
Net increase in net assets resulting from operations.............. $25,218,487
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
13
<PAGE>
U.S. BALANCED FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR DECEMBER 30, 1994*
ENDED THROUGH
JUNE 30, 1996 JUNE 30, 1995
------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 8,308,870 $ 2,935,679
Net realized gain............................ 8,233,205 6,155,398
Change in net unrealized appreciation or de-
preciation.................................. 8,676,412 7,662,424
------------ ------------
Net increase in net assets resulting from op-
erations.................................... 25,218,487 16,753,501
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income:
Brinson Class............................... (7,711,341) (1,993,463)
SwissKey Class.............................. (9,781) --
Distributions from net realized gain:
Brinson Class............................... (9,885,505) --
SwissKey Class.............................. (992) --
------------ ------------
Total distributions to shareholders.......... (17,607,619) (1,993,463)
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................. 81,710,433 154,231,504
Shares issued on reinvestment of distribu-
tions....................................... 17,593,608 1,991,226
Shares redeemed.............................. (36,030,444) (13,268,940)
------------ ------------
Net increase in net assets resulting from
capital share transactions
(Note 6).................................... 63,273,597 142,953,790
------------ ------------
TOTAL INCREASE IN NET ASSETS.............. 70,884,465 157,713,828
------------ ------------
NET ASSETS:
Beginning of period.......................... 157,723,828 10,000
------------ ------------
End of period (including accumulated undis-
tributed net investment income of $1,459,205
and $942,216, respectively)................. $228,608,293 $157,723,828
============ ============
</TABLE>
* Commencement of investment operations
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
14
<PAGE>
U.S. BALANCED FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR DECEMBER 30, 1994*
ENDED THROUGH
BRINSON CLASS JUNE 30, 1996 JUNE 30, 1995
- -------------------------------------------------------------------------------
<S> <C> <C>
Net asset value, beginning of period.......... $ 11.23 $ 10.00
-------- --------
Income from investment operations:
Net investment income....................... 0.44 0.23
Net realized and unrealized gain............ 1.04 1.16
-------- --------
Total income from investment operations... 1.48 1.39
-------- --------
Less distributions:
Distributions from net investment income.... (0.43) (0.16)
Distributions from net realized gain........ (0.57) --
-------- --------
Total distributions....................... (1.00) (0.16)
-------- --------
Net asset value, end of period................ $ 11.71 $ 11.23
======== ========
Total return (non-annualized)................. 13.52% 13.91%
Ratios/Supplemental data
Net assets, end of period (in 000s).......... $227,829 $157,724
Ratio of expenses to average net assets:
Before expense reimbursement................ 1.01% 1.06%**
After expense reimbursement................. 0.80% 0.80%**
Ratio of net investment income to average net
assets:
Before expense reimbursement................ 3.76% 4.36%**
After expense reimbursement................. 3.97% 4.63%**
Portfolio turnover rate...................... 240% 196%
Average commission rate paid per share....... $ 0.0481 N/A
</TABLE>
*Commencement of investment operations
**Annualized
N/A = Not applicable
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
15
<PAGE>
U.S. BALANCED FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
SWISSKEY CLASS JUNE 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period............................. $ 11.38
-------
Income from investment operations:
Net investment income.......................................... 0.42
Net realized and unrealized gain............................... 0.86
-------
Total income from investment operations...................... 1.28
-------
Less distributions:
Distributions from net investment income....................... (0.42)
Distributions from net realized gain........................... (0.57)
-------
Total distributions.......................................... (0.99)
-------
Net asset value, end of period................................... $ 11.67
=======
Total return (non-annualized).................................... 11.54%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $ 779
Ratio of expenses to average net assets:
Before expense reimbursement................................... 1.51%**
After expense reimbursement.................................... 1.30%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................... 3.26%**
After expense reimbursement.................................... 3.47%**
Portfolio turnover rate......................................... 240%
Average commission rate paid per share.......................... $0.0481
</TABLE>
*Commencement of SwissKey Class distribution
**Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
16
<PAGE>
U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
The U.S. Equity Fund is an actively managed portfolio that invests in common
stocks of U.S. corporations. The Fund is diversified by issue and industry; it
is typically 70% invested in large capitalization stocks, with the remaining
30% in intermediate and small capitalization stocks. Investment strategies
emphasize stock selection with attention to the management of factor and
industry exposures.
For the period July 31, 1995 to June 30, 1996, the SwissKey U.S. Equity Fund
provided a total return of 25.70% compared to its benchmark, the Wilshire 5000
Index, return of 21.23%. The total return of the SwissKey U.S. Equity Fund was
10.90% for the first six months of 1996, compared to the 10.27% return for the
Wilshire 5000 Index. The following paragraphs review the sources of excess
returns in the first half of 1996.
Market exposure (average beta of 1.02) modestly benefited Fund relative
performance in the strong equity market environment which characterized the
first half of 1996. However, other broad factor positions were a fairly neutral
influence on results. While there was a positive return to the Fund's lower
than benchmark exposure to both growth and yield, the Fund's tilt toward the
traditional value measures of low price-earnings and price-book proved an
offset. An underweighting in issues with above normal foreign-source earnings
added to results as profit comparisons for multinationals began to suffer from
the strong dollar, as well as some weakness in the European economies.
Industry weightings also had a neutral impact on excess returns calendar year-
to-date. On the positive side, the Fund's low exposure to telephone and
electric utility stocks benefited results due to heightened investor concern
over intensifying competition as well as higher interest rates. Offsetting
these gains were the Fund overweightings in bank and insurance stocks where
relative performance also often varies inversely with interest rates. Among
basic industries, the Fund underweighting in chemicals was an advantage but was
negated by an overweighting in papers and steel. Other positive results
included overweightings in aerospace, cosmetics and leisure stocks, while
negative impacts included the overweightings in railroads and pollution control
and the underweighting in international oil issues.
