<PAGE>
-----------------------------
THE BRINSON FUNDS
BRINSON U.S. BALANCED FUND
BRINSON U.S. EQUITY FUND
BRINSON U.S. BOND FUND
SEMI-ANNUAL REPORT
DECEMBER 31, 1995
GLOBAL INSTITUTIONAL ASSET MANAGEMENT
-----------------------------
CHICAGO.BASEL.LONDON.MELBOURNE.NEW YORK.PARIS.SINGAPORE.SYDNEY.TOKYO
<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......................................................30
Financial Statements.........................................................31
Financial Highlights.........................................................34
The Brinson Funds--Notes to Financial Statements..............................36
-------------------------------------------------------------
3
<PAGE>
SHAREHOLDER LETTER
- --------------------------------------------------------------------------------
LOGO
February 22, 1996
Dear Shareholder:
We appreciate the confidence you have placed in us and are pleased to present
you with the December 31, 1995 Semi- Annual Report for the U.S. Balanced Fund,
the U.S. Equity Fund and the U.S. Bond Fund. This Report presents our current
U.S. economic and market outlook, as well as the Funds' recent investment
strategies and performance. To summarize this information:
U.S. Balanced Fund
The Brinson U.S. Balanced Fund paid a dividend of $0.851 per share on December
29, 1995 to shareholders of record on December 20, 1995.
For the period from December 31, 1994 (performance inception date) to December
31, 1995, the Fund has provided a total return of 25.48%. In the second half of
1995, the Fund returned 10.16%.
The Fund's market allocation has been characterized by an underweight in the
U.S. equity market and an overweight to the U.S. bond market.
U.S. Equity Fund
The Brinson U.S. Equity Fund paid a dividend of $0.359 per share on December
29, 1995 to shareholders of record on December 20, 1995.
For the period from February 28, 1994 (performance inception date) to December
31, 1995, the Fund provided an annualized total return of 19.34%. In 1995, the
Fund returned 40.58%. The Fund returned 17.39% in the second half of the year.
Fund strategy presently maintains an above average exposure to stocks with high
earnings/price measures and an overweight of intermediate versus large
capitalization issues relative to the benchmark. The Fund also possesses a
meaningful exposure toward economically-sensitive and financially-leveraged
stocks and an underweight with respect to companies with foreign earnings and
relative strength.
U.S. Bond Fund
The Brinson U.S. Bond Fund paid a dividend of $0.237 per share on December 29,
1995 to shareholders of record on December 20, 1995.
For the period from August 31, 1995 (performance inception date) to December
31, 1995, the Fund returned 5.49%.
With intermediate and long term interest rates within the range of our
estimates of fair value, the Fund's current investment strategy involves near
neutral duration and yield curve exposure.
We look forward to the challenges ahead and, as always, welcome your comments
and suggestions.
Sincerely,
/s/ Gary P. Brinson, CFA
Gary P. Brinson, CFA
President and Chief Investment Officer
Brinson Partners, Inc.
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4
<PAGE>
U.S. ECONOMIC AND MARKET HIGHLIGHTS
- --------------------------------------------------------------------------------
LOGO
The economy has settled into a moderate but uneven growth path. Real GDP growth
slowed in the first half of this year, but picked up in the third quarter.
Consumer price inflation remains modest, with year-on-year growth in the CPI
running below 3.0%. There was some upward pressure in the first half of the
year, which can be characterized as an effect of the strong growth at the end
of last year. Price pressures going forward should remain subdued.
Congressional debate is centered on reducing the size of the federal budget
deficit. The main contention is the length of time in which balance should be
achieved. Anticipation of deficit reduction has taken pressure off real
interest rates.
U.S. ENVIRONMENT
MAJOR MARKETS
One Year Ended December 31, 1995
[GRAPH APPEARS HERE]
Total Return
U.S. CASH EQUIVALENTS 5.57%
U.S. BONDS 18.55%
U.S. EQUITIES 36.45%
SALOMON U.S. TREASURY BENCHMARK RETURNS
One Year Ended December 31, 1995
[GRAPH APPEARS HERE]
MATURITY Total Return
(YEARS)
1 8.09%
2 11.04%
3 13.36%
5 16.97%
10 23.73%
30 33.48%
TOP TEN INDUSTRY RETURNS
RELATIVE TO S&P 500
One Year Ended December 31, 1995
<TABLE>
<S> <C>
S&P 500 37.48%
- -------------------------------
1. Aerospace 26.76%
2. Oil Service 20.07
3. Tobacco 17.10
4. Drugs, Medicine 14.70
5. Thrift Institutions 14.14
6. Beverages 13.62
7. Air Transport 12.31
8. Other Insurance 11.53
9. Banks 11.04
10. Business Machines 8.89
- -------------------------------
</TABLE>
Source: BARRA
BOTTOM TEN INDUSTRY
RETURNS RELATIVE TO S&P
500
One Year Ended December 31, 1995
<TABLE>
<S> <C>
S&P 500 37.48%
- ------------------------------
1. Coal & Uranium -60.53%
2. Trucking, Freight -30.26
3. Motor Vehicles -27.65
4. Forest Products -25.37
5. Apparel, Textiles -22.63
6. Water Transport -22.50
7. Pollution Control -19.42
8. Iron & Steel -18.16
9. Retail (Other) -17.76
10. Real Property -17.67
- ------------------------------
</TABLE>
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. This philosophy offers the greatest
potential for achieving enhanced long-term returns, while controlling risk.
The Brinson U.S. Balanced Fund produced a total return of 25.48% for the year
ended December 31, 1995, compared to the U.S. Balanced Index return of 29.45%.
In the second half of 1995, the Fund returned 10.16% compared to the benchmark
return of 11.59%. The U.S. Balanced Index is a fixed weight composite of 65%
Wilshire 5000 Equity Index and 35% Salomon Brothers Broad Investment Grade Bond
Index. Security selection within equities contributed positively to relative
performance, while underweighting equities and overweighting bonds contributed
negatively.
At the start of 1995, the Federal Reserve raised its target for the Fed Funds
rate by 50 basis points, after increasing it more than 250 basis points the
previous year. These rate hikes produced enough signs of slowing growth and
sluggish inflationary pressure that the Fed reversed course and provided two
small rate cuts later in the year.
Bonds performed well in the low inflation environment. Considerable declines in
long yields caused the yield curve to become almost horizontal toward the end
of the year. Long bonds provided excellent returns as a result. With rates
declining over most of the curve, the bond market moved from undervalued to a
position approximating fundamental value. At the short end, values are still in
excess of price, but at the long end price and value are very close.
Lower interest rates also benefited several sectors of the U.S. equity market,
in particular bank and insurance stocks. The equity market was buoyed by a
large number of positive earnings surprises, and earnings growth continued at a
double-digit pace. The equity component of the Fund was helped by an overweight
in bank stocks and by favorable market response to consolidation in several
overweighted industries.
With equity prices rising through the year, the market's overvaluation
persisted at about 20%. At year-end, asset allocation strategy involves
underweighting the overvalued equity market and overweighting the relatively
attractive bond market. Duration strategy is approximately neutral as bond
prices, except at the short end, are within the range of our fundamental value
estimates.
------------------------------------------------------------
6
<PAGE>
U.S. BALANCED FUND
- --------------------------------------------------------------------------------
TOTAL RETURN
<TABLE>
<CAPTION>
6 months
ended Since
12/31/95 inception*
- -----------------------------------------------
<S> <C> <C>
BRINSON U.S. BALANCED FUND 10.16% 25.48%
- -----------------------------------------------
U.S. Balanced Index** 11.59% 29.45%
- -----------------------------------------------
</TABLE>
*Performance Inception date of the Brinson U.S. Balanced Fund is December 31,
1994.
**An un-managed index compiled by the Advisor, constructed as follows: 65%
Wilshire 5000 Equity Index and 35% Salomon Brothers Broad Investment Grade Bond
Index.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000
This chart shows the growth made for any income taxes
in the value of an payable by shareholders on
investment in the Brinson income dividends and capital
U.S. Balanced Fund and the gain distributions. Past
U.S. Balanced Index if you performance is no guarantee
had invested $100,000 on of future results. Share
December 31, 1994, and had price and return will vary
reinvested all your income with market conditions;
dividends and capital gain investors may realize a gain
distributions through or loss upon redemption.
December 31, 1995. No
adjustment has been
BRINSON U.S. BALANCED FUND
VS. U.S. BALANCED INDEX
Wealth Value with Dividends Reinvested
[GRAPH APPEARS HERE]
12/31/94 12/31/95
-------- --------
BRINSON U.S. BALANCED FUND $100,000 $125,481
U.S. BALANCED INDEX $100,000 $129,452
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
LOGO
------------------------------------------------------------
7
<PAGE>
U.S. BALANCED FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals.............................................................. 0.31%
Housing/Paper.......................................................... 1.30
Metals................................................................. 0.56
-----
2.17
Capital Investment
Capital Goods.......................................................... 3.54
Technology............................................................. 2.22
-----
5.76
Consumer
Autos/Durables......................................................... 0.41
Discretionary.......................................................... 2.12
Health: Drugs.......................................................... 3.77
Health: Non-Drugs...................................................... 1.22
Non-Durables........................................................... 3.94
Retail/Apparel......................................................... 2.44
-----
13.90
Energy.................................................................. 2.40
Financial
Banks.................................................................. 3.14
Non-Banks.............................................................. 3.86
-----
7.00
Services............................................................... 3.11%
Transportation......................................................... 1.70
Utilities.............................................................. 2.54
Miscellaneous.......................................................... 0.92
------
Total U.S. Equities................................................. 39.50
------
U.S. BONDS
Corporate Bonds
Asset-backed.......................................................... 4.26
Consumer.............................................................. 2.83
Financial............................................................. 4.46
Floating Rate......................................................... 0.52
Industrial............................................................ 0.39
Telecommunications.................................................... 1.02
Transportation........................................................ 0.23
Yankee................................................................ 0.41
------
14.12
International Dollar Bonds............................................. 3.27
U.S. Government Agencies............................................... 16.61
U.S. Government Obligations............................................ 17.01
------
Total U.S. Bonds.................................................... 51.01
------
SHORT-TERM INVESTMENTS................................................. 15.01
------
TOTAL INVESTMENTS................................................... 105.52
LIABILITIES, LESS
CASH AND OTHER ASSETS................................................. (5.52)
------
NET ASSETS............................................................. 100.00%
=======
</TABLE>
<PAGE>
ASSET ALLOCATION
As of December 31, 1995 (Unaudited)
<TABLE>
- ------------------------------------
<CAPTION>
CURRENT
BENCHMARK STRATEGY
--------- --------
<S> <C> <C>
U.S. Equity 65% 40%
U.S. Bonds 35 55
Cash Equivalents 0 5
- ------------------------------------
100% 100%
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
- ---------------------------------------------
<S> <C>
1. Citicorp 2.09%
2. Lockheed Martin Corp. 2.07
3. Burlington Northern, Santa Fe 1.65
4. Honeywell, Inc. 1.57
5. Avon Products, Inc. 1.26
6. Schering Plough Corp. 1.17
7. AON Corp. 1.17
8. Kimberly-Clark Corp. 1.13
9. Sprint Corp. 1.11
10. Enron Corp. 1.09
- ---------------------------------------------
</TABLE>
------------------------------------------------------------
- ---------------
8
<PAGE>
U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
----------- ------------
<S> <C> <C>
U.S. EQUITIES -- 39.50%
Aetna Life & Casualty Co............................... 25,100 $ 1,738,175
Air & Water Technologies Corp.
Class A (b)........................................... 10,400 63,700
Allergan, Inc.......................................... 39,900 1,296,750
Alza Corp. (b)......................................... 34,900 863,775
American Mobile Satellite Corp., Inc. (b).............. 6,000 183,750
Aon Corp............................................... 50,300 2,508,712
AST Research Corp. (b)................................. 7,918 67,303
Automatic Data Processing, Inc......................... 22,800 1,692,900
Avon Products, Inc..................................... 35,800 2,698,425
Bard (C.R.), Inc....................................... 24,100 777,225
Beckman Instruments, Inc............................... 15,500 548,312
Biogen, Inc. (b)....................................... 3,600 221,400
Birmingham Steel Corp.................................. 15,600 232,050
Boeing Co.............................................. 14,200 1,112,925
Boston Technology, Inc. (b)............................ 9,600 122,400
Brinker International, Inc. (b)........................ 11,500 173,938
Burlington Northern Santa Fe........................... 45,400 3,541,200
Campbell Soup Co....................................... 12,300 738,000
Centerior Energy Co.................................... 7,000 62,125
CIGNA Corp............................................. 19,600 2,023,700
Citicorp............................................... 66,600 4,478,850
CMS Energy Corp........................................ 42,500 1,269,688
Coca-Cola Enterprises, Inc............................. 50,200 1,348,734
Comerica, Inc.......................................... 10,760 429,337
Computer Sciences Corp. (b)............................ 2,300 161,575
Converse Technology, Inc. (b).......................... 6,500 130,000
Cooper Cameren Corp. (b)............................... 13,130 466,115
Cooper Industries, Inc................................. 13,692 519,719
Dial Corp.............................................. 40,600 1,202,775
Enron Corp............................................. 61,100 2,329,437
Entergy Corp........................................... 42,900 1,254,825
Federated Department Stores (b)........................ 50,800 1,397,000
First Data Corp........................................ 23,631 1,580,330
Food Lion, Inc. Class A................................ 64,100 366,569
Ford Motor Co.......................................... 40,400 1,171,600
Forest Laboratories, Inc. (b).......................... 26,600 1,203,650
Gannett Co. Inc........................................ 14,400 883,800
Genzyme Corp. (b)...................................... 5,100 318,113
Goodyear Tire and Rubber Co............................ 28,400 1,288,650
Grand Metro............................................ 50,000 1,462,500
Health Care & Retirement Corp. (b)..................... 11,000 385,000
Hillenbrand Industries, Inc............................ 1,100 37,263
Honeywell, Inc......................................... 69,100 3,359,987
Illinova Corp. ........................................ 8,200 246,000
Inland Steel Industries, Inc........................... 23,200 582,900
Interpublic Group of Companies, Inc.................... 15,600 676,650
Kimberly-Clark Corp.................................... 29,300 2,424,575
Kroger Co. (b)......................................... 22,500 843,750
Lockheed Martin Corp................................... 56,100 4,431,900
LTV Corp............................................... 22,600 310,750
Lyondell Petrochemical Co.............................. 42,600 974,475
Magna Group, Inc....................................... 7,700 182,875
Manor Care, Inc........................................ 25,400 889,000
Mattel, Inc............................................ 63,800 1,961,850
Melville Corp.......................................... 35,400 1,088,550
National Semiconductor Corp. (b)....................... 16,300 373,800
Nextel Communications, Inc. Class A (b)................ 36,600 539,850
Octel Communications Corp. (b)......................... 4,200 135,450
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
----------- ------------
<S> <C> <C>
Old Republic International Corp........................ 15,100 $ 536,050
Owens Illinois, Inc. (b)............................... 44,100 639,450
Pentair, Inc........................................... 9,100 452,725
Pfizer, Inc............................................ 24,500 1,543,500
Philip Morris Companies, Inc........................... 11,500 1,040,750
Raychem Corp........................................... 13,500 767,812
RJR Nabisco Convertible Preferred "C".................. 126,400 805,800
RJR Nabisco Holdings Corp. (b)......................... 38,540 1,189,922
Schering Plough Corp................................... 46,000 2,518,500
Schlumberger Ltd....................................... 16,500 1,142,625
Schweitzer-Meuduit International, Inc. (b)............. 2,930 67,756
Seagate Technology, Inc. (b)........................... 16,300 774,250
Sprint Corp............................................ 59,600 2,376,550
State Street Boston Corp............................... 11,600 522,000
Timken Co.............................................. 11,000 420,750
Tosco Corp............................................. 7,000 266,875
Transamerica Corp...................................... 20,000 1,457,500
Ultramar Corp.......................................... 20,200 520,150
US Bancorp............................................. 26,700 897,788
USF&G Corp............................................. 37,400 631,125
Walgreen Co............................................ 34,200 1,021,725
Westvaco Corp.......................................... 10,750 298,312
WMX Technologies, Inc.................................. 50,200 1,499,725
------------
Total U.S. Equities (Cost $70,776,456)................. 84,766,297
------------
<CAPTION>
FACE
AMOUNT VALUE
----------- ------------
<S> <C> <C>
BONDS -- 51.01%
U.S. CORPORATE BONDS -- 14.12%
Bell South Corp.
0.000% due 12/15/15.................................... $ 3,175,000 $ 840,676
Beneficial Home Equity
6.280%, due 03/28/25................................... 495,158 495,158
Burlington Northern Santa Fe
7.000%, due 12/15/25................................... 900,000 889,005
Chrysler Financial Corp.
FRN 6.023%, due 07/31/97............................... 1,000,000 1,000,283
MTN 6.500%, due 08/21/97............................... 1,000,000 1,012,330
Dayton Hudson Credit Card Trust 95-1
6.100%, due 09/25/98................................... 2,000,000 2,032,100
Dean Witter & Co.
6.245%, due 03/21/97................................... 1,250,000 1,249,258
Ford Motor Credit Corp.
5.370%, due 09/08/98................................... 945,000 937,242
GMAC MTN
6.750%, due 06/10/02................................... 1,000,000 1,030,960
Grace W.R. & Co.
8.000%, due 08/15/04................................... 1,150,000 1,269,355
MBNA Master Trust
5.962%, due 03/15/01................................... 1,500,000 1,499,925
Nationwide CSN Trust
9.875%, due 02/15/25................................... 1,000,000 1,168,063
News America Corp.
7.750%, due 01/20/24................................... 1,000,000 1,037,323
Petroliam Nasional
7.125%, due 08/15/05................................... 1,500,000 1,582,500
Republic Bank of New York Corp. FRN
6.025%, due 12/29/02................................... 1,065,000 1,033,050
RJR Nabisco Inc.
8.625%, due 12/01/02................................... 1,500,000 1,555,871
</TABLE>
- --------------------------------------------------------------------------------
9
<PAGE>
U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
----------- ------------
<S> <C> <C>
U.S. CORPORATE BONDS (CONTINUED)
Signet Credit Card
6.062%, due 05/15/02................................. $ 1,500,000 $ 1,504,065
Standard Credit Card Trust
94-1A 4.650%, due 02/07/97........................... 2,000,000 1,983,360
91-3A 8.875%, due 07/07/98........................... 1,750,000 2,950,255
TCI Communication
6.820%, due 09/15/10................................. 2,100,000 2,134,225
Time Warner Inc.
9.125%, due 01/15/13................................. 1,000,000 1,125,148
Woolworth Corp.
7.000%, due 10/15/02................................. 1,920,000 1,962,797
------------
30,292,949
------------
INTERNATIONAL DOLLAR BONDS -- 3.27%
Bangkok Bank Public Co. Ltd.
7.250%, due 09/15/05................................. 2,100,000 2,175,075
Hanson PLC Notes
6.750%, due 09/15/05................................. 1,000,000 1,035,095
Hong Kong Shanghai Perpetual FRN
6.375%, due 07/30/49................................. 1,000,000 775,850
International Bank for Reconstruction & Development
6.375%, due 07/21/05................................. 1,500,000 1,558,665
Republic of Italy
6.875%, due 09/27/23................................. 1,500,000 1,466,250
------------
7,010,935
------------
U.S. GOVERNMENT AGENCIES -- 16.61%
Federal Home Loan Mortgage Corp.