The overall stock specific influence upon the Fund's active return was
significantly positive in the first six months of 1996. Among large
capitalization issues, the best performers were Citicorp, Sprint, Cigna and
Corning, while the worst were Lockheed Martin, Kimberly Clark, Automatic Data
Processing and Mattel. In the intermediate capitalization segment of the Fund,
the strongest contributors were Allergan, Nextel Communications, Food Lion and
Comverse Technology, while the weakest were Forest Labs, Dial Corp., American
Mobile Satellite and Lyondell Petrochemical.
------------------------------------------------------------
17
<PAGE>
U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months
ended Since
6/30/96 inception*
- ----------------------------------------------
<S> <C> <C>
SWISSKEY U.S. EQUITY FUND 10.90% 25.70%
- ----------------------------------------------
Wilshire 5000 Index 10.27 21.23
- ----------------------------------------------
</TABLE>
*Inception date of the SwissKey U.S. Equity Fund is July 31, 1995.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth any income taxes payable by
in the value of an shareholders on income divi-
investment in the SwissKey dends and capital gain dis-
U.S. Equity Fund and the tributions. Past perfor-
Wilshire 5000 Index if you mance is no guarantee of fu-
had invested $10,000 on July ture results. Share price
31, 1995, and had reinvested and return will vary with
all your income dividends market conditions; investors
and capital gain may realize a gain or loss
distributions through June upon redemption.
30, 1996. No adjustment has
been made for
SWISSKEY U.S. EQUITY FUND
VS. WILSHIRE 5000 INDEX
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
7/31/95 6/30/96
------- -------
SwissKey U.S. Equity Fund $10,000 $12,570
Wilshire 5000 Index $10,000 $12,123
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
------------------------------------------------------------
18
<PAGE>
U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 1996
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals.............................................................. 0.80%
Housing/Paper.......................................................... 3.60
Metals................................................................. 0.35
-----
4.75
Capital Investments
Capital Goods.......................................................... 9.01
Technology............................................................. 4.06
-----
13.07
Consumer
Autos/Durables......................................................... 1.02
Discretionary.......................................................... 7.14
Health: Drugs.......................................................... 7.37
Health: Non-Drugs...................................................... 3.72
Non-Durables........................................................... 10.57
Retail/Apparel......................................................... 4.34
-----
34.16
</TABLE>
*The Fund held a long position in stock index futures on
June 30, 1996 which increased U.S. equity exposure from
96.11% to 98.94% and reduced exposure to Short-Term
investments from 2.86% to 0.03%.
- ------------------------------------------------------------
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1996
<TABLE>
<CAPTION>
Percent of
Net Assets
- --------------------------------------------
<S> <C>
1. Citicorp 5.04%
2. Lockheed Martin Corp. 4.90
3. Chase Manhattan Corp. 4.20
4. Burlington Northern Santa Fe 3.81
5. Enron Corp. 3.71
6. Avon Products, Inc. 3.34
7. Schering Plough Corp. 3.05
8. Kimberly-Clark Corp. 2.91
9. Mattel, Inc. 2.75
10. Aon Corp. 2.61
- --------------------------------------------
</TABLE>
<TABLE>
<S> <C>
Energy.................................................................. 5.20%
Financial
Banks.................................................................. 11.02
Non-Banks.............................................................. 9.93
------
20.95
Services................................................................ 6.47
Transportation.......................................................... 4.86
Utilities............................................................... 3.96
Miscellaneous........................................................... 2.69
------
Total U.S. Equities.................................................. 96.11*
------
SHORT-TERM INVESTMENTS.................................................. 2.86*
------
TOTAL INVESTMENTS.................................................... 98.97
CASH AND OTHER ASSETS,
LESS LIABILITIES ...................................................... 1.03
------
NET ASSETS.............................................................. 100.00%
======
</TABLE>
- --------------- ------------------------------------------------------------
19
<PAGE>
U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
U.S. Equities -- 96.11%
Aetna Life & Casualty Co................................... 33,300 $ 2,380,950
Allergan, Inc.............................................. 55,600 2,182,300
Allstate Corp.............................................. 31,600 1,441,750
Alza Corp. (b)............................................. 54,200 1,483,725
American Mobile Satellite Corp., Inc. (b).................. 5,200 80,600
Aon Corp................................................... 67,700 3,435,775
Automatic Data Processing, Inc............................. 63,600 2,456,550
Avon Products, Inc......................................... 97,600 4,404,200
Bard (C.R.), Inc........................................... 33,600 1,142,400
Beckman Instruments, Inc................................... 21,700 824,600
Biogen, Inc. (b)........................................... 5,000 274,375
Birmingham Steel Corp...................................... 21,700 355,338
Boeing Co.................................................. 14,400 1,254,600
Boston Technology, Inc. (b)................................ 21,700 366,188
Brinker International, Inc. (b)............................ 15,700 235,500
Burlington Northern Santa Fe............................... 62,000 5,014,250
Centerior Energy Co........................................ 45,800 337,775
Chase Manhattan Corp....................................... 78,300 5,529,938
CIGNA Corp................................................. 26,900 3,170,838
Citicorp................................................... 80,300 6,634,787
CMS Energy Corp............................................ 59,300 1,830,887
Coca-Cola Enterprises, Inc................................. 52,000 1,800,500
Comerica, Inc.............................................. 14,900 664,913
Comverse Techonology, Inc. (b)............................. 16,600 506,300
Cooper Cameron Corp. (b)................................... 7,029 307,519
Corning, Inc............................................... 84,800 3,254,200
Dial Corp.................................................. 44,300 1,268,087
EMC Corp./Mass (b)......................................... 61,700 1,149,163
Enron Corp................................................. 119,700 4,892,737
Entergy Corp............................................... 16,500 468,188
Federal Express Corp. (b).................................. 6,200 508,400
Federated Department Stores (b)............................ 57,800 1,972,425
FileNet Corp. (b).......................................... 8,400 306,600
First Data Corp............................................ 16,215 1,291,120
Food Lion, Inc. Class A.................................... 77,100 611,981
Ford Motor Co.............................................. 54,700 1,770,912
Forest Laboratories, Inc. (b).............................. 36,800 1,421,400
Gannett Co., Inc........................................... 36,200 2,561,150
General Instrument Corp. (b)............................... 86,500 2,497,688
Genzyme Corp. (b).......................................... 7,100 356,775
Goodyear Tire & Rubber Co.................................. 65,100 3,141,075
Health Care and Retirement Corp. (b)....................... 29,250 694,687
Honeywell, Inc............................................. 43,800 2,387,100
Inland Steel Industries, Inc............................... 11,000 215,875
Interpublic Group of Companies, Inc........................ 27,000 1,265,625
James River Corp. of Virginia.............................. 31,200 822,900
Kimberly-Clark Corp........................................ 49,600 3,831,600
Kroger Co. (b)............................................. 22,800 900,600
Lockheed Martin Corp....................................... 76,900 6,459,600
Lyondell Petrochemical Co.................................. 59,300 1,430,613
Magna Group, Inc........................................... 9,300 223,200
Manor Care, Inc............................................ 35,500 1,397,812
Mattel, Inc................................................ 126,375 3,617,484
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Melville Corp........................................... 73,700 $ 2,984,850
Nabisco Holdings Corp. Class A.......................... 6,000 212,250
National Semiconductor Corp. (b)........................ 63,200 979,600
Nextel Communications, Inc. Class A (b)................. 54,600 1,040,812
Old Republic International Corp......................... 31,550 682,269
Owens Illinois, Inc. (b)................................ 48,500 776,000
Pentair, Inc............................................ 25,500 765,000
Pfizer, Inc............................................. 3,700 264,087
Philip Morris Companies, Inc............................ 11,600 1,206,400
RJR Nabisco Convertible Preferred "C"................... 176,600 1,147,900
RJR Nabisco Holdings Corp............................... 18,740 580,940
Schering Plough Corp.................................... 64,000 4,016,000
Seagate Technology, Inc. (b)............................ 16,900 760,500
Sprint Corp............................................. 42,300 1,776,600
State Street Boston Corp................................ 13,000 663,000
Timken Co............................................... 15,100 585,125
Transamerica Corp....................................... 15,100 1,234,425
Tyson Foods, Inc. Class A............................... 45,000 1,231,875
Ultramar Corp........................................... 23,700 687,300
US Bancorp.............................................. 37,000 1,336,625
USF&G Corp.............................................. 49,200 805,650
Westvaco Corp........................................... 13,000 388,375
Whitman Corp............................................ 22,800 550,050
WMX Technologies, Inc................................... 68,900 2,256,475
York International Corp................................. 7,500 388,125
360 Communications Co. (b).............................. 18,833 451,992
------------
Total U.S. Equities (Cost $108,987,744)................. 126,607,780
------------
<CAPTION>
FACE
AMOUNT VALUE
---------- ------------
<S> <C> <C>
Short-Term Investments -- 2.86%
U.S. GOVERNMENT OBLIGATIONS -- 0.22%
U.S. Treasury Bills 5.300%, due 11/14/96................ $ 300,000 $ 293,993
------------
COMMERCIAL PAPER -- 2.64%
Airtouch Communications, Inc.
5.480%, due 07/01/96................................... 1,000,000 1,000,000
FMC Corp. 5.480%, due 07/08/96.......................... 250,000 249,734
Kerr-McGee Credit Corp. 5.500%, due 07/09/96............ 250,000 249,694
The Limited, Inc. 5.650%, due 07/01/96.................. 1,000,000 1,000,000
Lockheed Martin Corp. 5.630%, due 07/01/96.............. 971,000 971,000
------------
3,470,428
------------
Total Short-Term Investments
(Cost $3,764,421)...................................... 3,764,421
------------
Total Investments
(Cost $112,752,165) -- 98.97% (a)...................... 130,372,201
------------
Cash and other assets, less liabilities -- 1.03%........ 1,356,544
------------
Net Assets -- 100%...................................... $131,728,745
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
20
<PAGE>
U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $112,752,165; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $18,765,809
Gross unrealized depreciation................................ (1,145,773)
-----------
Net unrealized appreciation................................ $17,620,036
===========
</TABLE>
(b) Non-income producing security
FUTURES CONTRACTS (NOTE 4)
The U.S. Equity Fund had the following open index futures contracts as of June
30, 1996:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE (LOSS)
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CONTRACTS
Standard & Poors 500, 11 con-
tracts...................... Sept. 1996 $3,725,175 $3,722,400 $(2,775)
=======
</TABLE>
The aggregate market value of investments pledged to cover margin requirements
for the open futures positions at
June 30, 1996 was $293,993.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
21
<PAGE>
U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $112,752,165) (Note 1) .............. $130,372,201
Cash............................................................. 279,476
Receivables:
Investment securities sold...................................... 1,259,417
Dividends....................................................... 157,089
Variation margin (Note 4)....................................... 20,625
Fund shares sold................................................ 147,035
Due from Advisor (Note 2)....................................... 3,743
Other assets..................................................... 53,198
------------
TOTAL ASSETS.................................................. 132,292,784
------------
LIABILITIES:
Payables:
Investment securities purchased................................. 472,332
Accrued expenses................................................ 91,707
------------
TOTAL LIABILITIES............................................. 564,039
------------
NET ASSETS........................................................ $131,728,745
============
NET ASSETS CONSIST OF:
Paid in capital (Note 6)......................................... $107,348,442
Accumulated undistributed net investment income.................. 216,006
Accumulated net realized gain.................................... 6,547,036
Net unrealized appreciation...................................... 17,617,261
------------
NET ASSETS.................................................... $131,728,745
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $126,341,709 and 8,659,822 shares is-
sued and outstanding) (Note 6)................................. $ 14.59
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $5,387,036 and 369,425 shares issued
and outstanding) (Note 6)...................................... $ 14.58
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
22
<PAGE>
U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends......................................................... $ 1,833,948
Interest.......................................................... 234,616
-----------
TOTAL INCOME................................................... 2,068,564
-----------
EXPENSES:
Advisory (Note 2)................................................. 638,063
Accounting........................................................ 71,226
Transfer Agent.................................................... 61,038
Administration.................................................... 58,286
Professional...................................................... 57,786
Custodian......................................................... 44,117
Distribution (Note 5)............................................. 6,178