7.000%, due 12/15/06................................. 1,695,000 1,736,239
7.000%, due 03/15/07................................. 2,615,000 2,693,816
9.250%, due 07/15/21................................. 2,314,417 2,503,296
7.000%, due 10/15/21................................. 750,000 749,297
7.000%, due 12/15/23................................. 949,443 849,751
Federal Home Loan Mortgage Corp. Gold
9.000%, due 03/01/24................................. 532,516 563,231
Federal National Mortgage Association
8.000%, due 06/01/24................................. 355,229 367,773
8.000%, due 07/01/24................................. 23,026 23,839
8.000%, due 08/01/24................................. 52,078 53,916
6.500%, due 09/01/24................................. 1,875,000 1,852,734
7.000%, due 09/01/24................................. 4,585,000 4,620,823
8.000%, due 11/01/24................................. 25,509 26,410
8.000%, due 03/01/25................................. 208,092 215,440
8.000%, due 04/01/25................................. 916,702 949,073
7.500%, due 05/01/25................................. 1,632,993 1,672,797
8.000%, due 05/01/25................................. 1,985,695 2,055,815
8.000%, due 06/01/25................................. 1,739,010 1,800,419
Federal National Mortgage Association Dwarf
7.500%, due 09/01/09................................. 1,655,000 1,701,547
7.000%, due 12/01/09................................. 5,160,000 5,253,525
Government National Mortgage Association
9.000%, due 12/15/09................................. 1,476,280 1,563,365
11.000%, due 09/15/15................................ 443,192 497,995
9.000%, due 12/15/17................................. 493,677 525,579
7.750%, due 06/16/20................................. 600,000 624,938
7.000%, due 06/15/23................................. 449,193 454,387
7.000%, due 07/15/23................................. 474,793 480,283
</TABLE>
<TABLE>
<CAPTION>
FACE AMOUNT VALUE
----------- ------------
<S> <C> <C>
7.000%, due 09/15/23............................... $ 100,375 $ 101,536
9.000%, due 07/15/24............................... 211,455 223,944
8.500%, due 11/15/24............................... 234,174 245,737
8.500%, due 01/15/25............................... 527,633 553,664
9.000%, due 05/15/25............................... 644,922 683,013
------------
35,644,182
------------
U.S. GOVERNMENT OBLIGATIONS -- 17.01%
U.S. Treasury Coupon Strips
0.000%, due 11/15/19............................... 1,295,000 293,965
U.S. Treasury Notes and Bonds
6.625%, due 03/31/97............................... 12,215,000 12,424,939
5.300%, due 11/15/98............................... 2,500,000 2,517,968
6.250%, due 08/31/00............................... 4,415,000 4,569,525
7.250%, due 05/15/04............................... 7,235,000 8,048,938
8.125%, due 05/15/21............................... 6,620,000 8,378,437
U.S. Treasury Principal Strips
0.000%, due 05/15/20............................... 1,245,000 275,917
------------
36,509,689
------------
Total U.S. Bonds (Cost $106,199,902)................ 109,457,755
------------
SHORT-TERM INVESTMENTS -- 15.01%
COMMERCIAL PAPER -- 15.01%
Baxter International, Inc.
6.050%, due 01/02/96............................... 1,000,000 999,832
Burlington Northern Santa Fe
6.050%, due 01/03/96............................... 3,000,000 2,998,992
6.150%, due 01/31/96............................... 2,500,000 2,487,187
Conagra, Inc.
5.910%, due 01/04/96............................... 2,000,000 1,999,015
6.050%, due 01/11/96............................... 2,000,000 1,996,639
Crown Cork & Seal Co., Inc.
6.060%, due 01/09/96............................... 1,400,000 1,398,115
CSX Corp.
6.000%, due 01/08/96............................... 2,000,000 1,997,666
General American Transportation Corp.
6.200%, due 01/18/96............................... 2,500,000 2,492,681
Nabisco Holdings Corp.
5.850%, due 01/03/96............................... 3,000,000 2,999,025
6.040%, due 01/19/96............................... 2,990,000 2,980,970
P.S. Colorado Credit Corp.
6.030%, due 01/04/96............................... 2,500,000 2,498,744
Texas Utilities Electric Co.
6.300%, due 01/05/96............................... 2,000,000 1,998,600
Trinova Corp.
6.100%, due 01/10/96............................... 2,000,000 1,996,950
6.200%, due 01/10/96............................... 2,562,000 2,558,029
Whitman Corp.
5.950%, due 01/02/96............................... 799,000 798,868
------------
Total Short-Term Investments
(Cost $32,201,313)................................. 32,201,313
------------
Total Investments
(Cost $209,177,671) -- 105.52% (a) ................ 226,425,365
------------
Liabilities, less cash and other assets --(5.52%) .. (11,852,198)
------------
Net Assets -- 100%.................................. $214,573,167
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
10
<PAGE>
U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $209,177,671; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............................. $18,141,919
Gross unrealized depreciation............................. (894,225)
-----------
Net unrealized appreciation.............................. $17,247,694
===========
</TABLE>
(b)Non-income producing security
FRN: Floating Rate Note--The rate disclosed is that in effect at December
31, 1995.
MTN: Medium Term Note
FUTURES CONTRACTS (NOTE 4)
INDEX FUTURES CONTRACTS:
The U.S. Balanced Fund had the following open index futures contract as of
December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE (LOSS)
---------- -------- -------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CONTRACTS
Standard & Poors 500, 2 con-
tracts........................ March 1996 $625,300 $618,450 $(6,850)
=======
</TABLE>
The segregated cash pledged to cover margin requirements for the open position
at December 31, 1995 was $30,000.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
11
<PAGE>
U.S. BALANCED FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $209,177,671) (Note 1)............... $226,425,365
Cash............................................................. 200,986
Receivables:
Investment securities sold...................................... 804,060
Dividends....................................................... 130,699
Interest........................................................ 1,288,509
Fund shares sold................................................ 17,309
Due from Advisor (Note 2)....................................... 46,935
Deferred organization costs, net of amortization (Note 1)........ 11,240
Other assets..................................................... 46,125
------------
TOTAL ASSETS.................................................. 228,971,228
------------
LIABILITIES:
Payables:
Fund shares redeemed............................................ 3,516
Investment securities purchased................................. 14,185,918
Accrued expenses................................................ 208,627
------------
TOTAL LIABILITIES............................................. 14,398,061
------------
NET ASSETS........................................................ 214,573,167
============
NET ASSETS CONSIST OF:
Paid in capital (Note 6)......................................... $196,113,598
Accumulated undistributed net investment income.................. 3,527
Accumulated net realized gain.................................... 1,215,178
Net unrealized appreciation...................................... 17,240,864
------------
NET ASSETS.................................................... $214,573,167
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $214,352,075 and 18,619,851 shares is-
sued and outstanding) (Note 6)................................. $ 11.51
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $221,092 and 19,251 shares issued and
outstanding) (Note 6).......................................... $ 11.48
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
12
<PAGE>
U.S. BALANCED FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest.......................................................... $ 3,742,835
Dividends......................................................... 893,648
-----------
TOTAL INCOME................................................... 4,636,483
-----------
EXPENSES:
Advisory (Note 2)................................................. 660,274
Custodian......................................................... 76,000
Professional...................................................... 65,831
Registration...................................................... 62,845
Administration.................................................... 62,280
Amortization of organization costs (Note 1)....................... 1,406
Distribution (Note 5)............................................. 8
Other............................................................. 129,004
-----------
TOTAL EXPENSES................................................. 1,057,648
Expenses deferred by Advisor (Note 2).......................... (303,042)
-----------
NET EXPENSES................................................... 754,606
-----------
NET INVESTMENT INCOME ......................................... 3,881,877
-----------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments...................................................... 4,856,016
Futures contracts................................................ 90,260
-----------
Net realized gain.............................................. 4,946,276
-----------
Change in net unrealized appreciation on:
Investments ..................................................... 9,587,848
Futures contracts................................................ (9,406)
-----------
Change in net unrealized appreciation.......................... 9,578,442
-----------
Net realized and unrealized gain.................................. 14,524,718
-----------
Net increase in net assets resulting from operations.............. $18,406,595
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
13
<PAGE>
U.S. BALANCED FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED DECEMBER 30, 1994*
DECEMBER 31, 1995 THROUGH
(UNAUDITED) JUNE 30, 1995
----------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................... $ 3,881,877 $ 2,935,679
Net realized gain........................ 4,946,276 6,155,398
Change in net unrealized appreciation.... 9,578,442 7,662,424
------------ ------------
Net increase in net assets resulting from
operations.............................. 18,406,595 16,753,501
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income:
Brinson Class........................... (4,820,091) (1,993,463)
SwissKey Class.......................... (477) --
Distributions from net realized gain:
Brinson Class........................... (9,885,505) --
SwissKey Class.......................... (992) --
------------ ------------
Total distributions to shareholders...... (14,707,065) (1,993,463)
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.............................. 46,157,898 154,231,504
Shares issued on reinvestment of distri-
butions................................. 14,703,089 1,991,226
Shares redeemed.......................... (7,711,178) (13,268,940)
------------ ------------
Net increase in net assets resulting from
capital share transactions
(Note 6)................................ 53,149,809 142,953,790
------------ ------------
TOTAL INCREASE IN NET ASSETS.......... 56,849,339 157,713,828
------------ ------------
NET ASSETS:
Beginning of period...................... 157,723,828 10,000
------------ ------------
End of period (including accumulated un-
distributed net investment income of
$3,527 and $942,216, respectively)...... $214,573,167 $157,723,828
============ ============
</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>
SIX MONTHS ENDED DECEMBER 30, 1994*
DECEMBER 31, 1995 THROUGH
BRINSON CLASS (UNAUDITED) JUNE 30, 1995
- -------------------------------------------------------------------------------
<S> <C> <C>
Net asset value, beginning of period...... $ 11.23 $ 10.00
-------- --------
Income from investment operations:
Net investment income................... 0.21 0.23
Net realized and unrealized gain........ 0.92 1.16
-------- --------
Total income from investment opera-
tions................................ 1.13 1.39
-------- --------
Less distributions:
Distributions from net investment in-
come................................... (0.28) (0.16)
Distributions from net realized gain.... (0.57) --
-------- --------
Total distributions................... (0.85) (0.16)
-------- --------
Net asset value, end of period............ $ 11.51 $ 11.23
======== ========
Total return (non-annualized)............. 10.16% 13.91%
Ratios/Supplemental data
Net assets, end of period (in 000s)...... $214,352 $157,724
Ratio of expenses to average net assets:
Before expense reimbursement............ 1.12%** 1.06%**
After expense reimbursement............. 0.80%** 0.80%**
Ratio of net investment income to average
net assets:
Before expense reimbursement............ 3.81%** 4.36%**
After expense reimbursement............. 4.13%** 4.63%**
Portfolio turnover rate.................. 130% 196%
</TABLE>
*Commencement of investment operations
**Annualized
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
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $11.38
------
Income from investment operations:
Net investment income....................................... 0.21
Net realized and unrealized gain on investments............. 0.74
------
Total income from investment operations................... 0.95
------
Less distributions:
Distributions from net investment income.................... (0.28)
Distributions from net realized gain........................ (0.57)
------
Total distributions....................................... (0.85)
------
Net asset value, end of period................................ $11.48
======
Total return (non-annualized)................................. 8.41%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $ 221
Ratio of expenses to average net assets:
Before expense reimbursement................................ 1.62%**
After expense reimbursement................................. 1.30%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ 3.31%**
After expense reimbursement................................. 3.63%**
Portfolio turnover rate...................................... 130%
</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 of common stocks selected
from the total universe of public, domestic issues.
For the period February 28, 1994 to December 31, 1995, the Brinson U.S. Equity
Fund provided a total return of 19.34% compared to its benchmark, the Wilshire
5000 Index, return of 17.90%. For the year ended December 31, 1995, the Fund
returned 40.58%, while the benchmark returned 36.45%. The total return of the
U.S. Equity Fund was 17.39% for the second six months of 1995, compared to the
14.46% return for the Wilshire 5000 Index. The major factors affecting excess
return so far in 1995 are discussed in the following paragraphs.
The strong excess return of the U.S. Equity Fund in 1995 was attributable to a
number of favorable industry positions. Industry consolidation was a common
theme in many of these positions as strong excess cash flows plus management
focus on strengthening market position and cutting costs catalyzed a wave of
mergers, acquisitions, and divestitures across corporate America. One of the
most favorable of these industry positions was the weighting in
defense/aerospace. This group benefited from a number of positive factors in
1995, including a stabilization of the downtrend in defense budget
appropriations, strong takeover activity among defense industry participants,
and an upturn in commercial aircraft orders. Lockheed Martin, one of the larger
portfolio positions, was a notable beneficiary of these trends, particularly as
a result of the merger of Martin Marietta and Lockheed earlier in the year.
This combination promises to produce a materially stronger, more profitable
competitor. Other meaningful holdings in this industry were Boeing, which
enjoyed a strong flow of new orders, especially from overseas, and Honeywell,
which has a leading market position in avionics for both commercial and defense
aircraft.
An overweighting in bank stocks also added to results. Continued improvement in
credit quality, lower interest rates, strong loan demand and heightened merger
activity were all contributors to bank earnings and stock valuations in 1995.
Bank holdings included Citicorp, Chase Manhattan, U.S. Bancorp, Comerica,
BayBanks, State Street and Magna Group.
Insurance was another industry that benefited from a confluence of favorable
fundamental factors in 1995, including lower inflation and interest rates as
well as reduced claims trends, particularly regarding environmental
liabilities. In addition, many insurance company managements took action to
refocus their companies on core strengths in recent years by eliminating less
profitable lines of business. The U.S. Equity Fund was well represented in the
insurance industry last year with important positions in Cigna, Aon,
TransAmerica, Aetna, Old Republic, Allstate and USF&G.
The consolidation theme was also evident in several other important individual
stock contributors to portfolio results. Burlington Northern is particularly
noteworthy in this regard, as the combination with Santa Fe Pacific promises to
produce very large cost savings and other synergies. In addition, Kimberly
Clark was a standout performer following the Scott Paper acquisition
announcement, as the combined company promises to be a better positioned, more
profitable, global entity. Finally, First Financial Management, a credit card
transaction processing company, was acquired by First Data Corp. in a highly
complementary merger.
------------------------------------------------------------
17
<PAGE>
U.S. EQUITY FUND
- --------------------------------------------------------------------------------
TOTAL RETURN
<TABLE>
<CAPTION>
Annualized
6 months 1 year 2/28/94*
ended ended to
12/31/95 12/31/95 12/31/95
- ------------------------------------------------------
<S> <C> <C> <C>
BRINSON U.S. EQUITY FUND 17.39% 40.58% 19.34%
- ------------------------------------------------------
Wilshire 5000 Index 14.46 36.45 17.90
- ------------------------------------------------------
</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 upon redemption.
December 31, 1995. No
adjustment has been made for
BRINSON U.S. EQUITY FUND
VS. WILSHIRE 5000 INDEX
Wealth Value with Dividends Reinvested
[GRAPH APPEARS HERE]
02/28/94 12/31/95
-------- --------
BRINSON U.S. EQUITY FUND $100,000 $138,288
WILSHIRE 5000 INDEX $100,000 $135,235
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
------------------------------------------------------------
18
<PAGE>
U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals.............................................................. 0.76%
Housing/Paper.......................................................... 3.18
Metals................................................................. 1.38
-----
5.32
Capital Investments
Capital Goods.......................................................... 8.66
Technology............................................................. 5.42
-----
14.08
Consumer
Autos/Durables......................................................... 1.01
Discretionary.......................................................... 5.19
Health: Drugs.......................................................... 9.23
Health: Non-Drugs...................................................... 2.99
Non-Durables........................................................... 9.64
Retail/Apparel......................................................... 5.97
-----
34.03
</TABLE>
- ------------------------------------------------------------
<TABLE>
<S> <C>
Energy.................................................................. 5.87%
Financial
Banks.................................................................. 7.69
Non-Banks.............................................................. 9.43
------
17.12
Services................................................................ 7.62
Transportation.......................................................... 4.17
Utilities............................................................... 6.22
Miscellaneous........................................................... 2.21
------
Total U.S. Equities.................................................. 96.64
------
SHORT-TERM INVESTMENTS.................................................. 3.31
------
TOTAL INVESTMENTS.................................................... 99.95
CASH AND OTHER ASSETS,
LESS LIABILITIES ...................................................... 0.05
------
NET ASSETS.............................................................. 100.00%
=======
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1995 (Unaudited)
</TABLE>
<TABLE>
<CAPTION>
Percent of
Net Assets
- -----------------------------------------
<S> <C>
1. Citicorp 5.25%
2. Lockheed Martin Corp. 5.10
3. Burlington Northern,Santa Fe 4.14
4. Honeywell, Inc. 3.92
5. Avon Products, Inc. 3.18
6. Schering Plough Corp. 2.95
7. Kimberly-Clark Corp. 2.84
8. AON Corp. 2.84
9. Enron Corp. 2.73
10. Sprint Corp. 2.69
- -----------------------------------------
</TABLE>
- --------------- ------------------------------------------------------------
19
<PAGE>
U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
U.S. EQUITIES -- 96.64%
Aetna Life & Casualty Co................................. 26,300 $ 1,821,275
Air & Water Technologies Corp. Class A (b)............... 3,700 22,662
Allergan, Inc............................................ 44,000 1,430,000
Alza Corp. (b)........................................... 35,100 868,725
American Mobile Satellite Corp., Inc. (b)................ 6,400 196,000
Aon Corp................................................. 53,500 2,668,312
AST Research Corp. (b)................................... 5,159 43,851
Automatic Data Processing, Inc........................... 25,200 1,871,100
Avon Products, Inc....................................... 39,700 2,992,387
Bard (C.R.), Inc......................................... 26,600 857,850
Beckman Instruments, Inc................................. 17,200 608,450
Biogen, Inc. (b)......................................... 4,000 246,000
Birmingham Steel Corp.................................... 17,100 254,362
Boeing Co................................................ 15,500 1,214,812
Boston Technology, Inc. (b).............................. 10,500 133,885
Brinker International, Inc. (b).......................... 12,600 190,575
Burlington Northern Santa Fe............................. 49,900 3,892,200
Campbell Soup Co......................................... 13,500 810,000
Centerior Energy Co...................................... 7,300 64,787
CIGNA Corp............................................... 21,200 2,188,900
Citicorp................................................. 73,500 4,942,875
CMS Energy Corp.......................................... 47,000 1,404,125
Coca-Cola Enterprises, Inc............................... 53,600 1,433,800
Comerica, Inc............................................ 11,800 473,475
Computer Sciences Corp. (b).............................. 2,100 147,525
Comverse Technology, Inc. (b)............................ 7,000 140,000
Cooper Cameron Corp. (b)................................. 14,629 519,329
Cooper Industries, Inc................................... 10,076 370,293
Dial Corp................................................ 41,300 1,223,512
Enron Corp............................................... 67,300 2,565,812
Entergy Corp............................................. 47,200 1,380,600
Federated Department Stores (b).......................... 56,900 1,564,750
First Data Corp.......................................... 25,916 1,733,119
Food Lion, Inc. Class A.................................. 69,200 395,734
Ford Motor Co............................................ 44,400 1,287,600
Forest Laboratories, Inc. (b)............................ 29,300 1,325,825
Gannett Co., Inc......................................... 15,700 963,587
Genzyme Corp. (b)........................................ 5,700 355,537
Goodyear Tire & Rubber Co................................ 31,300 1,420,237
Health Care & Retirement Corp. (b)....................... 12,000 420,000
Hillenbrand Industries, Inc.............................. 500 16,937
Honeywell, Inc........................................... 75,900 3,690,637
Illinova Corp. .......................................... 8,800 264,000
Inland Steel Industries, Inc............................. 25,400 638,175
Interpublic Group of Companies, Inc...................... 17,200 746,050
Kimberly-Clark Corp...................................... 32,300 2,672,825
Kroger Co. (b)........................................... 24,900 933,750
Lockheed Martin Corp..................................... 60,800 4,803,200
LTV Corp................................................. 25,200 346,500
Lyondell Petrochemical Co................................ 46,800 1,070,550
Magna Group, Inc......................................... 8,700 206,625
Manor Care, Inc.......................................... 28,000 980,000
Mattel, Inc.............................................. 70,000 2,152,500
Melville Corp............................................ 39,800 1,223,850
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
National Semiconductor Corp. (b)........................ 18,300 $ 407,175
Nextel Communications, Inc. Class A (b)................. 56,100 827,475
Octel Communications Corp. (b).......................... 4,700 151,575
Old Republic International Corp......................... 16,600 589,300
Owens Illinois, Inc. (b)................................ 48,900 709,050
Pentair, Inc............................................ 10,100 502,475
Pfizer, Inc............................................. 27,100 1,707,300
Philip Morris Companies, Inc............................ 12,700 1,149,350
Raychem Corp............................................ 14,900 847,438
RJR Nabisco Convertible Preferred "C"................... 139,900 891,862
RJR Nabisco Holdings Corp. (b).......................... 41,840 1,291,810
Schering Plough Corp.................................... 50,700 2,775,825
Schlumberger Ltd........................................ 18,300 1,267,275
Schweitzer-Meuduit International, Inc. (b).............. 3,230 74,693
Seagate Technology, Inc. (b)............................ 17,900 850,250
Sprint Corp............................................. 63,400 2,528,075
State Street Boston Corp................................ 12,600 567,000
Timken Co............................................... 12,000 459,000
Tosco Corp.............................................. 7,600 289,750
Transamerica Corp....................................... 22,100 1,610,537
Ultramar Corp........................................... 18,600 478,950
US Bancorp.............................................. 29,200 981,850
USF&G Corp.............................................. 40,000 675,000
Walgreen Co............................................. 38,100 1,138,237
Westvaco Corp........................................... 11,500 319,125
WMX Technologies, Inc................................... 54,500 1,628,188
-----------
Total U.S. Equities (Cost $77,802,162).................. 90,908,032
-----------
<CAPTION>
FACE
AMOUNT VALUE
---------- -----------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 3.31%
COMMERCIAL PAPER -- 3.31%
Baxter International, Inc.
6.050%, due 01/02/96................................... $1,000,000 $ 999,832
Crown Cork & Seal Co., Inc.
6.060%, due 01/09/96................................... 700,000 699,057
General American Transportation Corp.
6.200%, due 01/18/96................................... 400,000 398,829
Nabisco Holdings Corp.
5.850%, due 01/03/96................................... 700,000 699,772
Whitman Corp.
5.959%, due 01/02/96................................... 311,000 310,949
-----------
Total Short-Term Investments
(Cost $3,108,439)...................................... 3,108,439
-----------
Total Investments
(Cost $80,910,601) -- 99.95% (a)....................... 94,016,471
-----------
Cash and other assets,
less liabilities -- 0.05%.............................. 50,366
-----------
Net Assets -- 100%...................................... $94,066,837
===========
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
20
<PAGE>
U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $80,910,601; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............................. $14,060,570
Gross unrealized depreciation............................. (954,700)
-----------
Net unrealized appreciation.............................. $13,105,870
===========
</TABLE>
(b) Non-income producing security
FUTURES CONTRACTS (NOTE 4)
INDEX FUTURES CONTRACTS:
The U.S. Equity Fund had the following open index futures contracts as of
December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST/PROCEEDS VALUE (LOSS)
---------- ------------- ---------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CON-
TRACTS
Standard & Poor's 500, 10
contracts................ March 1996 $3,129,000 $3,092,250 $(36,750)
INDEX FUTURE SELL CONTRACT
Standard & Poor's 500, 1
contract.................. March 1996 308,700 309,225 (525)
--------
$(37,275)
========
</TABLE>
The segregated cash pledged to cover margin requirements for the open positions
at December 31, 1995 was $100,000.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
21
<PAGE>
U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $80,910,601) (Note 1) ............... $94,016,471
Cash............................................................. 291,716
Receivables:
Investment securities sold...................................... 376,554
Dividends....................................................... 139,939
Fund shares sold................................................ 1,833
Due from Advisor (Note 2)....................................... 74,339
Deferred organization costs, net of amortization (Note 1)........ 8,586
Other assets..................................................... 48,975
-----------
TOTAL ASSETS.................................................. 94,958,413
-----------
LIABILITIES:
Payables:
Investment securities purchased................................. 599,616
Fund shares redeemed............................................ 122,463
Accrued expenses................................................ 169,497
-----------
TOTAL LIABILITIES............................................. 891,576
-----------
NET ASSETS........................................................ $94,066,837
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 6)......................................... $80,059,249
Accumulated distributions in excess of net investment income..... (4,423)
Accumulated net realized gain.................................... 943,416
Net unrealized appreciation...................................... 13,068,595
-----------
NET ASSETS.................................................... $94,066,837
===========
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $93,927,856 and 7,130,115 shares issued
and outstanding) (Note 6)...................................... $ 13.17
===========
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $138,981 and 10,537 shares issued and
outstanding) (Note 6).......................................... $ 13.19
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
22
<PAGE>
U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends......................................................... $ 783,884
Interest.......................................................... 98,066
-----------
TOTAL INCOME................................................... 881,950
-----------
EXPENSES:
Advisory (Note 2)................................................. 254,154
Custodian......................................................... 52,000
Professional...................................................... 38,786
Registration...................................................... 31,899
Accounting........................................................ 30,818
Amortization of organization costs (Note 1)....................... 1,404
Distribution (Note 5)............................................. 208
Other............................................................. 81,171
-----------
TOTAL EXPENSES................................................. 490,440
Expenses deferred and reimbursed by Advisor (Note 2)........... (199,769)
-----------
NET EXPENSES................................................... 290,671
-----------
NET INVESTMENT INCOME.......................................... 591,279
-----------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments...................................................... 1,902,847
Futures contracts................................................ 319,925
-----------
Net realized gain ............................................. 2,222,772
-----------
Change in net unrealized appreciation or depreciation on:
Investments ..................................................... 8,867,673
Futures contracts ............................................... (59,100)
-----------
Change in net unrealized appreciation or depreciation.......... 8,808,573
-----------
Net realized and unrealized gain ................................. 11,031,345
-----------
Net increase in net assets resulting from operations.............. $11,622,624
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
23
<PAGE>
U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
DECEMBER 31, 1995 ENDED
(UNAUDITED) JUNE 30, 1995
----------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income......................... $ 591,279 $ 440,023
Net realized gain ............................ 2,222,772 552,822
Change in net unrealized appreciation or de-
preciation .................................. 8,808,573 4,476,351
----------- -----------
Net increase in net assets resulting from op-
erations..................................... 11,622,624 5,469,196
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income...... (725,167) (318,699)
Distributions in excess of net investment in-
come......................................... (4,423) --
Distributions from net realized gain.......... (1,766,825) (47,930)
----------- -----------
Total distributions to shareholders*.......... (2,496,415) (366,629)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................... 41,500,740 30,972,427
Shares issued on reinvestment of distribu-
tions........................................ 2,459,602 349,100
Shares redeemed............................... (1,593,175) (2,050,830)
----------- -----------
Net increase in net assets resulting from cap-
ital share transactions (Note 6)............. 42,367,167 29,270,697
----------- -----------
TOTAL INCREASE IN NET ASSETS............... 51,493,376 34,373,264
----------- -----------
NET ASSETS:
Beginning of period........................... 42,573,461 8,200,197
----------- -----------
End of period (including accumulated undis-
tributed net investment income of ($4,423)
and $133,889, respectively).................. $94,066,837 $42,573,461
=========== ===========
*DISTRIBUTIONS BY CLASS:
Distributions from and in excess of net in-
vestment income:
Brinson Class............................... $ (728,627) $ (318,699)
SwissKey Class.............................. (963) --
Distributions from net realized gain:
Brinson Class............................... (1,764,214) (47,930)
SwissKey Class.............................. (2,611) --
----------- -----------
$(2,496,415) $ (366,629)
=========== ===========
</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>
SIX MONTHS
ENDED YEAR FEBRUARY 22, 1994*
DECEMBER 31, 1995 ENDED THROUGH
BRINSON CLASS (UNAUDITED) 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 op-
erations:
Net investment income...... 0.07 0.16 0.05
Net realized and unrealized
gain (loss)............... 1.93 1.89 (0.36)
------- ------- ------
Total income (loss) from
investment operations.. 2.00 2.05 (0.31)
------- ------- ------
Less distributions:
Distributions from and in
excess of net investment
income.................... (0.11) (0.14) (0.04)
Distributions from net re-
alized gain............... (0.25) (0.03) --
------- ------- ------
Total distributions..... (0.36) (0.17) (0.04)
------- ------- ------
Net asset value, end of pe-
riod....................... $ 13.17 $ 11.53 $ 9.65
======= ======= ======
Total return (non-
annualized)................ 17.39% 21.45% (3.10%)
Ratios/Supplemental data
Net assets, end of period
(in 000s)................. $93,928 $42,573 $8,200
Ratio of expenses to aver-
age net assets:
Before expense reimburse-
ment..................... 1.35%** 1.70% 5.40% **
After expense reimburse-
ment..................... 0.80%** 0.80% 0.80% **
Ratio of net investment in-
come to average net as-
sets:
Before expense reimburse-
ment..................... 1.08%** 1.09% (2.82%)**
After expense reimburse-
ment..................... 1.63%** 1.99% 1.78% **
Portfolio turnover rate.... 17% 33% 9%
</TABLE>
*Commencement of investment operations
**Annualized
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
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $11.94
------
Income from investment operations:
Net investment income....................................... 0.03
Net realized and unrealized gain on investments............. 1.56
------
Total income from investment operations................... 1.59
------
Less distributions:
Distributions from and in excess of net investment income... (0.09)
Distributions from net realized gain........................ (0.25)
------
Total distributions....................................... (0.34)
------
Net asset value, end of period................................ $13.19
======
Total return (non-annualized)................................. 13.35%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $ 139
Ratio of expenses to average net assets:
Before expense reimbursement................................ 1.87%**
After expense reimbursement................................. 1.32%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ 0.56%**
After expense reimbursement................................. 1.11%**
Portfolio turnover rate...................................... 17%
</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.
The Brinson U.S. Bond Fund produced a return of 5.49% since its inception on
August 31, 1995 compared to the Salomon Brothers Broad Investment Grade (BIG)
Bond Index return of 5.32%.
Below is a dicussion of the 1995 U.S. Bond market activity, as well as our
outlook for 1996.
At the beginning of 1995, the U.S. economy was coming off a period of above
trend real economic growth. The most recent changes in Federal Reserve policy
were to raise short-term interest rates. Bond markets were priced to reflect
the risk of an acceleration of inflation in a potentially overheated economy.
These expectations were reinforced when the Federal Reserve increased its
target rate on overnight funds from 5.5% to 6.0% at the end of January 1995.
The lagged impact of a restrictive monetary policy was reinforced by a less
expansive fiscal policy as reported federal deficits declined. This was
complemented by events in Mexico and elsewhere that dampened U.S. export
demand. A growing political consensus to move toward a federal budget balance
met a favorable response in the bond market. Over the course of the year,
growth of real economic activity slowed, inflation remained stable, and bond
prices shifted from discounting further Fed tightening to expecting Fed ease.
Responding to an improved inflation outlook, the Federal Reserve cut its
overnight target rates in 25 basis point increments both in July and December.
Yields on intermediate-maturity fixed income securities fell by over 250 basis
points over the year as the front of the yield curve shifted from a steep
positive slope at the beginning of the year to a flat to mildly inverted shape
at year-end. Long-term yields fell about 190 basis points. Corporate bonds
provided the best sector returns as credit risk premiums generally narrowed.
Mortgage backed securities lagged in performance as the large absolute decline
in intermediate yields gave homeowners added incentives to refinance
outstanding higher coupon mortgages.
Our investment strategies early in 1996 involve near neutral duration and yield
curve exposures within the U.S. Bond Fund. Intermediate and long-term interest
rates are within the range of our estimates of fair value. Short-term rates
remain above fair value, and we expect them to decline as Federal Reserve
policy shifts produce further reductions in overnight funds rates. Unlike the
prior two years, when large interest rate shifts first produced negative
returns followed by large positive returns, in 1996 we expect relative
stability in U.S. interest rates, which would result in total returns
comparable to the current yields available to fixed income investors.
------------------------------------------------------------
27
<PAGE>
U.S. BOND FUND
- --------------------------------------------------------------------------------
TOTAL RETURN
<TABLE>
<CAPTION>
8/31/95*
to 12/31/95
- ---------------------------------------------------------------------
<S> <C>
BRINSON U.S. BOND FUND 5.49%
- ---------------------------------------------------------------------
Salomon Brothers Broad Investment Grade (BIG) Bond Index 5.32%
- ---------------------------------------------------------------------
</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 capitial gain
U.S.Bond Fund and the distributions. Past
Salomon Brothers Broad performance is no guarantee
Investment Grade Bond of future results. Share
Index if you had invested price and return will vary
$100,000 on August 31, 1995, with market conditions;
and had reinvested all your investors may realize a gain
income dividends and capital or loss upon redemption.
gain distributions through
December 31, 1995. No
adjustment has been made for
BRINSON U.S. BOND FUND
VS. SALOMON BROTHERS BIG BOND INDEX
Wealth Value with Dividends Reinvested
[GRAPH APPEARS HERE]
08/31/95 12/31/95
-------- --------
BRINSON U.S. BOND FUND $100,000 $105,493
SALOMON BROTHERS BIG BOND INDEX $100,000 $105,322
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
LOGO
------------------------------------------------------------
28
<PAGE>
U.S. BOND FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. BONDS
Corporate Bonds
Asset-backed........................................................... 3.78%
CMO.................................................................... 2.73
Consumer............................................................... 2.77
Financial.............................................................. 10.88
Floating Rate.......................................................... 2.62
Industrial............................................................. 6.19
Telecommunications..................................................... 2.80
Yankee................................................................. 1.12
------
Total U.S. Corporate Bonds........................................... 32.89
U.S. Government Agencies................................................ 27.54
U.S. Government Obligations............................................. 28.94
International Dollar Bonds.............................................. 5.08
------
Total U.S. Bonds..................................................... 94.45
------
SHORT-TERM INVESTMENTS.................................................. 12.44
------
TOTAL INVESTMENTS.................................................... 106.89
LIABILITIES, LESS
CASH AND OTHER ASSETS.................................................. (6.89)
------
NET ASSETS.............................................................. 100.00%
======
</TABLE>
------------------------------------------------------------
- ---------------
29
<PAGE>
U.S. BOND FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
-------- ----------
<S> <C> <C>
BONDS -- 94.45%
U.S. CORPORATE BONDS 32.89%
Capital One Bank
8.625%, due 01/15/97...................................... $250,000 $ 257,353
Citicorp Mortgage Securities
5.750%, due 06/25/09...................................... 84,462 75,898
Countrywide Funding FRN
6.480%, due 12/01/03...................................... 250,000 238,413
Dayton Hudson Credit Card Trust 95-1A
6.100%, due 02/25/02...................................... 100,000 101,605
GMAC MTN
7.450%, due 06/05/97...................................... 250,000 256,280
Green Tree Financial 94-2
8.300%, due 05/15/19...................................... 160,000 176,950
Hanson PLC Notes
6.750%, due 09/15/05...................................... 100,000 103,509
IBM Corp.
7.000%, due 10/30/25...................................... 325,000 334,482
Lehman Brothers Holdings, Inc. MTN
6.650%, due 07/14/98...................................... 250,000 253,535
News America Corp.
7.750%, due 01/20/24...................................... 250,000 259,331
Republic Bank of New York Corp. FRN
6.025%, due 12/29/02...................................... 250,000 242,500
RJR Nabisco, Inc.
8.750%, due 04/15/04...................................... 250,000 256,590
Standard Credit Card Trust 94-1A
4.650%, due 02/07/97...................................... 250,000 247,920
USX Corp.
9.800%, due 07/01/01...................................... 130,000 149,997
8.500%, due 03/01/23...................................... 30,000 87,809
----------
3,042,172
----------
INTERNATIONAL DOLLAR BONDS -- 5.08%
Republic of Italy
6.875%, due 09/27/23...................................... 250,000 244,375
Standard Credit Card Trust 91-3
8.875%, due 09/07/99...................................... 210,000 225,292
----------
469,667
----------
U.S. GOVERNMENT AGENCIES -- 27.54%
Federal Home Loan Mortgage Corp.
7.000%, due 12/15/06...................................... 220,000 225,353
7.000%, due 10/15/21...................................... 60,000 60,923
7.500%, due 07/15/22...................................... 250,000 262,428
Federal National Mortgage Association
6.500%, due 09/01/24...................................... 220,000 217,388
7.000%, due 09/01/24...................................... 245,000 246,914
7.500%, due 05/01/25...................................... 232,592 238,262
Federal National Mortgage Association Dwarf
7.000%, due 12/01/09...................................... 250,000 254,531
Government National Mortgage Association
9.000%, due 12/15/09...................................... 72,145 76,400
9.000%, due 12/15/17...................................... 214,071 227,904
7.500%, due 12/15/22...................................... 463,088 476,740
8.000%, due 09/15/24...................................... 100,000 104,125
Government National Mortgage Association ARM 5.500%, due
10/20/25.................................................. 156,576 156,623
----------
2,547,591
----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
-------- ----------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS -- 28.94%
U.S. Treasury Coupon Strips
0.000%, due 11/15/19...................................... $480,000 $ 108,960
U.S. Treasury Notes and Bonds
6.625%, due 03/31/97...................................... 835,000 849,352
5.500%, due 11/15/98...................................... 350,000 352,515
6.250%, due 08/31/00...................................... 185,000 191,475
7.250%, due 05/15/04...................................... 740,000 823,250
8.125%, due 05/15/21...................................... 250,000 316,406
U.S. Treasury Principal Strips
0.000%, due 05/15/20...................................... 155,000 34,351
----------
2,676,309
----------
Total U.S. Bonds (Cost $8,554,756)......................... 8,735,739
----------
SHORT-TERM INVESTMENTS -- 12.44%
COMMERCIAL PAPER -- 12.44%
Baxter International, Inc.
6.050%, due 01/02/96...................................... 451,000 450,924
General American Transportation Corp.
6.200%, due 01/18/96...................................... 200,000 199,415
Whitman Corp.
5.950%, due 01/02/96...................................... 500,000 499,917
----------
Total Short-Term Investments
(Cost $1,150,256)......................................... 1,150,256
----------
Total Investments
(Cost $9,705,012) -- 106.89%.............................. 9,885,995
----------
Liabilities, less cash and other assets --(6.89%) (a)...... (636,965)
----------
Net Assets -- 100%......................................... $9,249,030
==========
</TABLE>
(a) Aggregate cost for federal income tax purposes was $9,705,012; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation......... $181,935
Gross unrealized depreciation......... (952)
--------
Net unrealized appreciation.......... $180,983
========
</TABLE>
FRN: Floating Rate Note -- The rate disclosed is that in effect at December 31,
1995.