Other............................................................. 110,440
-----------
TOTAL EXPENSES................................................. 1,047,134
Expenses waived by Advisor (Note 2)............................ (311,741)
-----------
NET EXPENSES................................................... 735,393
-----------
NET INVESTMENT INCOME.......................................... 1,333,171
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments...................................................... 7,340,103
Futures contracts................................................ 486,290
-----------
Net realized gain ............................................. 7,826,393
-----------
Change in net unrealized appreciation or depreciation on:
Investments ..................................................... 13,381,838
Futures contracts ............................................... (24,600)
-----------
Change in net unrealized appreciation or depreciation.......... 13,357,238
-----------
Net realized and unrealized gain ................................. 21,183,631
-----------
Net increase in net assets resulting from operations.............. $22,516,802
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
23
<PAGE>
U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
JUNE 30, 1996 JUNE 30, 1995
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................. $ 1,333,171 $ 440,023
Net realized gain ................................ 7,826,393 552,822
Change in net unrealized appreciation or deprecia-
tion ............................................ 13,357,238 4,476,351
------------ -----------
Net increase in net assets resulting from opera-
tions............................................ 22,516,802 5,469,196
------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income:
Brinson Class................................... (1,233,245) (318,699)
SwissKey Class.................................. (17,809) --
Distributions from net realized gain:
Brinson Class................................... (1,764,213) (47,930)
SwissKey Class.................................. (2,611) --
------------ -----------
Total distributions to shareholders............... (3,017,878) (366,629)
------------ -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold....................................... 71,976,805 30,972,427
Shares issued on reinvestment of distributions.... 2,944,272 349,100
Shares redeemed................................... (5,264,717) (2,050,830)
------------ -----------
Net increase in net assets resulting from capital
share transactions (Note 6)...................... 69,656,360 29,270,697
------------ -----------
TOTAL INCREASE IN NET ASSETS................... 89,155,284 34,373,264
------------ -----------
NET ASSETS:
Beginning of year................................. 42,573,461 8,200,197
------------ -----------
End of year (including accumulated undistributed
net investment income of $216,006 and $133,889,
respectively).................................... $131,728,745 $42,573,461
============ ===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
24
<PAGE>
U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR YEAR FEBRUARY 22, 1994*
ENDED ENDED THROUGH
BRINSON CLASS JUNE 30, 1996 JUNE 30, 1995 JUNE 30, 1994
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of
period......................... $ 11.53 $ 9.65 $10.00
-------- ------- ------
Income from investment opera-
tions:
Net investment income......... 0.17 0.16 0.05
Net realized and unrealized
gain (loss).................. 3.31 1.89 (0.36)
-------- ------- ------
Total income (loss) from in-
vestment operations........ 3.48 2.05 (0.31)
-------- ------- ------
Less distributions:
Distributions from net invest-
ment income.................. (0.17) (0.14) (0.04)
Distributions from net real-
ized gain.................... (0.25) (0.03) --
-------- ------- ------
Total distributions......... (0.42) (0.17) (0.04)
-------- ------- ------
Net asset value, end of period.. $ 14.59 $ 11.53 $ 9.65
======== ======= ======
Total return (non-annualized)... 30.57% 21.45% (3.10%)
Ratios/Supplemental data
Net assets, end of period (in
000s)......................... $126,342 $42,573 $8,200
Ratio of expenses to average
net assets:
Before expense reimbursement.. 1.14% 1.70% 5.40% **
After expense reimbursement... 0.80% 0.80% 0.80% **
Ratio of net investment income
to average net assets:
Before expense reimbursement.. 1.13% 1.09% (2.82%)**
After expense reimbursement... 1.47% 1.99% 1.78% **
Portfolio turnover rate........ 36% 33% 9%
Average commission rate paid
per share..................... $ 0.0457 N/A N/A
</TABLE>
*Commencement of investment operations
**Annualized
N/A = Not applicable
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
25
<PAGE>
U.S. EQUITY FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
SWISSKEY CLASS JUNE 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period............................. $ 11.94
-------
Income from investment operations:
Net investment income.......................................... 0.10
Net realized and unrealized gain............................... 2.92
-------
Total income from investment operations...................... 3.02
-------
Less distributions:
Distributions from net investment income....................... (0.13)
Distributions from net realized gain........................... (0.25)
-------
Total distributions.......................................... (0.38)
-------
Net asset value, end of period................................... $ 14.58
=======
Total return (non-annualized).................................... 25.70%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $ 5,387
Ratio of expenses to average net assets:
Before expense reimbursement................................... 1.66%**
After expense reimbursement.................................... 1.32%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................... 0.61%**
After expense reimbursement.................................... 0.95%**
Portfolio turnover rate......................................... 36%
Average commission rate paid per share.......................... $0.0457
</TABLE>
*Commencement of SwissKey Class distribution
**Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
26
<PAGE>
U.S. BOND FUND
- --------------------------------------------------------------------------------
LOGO
The U.S. Bond Fund is an
actively managed portfolio
of debt securities selected
from a wide range of
maturities and market
sectors. We believe markets
do not always efficiently
price fixed income
securities and that a
fundamental value-based
investment process can
increase portfolio returns.
Our fixed income strategies
combine judgments about the
absolute value of the fixed
income universe and the
relative value of issuer
sectors, maturity intervals,
quality and coupon segments
and specific fixed income
securities.
The SwissKey U.S. Bond Fund
produced a return of 3.24%
since its inception on
August 31, 1995 compared to
the Salomon Brothers
Broad Investment Grade (BIG)
Bond Index return of 4.00%.
In the first half of 1996,
the Fund returned -1.94%
compared to the Benchmark
return of -1.25%.
In January 1996 the Federal
Reserve cut the overnight
funds target rate from 5.50%
to 5.25% where it remained
throughout the first half of
the year. In spite of that
drop in short-term interest
rates, intermediate and
long-term interest rates
rose sharply in the first
half of 1996. Higher rates
of utilization in product
and labor markets gave rise
to heightened investor
concerns about inflation and
possible increases in
overnight funds rates, while
rising equity market prices
drew investors away from
fixed income securities. By
June 30th the yields on
intermediate and long-term
U.S. bonds were about 100
basis points above the
levels of six months
earlier.