MTN:Medium Term Note
- --------------------------------------------------------------------------------
30
<PAGE>
U.S. BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $9,705,012) (Note 1)................. $ 9,885,995
Cash............................................................. 40,223
Receivables:
Investment securities sold...................................... 253,203
Interest........................................................ 117,792
Due from Advisor (Note 2)....................................... 99,086
Deferred organization costs, net of amortization (Note 1)........ 13,004
Other assets..................................................... 15,935
-----------
TOTAL ASSETS.................................................. 10,425,238
-----------
LIABILITIES:
Payables:
Investment securities purchased................................. 1,071,068
Accrued expenses................................................ 105,140
-----------
TOTAL LIABILITIES............................................. 1,176,208
-----------
NET ASSETS........................................................ $ 9,249,030
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 6)......................................... $ 8,985,395
Accumulated distributions in excess of net investment income..... (7,907)
Accumulated net realized gain on investments..................... 90,559
Net unrealized appreciation on investments....................... 180,983
-----------
NET ASSETS.................................................... $ 9,249,030
===========
OFFERING PRICE PER SHARE:
Brinson Class
Net asset value, offering price and redemption price per share
(Based on net assets of $9,074,299 and 880,184 shares issued
and outstanding) (Note 6)...................................... $ 10.31
===========
SwissKey Class
Net asset value, offering price and redemption price per share
(Based on net assets of $174,731 and 16,961 shares issued and
outstanding) (Note 6).......................................... $ 10.30
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
31
<PAGE>
U.S. BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD AUGUST 31, 1995* TO DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................ $ 190,503
---------
TOTAL INCOME..................................................... 190,503
---------
EXPENSES:
Professional........................................................ 28,675
Custodian........................................................... 21,000
Registration........................................................ 17,605
Transfer Agent...................................................... 16,060
Advisory (Note 2)................................................... 14,076
Accounting.......................................................... 13,585
Printing............................................................ 11,358
Amortization of organization costs (Note 1)......................... 932
Distribution (Note 5)............................................... 89
Other expenses...................................................... 6,897
---------
TOTAL EXPENSES................................................... 130,277
Expenses deferred by Advisor (Note 2)............................ (113,298)
---------
NET EXPENSES..................................................... 16,979
---------
NET INVESTMENT INCOME ........................................... 173,524
---------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on investments.................................... 113,897
Change in net unrealized appreciation............................... 180,983
---------
Net realized and unrealized gain.................................... 294,880
---------
Net increase in net assets resulting from operations................ $ 468,404
=========
</TABLE>
*Commencement of investment operations
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
32
<PAGE>
U.S. BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD AUGUST 31, 1995* TO DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
OPERATIONS:
Net investment income............................................. $ 173,524
Net realized gain on investments.................................. 113,897
Change in net unrealized appreciation............................. 180,983
----------
Net increase in net assets resulting from operations.............. 468,404
----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income.......................... (173,523)
Distributions in excess of net investment income.................. (7,907)
Distributions from net realized gain.............................. (23,339)
----------
Total distributions to shareholders*.............................. (204,769)
----------
CAPITAL SHARE TRANSACTIONS:
Shares sold....................................................... 8,861,181
Shares issued on reinvestment of distributions.................... 204,769
Shares redeemed................................................... (131,555)
----------
Net increase in net assets resulting from capital share transac-
tions (Note 6)................................................... 8,934,395
----------
TOTAL INCREASE IN NET ASSETS................................... 9,198,030
----------
NET ASSETS:
Beginning of period............................................... 51,000
----------
End of period (including distributions in excess of net investment
income of $7,907)................................................ $9,249,030
==========
*DISTRIBUTION BY CLASS:
Distributions from and in excess of net investment income:
Brinson Class.................................................... $ (179,446)
SwissKey Class................................................... (1,984)
Distributions from net realized gain:
Brinson Class.................................................... (23,071)
SwissKey Class................................................... (268)
----------
$ (204,769)
==========
</TABLE>
* Commencement of investment operations
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.
<TABLE>
<CAPTION>
AUGUST 31, 1995*
THROUGH
DECEMBER 31, 1995
BRINSON CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $10.00
------
Income from investment operations:
Net investment income....................................... 0.20
Net realized and unrealized gain............................ 0.35
------
Total income from investment operations................... 0.55
------
Less distributions:
Distributions from and in excess of net investment income... (0.21)
Distributions from net realized gain........................ (0.03)
------
Total distributions....................................... (0.24)
------
Net asset value, end of period................................ $10.31
======
Total return (non-annualized)................................. 5.49%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $9,074
Ratio of expenses to average net assets:
Before expense reimbursement................................ 4.69%**
After expense reimbursement................................. 0.60%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ 2.17%**
After expense reimbursement................................. 6.26%**
Portfolio turnover rate...................................... 212%
</TABLE>
*Commencement of investment operations
**Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
34
<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
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $10.00
------
Income from investment operations:
Net investment income....................................... 0.20
Net realized and unrealized gain............................ 0.33
------
Total income from investment operations................... 0.53
------
Less distributions:
Distributions from and in excess of net investment income... (0.20)
Distributions from net realized gain........................ (0.03)
------
Total distributions....................................... (0.23)
------
Net asset value, end of period................................ $10.30
======
Total return (non-annualized)................................. 5.29%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $175
Ratio of expenses to average net assets:
Before expense reimbursement................................ 5.16%**
After expense reimbursement................................. 1.07%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ 1.70%**
After expense reimbursement................................. 5.79%**
Portfolio turnover rate...................................... 212%
</TABLE>
*Commencement of investment operations
**Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
35
<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 ten series: Global Fund, Global
Equity Fund, Global Bond Fund, Short-Term Global Income Fund, U.S. Balanced
Fund, U.S. Equity Fund, U.S. Bond Fund, U.S. Cash Management Fund, Non-U.S.
Equity Fund and Non-U.S. Bond Fund. Each Fund has outstanding two classes of
shares, Brinson class and SwissKey class. There are an unlimited number of
shares of each class with par value of $0.001 authorized. Each share represents
an identical interest in the investments of the Funds and has the same rights.
The following is a summary of significant accounting policies consistently
followed by the U.S. Balanced Fund, U.S. Equity Fund and the U.S. Bond Fund
(each a "Fund," collectively the "Funds") in the preparation of their financial
statements.
A.INVESTMENT VALUATION: Securities for which market quotations are readily
available are valued at the last available sales price on the exchange or
market on which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which such securities are
principally traded. Securities for which market quotations are not readily
available, including restricted securities which are subject to limitations on
their sale, are valued at fair value as determined in good faith by or under
the direction of the Trust's Board of Trustees. Fixed income/debt securities
are valued using market quotations or independent services that use prices
provided by market makers or estimates of market values obtained from yield
data relating to instruments or securities with similar characteristics. Short-
term obligations with a maturity of 60 days or less are valued at amortized
cost, which approximates market value.
B.INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade
date basis. Gains and losses on securities sold are determined on an identified
cost basis.
C.INVESTMENT INCOME: Interest income, which includes the amortization of
premiums and discounts, is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date.
D.FEDERAL INCOME TAXES: It is the policy of the Funds to comply with all
requirements of the Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute substantially all of their taxable
income to their shareholders. The Funds have met the requirements of the Code
applicable to regulated investment companies for the period ended December 31,
1995, therefore, no federal income tax provision was required.
E.ORGANIZATION COSTS: Organization costs are being amortized on a straight-line
basis over five years from each Fund's respective commencement of operations.
F.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Funds to distribute
their respective net investment income on a semi-annual basis and capital
gains, if any, annually. Distributions to shareholders are recorded on the ex-
dividend date. Income and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. Differences in dividends per share between the classes
are due to different class expenses. Amounts equal to 7.21% and 68.68% of the
amount taxable as ordinary income qualify for the dividends received deduction
available to corporate shareholders for the Brinson U.S. Balanced Fund and the
Brinson U.S. Equity Fund, respectively.
G.INCOME AND EXPENSE ALLOCATIONS: All income earned and expenses incurred by
the Fund will be borne on a prorata basis by each of the classes except that
the Brinson class will not incur any of the 12b-1 expenses.
- --------------------------------------------------------------------------------
36
<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 December 31, 1995, were as follows:
<TABLE>
<CAPTION>
BRINSON SWISSKEY
CLASS CLASS
ADVISORY EXPENSE EXPENSE ADVISORY FEES DEFERRED DUE FROM
FEE CAP CAP FEES AND/OR REIMBURSED ADVISOR
-------- ------- -------- -------- ----------------- --------
<S> <C> <C> <C> <C> <C> <C>
U.S. Balanced Fund...... 0.70% 0.80% 1.30% $660,274 $303,042 $46,935
U.S. Equity Fund........ 0.70 0.80 1.32 254,154 199,769 74,339
U.S. Bond Fund.......... 0.50 0.60 1.07 14,076 113,298 99,086
</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 $3,623, $2,451 and $3,942 for the U.S. Balanced
Fund, U.S. Equity Fund, and U.S. Bond Fund, respectively.
3.INVESTMENT TRANSACTIONS
Investment transactions for the period ended December 31, 1995, excluding
short-term investments, were as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
U.S. Balanced Fund.................................... $255,669,041 $220,420,733
U.S. Equity Fund...................................... 51,092,420 11,182,406
U.S. Bond Fund........................................ 26,005,847 17,524,350
</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 and that a change in the value
of the contract may not correlate with changes in the value of the underlying
securities. Upon entering into a futures contract, the Funds are required to
deposit either cash or securities in an amount (initial margin) based on the
number of open contracts. Subsequent payments (variation margin) are made or
received by the Funds, generally on a daily basis. The variation margin
payments are equal to the daily changes in the contract value and are recorded
as unrealized gains or losses. The Funds recognize a realized gain or loss when
the contract is closed or expires. The statement of operations reflects
realized and unrealized gains and losses on these contracts. Futures contracts
are valued at the settlement price established each day on the exchange on
which they are traded.
5.DISTRIBUTION PLAN
The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act of 1940 (the "Act"). The Plan governs payments
made for the expenses incurred in the promotion and distribution of the
SwissKey Class of shares. Annual fees under the Plan of 0.50%, 0.52% and 0.47%
of the average daily net assets of the SwissKey Class of the U.S. Balanced
Fund, U.S. Equity Fund and U.S. Bond Fund, respectively, are accrued daily.
- --------------------------------------------------------------------------------
37
<PAGE>
THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
6.CAPITAL TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
U.S. BALANCED FUND
---------------------------------------------
SIX MONTHS ENDED
DECEMBER 31, 1995 PERIOD ENDED
(UNAUDITED) JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class................... 3,945,476 $45,936,887 15,121,050 $154,231,504
SwissKey Class.................. 19,216 221,011 -- --
--------- ----------- ---------- ------------
Total Sales....................... 3,964,692 $46,157,898 15,121,050 $154,231,504
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class................... 1,291,889 $14,701,695 178,265 $ 1,991,226
SwissKey Class.................. 123 1,394 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment....... 1,292,012 $14,703,089 178,265 $ 1,991,226
========= =========== ========== ============
Redemptions:
Brinson Class................... 657,649 $ 7,710,180 1,260,181 $ 13,268,940
SwissKey Class.................. 88 998 -- --
--------- ----------- ---------- ------------
Total Redemptions................. 657,737 $ 7,711,178 1,260,181 $ 13,268,940
========= =========== ========== ============
<CAPTION>
U.S. EQUITY FUND
---------------------------------------------
SIX MONTHS ENDED
DECEMBER 31, 1995 PERIOD ENDED
(UNAUDITED) JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class................... 3,374,176 $41,373,607 3,011,049 $ 30,972,427
SwissKey Class.................. 10,353 127,133 -- --
--------- ----------- ---------- ------------
Total Sales....................... 3,384,529 $41,500,740 3,011,049 $ 30,972,427
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class................... 189,516 $ 2,456,129 33,507 $ 349,100
SwissKey Class.................. 268 3,473 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment....... 189,784 $ 2,459,602 33,507 $ 349,100
========= =========== ========== ============
Redemptions:
Brinson Class................... 125,891 $ 1,592,171 202,160 $ 2,050,830
SwissKey Class.................. 84 1,004 -- --
--------- ----------- ---------- ------------
Total Redemptions................. 125,975 $ 1,593,175 202,160 $ 2,050,830
========= =========== ========== ============
<CAPTION>
U.S. BOND FUND
---------------------
PERIOD ENDED
DECEMBER 31, 1995
(UNAUDITED)
---------------------
SHARES VALUE
--------- -----------
<S> <C> <C> <C> <C>
Sales:
Brinson Class................... 867,973 $ 8,691,149
SwissKey Class.................. 16,640 170,032
--------- -----------
Total Sales....................... 884,613 $ 8,861,181
========= ===========
Dividend Reinvestment:
Brinson Class................... 19,835 $ 202,518
SwissKey Class.................. 221 2,251
--------- -----------
Total Dividend Reinvestment....... 20,056 $ 204,769
========= ===========
Redemptions:
Brinson Class................... 12,624 $ 131,555
SwissKey Class.................. -- --
--------- -----------
Total Redemptions................. 12,624 $ 131,555
========= ===========
</TABLE>
- --------------------------------------------------------------------------------
38
<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
SEMI-ANNUAL REPORT
DECEMBER 31, 1995
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
------------------------------------------------------------
3
<PAGE>
SHAREHOLDER LETTER
- --------------------------------------------------------------------------------
LOGO
February 22, 1996
Dear Shareholder:
We appreciate the confidence you have placed in us and are pleased to present
you with the December 31, 1995 Semi-Annual Report for the Global Fund, Global
Equity Fund and Global Bond Fund. This Report presents our current global
economic and market outlook, as well as the Funds' recent investment strategies
and performance. To summarize this information:
Global Fund
The Brinson Global Fund paid a dividend of $0.802 per share on December 29,
1995 to shareholders of record on December 20, 1995.
For the period from August 31, 1992 (performance inception date) to December
31, 1995, the Fund provided an annualized total return of 10.58%. In 1995, the
Fund returned 24.14%. The Fund returned 11.29% in the second half of the year.
Fund strategy presently continues to underweight equities, as equity prices
generally continue to exceed values. These underweights are offset by
overweights in the relatively attractive bond markets, primarily the U.S.,
Canada and DM-bloc countries.
Global Equity Fund
The Brinson Global Equity Fund paid a dividend of $0.723 per share on December
29, 1995 to shareholders of record on December 20, 1995.
For the period from January 31, 1994 (performance inception date) to December
31, 1995, the Fund provided an annualized total return of 8.37%. In 1995, the
Fund returned 21.93%. The Fund returned 15.39% in the second half of the year.
The Fund continues to hold a 10% cash hedge, reflecting the overvaluation in
many equity markets. The greatest underweight is in the U.S. market, where
price exceeds fundamental value by about 20%. Although the Japanese market
remains overpriced, its underweight is smaller, as the downward adjustment of
the yen should benefit the equity market.
Global Bond Fund
The Brinson Global Bond Fund paid a dividend of $1.335 per share on December
29, 1995 to shareholders of record on December 20, 1995.
For the period from July 31, 1993 (performance inception date) to December 31,
1995, the Fund provided an annualized total return of 8.05%. In 1995, the Fund
returned 20.32%. The Fund returned 9.19% in the second half of the year.
The attractive European bond markets, primarily Denmark, France, Germany and
the Netherlands, are the primary overweights in the Fund. In the U.S. market,
the yield curve is very close to our equilibrium level, leading to a modest
underweight. The below-equilibrium yields cause the Fund's largest underweight
to be the Japanese bond market.
Funds' Currency Strategy
The currency strategy continues to focus on reducing the risk of exposure to
the yen and DM-bloc currencies. Even after their declines from the peaks
reached last April, the levels of these currencies are still above fair value.
We look forward to the challenges ahead and, as always, welcome your comments
and suggestions.
Sincerely,
/s/ Gary P. Brinson
Gary P. Brinson, CFA
President and Chief Investment Officer
Brinson Partners, Inc.
------------------------------------------------------------
4
<PAGE>
GLOBAL ECONOMIC AND MARKET HIGHLIGHTS
- --------------------------------------------------------------------------------
LOGO
Relative to the U.S. dollar, the yen and deutschemark have weakened from the
highs reached earlier this year. These currencies are, however, still above
equilibrium values. Currency strength has dampened economic activity in
Germany, and has contributed to the suspension of growth and to price deflation
in Japan.
With continued modest growth in most countries, unemployment has tended to
decline, albeit slowly. The exception is Japan, where the reported unemployment
rate hit new highs and is expected to continue upward. As businesses attempt to
cut costs, in part by shifting production overseas, the demand for labor has
weakened substantially. The unemployment rate, if calculated by other
countries' standards, would be several times higher than reported.
Inflation in most developed countries remains under control, owing both to
increased central bank vigilance and to a lack of major cost shocks. Inflation
has risen in Italy recently and has stayed higher in Spain than elsewhere. Both
these countries have demonstrated less than responsible fiscal policy and poor
monetary discipline.
GLOBAL ENVIRONMENT
<TABLE>
<CAPTION>
6 months 1 year 3 years Annualized
MAJOR MARKETS ended ended ended 8/31/92*
Total Return in U.S. Dollars 12/31/95 12/31/95 12/31/95 to 12/31/95
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Equity 14.46% 36.45% 14.92% 16.16%
Non-U.S. Equities (currency unhedged) 8.39 11.73 16.67 12.87
Non-U.S. Equities (currency hedged) 19.10 12.23 11.80 11.84
U.S. Bonds 6.32 18.55 8.18 7.80
Non-U.S. Bonds (currency unhedged) -0.40 19.55 13.40 10.04
Non-U.S. Bonds (currency hedged) 7.69 17.94 8.68 9.18
U.S. Cash Equivalents 2.75 5.57 4.12 4.00
- -----------------------------------------------------------------------------
<CAPTION>
MAJOR CURRENCIES 6 months 1 year 3 years Annualized
Percent Change Relative to U.S. ended ended ended 8/31/92*
Dollars 12/31/95 12/31/95 12/31/95 to 12/31/95
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Yen -17.70% -3.28% 6.57% 5.48%
Pound -2.41 -0.76 0.84 -7.06
Deutschemark -3.30 8.29 4.20 -0.51
Canadian Dollar 0.73 -1.48 -2.31 -3.85
- -----------------------------------------------------------------------------
</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. This philosophy offers the greatest potential
for achieving superior long-term returns, while maintaining control of risk.
The Brinson Global Fund has provided an annualized return of 10.58% since its
inception on August 31, 1992. This compares with the corresponding 12.95%
return of its benchmark, the Brinson Global Fund Index. Fund performance over
this period was achieved with an annualized volatility of 4.61%, well below the
benchmark volatility of 6.08%. In 1995, the Fund returned 24.14%, while the
benchmark returned 25.42%. For the second half of 1995, the Global Fund
returned 11.29% compared to the 9.98% return of the benchmark. Positive
contributors to relative performance included security selection within the
U.S. equity component, hedging currency risk, and underweighting non-U.S.
equities. Negative contributors included an underweight in U.S. equities and
overweights in bond markets.
Currency market volatility during the year carried the yen and core European
currencies to extreme highs against the dollar in the first four months of
1995. By the end of the year, however, the dollar showed net appreciation
against the yen and reversed its slide against the deutschemark. Because of the
very low short-term interest rates in Japan, hedging yen risk provided a
substantial interest rate differential.
The strong yen prompted the Bank of Japan to cut short rates to historic lows.
In the U.S., the Fed began to partially reverse the hikes made in 1994.
European central banks eased in the face of slowing growth and overvalued
currencies. The result was falling yield curves and very good performance in
bond markets.
As the U.S. equity and bond markets rallied, the non-U.S. markets became
relatively more attractive and additional weight was allocated. The Japanese
bond and equity valuations remained relatively unattractive. But because of the
policy initiatives by the Japanese government and central bank to restart the
economy and provide liquidity, the Japanese equity underweight was reduced.
Asset allocation strategy continues to underweight equity markets, as prices
remain in excess of fundamental value, and to overweight bonds. In most bond
markets outside Japan, yields exceed equilibrium levels, offering attractive
relative value. The Fund continues to hold no cash. Currency strategy is
focused on controlling exposure to the overvalued core European currencies and
the yen, with a primary overweight in the U.S. dollar.
------------------------------------------------------------
6
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months 1 year 3 years Annualized
ended ended ended 8/31/92*
12/31/95 12/31/95 12/31/95 to 12/31/95
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BRINSON GLOBAL FUND 11.29% 24.14% 10.62% 10.58%
Brinson Global Fund Index (currency
unhedged)** 9.98 25.42 13.34 12.95
Brinson Global Fund Index (currency
hedged)** 12.43 25.34 12.10 12.66
- ----------------------------------------------------------------------------
</TABLE>
*Inception date of the Brinson Global Fund.
**An un-managed index compiled by the Advisor, constructed as follows since
December 31, 1981: 50% Wilshire 5000 Index; 17% MSCI Non-U.S. Equity (Free)
Index; 18% Salomon BIG Bond Index; 2% International Dollar Bond Index; 8%
Salomon Non-U.S. Gov't. Bond Index (unhedged); and 5% 30-day Treasury Bills.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000
This chart shows the growth in the value of an investment in the Brinson Global
Fund and the Brinson Global Fund Index (currency unhedged and hedged) if you
had invested $100,000 on August 31, 1992, and had reinvested all your income
dividends and capital gain distributions through December
31, 1995. No adjustment has been made for any income taxes payable by
shareholders on income dividends and capital gain distributions. Past
performance is no guarantee of future results. Share price and return will
vary with market conditions; investors may realize a gain or loss upon
redemption.
BRINSON GLOBAL FUND
VS. BRINSON GLOBAL FUND INDEX (CURRENCY UNHEDGED AND HEDGED)
Wealth Value with Dividends Reinvested
[GRAPH APPEARS HERE]
- ------------------------------------------------------------------
8/31/92 12/31/95
------- --------
Brinson Global Fund $100,000 $139,824
Brinson Global Fund Index (currency unhedged) $100,000 $150,088
Brinson Global Fund Index (currency hedged) $100,000 $148,772
8/31/92 = $100,000 Data through 12/31/95
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
------------------------------------------------------------
7
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
LOGO
ASSET ALLOCATION
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. EQUITY 50.0% 28.0%
Large Cap. Stocks 35.0 19.0
Small/Int. Cap. 15.0 9.0
NON-U.S. EQUITIES 17.0 17.0
Japan Equity 6.7 5.9
Other Equities 10.3 11.1
DOLLAR BONDS 20.0 29.5
U.S. Bonds 18.0 27.5
International $ Bonds 2.0 2.0
NON-U.S. BONDS 8.0 25.5
Japan Bonds 2.4 0.4
Other Bonds 5.6 25.1
CASH EQUIVALENTS 5.0 0.0
- -----------------------------------------------------------------------------------------------
100.0% 100.0%
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------------------------
<S> <C>
1. Citicorp 1.51%
2. Lockheed Martin Corp. 1.47
3. Burlington Northern, Santa Fe 1.18
4. Honeywell, Inc. 1.13
5. Avon Products, Inc. 0.90
6. Schering Plough Corp. 0.85
7. Kimberly-Clark Corp. 0.82
8. AON Corp. 0.82
9. Enron Corp. 0.79
10. Sprint Corp. 0.77
- ------------------------------------------------------------------------------
</TABLE>
CURRENCY ALLOCATION
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- --------------------------------------
<S> <C> <C>
U.S. 75.0% 82.9%
Japan 9.1 0.0
U.K. 3.4 3.4
Continental Europe 9.7 5.1
Canada 1.0 6.0
Other 1.8 2.6
- --------------------------------------
100.0% 100.0%
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------------------------
<S> <C>
1. Royal Dutch Petroleum 0.35%
2. Lloyds TSB Group 0.26
3. General Electric, PLC 0.24
4. British Telecommunications 0.20
5. Broken Hill Proprietary 0.19
6. Grand Metropolitan 0.19
7. British Petroleum 0.18
8. International Nederlander Group NV 0.18
9. Peugeot S.A. 0.16
10. British Gas 0.15
- ------------------------------------------------------------------------------
</TABLE>
------------------------------------------------------------
8
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals............................................................... 0.22%
Housing/Paper........................................................... 0.93
Metals.................................................................. 0.40
-----
1.55
Capital Investment
Capital Goods........................................................... 2.53
Technology.............................................................. 1.59
-----
4.12
Consumer
Autos/Durables.......................................................... 0.29
Discretionary........................................................... 1.52
Health: Drugs........................................................... 2.70
Health: Non-Drugs....................................................... 0.87
Non-Durables............................................................ 2.82
Retail/Apparel.......................................................... 1.75
-----
9.95
Energy................................................................... 1.72
Financial
Banks................................................................... 2.25
Non-Banks............................................................... 2.76
-----
5.01
Services................................................................. 2.23
Transportation........................................................... 1.22
Utilities................................................................ 1.82
Miscellaneous............................................................ 0.67
-----
Total U.S. Equities................................................... 28.29
-----
NON-U.S. EQUITIES
Aerospace & Military..................................................... 0.08
Airlines................................................................. 0.01
Appliances & Household Durables.......................................... 0.27
Automobiles.............................................................. 0.41
Banking.................................................................. 2.20
Beverages & Tobacco...................................................... 0.43
Broadcasting & Publishing................................................ 0.23
Building Materials....................................................... 0.05
Business & Public Service................................................ 0.42
Chemicals................................................................ 0.49
Construction............................................................. 0.25
Data Processing.......................................................... 0.03
Electric Components...................................................... 0.10
Electronics.............................................................. 0.57
Energy................................................................... 1.42
Financial Services....................................................... 0.07
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
Food & House Products................................................... 0.50%
Forest Products......................................................... 0.27
Goldmines............................................................... 0.03
Health & Personal Care.................................................. 0.52
Industrial Components................................................... 0.26
Insurance............................................................... 0.93
Leisure & Tourism....................................................... 0.07
Machinery & Engineering................................................. 0.13
Merchandising........................................................... 0.81
Miscellaneous Materials................................................. 0.16
Multi-Industry.......................................................... 0.96
Non-Ferrous Metals...................................................... 0.15
Real Estate............................................................. 0.06
Recreation.............................................................. 0.13
Shipping................................................................ 0.04
Steel................................................................... 0.14
Telecommunications...................................................... 0.60
Transportation.......................................................... 0.10
Utilities............................................................... 0.72
------
Total Non-U.S. Equities.............................................. 13.61*
------
U.S. BONDS
Corporate Bonds
Asset-backed........................................................... 3.32
CMO.................................................................... 0.25
Consumer............................................................... 0.73
Financial.............................................................. 1.00
Floating rate.......................................................... 0.23
Industrial............................................................. 0.97
Supernational.......................................................... 0.04
Telecommunications..................................................... 1.52
Yankee................................................................. 0.23
------
8.29
U.S. Government Agencies................................................ 8.04
U.S. Government Obligations............................................. 8.65
International Dollar Bonds.............................................. 2.18
Municipal Bonds......................................................... 0.04
------
Total U.S. Bonds..................................................... 27.20
------
NON-U.S. BONDS
Foreign Government Bonds................................................ 24.07
------
SHORT-TERM INVESTMENTS.................................................. 6.84*
------
TOTAL INVESTMENTS.................................................... 100.01
LIABILITIES LESS CASH AND OTHER ASSETS.................................. (0.01)
------
NET ASSETS........................................................... 100.00%
======
</TABLE>
LOGO
* The Fund held a long position in Topix futures on
December 31, 1995 which increased Japanese equity
exposure from 2.87% to 5.91% and decreased the Fund's
exposure to Short-Term Investments from 6.84% to 3.80%.
- --------------------------------------------------------------------------------
9
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- ------------
<S> <C> <C>
Equities -- 41.90%
U.S. EQUITIES -- 28.29%
Aetna Life & Casualty Co............................. 34,900 $ 2,416,825
Air & Water Technologies Corp.
Class A (b)......................................... 22,400 137,200
Allergan, Inc........................................ 58,300 1,894,750
Alza Corp. (b)....................................... 46,200 1,143,450
American Mobile Satellite Corp., Inc. (b)............ 8,500 260,313
Aon Corp............................................. 70,900 3,536,138
AST Research Corp. (b)............................... 13,740 116,790
Automatic Data Processing, Inc....................... 33,300 2,472,525
Avon Products, Inc................................... 51,500 3,881,812
Bard (C.R.), Inc..................................... 35,200 1,135,200
Beckman Instruments, Inc............................. 22,700 803,012
Biogen, Inc. (b)..................................... 5,200 319,800
Birmingham Steel Corp................................ 23,000 342,125
Boeing Co. .......................................... 20,600 1,64,525
Boston Technology, Inc. (b).......................... 14,000 178,500
Brinker International, Inc. (b)...................... 16,500 249,563
Burlington Northern Santa Fe......................... 65,500 5,109,000
Campbell Soup Co..................................... 18,000 1,080,000
Centerior Energy Co.................................. 9,900 87,863
CIGNA Corp........................................... 28,200 2,911,650
Citicorp............................................. 97,300 6,543,425
CMS Energy Corp...................................... 62,300 1,861,213
Coca-Cola Enterprises, Inc........................... 73,400 1,963,450
Comerica, Inc........................................ 15,700 629,963
Computer Sciences Corp. (b).......................... 3,000 210,750
Converse Technology, Inc. (b)........................ 9,100 182,000
Cooper Cameron Corp. (b)............................. 19,283 684,546
Cooper Industries, Inc............................... 22,352 821,436
Dial Corp............................................ 54,700 1,620,487
Enron Corp........................................... 89,400 3,408,375
Entergy Corp......................................... 62,700 1,833,975
Federated Department Stores (b)...................... 72,800 2,002,000
First Data Corp...................................... 34,490 2,306,505
Food Lion, Inc. Class A.............................. 92,300 527,836
Ford Motor Co........................................ 57,900 1,679,100
Forest Laboratories, Inc. (b)........................ 38,600 1,746,650
Gannett Co., Inc..................................... 20,700 1,270,463
Genzyme Corp. (b).................................... 7,400 461,575
Goodyear Tire and Rubber Co.......................... 41,300 1,873,988
Grand Metro.......................................... 60,000 1,755,000
Health Care and Retirement Corp. (b)................. 16,600 581,000
Hillenbrand Industries, Inc.......................... 1,200 40,650
Honeywell, Inc....................................... 100,800 4,901,400
Illinova Corp........................................ 12,100 363,000
Inland Steel Industries, Inc......................... 33,900 851,737
Interpublic Group of Companies, Inc.................. 22,900 993,287
Kimberly-Clark Corp.................................. 42,900 3,549,975
Kroger Co. (b)....................................... 33,100 1,241,250
Lockheed Martin Corp................................. 80,600 6,367,400
LTV Corp............................................. 33,100 455,125
Lyondell Petrochemical Co............................ 62,400 1,427,400
Magna Group, Inc..................................... 11,400 270,750
Manor Care, Inc...................................... 37,250 1,303,750
Mattel, Inc.......................................... 90,800 $ 2,792,100
Melville Corp........................................ 52,700 1,620,525
National Semiconductor Corp. (b)..................... 24,500 545,125
Nextel Communications, Inc. Class A (b).............. 50,100 738,975
Octel Communications Corp. (b)....................... 6,300 203,175
Old Republic International Corp...................... 22,100 784,550
Owens Illinois, Inc. (b)............................. 64,600 936,700
Pentair, Inc......................................... 13,300 661,675
Pfizer, Inc.......................................... 34,300 2,160,900
Philip Morris Companies, Inc......................... 16,800 1,520,400
Raychem Corp......................................... 19,800 1,126,125
RJR Nabisco Convertible Preferred "C" 184,500 1,176,187
RJR Nabisco Holdings Corp. (b)....................... 55,140 1,702,448
Schering Plough Corp................................. 67,100 3,673,725
Schlumberger Ltd..................................... 24,200 1,675,850
Schweitzer-Masuduit Intl., Inc. (b).................. 4,290 99,206
Seagate Technology (b)............................... 23,800 1,130,500
Sprint Corp.......................................... 83,800 3,341,525
State Street Boston Corp............................. 16,800 756,000
Timken Co............................................ 15,900 608,175
Tosco Corp........................................... 10,200 388,875
Transamerica Corp.................................... 29,500 2,149,813
Ultramar Corp........................................ 24,900 641,175
US Bancorp........................................... 38,800 1,304,650
USF&G Corp........................................... 55,700 939,937
Walgreen Co.......................................... 50,200 1,499,725
Westvaco Corp........................................ 15,950 442,612
WMX Technologies, Inc................................ 72,100 2,153,987
------------
Total U.S. Equities.................................. 122,195,142
------------
NON-U.S. EQUITIES -- 13.61%
AUSTRALIA -- 0.72%
Amcor Ltd............................................ 29,400 207,766
ANZ Banking Group.................................... 33,753 158,433
Broken Hill Proprietary.............................. 57,180 808,168
CRA Ltd.............................................. 20,600 302,495
David Jones Ltd. (b)................................. 74,000 112,847
Lend Lease Corp. Ltd................................. 17,623 255,634
National Australia Bank.............................. 36,947 332,559
News Corp............................................ 36,100 192,813
Pacific Dunlop Ltd................................... 47,600 111,538
Qantas Airways Ltd................................... 18,400 30,659
Santos Ltd........................................... 49,600 145,003
Western Mining Corp.................................. 19,100 122,758
Westpac Banking Corp. Ltd............................ 70,138 310,959
------------
3,091,632
------------
BELGIUM -- 0.47%
Dellanizo-Le Lion, S.A............................... 2,100 87,051
Electrabel........................................... 1,860 442,392
Fortis AG............................................ 1,707 207,641
Groupe Bruxelles Lambert............................. 900 124,920
Kredietbank.......................................... 1,070 292,669
Petrofina............................................ 855 261,750
</TABLE>
- --------------------------------------------------------------------------------
10
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- ------------
<S> <C> <C>
BELGIUM (CONTINUED)
Petrofina S.A. Warrants "97" (b)..................... 13 $ 173
Societe Gen De Belgique.............................. 1,553 128,489
Solvay............................................... 360 194,489
Tractebel............................................ 575 237,378
Union Mineire (b).................................... 920 61,582
------------
2,038,534
------------
CANADA -- 0.67%
Alcan Aluminum Ltd................................... 7,600 236,142
Bank of Montreal..................................... 16,700 379,601
Barrick Gold Corp.................................... 5,700 150,462
Canadian Pacific Ltd................................. 19,900 362,966
Imperial Oil Canada Ltd.............................. 7,800 282,391
Moore Corp. Ltd...................................... 3,900 73,279
Noranda Inc.......................................... 7,700 158,793
Norcen Energy........................................ 5,800 87,183
Northern Telecom Ltd................................. 3,400 145,531
Nova Corporation of Alberta.......................... 10,400 83,883
Royal Bank of Canada................................. 13,600 310,383
Seagram Co Ltd....................................... 6,500 224,006
Thomson Corp......................................... 17,800 247,983
TransCanada Pipelines Ltd............................ 11,200 155,008
------------
2,897,611
------------
FRANCE -- 1.58%
Accor................................................ 2,140 277,422
Alcatel Alsthom...................................... 2,938 253,634
Banque Nationale de Paris............................ 9,230 416,903
Carnaud Metal Box.................................... 4,780 218,934
Cep Communications................................... 1,984 164,705
Cie Bancaire S.A..................................... 1,963 219,957
Cie de Saint Gobain.................................. 3,374 373,923
Cie Fin de Suez...................................... 4,367 180,374
Colas................................................ 854 143,189
Credit Local de France............................... 5,059 405,498
GAN (b).............................................. 1,820 66,614
Generale des Eaux.................................... 4,326 432,458
LVMH (Moet-Hennessy Louis Vaitton)................... 3,029 631,738
Michelin Class B..................................... 5,660 226,025
Pechiney Cert D'Invest............................... 3,640 137,693
Peugeot S.A.......................................... 5,170 682,906
Sanofi............................................... 3,788 243,130
Societe Generale..................................... 4,386 542,578
Societe Nationale Elf Aquitaine...................... 5,434 400,889
Total Co. "B"........................................ 8,712 588,745
UAP.................................................. 9,066 237,096
------------
6,844,411
------------
GERMANY -- 1.02%
Allianz AG Holdings.................................. 268 527,275
BASF AG.............................................. 911 205,584
Bayer................................................ 978 260,199
Bayer Motoren Werken................................. 440 227,486
Bayer Vereinsbank.................................... 5,794 174,067
Commerzbank.......................................... 891 $ 211,965
Daimler-Benz......................................... 408 206,380
Deutsche Bank........................................ 12,811 609,536
Hoechst.............................................. 974 265,395
Kaufhof Holding AG................................... 550 167,924
Mannesmann........................................... 1,077 343,499
Muenchener Rueckver.................................. 171 369,168
Muenchener Rueckver Warrants "98" (b)................ 2 265
Preussag............................................. 742 209,438
RWE.................................................. 600 218,612
Schering............................................. 1,535 102,205
Veba................................................. 6,839 293,379
------------
4,392,377
------------
ITALY -- 0.48%