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of June 30, 1996
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. BONDS
Corporate Bonds
Asset-backed........................................................... 2.06%
CMO.................................................................... 2.44
Financial.............................................................. 12.26
Telecommunications..................................................... 2.40
Transportation......................................................... 1.01
------
Total U.S. Corporate Bonds........................................... 20.17
U.S. Government Agencies................................................ 30.42
U.S. Government Obligations............................................. 42.21
International Dollar Bonds.............................................. 4.13
------
Total U.S. Bonds..................................................... 96.93
------
SHORT-TERM INVESTMENTS.................................................. 10.74
------
TOTAL INVESTMENTS.................................................... 107.67
LIABILITIES, LESS
CASH AND OTHER ASSETS.................................................. (7.67)
------
NET ASSETS.............................................................. 100.00%
======
</TABLE>
------------------------------------------------------------
27
<PAGE>
U.S. BOND FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months
ended Since
6/30/96 Inception*
- -----------------------------------------------------------------------------
<S> <C> <C>
SWISSKEY U.S. BOND FUND -1.94% 3.24%
- -----------------------------------------------------------------------------
Salomon Brothers Broad Investment Grade (BIG) Bond Index -1.25 4.00
- -----------------------------------------------------------------------------
</TABLE>
*Inception date of the SwissKey U.S. Bond Fund is August 31, 1995.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth any income taxes payable by
in the value of an shareholders on income
investment in the SwissKey dividends and capital gain
U.S. Bond Fund and the distributions. Past
Salomon Brothers Broad performance is no guarantee
Investment Grade (BIG) Bond of future results. Share
Index if you had invested price and return will vary
$10,000 on August 31, 1995, with market conditions;
and had reinvested all your investors may realize a gain
income dividends and capital or loss upon redemption.
gain distributions through
June 30, 1996. No adjustment
has been made for
SWISSKEY U.S. BOND FUND
VS. SALOMON BROTHERS BIG BOND INDEX
Wealth Value with Dividends Reinvested
[CHART APPEARS HERE]
8/31/95 6/30/96
------- -------
SwissKey U.S. Bond Fund $10,000 $10,324
Salomon Brothers BIG Bond Index $10,000 $10,400
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
------------------------------------------------------------
28
<PAGE>
U.S. BOND FUND -- SCHEDULE OF INVESTMENTS
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
---------- -----------
<S> <C> <C>
Bonds -- 96.93%
U.S. CORPORATE BONDS -- 20.17%
American Express Credit Account Master Trust 96-1A
6.800%, due 12/15/03................................... $ 100,000 $ 100,430
Capital One Bank 6.830%, due 05/17/99................... 185,000 184,600
Citicorp Mortgage Securities 5.750%, due 06/25/09....... 87,336 71,830
Countrywide Funding FRN 6.600%, due 12/01/03............ 250,000 239,687
Dayton Hudson Credit Card 95-1 6.100%, due 02/25/02..... 100,000 99,548
Delta Air Lines 10.060%, due 01/02/16................... 85,000 98,228
GMAC MTN 7.450%, due 06/05/97........................... 250,000 252,953
Green Tree Financial 94-2 8.300%, due 05/15/19.......... 160,000 164,203
Lehman Brothers Holdings 7.250%, due 04/15/03........... 225,000 222,265
News America Corp. 7.750%, due 01/20/24................. 250,000 232,066
Salomon, Inc., 6.750%, due 02/15/03..................... 300,000 287,344
-----------
1,953,154
-----------
INTERNATIONAL DOLLAR BONDS -- 4.13%
Hanson PLC Notes 6.750%, due 09/15/05................... 100,000 95,896
Republic of Italy 6.875%, due 09/27/23.................. 250,000 225,313
Royal Bank of Scotland 7.375%, due 04/01/06............. 80,000 78,120
-----------
399,329
-----------
U.S. GOVERNMENT AGENCIES -- 30.42%
Federal Home Loan Mortgage Corp.
5.800%, due 08/15/19................................... 330,000 297,191
8.250%, due 08/15/23................................... 220,000 227,219
Federal Home Loan Mortgage Corp. Gold
6.000%, due 06/01/03................................... 115,000 110,616
6.000%, due 03/01/11................................... 245,000 231,525
8.000%, due 11/01/22................................... 76,410 77,329
Federal National Mortgage Association...................
7.500%, due 05/01/25................................... 222,457 219,605
6.500%, due 02/01/26................................... 134,433 125,695
6.500%, due 03/01/26................................... 350,322 327,658
7.000%, due 03/01/26................................... 395,000 380,061
Federal National Mortgage Association Principal Strip
0.000%, due 11/22/01(b)................................ 200,000 195,280
Government National Mortgage Association
9.000%, due 12/15/17................................... 74,394 78,717
7.500%, due 12/15/22................................... 432,167 428,904
7.500%, due 06/15/25................................... 137,775 135,765
6.500%, due 03/20/26................................... 119,481 110,556
-----------
2,946,121
-----------
</TABLE>
See accompanying notes to financial statements.