Assic Generali....................................... 14,300 346,573
Eni ADR (c).......................................... 10,000 342,500
Fiat Spa Priv........................................ 110,000 201,073
Instituto Mobilaire Italiano......................... 41,000 258,432
Italgas.............................................. 45,000 137,001
Mediobanca........................................... 6,000 41,582
Montedison (b)....................................... 150,000 100,599
La Rinascente Savings (Risp)......................... 9,000 25,528
Sai Di Risp.......................................... 42,000 210,629
Telecom Italia....................................... 170,000 208,095
Telecom Italia Mobile (b)............................ 170,000 178,948
------------
2,050,960
------------
JAPAN -- 2.87%
Amada................................................ 20,000 197,770
Asahi Glass Co....................................... 24,000 267,572
Bank of Tokyo........................................ 11,000 193,020
Canon, Inc........................................... 17,000 308,192
Canon Sales.......................................... 5,250 139,966
Citizen Watch Co..................................... 19,000 145,516
Dai Nippon Printing.................................. 19,000 322,346
Daiichi Pharmaceutical Co., Ltd...................... 8,000 114,009
Daiwa Industries..................................... 21,000 205,623
Daiwa House Industries............................... 10,000 164,809
Fanuc Co............................................. 4,300 186,340
Fujitsu.............................................. 12,000 133,786
Hitachi Ltd.......................................... 39,000 393,214
Honda Motor Co....................................... 11,000 227,145
Inax................................................. 18,000 171,013
Isetan............................................... 7,000 115,366
Ito Yokado Co........................................ 10,000 616,578
Keio Teito Electric Railway.......................... 23,000 134,009
Kinki Nippon Railway................................. 22,000 166,360
Kurin Brewery Co. Ltd................................ 11,000 130,102
Kuraray Co. Ltd...................................... 12,000 131,459
Maeda Road Construction.............................. 4,000 74,067
Marui Co............................................. 6,000 125,061
Matsushita Electric Industrial....................... 32,000 521,182
Mitsubishi Bank...................................... 8,000 188,463
Mitsubishi Paper..................................... 25,000 150,509
</TABLE>
- --------------------------------------------------------------------------------
11
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- ------------
<S> <C> <C>
JAPAN (CONTINUED)
NGK Insulators....................................... 34,000 $ 339,506
Nichii Co............................................ 14,000 185,943
Nintendo............................................. 1,900 144,595
Nippon Denso Co...................................... 13,000 243,238
Nippon Meat Packers.................................. 12,000 174,503
Nippon Steel Corp.................................... 16,000 54,910
Orix Corp............................................ 2,000 82,404
Osaka Gas Corp....................................... 81,000 280,339
Pioneer Electronics.................................. 9,000 164,905
Sankyo Co. Ltd....................................... 14,000 314,881
Secom Co............................................. 4,000 278,429
Seino Transportation................................. 7,000 117,402
Sekisui House........................................ 38,000 486,282
Shinmaywa Industries Ltd............................. 13,000 107,378
Sony Corp............................................ 5,200 312,050
Sumitomo Bank........................................ 22,000 467,087
Sumitomo Electric Industries......................... 16,000 192,341
Takeda Chemical Industries........................... 23,000 379,060
TDK Corp............................................. 5,000 255,453
Tokio Marine & Fire.................................. 18,000 235,579
Tokyo Electric Power................................. 7,979 213,495
Tokyo Steel Mfg...................................... 14,000 257,877
Tonen Corp........................................... 11,000 161,028
Toray Industries, Inc................................ 84,000 553,757
Toshiba Corp......................................... 62,000 486,263
Toyo Suisan Kaisha................................... 13,000 161,318
Toyota Motor Corp.................................... 6,000 127,387
Yawazaki Baking Co. Ltd.............................. 6,000 111,682
------------
12,412,569
------------
MALAYSIA -- 0.17%
Genting.............................................. 5,000 41,749
Hume Industries...................................... 11,000 52,855
Kuala Lumpur Kepong.................................. 23,000 72,922
Land & General Holdings.............................. 25,000 54,155
Malayan Bank......................................... 12,000 101,142
Nestle Malaysia...................................... 7,000 51,280
Sime Darby........................................... 39,000 103,683
Telekom Malaysia..................................... 18,000 140,370
Tenaga Nasional...................................... 28,000 110,280
------------
728,436
------------
NETHERLANDS -- 1.13%
ABN-AMRO Holdings.................................... 13,446 613,164
D.S.M................................................ 1,610 132,576
Internationale Nederlanden Groep NV.................. 11,798 788,987
KPN NV............................................... 9,895 359,874
Philips Electronics.................................. 4,680 169,333
Royal Dutch Petroleum................................ 10,800 1,510,518
Royal Dutch Petroleum NY Shares...................... 3,500 493,938
Unilever NV.......................................... 4,650 654,133
VNU-Ver Ned Uitger................................... 1,310 180,033
------------
4,902,556
------------
NEW ZEALAND -- 0.38%
Brierly Investment................................... 417,700 $ 330,424
Carter Holt Harvey................................... 175,400 378,413
Fletcher Challenge Ltd............................... 162,100 374,093
Fletcher Challenge Forest Division................... 16,333 23,278
Telecom Corp. of New Zealand Ltd..................... 91,000 392,652
Telecom Corp. of New Zealand Ltd. ADS (c)............ 2,000 138,750
------------
1,637,610
------------
SPAIN -- 0.43%
Banco Bilbao-Vizcaya................................. 3,800 136,873
Banco Intercontinental............................... 1,430 139,082
Banco Popular........................................ 740 136,443
Banco Santander...................................... 3,900 195,765
Empresa NAC Electric................................. 3,100 175,538
Iberdrola S.A........................................ 39,100 357,729
Repsol S.A........................................... 4,100 134,331
Repsol S.A. ADR (c).................................. 2,100 69,038
Sevillana de Electric................................ 13,200 102,489
Telefonica de Espana................................. 26,400 365,567
Viscofan............................................. 4,900 58,159
------------
1,871,014
------------
SWITZERLAND -- 0.44%
Ciba-Geigy (Reg.).................................... 258 227,594
CS Holdings.......................................... 1,948 200,201
Nestle (Reg) S.A..................................... 483 535,641
Roche Holdings Gen................................... 50 396,532
Schweiz Bankgesellschaft............................. 201 218,364
Societe Generale Surveillance (Br)................... 76 151,260
Zurich Insurance..................................... 569 170,611
------------
1,900,203
------------
UNITED KINGDOM -- 3.25%
Asda Group........................................... 90,200 154,745
Bass................................................. 39,800 444,282
B.A.T. Industries PLC................................ 46,184 406,915
BET PLC.............................................. 70,900 139,797
Booker PLC........................................... 14,100 78,370
British Gas.......................................... 167,900 662,111
British Petroleum.................................... 94,815 793,437
British Telecommunications........................... 159,500 876,619
Charter Group........................................ 20,969 280,954
Coats Viyella........................................ 66,000 179,320
FKI.................................................. 68,700 175,990
General Electric PLC................................. 191,700 1,056,567
Glaxo Holdings....................................... 26,800 380,717
Grand Metropolitan................................... 111,200 801,068
Guinness............................................. 61,000 448,905
Hanson............................................... 101,400 303,051
Hillsdown Holdings................................... 66,000 173,172
House of Fraser...................................... 153,800 427,421
Legal and General.................................... 22,300 231,968
Lloyds Abbey Life.................................... 31,300 218,677
Lloyds TSB Group..................................... 215,779 1,108,878
Lucas Industries..................................... 49,851 140,087
Marks & Spencer...................................... 46,400 324,173
Mirror Group......................................... 85,500 233,628
</TABLE>
- --------------------------------------------------------------------------------
12
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
National Power...................................... 37,900 $ 264,494
National Westminster Bank........................... 45,800 461,484
Ocean Group......................................... 32,200 193,970
P & O............................................... 36,600 270,480
Reckitt & Colman.................................... 28,325 313,550
Redland............................................. 23,200 140,115
RJB Mining PLC...................................... 10,000 85,080
Rolls Royce......................................... 119,900 351,826
Royal Insurance..................................... 34,366 203,816
Sears PLC........................................... 160,700 259,475
Sedgwick Group...................................... 24,100 45,274
SmithKline Beecham Units............................ 27,000 294,271
Tesco............................................... 99,200 457,420
Thames Water........................................ 27,500 239,948
Unilever Ord 5P..................................... 9,600 197,187
W.H. Smith Group.................................... 29,300 192,877
------------
14,012,119
------------
Total Non-U.S. Equities............................. 58,780,032
------------
Total Equities (Cost $151,483,329).................. 180,975,174
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------------- -------------
<S> <C> <C>
Bonds -- 51.27%
U.S. BONDS -- 27.20%
U.S. CORPORATE BONDS -- 8.29%
Bell South Corp.
9.125%, due 07/01/03............................... $ 219,468 $ 241,278
0.000%, due 12/15/15............................... 4,100,000 1,085,598
Choice Credit Card
7.200%, due 03/15/98............................... 1,000,000 1,030,210
Chrysler Financial
8.500%, due 08/21/97............................... 165,000 167,034
Citicorp
9.750%, due 08/01/99............................... 150,000 168,974
Dayton Hudson Credit Card Trust 95-1 6.100%, due
09/25/98........................................... 2,000,000 2,032,100
Ford Credit Grantor Trust 95-b
5.900%, due 10/15/00............................... 194,539 193,129
GMAC
6.700%, due 04/21/97............................... 1,350,000 1,368,590
Green Tree Financial 94-2
8.300%, due 05/15/19............................... 435,000 481,084
Green Tree Acceptance Corp. 94-A
6.900%, due 02/15/04............................... 562,785 564,462
International Bank for Reconstruction and Develop-
ment
9.875%, due 10/01/97............................... 175,000 187,933
ITT Destinations
7.375%, due 11/15/15............................... 1,000,000 1,010,630
Lehman Brothers Holdings, Inc.
6.650%, due 07/14/98............................... 1,960,000 1,987,714
MBNA Master Trust
6.275%, due 09/15/99............................... 3,150,000 3,149,843
News America Corp.
7.750%, due 01/20/24................................ $ 1,755,000 $ 1,820,502
Petroliam Nasional
7.125%, due 08/15/05................................ 950,000 1,002,250
Premier Auto 95-1
8.050%, due 04/04/00................................ 500,000 528,490
Premier Auto Trust
4.220%, due 03/02/99................................ 65,039 64,034
Republic Bank of New York Corp. FRN
6.025%, due 12/29/02................................ 1,000,000 996,055
RJR Nabisco Inc.
8.625%, due 12/01/02................................ 2,100,000 2,178,219
Salomon, Inc.
7.020%, due 09/25/98................................ 585,000 595,249
Signet Credit Card 1993-4A
6.375%, due 05/15/02................................ 2,000,000 2,005,420
Standard Credit Card Trust
94-I 4.650%, due 02/07/97........................... 1,065,000 1,056,139
8.500%, due 08/07/97................................ 805,000 815,521
91-3A 8.875%, due 07/07/98.......................... 2,750,000 2,950,255
8.250%, due 01/07/05................................ 500,000 569,855
Tele-Communications, Inc.
7.250%, due 08/01/05................................ 800,000 813,849
Thrift Financial Corp.
11.250%, due 01/01/16............................... 45,038 49,534
Time Warner, Inc.
9.125%, due 01/15/13................................ 2,250,000 2,531,583
USX Corp.
9.800%, due 07/01/01................................ 1,570,000 1,811,502
8.500% due 03/01/23................................. 950,000 1,042,733
WR Grace & Co.
8.000%, due 08/15/04................................ 1,195,000 1,319,025
------------
35,818,794
------------
INTERNATIONAL DOLLAR BONDS -- 2.18%
BBV International
7.000%, due 12/01/05................................ 2,200,000 2,191,603
City of Oslo
7.875%, due 02/03/97................................ 1,200,000 1,229,250
European Investment Bank
9.250%, due 11/15/97................................ 1,100,000 1,175,625
GMAC Euro
7.250%, due 10/17/97................................ 325,000 333,531
Hanson PLC Notes
6.750%, due 09/15/05................................ 790,000 817,725
Hong Kong Shanghai Perpetual FRN
6.500%, due 07/30/49................................ 1,700,000 1,318,945
Japanese Development Bank
8.375%, due 02/15/01................................ 1,000,000 1,109,375
Republic of Italy
6.875%, due 09/27/23................................ 150,000 146,625
Republic of South Africa
9.625%, due 12/15/99................................ 1,000,000 1,080,000
------------
9,402,679
------------
</TABLE>
- --------------------------------------------------------------------------------
13
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------------- -------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES -- 8.08%
Federal Home Loan Mortgage Corp.
9.200%, due 08/25/97............................... $ 200,000 $ 211,839
9.000%, due 03/01/17............................... 521,086 553,055
7.000%, due 10/15/21............................... 735,000 734,311
7.500%, due 07/15/22............................... 2,575,000 2,703,003
Federal Home Loan Mortgage Corp. Gold
9.500%, due 10/01/20............................... 695,580 742,789
9.000%, due 05/01/24............................... 1,434,965 1,571,734
Federal National Mortgage Association
7.600%, due 01/10/97............................... 200,000 204,575
5.000%, due 06/01/01............................... 1,843,425 1,768,987
7.000%, due 06/17/17............................... 895,000 924,078
10.000%, due 06/25/19.............................. 492,597 546,427
9.000%, due 08/01/21............................... 395,756 420,772
8.200%, due 08/25/21............................... 74,865 77,263
8.000%, due 05/01/22............................... 185,388 191,934
8.500%, due 07/01/22............................... 945,009 994,810
6.500%, due 09/01/24............................... 5,400,000 5,335,875
7.000%, due 09/01/24............................... 115,000 115,899
7.500%, due 05/01/25............................... 2,107,869 2,159,248
8.500%, due 05/01/25............................... 502,612 524,287
Federal National Mortgage Association Dwarf 7.000%,
12/01/09........................................... 4,600,000 4,683,375
Federal National Mortgage Association Principal
0.000%, due 11/01/01............................... 225,000 214,051
Government National Mortgage Association
9.000%, due 12/15/09............................... 2,032,780 2,152,693
11.000%, due 09/15/15.............................. 313,073 353,381
9.000%, due 12/15/17............................... 2,040,194 2,172,032
8.500%, due 05/15/21............................... 76,145 79,905
8.000%, due 11/15/22............................... 582,554 603,672
8.000%, due 12/15/22............................... 1,981,496 2,055,493
8.000%, due 09/15/24............................... 1,050,000 1,093,312
5.500%, due 10/20/25............................... 1,580,440 1,580,915
Tennessee Valley Authority
6.875%, due 12/15/43............................... 170,000 168,565
-------------
34,884,280
-------------
U.S. GOVERNMENT OBLIGATIONS-- 8.65%
U.S. Treasury Bonds
8.125%, due 05/15/21............................... 4,355,000 5,739,609
U.S. Treasury Coupon Strips
0.000%, due 02/15/03............................... 225,000 152,375
0.000%, due 11/15/19............................... 1,785,000 405,195
U.S. Treasury Notes
6.625%, due 03/31/97............................... 9,400,000 9,561,558
5.500%, due 11/15/98............................... 1,500,000 1,510,780
6.250%, due 08/31/00............................... 4,070,000 4,212,450
7.250%, due 05/15/04............................... 13,840,000 15,397,000
U.S. Treasury Principal Strips
0.000%, due 05/15/20............................... $ 1,855,000 $ 411,105
------------
37,390,072
------------
Total U.S. Bonds................................... 117,495,825
------------
Non-U.S. Bonds -- 24.07%
BELGIUM -- 1.19%
Kingdom of Belgium
8.250%, due 06/01/99............................... BEF 24,000,000 896,527
8.750%, due 06/25/02............................... 32,000,000 1,240,166
9.000%, due 03/28/03............................... 54,000,000 2,121,036
8.500%, due 10/01/07............................... 23,000,000 873,239
------------
5,130,968
------------
CANADA -- 2.38%
Government of Canada
7.500%, due 09/01/00............................... CAD 4,350,000 3,309,228
9.000%, due 06/01/25............................... 1,800,000 1,537,668
Government of Canada
4.250%, due 12/01/21 (d)........................... 7,200,000 5,450,096
------------
10,296,992
------------
DENMARK -- 2.32%
Kingdom of Denmark
9.000%, due 11/15/98............................... DKR 8,300,000 1,631,366
9.000%, due 11/15/00............................... 14,600,000 2,930,748
8.000%, due 05/15/03............................... 12,000,000 2,301,871
7.000%, due 12/15/04............................... 17,500,000 3,145,017
------------
10,009,002
------------
FRANCE -- 4.01%
Government of France (OAT)
8.500%, due 03/28/00............................... FRF 3,300,000 742,307
9.500%, due 01/25/01............................... 15,700,000 3,703,012
8.500%, due 04/25/03............................... 6,500,000 1,485,912
8.250%, due 02/27/04............................... 10,700,000 2,426,786
6.750%, due 10/25/04............................... 27,000,000 5,576,003
8.500%, due 12/26/12............................... 14,500,000 3,387,959
------------
17,321,979
------------
GERMANY -- 5.77%
Bundesrepublik Deutscheland
6.250%, due 02/20/98............................... DEM 3,260,000 2,382,422
7.000%, due 09/20/99............................... 7,000,000 5,277,999
8.500%, due 08/21/00............................... 2,600,000 2,074,841
8.375%, due 05/21/01............................... 1,900,000 1,519,549
8.000%, due 07/22/02............................... 1,950,000 1,537,875
6.500%, due 07/15/03............................... 7,600,000 5,530,748
6.750%, due 07/15/04............................... 5,900,000 4,330,294
Treuhandanstalt
7.750%, due 10/01/02............................... 2,950,000 2,297,467
------------
24,951,195
------------
</TABLE>
- --------------------------------------------------------------------------------
14
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
----------------- ------------
<S> <C> <C>
ITALY -- 1.22%
Republic of Italy (BTP)
9.000%, due 10/01/96........................... ITL 2,100,000,000 $ 1,314,279
8.500%, due 01/01/99........................... 3,100,000,000 1,881,701
9.500%, due 12/01/99........................... 1,200,000,000 741,259
9.000%, due 10/01/03........................... 2,300,000,000 1,333,762
------------
5,271,001
------------
JAPAN -- 0.43%
International Bank of Reconstruction and
Developmentt
6.750%, due 03/15/00........................... JPY 84,000,000 976,200
Export Import Bank of Japan
4.375%, due 10/01/03........................... 82,000,000 873,461
------------
1,849,661
------------
NETHERLANDS -- 3.20%
Government of Nederlands
6.250%, due 07/15/98........................... NLG 1,400,000 914,847
8.500%, due 03/15/01........................... 1,000,000 714,597
8.750%, due 09/15/01........................... 1,300,000 944,791
6.500%, due 04/15/03........................... 1,000,000 654,086
8.500%, due 06/01/06........................... 8,650,000 6,356,644
8.250%, due 02/15/07........................... 4,900,000 3,542,795
7.500%, due 04/15/10........................... 1,000,000 685,115
------------
13,812,875
------------
SPAIN -- 1.36%
Government of Spain
7.400%, due 07/30/99........................... SPN 625,000,000 4,434,682
11.300%, due 01/15/02.......................... 60,000,000 531,635
8.200%, due 02/28/09........................... 70,000,000 511,770
------------
5,878,087
------------
UNITED KINGDOM -- 2.19%
UK Treasury
7.000%, due 11/06/01........................... GBP 1,305,000 2,028,616
8.000%, due 06/10/03........................... 2,040,000 3,310,724
8.500%, due 12/07/05........................... 2,470,000 4,121,220
------------
9,460,560
------------
Total Non-U.S. Bonds............................ 103,982,320
------------
Total Bonds
(Cost $209,790,002)............................ 221,478,145
------------
Short-Term Investments -- 6.84%
COMMERCIAL PAPER -- 6.76%
Baxter International, Inc.
6.050%, due 01/02/96......................... $ 1,177,000 $ 1,176,802
Burlington Northern Santa Fe
6.050%, due 01/03/96......................... 3,500,000 3,498,824
6.150%, due 01/31/96......................... 2,500,000 2,487,187
Conagra, Inc.
5.910%, due 01/04/96......................... 1,000,000 999,508
6.050%, due 01/11/96......................... 3,210,000 3,204,605
Crown Cork & Seal Co., Inc.
6.060%, due 01/09/96......................... 2,000,000 1,997,307
CSX Corp.
6.000%, due 01/08/96......................... 2,000,000 1,997,667
General American
Transportation Corp.
6.200%, due 01/18/96......................... 5,000,000 4,985,361
Nabisco, Inc.
5.850%, due 01/03/96......................... 2,163,000 2,162,297
P.S. Colorado Credit Corp. 6.030%, due
01/04/96..................................... 2,500,000 2,498,744
Texas Utilities Electric Co.
6.300%, due 01/05/96......................... 2,000,000 1,998,600
Trinova Corp.
6.100%, due 01/10/96......................... 1,500,000 1,497,713
6.200%, 01/10/96............................. 700,000 698,915
-------------
29,203,530
-------------
FOREIGN TIME DEPOSIT -- 0.08%
Bankers Trust
Japanese Yen -- 0.08%,
1.125%, due 01/02/96......................... JPN 36,699,859 355,791
-------------
Total Short-Term Investments
(Cost $29,559,321)........................... 29,559,321
-------------
Total Investments (Cost $390,823,651) --
100.01% (a)................................. 432,012,640
-------------
Liabilities, less cash and other assets --
(0.01%)...................................... (53,884)
-------------
Net Assets -- 100%............................ $ 431,958,756
=============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
15
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $390,832,651; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $44,301,030
Gross unrealized depreciation................................ (3,121,041)
-----------
Net unrealized appreciation.............................. $41,179,989
===========
</TABLE>
(b)Non-income producing security.
(c)Denominated in U.S. dollars.
(d)Linked to Canadian's retail price index. Reset semi-annually.
FRN: Floating rate note--The rate disclosed is that in effect at December 31,
1995.
MTN: Medium Term Note
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4)
The Global Fund had the following open forward foreign currency contracts as of
December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ----------- ----------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY BUY
CONTRACTS
Australian Dollar............ 06/05/96 6,800,000 $ 5,037,578 $ 5,918
British Pound................ 06/05/96 4,000,000 6,157,418 (63,782)
Canadian Dollar.............. 06/05/96 15,600,000 11,432,505 (121,553)
Danish Krone................. 06/04/96 3,000,000 542,980 (7,832)
Dutch Guilder................ 06/05/96 2,000,000 1,258,173 (23,656)
French Franc................. 06/05/96 7,000,000 1,434,031 (8,109)
Italian Lira................. 06/05/96 5,400,000,000 3,337,254 25,488
Swedish Krone................ 06/05/96 34,300,000 5,114,447 (67,761)
FORWARD FOREIGN CURRENCY SALE
CONTRACTS
Belgian Franc................ 06/05/96 200,000,000 6,830,383 142,145
British Pound................ 06/05/96 10,000,000 15,524,500 130,955
Danish Krone................. 06/04/96 58,000,000 10,497,618 146,733
Dutch Guilder................ 06/05/96 29,000,000 18,582,001 338,493
French Franc................. 06/05/96 125,000,000 25,607,692 119,305
German Mark.................. 06/05/96 40,000,000 28,163,121 417,255
Japanese Yen................. 06/05/96 1,430,000,000 14,166,487 327,149
Swedish Krone................ 06/05/96 34,300,000 5,114,447 (99,534)
----------
Total...................... $1,261,214
==========
</TABLE>
FUTURES CONTRACTS (NOTE 5)
INDEX FUTURES CONTRACTS:
The Global Fund had the following open index futures contracts as of December
31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE GAIN
---------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CONTRACTS
Topix, 86 contracts.............. March 1996 $12,136,016 $13,123,024 $987,008
========
</TABLE>
The segregated cash pledged to cover margin requirements for the open futures
positions at December 31, 1995 was $2,170,000.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
16
<PAGE>
GLOBAL FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $390,832,651) (Note 1).............. $432,012,640
Cash............................................................ 2,635,056
Foreign currency, at value (Cost $2,583,346).................... 2,589,281
Receivables:
Investment securities sold..................................... 3,519,944
Dividends...................................................... 243,260
Interest....................................................... 4,869,024
Fund shares sold............................................... 1,026,190
Variation Margin (Note 5)...................................... 1,202,454
Net unrealized appreciation on forward foreign currency con-
tracts......................................................... 1,261,214
Deferred organization costs, net of amortization (Note 1)....... 25,375
Other assets.................................................... 58,220
------------
TOTAL ASSETS................................................. 449,442,658
------------
LIABILITIES:
Payables:
Investment securities purchased................................ 16,976,226
Investment advisory fees (Note 2).............................. 286,282
Accrued expenses............................................... 221,394
------------
TOTAL LIABILITIES............................................ 17,483,902
------------
NET ASSETS....................................................... $431,958,756
============
NET ASSETS CONSIST OF:
Paid in capital (Note 7)........................................ $388,721,692
Accumulated undistributed net investment income................. 1,301,114
Accumulated net realized loss................................... (1,496,517)
Net unrealized appreciation..................................... 43,432,467
------------
NET ASSETS................................................... $431,958,756
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $430,112,118 and 36,388,462 shares is-
sued and outstanding) (Note 7)................................ $ 11.82
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $1,846,638 and 156,484 shares issued
and outstanding) (Note 7)..................................... $ 11.80
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
17
<PAGE>
GLOBAL FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.......................................................... $ 7,985,393
Dividends (net of $63,572 for foreign taxes withheld)............. 1,819,381
-----------
TOTAL INCOME................................................... 9,804,774
-----------
EXPENSES:
Advisory (Note 2)................................................. 1,610,179
Administration.................................................... 139,310
Custodian......................................................... 136,000
Amortization of organization costs (Note 1)....................... 7,739
Distribution (Note 6)............................................. 1,692
Other............................................................. 290,457
-----------
TOTAL EXPENSES................................................. 2,185,377
-----------
NET INVESTMENT INCOME ......................................... 7,619,397
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments...................................................... 9,168,219
Futures contracts................................................ 240,485
Foreign currency transactions.................................... 2,269,816
-----------
Net realized gain.............................................. 11,678,520
-----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................. 19,027,030
Futures contracts................................................ 987,009
Forward contracts................................................ 3,246,227
Translation of other assets and liabilities denominated in for-
eign currency................................................... (83,519)
-----------
Change in net unrealized appreciation or depreciation.......... 23,176,747
-----------
Net realized and unrealized gain.................................. 34,855,267
-----------
Net increase in net assets resulting from operations.............. $42,474,664
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
18
<PAGE>
GLOBAL FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR
DECEMBER 31, 1995 ENDED
(UNAUDITED) JUNE 30, 1995
----------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income......................... $ 7,619,397 $ 14,388,762
Net realized gain............................. 11,678,520 2,567,030
Change in net unrealized appreciation or de-
preciation................................... 23,176,747 23,779,745
------------ ------------
Net increase in net assets resulting from op-
erations..................................... 42,474,664 40,735,537
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income...... (16,328,500) (8,427,640)
Distributions from net realized gain.......... (9,441,309) (2,567,030)
Distributions in excess of net realized gain.. (1,496,517) (275,888)
------------ ------------
Total distributions to shareholders*.......... (27,266,326) (11,270,558)
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................... 59,719,842 124,484,442
Shares issued on reinvestment of distribu-
tions........................................ 26,139,635 10,276,565
Shares redeemed............................... (34,786,984) (77,406,972)
------------ ------------
Net increase in net assets resulting from cap-
ital share transactions (Note 7)............. 51,072,493 57,354,035
------------ ------------
TOTAL INCREASE IN NET ASSETS............... 66,280,831 86,819,014
NET ASSETS:
Beginning of year............................. 365,677,925 278,858,911
------------ ------------
End of year (including accumulated undistrib-
uted net investment income of
$1,301,114 and $4,495,172, respectively)..... $431,958,756 $365,677,925
============ ============
<CAPTION>
*DISTRIBUTIONS BY CLASS:
<S> <C> <C>
Distributions from net investment income:
Brinson Class................................. $(16,262,552) $ (8,427,640)
SwissKey Class................................ (65,948) --
Distributions from and in excess of net real-
ized gain:
Brinson Class................................. (10,892,522) (2,842,918)
SwissKey Class................................ (45,304) --
------------ ------------
$(27,266,326) $(11,270,558)
============ ============
</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>
SIX MONTHS
ENDED YEAR YEAR AUGUST 31, 1992*
DECEMBER 31, 1995 ENDED ENDED THROUGH
BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994 JUNE 30, 1993
- ----------------------------------------------------------------------------------------
<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.. 0.20 0.43 0.33 0.26
Net realized and
unrealized gain
(loss)................ 1.07 0.86 (0.23) 0.81
-------- -------- -------- --------
Total income from
investment opera-
tions.............. 1.27 1.29 0.10 1.07
-------- -------- -------- --------
Less distributions:
Distributions from net
investment income..... (0.48) (0.27) (0.27) (0.20)
Distributions from and
in excess of net real-
ized gain............. (0.32) (0.10) (0.27) --
-------- -------- -------- --------
Total distributions. (0.80) (0.37) (0.54) (0.20)
-------- -------- -------- --------
Net asset value, end of
period................. $ 11.82 $ 11.35 $ 10.43 $ 10.87
======== ======== ======== ========
Total return (non-
annualized)............ 11.29% 12.57% 0.77% 10.76%
Ratios/Supplemental data
Net assets, end of pe-
riod (in 000s)........ $430,112 $365,678 $278,859 $191,389
Ratio of expenses to
average net assets:
Before expense reim-
bursement............ 1.10%** 1.09% 1.14% 1.35%**
After expense reim-
bursement............ N/A N/A 1.10% 1.05%**
Ratio of net investment
income to average net
assets:
Before expense reim-
bursement............ 3.82%** 4.27% 3.21% 3.26%**
After expense reim-
bursement............ N/A N/A 3.25% 3.56%**
Portfolio turnover
rate.................. 79% 238% 231% 149%
</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
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $11.60
------
Income from investment operations:
Net investment income........................................ 0.18
Net realized and unrealized gain............................. 0.81
------
Total income from investment operations................... 0.99
------
Less distributions:
Distributions from and in excess of net investment income.... (0.47)
Distributions from net realized gain......................... (0.32)
------
Total distributions....................................... (0.79)
------
Net asset value, end of period................................ $11.80
======
Total return (non-annualized)................................. 8.61%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $1,847
Ratio of expenses to average net assets...................... 1.75**
Ratio of net investment income to average net assets......... 3.17**
Portfolio turnover rate...................................... 79%
</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. This philosophy offers the greatest potential
for achieving enhanced long-term returns, while maintaining control of risk.
The Global Equity Fund has provided an annualized return of 8.37% since January
31, 1994 (performance inception date), compared to the 9.99% return of its
benchmark, the MSCI World Equity (Free) Index; on a currency hedged basis the
benchmark returned 7.39%. In 1995, the Fund returned 21.93%, while the
benchmark returned 25.42%. For the second half of 1995, the Fund returned
15.39% compared to the Index return of 10.84%.
Currency allocation and equity management strategies contributed positively to
Fund performance during the year. Market allocation strategies, notable for a
U.S. equity market underweight and cash risk hedge, detracted from performance.
Global equity markets were generally strong in 1995, with the U.S. and
Switzerland providing the highest returns of 38.19% and 30.58%, respectively,
on a U.S. dollar hedged basis. Many other markets posted double-digit returns.
The weakest markets were Austria and Italy with respective currency hedged
declines of 10.68% and 4.65%. Amidst this general market strength, Japanese
equities were notable underperformers. The Japanese market rallied by 9.16% in
U.S. dollar hedged terms. The first half of 1995 saw the Japanese market
decline by about 20%, only to recover more than 35% in the last half. The
Global Equity Fund began the year with a large Japan underweight and shifted to
a near neutral strategy during the year.
Currency movements, especially the Japanese yen, contributed significantly to
index volatility during the year. The yen appreciated by more than 20% early in
the year, reaching a peak of 80 yen/U.S. dollar in mid-April. It depreciated
through the rest of the year to end about unchanged at roughly 100 yen/U.S.
dollar. The yen underweight and U.S. dollar overweight added value through the
extreme interest rate differential between the U.S. and Japan. A partial offset
to this value added came from underweights of the core European currencies.
These currencies appreciated in the early part of 1995, but, unlike the yen,
remained steady for the year's duration. The European currencies as well as the
yen ended the year overpriced relative to fundamental values. Consequently, the
Fund remains underweighted in these currencies with offsetting overweights in
the U.S. and Canadian dollars.
Security selection derived most of its added value from equity management in
the U.S. and Japan. The extra return in the U.S. in 1995 was attributable to a
number of favorable industry positions. Favorable industry exposures included
overweights in defense/aerospace, bank and insurance stocks. Positive
contributions from equity management in Japan were attributable to the Fund's
exposure to high quality defensive issues and exporters, and underweights to
cyclicals in an environment of market decline.
------------------------------------------------------------
22
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
Annualized
6 months 1 year 1/31/94*
ended ended to
12/31/95 12/31/95 12/31/95
- ----------------------------------------------------------------------
<S> <C> <C> <C>
BRINSON GLOBAL EQUITY FUND 15.39% 21.93% 8.37%
MSCI World Equity (Free) Index (currency
unhedged)** 10.84 21.29 9.99
MSCI World Equity (Free) Index (currency
hedged)** 17.35 21.54 7.39
- ----------------------------------------------------------------------
</TABLE>
*Inception date of the Brinson Global Equity Fund was January 28, 1994.
**Performance is net of withholding taxes on dividends.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $100,000
This chart shows the growth in the value of an investment in the Brinson Global
Equity Fund and the MSCI World Equity (Free) Index (currency unhedged and
hedged) if you had invested $100,000 on January 31, 1994, and had reinvested
all your income dividends and capital gain distributions through December 31,
1995. No adjustment has been made for any income taxes payable by shareholders
on income dividends and capital gain distributions. Past performance is no
guarantee of future results. Share price and return will vary with market
conditions; investors may realize a gain or loss upon redemption.
BRINSON GLOBAL EQUITY FUND
VS. MSCI WORLD EQUITY (FREE) INDEX (CURRENCY UNHEDGED AND HEDGED)
Wealth Value with Dividends Reinvested
[GRAPH APPEARS HERE]
- ------------------------------------------------------------------
1/31/94 12/31/95
------- --------
Brinson Global Equity Fund $100,000 $116,632
MSCI World Equity (Free)
Index (currenty unhedged) $100,000 $120,024
MSCI World Equity (Free)
(currency hedged) $100,000 $114,647
1/31/94 = $100,000 Data through 12/31/95
Fund returns are net of all fees and costs, while the Index returns are based
solely on the market returns without deduction for fees or transaction costs
for rebalancing.
-------------------------------------------------------------
23
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
MARKET ALLOCATION
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- ---------------------------------
<S> <C> <C>
U.S. 40.7% 33.4%
Japan 23.3 22.5
Australia 1.5 2.4
Belgium 0.6 1.6
Canada 2.2 2.0
France 3.6 4.8
Germany 3.9 3.4
Hong Kong 1.8 0.0
Italy 1.3 1.3
Malaysia 1.3 0.6
Netherlands 2.3 3.6
New Zealand 0.2 1.3
Spain 1.0 1.6
Sweden 1.1 0.0
Switzerland 3.4 1.3
U.K. 9.6 10.2
Other Markets 2.2 0.0
Cash Reserves 0.0 10.0
- ---------------------------------
100.0% 100.0%
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1995
(Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ---------------------------------
<S> <C>
1. Citicorp 2.45%
2. Lockheed Martin Corp. 2.39
3. Burlington Northern,
Santa Fe 1.91
4. Honeywell,Inc. 1.84
5. Avon Products, Inc. 1.45
6. Schering Plough Corp. 1.38
7. AON Corp. 1.33
8. Kimberly-Clark Corp. 1.33
9. Enron Corp. 1.27
10. Sprint Corp. 1.23
- ---------------------------------
</TABLE>
CURRENCY ALLOCATION
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- ---------------------------------
<S> <C> <C>
U.S. 40.7% 70.6%
Japan 23.3 0.0
Australia 1.5 2.4
Belgium 0.6 0.0
Canada 2.2 10.8
France 3.6 0.0
Germany 3.9 0.0
Hong Kong 1.8 0.0
Italy 1.3 3.1
Malaysia 1.3 0.6
Netherlands 2.3 0.0
New Zealand 0.2 1.3
Spain 1.0 1.6
Sweden 1.1 0.0
Switzerland 3.4 0.0
U.K. 9.6 9.6
Other Markets 2.2 0.0
- ---------------------------------
100.0% 100.0%
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ---------------------------------
<S> <C>
1. Royal Dutch Petroleum 1.01%
2. Lloyds TSB Group 0.77
3. Broken Hill
Proprietary 0.76
4. General Electric PLC 0.75
5. Ito Yokado Co. 0.74
6. Toray Industries, Inc. 0.63
7. Matsushita Electric
Industrial 0.62
8. Sekisui House 0.59
9. Toshiba Corp. 0.58
10. British
Telecommunications 0.57
- ---------------------------------
</TABLE>
------------------------------------------------------------
24
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals............................................................... 0.36%
Housing/Paper........................................................... 1.48
Metals.................................................................. 0.64
-----
2.48
Capital Investments
Capital Goods........................................................... 4.03
Technology.............................................................. 2.53
-----
6.56
Consumer
Autos/Durables.......................................................... 0.47
Discretionary........................................................... 2.42
Health: Drugs........................................................... 4.30
Health: Non-Drugs....................................................... 1.39
Non-Durables............................................................ 4.49
Retail/Apparel.......................................................... 2.78
-----
15.85
Energy................................................................... 2.73
Financial
Banks................................................................... 3.58
Non-Banks............................................................... 4.39
-----
7.97
Services................................................................. 3.55
Transportation........................................................... 1.94
Utilities................................................................ 2.90
Miscellaneous............................................................ 1.04
-----
Total U.S. Equities................................................... 45.02*
-----
</TABLE>
- ------------------------------------------------------------
<TABLE>
<S> <C>
NON-U.S. EQUITIES
Aerospace & Military.................................................... 0.22%
Airlines................................................................ 0.01
Appliances & Household Durables......................................... 1.33
Automobiles............................................................. 1.47
Banking................................................................. 6.79
Beverages & Tobacco..................................................... 1.39
Broadcasting & Publishing............................................... 0.78
Building Materials...................................................... 0.35
Business & Public Service............................................... 1.62
Chemicals............................................................... 2.04
Construction............................................................ 1.01
Data Processing......................................................... 0.52
Electric Components..................................................... 0.59
Electronics............................................................. 2.16
Energy.................................................................. 4.62
Financial Services...................................................... 0.78
Food & House Products................................................... 2.53
Forest Products......................................................... 1.03
Goldmines............................................................... 0.11
Health & Personal Care.................................................. 1.48
Industrial Components................................................... 1.17
Insurance............................................................... 2.55
Leisure & Tourism....................................................... 0.22
Machinery & Engineering................................................. 0.77
Merchandising........................................................... 2.79
Miscellaneous Materials................................................. 0.63
Multi-Industry.......................................................... 2.34
Non-Ferrous Metal....................................................... 0.54
Real Estate............................................................. 0.18
Recreation.............................................................. 0.35
Shipping................................................................ 0.32
Steel................................................................... 0.62
Telecommunications...................................................... 1.47
Textiles & Apparel...................................................... 0.14
Transportation.......................................................... 0.50
Utilities............................................................... 2.80
------
Total Non-U.S. Equities.............................................. 48.22*
------
SHORT-TERM INVESTMENTS.................................................. 2.52*
------
TOTAL INVESTMENTS.................................................... 95.76
CASH AND OTHER ASSETS, LESS LIABILITIES................................. 4.24
------
NET ASSETS........................................................... 100.00%
======
</TABLE>
* The Fund held a short position in stock index futures on December 31, 1995
which reduced U.S. Equity exposure from 45.02% to 32.62%. The Fund held a
long position in Topix futures which increased Japanese Equity exposure from
14.96% to 22.00%. These two adjustments result in a net increase in the
Fund's exposure to Short-Term Investments from 2.52% to 7.88%.