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
---------- -----------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS -- 42.21%
U.S. Treasury Notes and Bonds
5.500%, due 11/15/98................................... $ 205,000 $ 201,797
6.375%, due 03/31/01................................... 1,275,000 1,269,023
6.250%, due 02/15/03................................... 100,000 98,187
5.750%, due 08/15/03................................... 240,000 228,375
6.500%, due 05/15/05................................... 1,065,000 1,050,023
8.125%, due 05/15/21................................... 380,000 428,093
U.S. Treasury Principal Strips
0.000%, due 11/15/04................................... 820,000 468,081
0.000%, due 02/15/15................................... 480,000 129,730
0.000%, due 08/15/15................................... 820,000 213,577
-----------
4,086,886
-----------
Total U.S. Bonds (Cost $9,531,753)...................... 9,385,490
-----------
Short-Term Investments -- 10.74%
COMMERCIAL PAPER -- 10.74%
FMC Corp. 5.480%, due 07/08/96.......................... 300,000 299,681
The Limited, Inc. 5.650%, due 07/01/96.................. 400,000 400,000
Melville Corp. 5.650%, due 07/01/96..................... 340,000 340,000
-----------
Total Short-Term Investments
(Cost $1,039,681)...................................... 1,039,681
-----------
Total Investments
(Cost $10,571,434) -- 107.67%(a)....................... 10,425,171
-----------
Liabilities, less cash and other assets --(7.67%)....... (742,637)
-----------
Net Assets -- 100%...................................... $ 9,682,534
===========
</TABLE>
(a) Aggregate cost for federal income tax purposes was $10,571,434; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized ap-
preciation......... $ 22,490
Gross unrealized de-
preciation......... (168,753)
---------
Net unrealized de-
preciation........ $(146,263)
=========
</TABLE>
(b) Interest rate 0.00% until 11/01/96, 7.94% until maturity.
FRN:Floating rate note--The rate disclosed is that in effect at June 30, 1996.
MTN: Medium term note
- --------------------------------------------------------------------------------
29
<PAGE>
U.S. BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $10,571,434) (Note 1)................ $10,425,171
Cash............................................................. 46,542
Receivables:
Investment securities sold...................................... 422,924
Interest........................................................ 92,192
Due from Advisor (Note 2)....................................... 55,316
Other assets..................................................... 15,501
-----------
TOTAL ASSETS.................................................. 11,057,646
-----------
LIABILITIES:
Payables:
Investment securities purchased................................. 1,311,852
Accrued expenses................................................ 63,260
-----------
TOTAL LIABILITIES............................................. 1,375,112
-----------
NET ASSETS........................................................ $ 9,682,534
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 6)......................................... $ 9,770,407
Accumulated undistributed net investment income.................. 90,190
Accumulated net realized loss.................................... (31,800)
Net unrealized depreciation ..................................... (146,263)
-----------
NET ASSETS.................................................... $ 9,682,534
===========
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $9,046,722 and 911,170 shares issued
and outstanding) (Note 6)...................................... $ 9.93
===========
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $635,812 and 64,124 shares issued and
outstanding) (Note 6).......................................... $ 9.92
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
30
<PAGE>
U.S. BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD AUGUST 31, 1995* TO JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................ $ 503,035
---------
TOTAL INCOME..................................................... 503,035
---------
EXPENSES:
Registration........................................................ 47,508
Professional........................................................ 44,175
Transfer Agent...................................................... 41,400
Advisory (Note 2)................................................... 37,868
Accounting.......................................................... 34,335
Printing............................................................ 29,262
Custodian........................................................... 25,029
Distribution (Note 5)............................................... 1,363
Other............................................................... 16,080
---------
TOTAL EXPENSES................................................... 277,020
Expenses waived and reimbursed by Advisor (Note 2)............... (230,216)
---------
NET EXPENSES..................................................... 46,804
---------
NET INVESTMENT INCOME ........................................... 456,231
---------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss................................................... (11,035)
Change in net unrealized appreciation or depreciation............... (146,263)
---------
Net realized and unrealized loss.................................... (157,298)
---------
Net increase in net assets resulting from operations................ $ 298,933
=========
</TABLE>
*Commencement of investment operations
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
31
<PAGE>
U.S. BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD AUGUST 31, 1995* TO JUNE 30, 1996
<TABLE>
<S> <C>
OPERATIONS:
Net investment income............................................ $ 456,231
Net realized loss................................................ (11,035)
Change in net unrealized appreciation or depreciation............ (146,263)
-----------
Net increase in net assets resulting from operations............. 298,933
-----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income:
Brinson Class................................................... (350,335)
SwissKey Class.................................................. (13,132)
Distributions in excess of net realized gain:
Brinson Class................................................... (23,071)
SwissKey Class.................................................. (268)
-----------
Total distributions to shareholders.............................. (386,806)
-----------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................................... 10,200,031
Shares issued on reinvestment of distributions................... 386,807
Shares redeemed.................................................. (867,431)
-----------
Net increase in net assets resulting from capital share transac-
tions (Note 6).................................................. 9,719,407
-----------
TOTAL INCREASE IN NET ASSETS.................................. 9,631,534
-----------
NET ASSETS:
Beginning of period.............................................. 51,000
-----------
End of period (including accumulated undistributed net investment
income of $90,190).............................................. $ 9,682,534
===========
</TABLE>
* Commencement of investment operations
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
32
<PAGE>
U.S. BOND FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
AUGUST 31, 1995*
THROUGH
BRINSON CLASS JUNE 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period........................... $10.00
------
Income from investment operations:
Net investment income........................................ 0.50
Net realized and unrealized loss............................. (0.14)
------
Total income from investment operations.................... 0.36
------
Less distributions:
Distributions from net investment income..................... (0.40)
Distributions in excess of net realized gain................. (0.03)
------
Total distributions........................................ (0.43)
------
Net asset value, end of period................................. $ 9.93
======
Total return (non-annualized).................................. 3.60%
Ratios/Supplemental data
Net assets, end of period (in 000s)........................... $9,047
Ratio of expenses to average net assets:
Before expense reimbursement................................. 3.63%**
After expense reimbursement.................................. 0.60%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................. 3.00%**
After expense reimbursement.................................. 6.03%**
Portfolio turnover rate....................................... 363%
</TABLE>
*Commencement of investment operations
**Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
33
<PAGE>
U.S. BOND FUND -- FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
AUGUST 31, 1995*
THROUGH JUNE 30,
SWISSKEY CLASS 1996
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period........................... $10.00
------
Income from investment operations:
Net investment income........................................ 0.46
Net realized and unrealized loss............................. (0.13)
------
Total income from investment operations.................... 0.33
------
Less distributions:
Distributions from net investment income..................... (0.38)
Distributions in excess of net realized gain................. (0.03)
------
Total distributions........................................ (0.41)
------
Net asset value, end of period................................. $ 9.92
======
Total return (non-annualized).................................. 3.24%
Ratios/Supplemental data
Net assets, end of period (in 000s)........................... $636
Ratio of expenses to average net assets:
Before expense reimbursement................................. 4.10%**
After expense reimbursement.................................. 1.07%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................. 2.53%**
After expense reimbursement.................................. 5.56%**
Portfolio turnover rate....................................... 363%
</TABLE>
*Commencement of investment operations
**Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
34
<PAGE>
THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1.SIGNIFICANT ACCOUNTING POLICIES
The Brinson Funds (the "Trust") is an open-end, management investment company
registered under the Investment Company Act of 1940, as amended, as a series
company. The Trust currently offers shares of seven series: Global Fund, Global
Equity Fund, Global Bond Fund, U.S. Balanced Fund, U.S. Equity Fund, U.S. Bond
Fund, and Non-U.S. Equity Fund. Each Fund has two classes of shares
outstanding, Brinson Class and SwissKey Class. There are an unlimited number of
shares of each class with par value of $0.001 authorized. Each share represents
an identical interest in the investments of the Funds and has the same rights.
The following is a summary of significant accounting policies consistently
followed by the U.S. Balanced Fund, U.S. Equity Fund and U.S. Bond Fund (each a
"Fund," collectively the "Funds") in the preparation of their financial
statements.
A.INVESTMENT VALUATION: Securities for which market quotations are readily
available are valued at the last available sales price on the exchange or
market on which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which such securities are
principally traded. Securities for which market quotations are not readily
available, including restricted securities which are subject to limitations on
their sale, are valued at fair value as determined in good faith by or under
the direction of the Trust's Board of Trustees. Fixed income/debt securities
are valued using market quotations or independent services that use prices
provided by market makers or estimates of market values obtained from yield
data relating to instruments or securities with similar characteristics.
Futures contracts are valued at the settlement price established each day on
the exchange on which they are traded. Short-term obligations with a maturity
of 60 days or less are valued at amortized cost, which approximates market
value.
B.INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade
date basis. Gains and losses on securities sold are determined on an identified
cost basis.
C.INVESTMENT INCOME: Interest income, which includes the amortization of
premiums and discounts, is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date.
D.FEDERAL INCOME TAXES: It is the policy of the Funds to comply with all
requirements of the Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute substantially all of their taxable
income to their shareholders. The Funds have met the requirements of the Code
applicable to regulated investment companies for the period ended June 30,
1996, therefore, no federal income tax provision was required.
E.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Funds to distribute
their respective net investment income on a semi-annual basis and net capital
gains, if any, annually. Distributions to shareholders are recorded on the ex-
dividend date. Income and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. Differences in dividends per share between the classes
are due to distribution expenses. Amounts equal to 12.96% and 38.62% of the
amount taxable as ordinary income qualify for the dividends received deduction
available to corporate shareholders for the U.S. Balanced Fund and the U.S.
Equity Fund, respectively.
F.INCOME AND EXPENSE ALLOCATIONS: All income earned and expenses incurred by
the Funds will be borne on a pro rata basis by each of the classes, except that
the Brinson Class will not incur any of the distribution expenses.
G.USE OF ESTIMATES: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the amounts reported in the financial statements
and accompanying notes. Actual results may differ from those estimates.
- --------------------------------------------------------------------------------
35
<PAGE>
THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
2.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Brinson Partners, Inc. (the "Advisor"), a registered investment advisor,
provides the Funds with investment management services. As compensation for
these services, each Fund pays the Advisor a monthly fee based on the Fund's
respective average daily net assets. The Advisor has agreed to waive its fees
and reimburse each Fund to the extent total annualized expenses exceed a
specified percentage of each Fund's respective average daily net assets.
Investment advisory fees and other transactions with affiliates for the period
ended June 30, 1996, were as follows:
<TABLE>
<CAPTION>
BRINSON SWISSKEY
CLASS CLASS
ADVISORY EXPENSE EXPENSE ADVISORY FEES WAIVED
FEE CAP CAP FEES AND/OR REIMBURSED
-------- ------- -------- ---------- -----------------
<S> <C> <C> <C> <C> <C>
U.S. Balanced Fund....... 0.70% 0.80% 1.30% $1,465,283 $449,752
U.S. Equity Fund......... 0.70 0.80 1.32 638,063 311,741
U.S. Bond Fund........... 0.50 0.60 1.07 37,868 230,216
</TABLE>
Certain officers of the Funds are also officers of the Advisor. All officers
serve without direct compensation from the Funds. Trustees' fees paid to
unaffiliated trustees were $7,319, $5,128 and $2,822 for the U.S. Balanced
Fund, U.S. Equity Fund, and U.S. Bond Fund, respectively.
3.INVESTMENT TRANSACTIONS
Investment transactions for the period ended June 30, 1996, excluding short-
term investments, were as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
U.S. Balanced Fund.................................... $518,922,718 $457,531,085
U.S. Equity Fund...................................... 96,973,632 31,250,356
U.S. Bond Fund........................................ 41,821,403 32,173,225
</TABLE>
4.FUTURES CONTRACTS
The Funds may purchase or sell exchange-traded futures contracts, which are
contracts that obligate the Funds to make or take delivery of a financial
instrument or the cash value of a securities index at a specified future date
at a specified price. The Funds enter into such contracts to hedge a portion of
their portfolio. Risks of entering into futures contracts include the
possibility that there may be an illiquid market or that a change in the value
of the contract may not correlate with changes in the value of the underlying
securities. Upon entering into a futures contract, the Funds are required to
deposit either cash or securities (initial margin). Subsequent payments
(variation margin) are made or received by the Funds, generally on a daily
basis. The variation margin payments are equal to the daily changes in the
contract value and are recorded as unrealized gains or losses. The Funds
recognize a realized gain or loss when the contract is closed or expires. The
statement of operations reflects net realized and net unrealized gains and
losses on these contracts.
5.DISTRIBUTION PLAN
The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plan governs payments made for
the expenses incurred in the promotion and distribution of the SwissKey Class
of shares. Annual fees under the Plan, which include a 0.25% service fee, total
0.50%, 0.52% and 0.47% of the average daily net assets of the SwissKey Class of
the U.S. Balanced Fund, U.S. Equity Fund and U.S. Bond Fund, respectively.
- --------------------------------------------------------------------------------
36
<PAGE>
THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
6.CAPITAL TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
U.S. BALANCED FUND
---------------------------------------------
YEAR ENDED PERIOD ENDED
JUNE 30, 1996 JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class................... 6,944,846 $80,934,038 15,121,050 $154,231,504
SwissKey Class.................. 67,290 776,395 -- --
--------- ----------- ---------- ------------
Total Sales................... 7,012,136 $81,710,433 15,121,050 $154,231,504
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class................... 1,540,774 $17,588,758 178,265 $ 1,991,226
SwissKey Class.................. 422 4,850 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment... 1,541,196 $17,593,608 178,265 $ 1,991,226
========= =========== ========== ============
Redemptions:
Brinson Class................... 3,073,501 $36,019,481 1,260,181 $ 13,268,940
SwissKey Class.................. 957 10,963 -- --
--------- ----------- ---------- ------------
Total Redemptions............. 3,074,458 $36,030,444 1,260,181 $ 13,268,940
========= =========== ========== ============
<CAPTION>
U.S. EQUITY FUND
---------------------------------------------
YEAR ENDED YEAR ENDED
JUNE 30, 1996 JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class................... 5,125,613 $66,685,850 3,011,049 $ 30,972,427
SwissKey Class.................. 375,655 5,290,955 -- --
--------- ----------- ---------- ------------
Total Sales................... 5,501,268 $71,976,805 3,011,049 $ 30,972,427
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class................... 222,497 $ 2,935,334 33,507 $ 349,100
SwissKey Class.................. 644 8,938 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment... 223,141 $ 2,944,272 33,507 $ 349,100
========= =========== ========== ============
Redemptions:
Brinson Class................... 380,602 $ 5,174,675 202,160 $ 2,050,830
SwissKey Class.................. 6,874 90,042 -- --
--------- ----------- ---------- ------------
Total Redemptions............. 387,476 $ 5,264,717 202,160 $ 2,050,830
========= =========== ========== ============
<CAPTION>
U.S. BOND FUND
---------------------
PERIOD ENDED
JUNE 30, 1996
---------------------
SHARES VALUE
--------- -----------
<S> <C> <C> <C> <C>
Sales:
Brinson Class................... 953,454 $ 9,550,552
SwissKey Class.................. 63,717 649,479
--------- -----------
Total Sales................... 1,017,171 $10,200,031
========= ===========
Dividend Reinvestment:
Brinson Class................... 37,309 $ 373,407
SwissKey Class.................. 1,362 13,400
--------- -----------
Total Dividend Reinvestment... 38,671 $ 386,807
========= ===========
Redemptions:
Brinson Class................... 84,593 $ 856,547
SwissKey Class.................. 1,055 10,884
--------- -----------
Total Redemptions............. 85,648 $ 867,431
========= ===========
</TABLE>
- --------------------------------------------------------------------------------
37
<PAGE>
REPORT OF INDEPENDENT AUDITORS
- --------------------------------------------------------------------------------
The Board of Trustees and Shareholders
The Brinson Funds --
U.S. Balanced Fund
U.S. Equity Fund
U.S. Bond Fund
We have audited the accompanying statements of assets and liabilities,
including the schedule of investments, of The Brinson Funds--U.S. Balanced
Fund, U.S. Equity Fund and U.S. Bond Fund as of June 30, 1996, the related
statements of operations and changes in net assets and the financial highlights
for 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. Our procedures included confirmation of securities owned as of June
30, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
Brinson Funds--U.S. Balanced Fund, U.S. Equity Fund and U.S. Bond Fund at June
30, 1996, the results of their operations and the changes in their net assets
and the financial highlights for the periods indicated therein, in conformity
with generally accepted accounting principles.
/s/ Ernst & Young LLP
ERNST & YOUNG LLP
Chicago, Illinois
August 9, 1996
- --------------------------------------------------------------------------------
38
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS
- --------------------------------------------------------------------------------
A Special Meeting of Shareholders was held on February 16, 1996. At the
meeting, shareholders of the Funds were asked to consider and act upon
amendments to the Trust's fundamental investment policies to (1) permit each
Fund to invest in affiliated investment companies; and (2) permit each Fund to
enter into forward foreign currency transactions for non-hedging purposes.
The results of all matters voted on by shareholders of the Funds at the Special
Meeting held on February 16, 1996, were as follows:
A.AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO PERMIT EACH FUND
TO INVEST IN AFFILIATED INVESTMENT COMPANIES:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
---------- --------- ----------
<S> <C> <C> <C>
U. S. Balanced Fund ............................ 14,907,986 -0- -0-
U. S. Equity Fund............................... 5,340,548 -0- -0-
U. S. Bond Fund................................. 880,287 -0- -0-
B.AMENDMENT TO THE TRUST'S FUNDAMENTAL INVESTMENT POLICIES TO PERMIT EACH FUND
TO ENTER INTO FORWARD FOREIGN CURRENCY TRANSACTIONS FOR NON-HEDGING
PURPOSES:
<CAPTION>
FOR AGAINST ABSTAIN
---------- --------- ----------
<S> <C> <C> <C>
U. S. Balanced Fund............................. 1,006,826 -0- 13,901,160
U. S. Equity Fund............................... 4,225,480 1,115,068 -0-
U. S. Bond Fund................................. 880,287 -0- -0-
</TABLE>
- --------------------------------------------------------------------------------
39
<PAGE>
DISTRIBUTED BY:
FUND/PLAN BROKER SERVICES, INC.
2 W. ELM STREET
CONSHOHOCKEN, PA 19428
This report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution to prospective investors in the
Funds unless preceded or accompanied by an effective Prospectus which includes
details regarding the Funds' objectives, policies, expenses and other
information.
- --------------------------------------------------------------------------------
<PAGE>
LOGO
10 East 50th Street, New York, New York 10022 . Tel: (800) SWISSKEY