------------------------------------------------------------
25
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
<S> <C> <C>
Equities -- 93.24%
U.S. EQUITIES -- 45.02%
Aetna Life & Casualty Co................................. 6,500 $ 450,125
Air & Water Technologies Corp. (b)....................... 2,300 14,088
Allergan, Inc............................................ 11,000 357,500
Alza Corp. (b)........................................... 8,700 215,325
American Mobile Satellite Corp., Inc. (b)................ 1,600 49,000
Aon Corp................................................. 13,300 663,338
AST Research Corp. (b)................................... 1,588 13,498
Automatic Data Processing, Inc........................... 6,300 467,775
Avon Products, Inc....................................... 9,600 723,600
Bard (C.R.), Inc......................................... 6,600 212,850
Beckman Instruments, Inc................................. 4,300 152,113
Biogen, Inc. (b)......................................... 1,000 61,500
Birmingham Steel Corp.................................... 4,200 62,475
Boeing Co................................................ 3,900 305,663
Boston Technology, Inc. (b).............................. 2,600 33,150
Brinker International, Inc. (b).......................... 3,100 46,887
Burlington Northern Santa Fe............................. 12,200 951,600
Campbell Soup Co......................................... 3,300 198,000
Centerior Energy Co...................................... 1,800 15,975
CIGNA Corp............................................... 5,300 547,225
Citicorp................................................. 18,200 1,223,950
CMS Energy Corp.......................................... 11,600 346,550
Coca-Cola Enterprises, Inc............................... 13,600 363,800
Comerica, Inc............................................ 2,900 116,362
Computer Sciences Corp. (b).............................. 700 49,175
Converse Technology, Inc. (b)............................ 1,700 34,000
Cooper Cameron Corp. (b)................................. 3,600 127,800
Cooper Industries, Inc................................... 2,333 85,738
Dial Corp................................................ 10,200 302,175
Enron Corp............................................... 16,600 632,875
Entergy Corp............................................. 11,800 345,150
Federal Department Stores (b)............................ 13,700 376,750
First Data Corp.......................................... 6,502 434,834
Food Lion, Inc. Class A.................................. 17,100 97,790
Ford Motor Co............................................ 10,800 313,200
Forest Laboratories, Inc. (b)............................ 7,200 325,800
Gannett Co., Inc......................................... 4,100 251,638
Genzyme Corp. (b)........................................ 1,400 87,325
Goodyear Tire & Rubber Co................................ 7,800 353,925
Health Care and Retirement Corp. (b)..................... 2,300 80,500
Hillenbrand Industries, Inc.............................. 400 13,550
Honeywell, Inc........................................... 18,900 919,012
Illinova Corp............................................ 2,200 66,000
Inland Steel Industries, Inc............................. 6,300 158,288
Interpublic Group of Companies, Inc...................... 4,300 186,513
Kimberly-Clark Corp...................................... 8,000 662,000
Kroger Co. (b)........................................... 6,200 232,500
Lockheed Martin Corp..................................... 15,100 1,192,900
LTV Corp................................................. 6,200 85,250
Lyondell Petrochemical Co................................ 11,700 267,637
Magna Group Inc.......................................... 2,100 49,875
Manor Care, Inc.......................................... 6,900 241,500
Mattel, Inc.............................................. 16,700 513,525
Melville Corp............................................ 9,000 276,750
National Semiconductor Corp. (b)......................... 4,500 100,125
Nextel Communications, Inc. Class A (b).................. 9,400 138,650
Octel Communications Corp. (b)........................... 1,100 35,475
Old Republic International Corp.......................... 4,100 145,550
Owens Illinois Inc. (b).................................. 12,200 176,900
Pentair, Inc............................................. 2,500 124,375
Pfizer, Inc.............................................. 6,500 409,500
Philip Morris Companies, Inc............................. 3,200 289,600
Raychem Corp............................................. 3,800 216,125
RJR Nabisco Convertible Preferred "C".................... 34,600 220,575
RJR Nabisco Holdings Corp. (b)........................... 10,400 321,100
Schering Plough Corp..................................... 12,600 689,850
Schlumberger Ltd......................................... 4,500 311,625
Schweitzer Manduit International, Inc. (b)............... 800 18,500
Seagate Technology (b)................................... 4,400 209,000
Sprint Corp.............................................. 15,700 626,037
State Street Boston Corp................................. 3,100 139,500
Timken Co................................................ 3,000 114,750
Tosco Corp............................................... 1,900 72,437
Transamerica Corp........................................ 5,900 429,962
Ultramar Corp............................................ 4,700 121,025
US Bancorp............................................... 7,200 242,100
USF&G Corp............................................... 10,200 172,125
Walgreen Co.............................................. 9,600 286,800
Westvaco Corp............................................ 3,350 92,962
WMX Technologies, Inc.................................... 13,500 403,312
-----------
Total U.S. Equities...................................... 22,464,284
-----------
NON-U.S. EQUITIES -- 48.22%
AUSTRALIA -- 2.55%
Amcor Ltd. .............................................. 10,100 71,376
ANZ Banking Group........................................ 8,947 41,996
Broken Hill Proprietary.................................. 26,750 378,076
CRA Ltd.................................................. 7,500 110,132
David Jones Ltd. (b)..................................... 22,000 33,549
Lend Lease Corp. Ltd..................................... 6,049 87,745
National Australia Bank.................................. 18,275 164,493
News Corp................................................ 14,500 77,446
Pacific Dunlop Ltd....................................... 40,000 93,729
Qantas Airways Ltd....................................... 4,000 6,665
Santos Ltd............................................... 17,000 49,699
Western Mining Corp...................................... 7,300 46,918
Westpac Banking Corp. Ltd................................ 24,545 108,821
-----------
1,270,645
-----------
BELGIUM -- 1.42%
Delhaize-Le Lion, S.A.................................... 600 24,872
Electrabel............................................... 650 154,599
Fortis AG................................................ 580 70,552
Groupe Bruxelles Lambert................................. 380 52,744
Kredietbank.............................................. 365 99,835
Petrofina................................................ 290 88,781
Petrofina S.A. Warrants "97" (b)......................... 10 133
Societe Gen De Belgique.................................. 540 44,678
Solvay................................................... 115 62,128
- --------------------------------------------------------------------------------
</TABLE>
26
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BELGIUM (CONTINUED) SHARES VALUE
-------- -----------
<S> <C> <C>
Tractebel................................................. 200 $ 82,566
Union Miniere (b)......................................... 420 28,113
-----------
709,001
-----------
CANADA -- 2.17%
Alcan Aluminium Ltd....................................... 2,800 87,000
Bank of Montreal.......................................... 6,100 138,657
Barrick Gold Corp......................................... 2,100 55,433
Canadian Pacific Ltd...................................... 7,300 133,148
Imperial Oil Canada Ltd................................... 2,900 104,992
Moore Corp. Ltd........................................... 1,800 33,821
Noranda, Inc.............................................. 2,800 57,743
Norcen Energy............................................. 2,500 37,579
Northern Telecom Ltd...................................... 1,400 59,924
Nova Corporation of Alberta............................... 4,300 34,682
Royal Bank of Canada...................................... 4,800 109,547
Seagram Co. Ltd........................................... 2,400 82,710
Thomson Corp.............................................. 6,500 90,556
TransCanada Pipelines Ltd................................. 4,000 55,360
-----------
1,081,152
-----------
FRANCE -- 4.75%
Accor..................................................... 760 98,524
Alcatel Alsthom........................................... 1,044 90,127
Banque Nationale de Paris................................. 3,280 148,152
Cep Communications........................................ 704 58,444
Cie Bancaire S.A.......................................... 680 76,195
Cie de Saint Gobain....................................... 1,228 136,093
Cie Fin de Suez........................................... 1,651 68,192
Colas..................................................... 330 55,331
Credit Local de France.................................... 1,803 144,517
GAN (b)................................................... 650 23,791
Generale des Eaux......................................... 1,534 153,350
LVMH (Moet-Hennessy Louis Vaitton)........................ 1,080 225,248
Michelin Class B (b)...................................... 2,010 80,267
Pechiney Cert D'Invest.................................... 1,350 51,067
Pechiney Cert D'Invest Warrants (b)....................... 1,350 3
Peuegot S.A............................................... 1,840 243,046
Sanofi.................................................... 1,344 86,264
Societe Generale.......................................... 1,562 193,230
Societe Nationale Elf Aquitaine........................... 1,950 143,860
Total Co. "B"............................................. 3,090 208,818
UAP....................................................... 3,219 84,183
-----------
2,368,702
-----------
GERMANY -- 3.38%
Allianz AG Holdings....................................... 115 226,256
BASF AG................................................... 390 88,011
Bayer..................................................... 390 103,760
Bayer Motoren Worken...................................... 170 87,892
Bayer Vereinsbank......................................... 2,000 60,085
Commerzbank............................................... 330 78,506
Daimler-Benz.............................................. 160 80,933
Deutsche Bank............................................. 4,950 235,517
Hoechst................................................... 340 92,643
Kaufhof Holding AG......................................... 205 $ 62,590
Mannesmann................................................. 430 137,145
Muenchener Rueckver........................................ 57 123,056
Muenchener Rueckver Warrants "98" (b)...................... 3 397
Preussag................................................... 260 73,388
RWE........................................................ 220 80,158
Schering................................................... 650 43,279
Veba....................................................... 2,650 113,679
-----------
1,687,295
-----------
ITALY -- 1.57%
Assic Generali............................................. 6,200 150,263
Eni ADR (c)................................................ 4,300 147,275
Fiat Spa Priv.............................................. 43,000 78,601
Instituto Mobilaire Italiano............................... 15,000 94,548
Italgas.................................................... 13,000 39,578
La Rinascente.............................................. 5,000 30,287
La Rinascente Savings (Risp)............................... 6,000 17,019
Mediobanca................................................. 2,800 19,405
Montedison (b)............................................. 44,000 29,509
Sai Di Risp................................................ 7,000 29,077
Telecom Italia............................................. 61,000 74,669
Telecom Italia Mobile (b).................................. 67,000 70,527
-----------
780,758
-----------
JAPAN -- 14.96%
Amada...................................................... 12,000 118,662
Asahi Glass Co. ........................................... 14,000 156,083
Bank of Tokyo.............................................. 7,000 122,831
Canon, Inc. ............................................... 10,000 181,289
Canon Sales................................................ 3,200 85,313
Citizen Watch Co. ......................................... 12,000 91,905
Dai Nippon Printing........................................ 11,000 186,621
Daiichi Pharmaceutical Co. Ltd............................. 4,000 57,004
Daikin Kogyo Co. .......................................... 13,000 127,290
Daiwa House Industries..................................... 6,000 98,885
Fanuc Co. ................................................. 3,200 138,672
Fujitsu.................................................... 7,000 78,042
Hitachi Ltd. .............................................. 18,000 181,483
Honda Motor Co. ........................................... 7,000 144,547
Inax....................................................... 12,000 114,009
Isetan..................................................... 4,000 65,923
Ito Yokado Co. ............................................ 6,000 369,947
Keio Teito Electric Railway ............................... 14,000 81,571
Kinki Nippon Railway ...................................... 14,000 105,865
Kirin Brewery Co. Ltd...................................... 8,000 94,619
Kuraray Co. Ltd. .......................................... 6,000 65,730
Maeda Road Construction.................................... 3,000 55,550
Marui Co................................................... 4,000 83,374
Matsushita Electric Industrial............................. 19,000 309,452
Mitsubishi Bank............................................ 5,000 117,790
Mitsubishi Paper........................................... 16,000 96,326
NGK Insulators............................................. 19,000 189,724
Nichii Co. ................................................ 9,000 119,535
Nintendo................................................... 1,100 83,713
Nippon Denso Co. .......................................... 8,000 149,685
</TABLE>
- --------------------------------------------------------------------------------
27
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
JAPAN (CONTINUED) SHARES VALUE
-------- -----------
<S> <C> <C>
Nippon Meat Packers....................................... 7,000 $ 101,794
Nippon Steel Corp. ....................................... 10,000 34,319
Orix Corp. ............................................... 1,000 41,202
Osaka Gas Corp. .......................................... 48,000 166,127
Pioneer Electronics....................................... 5,000 91,614
Sankyo Co. Ltd. .......................................... 9,000 202,424
Secom Co. ................................................ 3,000 208,822
Seino Transportation...................................... 4,000 67,087
Sekisui House............................................. 23,000 294,329
Shimmaywa Industries Ltd.................................. 7,000 57,819
Sony Corp. ............................................... 3,400 204,033
Suisan Kaisah ............................................ 6,000 74,455
Sumitomo Bank ............................................ 12,000 254,775
Sumitomo Electric Industries.............................. 10,000 120,213
Takeda Chemical Industries................................ 13,000 214,251
TDK Corp.................................................. 3,000 153,272
Tokio Marine & Fire ...................................... 11,000 143,965
Tokyo Electric Power ..................................... 5,454 145,934
Tokyo Steel Mfg. ......................................... 9,000 165,778
Tonen Corp. .............................................. 6,000 87,833
Toray Industries, Inc. ................................... 48,000 316,432
Toshiba Corp. ............................................ 37,000 290,189
Toyota Motor Corp. ....................................... 4,000 84,924
Yamazaki Baking Co. Ltd................................... 4,000 74,454
-----------
7,467,485
-----------
MALAYSIA -- 0.51%
Genting................................................... 1,000 8,350
Hume Industries........................................... 4,000 19,220
Kuala Lumpur Kepong....................................... 8,000 25,364
Land & General Holdings................................... 9,000 19,496
Malayan Bank.............................................. 5,000 42,143
Nestle Malaysia........................................... 2,000 14,651
Sime Darby................................................ 14,000 37,219
Telekom Malaysia.......................................... 6,000 46,790
Tenaga Nasional........................................... 10,000 39,386
-----------
252,619
-----------
NETHERLANDS -- 3.42%
ABN-AMRO Holdings......................................... 4,772 217,613
D.S.M..................................................... 680 55,995
Internationale Nederlanden Groep NV....................... 4,075 272,514
KPN NV.................................................... 2,778 101,034
Philips Electronics....................................... 1,600 57,891
Royal Dutch Petroleum..................................... 3,600 503,506
Royal Dutch Petroleum NY Shares........................... 1,200 169,350
Unilever NV............................................... 1,750 246,179
VNU-Ver Ned Uitger........................................ 600 82,458
-----------
1,706,540
-----------
NEW ZEALAND -- 1.14%
Brierly Investment........................................ 141,000 111,539
Carter Holt Harvey........................................ 59,500 128,367
Fletcher Challenge Ltd.................................... 55,000 126,928
Fletcher Challenge Forest Division........................ 7,803 $ 11,121
Telecom Corp. of New Zeland Ltd........................... 26,000 112,186
Telecom Corp. of New Zealand Ltd. ADS (c)................. 1,100 76,312
-----------
566,453
-----------
SPAIN -- 1.60%
Banco Bilbao-Vizcaya...................................... 1,800 64,835
Banco Intercontinental.................................... 600 58,356
Banco Popular............................................. 300 55,315
Banco Santander........................................... 1,600 80,314
Empresa NAC Electric...................................... 1,350 76,444
Iberorola S.A............................................. 16,200 148,215
Repsol S.A................................................ 2,600 85,185
Sevillana de Electric..................................... 6,300 48,915
Telefonica de Espana...................................... 10,900 150,935
Viscofan.................................................. 2,300 27,299
-----------
795,813
-----------
SWITZERLAND -- 1.37%
Ciba Geigy (Reg.)......................................... 95 83,804
CS Holdings............................................... 696 71,530
Nestle (Reg.)............................................. 173 191,855
Roche Holdings Gen........................................ 18 142,752
Schweiz Bankgesellschaft.................................. 72 78,220
Societe Generale Surveillance (Br)........................ 27 53,737
Zurich Insurance.......................................... 203 60,868
-----------
682,766
-----------
UNITED KINGDOM -- 9.38%
Asda Group................................................ 26,000 44,605
Bass...................................................... 12,800 142,885
B.A.T. Industries PLC..................................... 16,000 140,972
BET PLC................................................... 24,500 48,308
Booker PLC................................................ 6,500 36,128
British Gas............................................... 53,500 210,977
British Petroleum......................................... 30,278 253,374
British Telecommunications................................ 52,000 285,794
Charter Group............................................. 7,236 96,952
Coats Viyella............................................. 25,000 67,924
FKI....................................................... 30,875 79,093
General Electric PLC...................................... 68,000 374,787
Glaxo Holdings............................................ 6,500 92,338
Grand Metropolitan........................................ 35,000 252,135
Guinness.................................................. 19,500 143,503
Hanson.................................................... 35,000 104,603
Hillsdown Holdings........................................ 25,000 65,595
House of Fraser........................................... 47,000 130,616
Legal and General......................................... 7,700 80,096
Lloyds Abbey Life......................................... 10,500 73,358
Lloyds TSB Group.......................................... 74,630 383,520
Lucas Industries.......................................... 15,500 43,557
Marks & Spencer........................................... 15,500 108,291
Mirror Group.............................................. 28,200 77,056
National Power............................................ 12,000 83,745
National Westminster Bank................................. 16,600 167,263
</TABLE>
- --------------------------------------------------------------------------------
28
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNITED KINGDOM--(CONTINUED) SHARES VALUE
-------- -----------
<S> <C> <C>
Ocean Group............................................... 11,500 $ 69,275
P & O..................................................... 12,000 88,682
Reckitt & Colman.......................................... 8,500 94,093
Redland................................................... 6,500 39,256
RJB Mining PLC............................................ 5,000 42,540
Rolls Royce............................................... 37,400 109,744
Royal Insurance........................................... 11,900 70,576
Sears PLC................................................. 52,000 83,962
Sedgwick Group............................................ 11,000 20,664
SmithKline Beecham Units.................................. 9,900 107,899
Tesco..................................................... 34,000 156,777
Thames Water.............................................. 10,000 87,254
Unilever Ord 5P........................................... 3,000 61,621
W.H. Smith Group.......................................... 9,000 59,245
-----------
4,679,063
-----------
Total Non-U.S. Equities................................... 24,048,292
-----------
Total Equities
(Cost $41,929,255)....................................... $46,512,576
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
-------- -----------
<S> <C> <C>
Short-Term Investments -- 2.52%
U.S. GOVERNMENT OBLIGATIONS -- 0.49%
U.S. Treasury Bills 5.275%, due 05/30/96.................. $250,000 $ 244,878
-----------
COMMERCIAL PAPER -- 2.03%
Baxter International, Inc.
6.050%, due 01/02/96..................................... 514,000 513,914
Crown Cork & Seal Co., Inc.
6.060%, due 01/09/96..................................... 500,000 499,327
-----------
1,013,241
-----------
Total Short-Term Investments
(Cost $1,257,746)........................................ 1,258,119
-----------
Total Investments
(Cost $43,187,001) -- 95.76% (a)......................... 47,770,695
-----------
Cash and other assets, less liabilities -- 4.24%.......... 2,116,641
-----------
Net Assets -- 100%........................................ $49,887,336
===========
</TABLE>
See accompanying notes to schedules of investments.
- --------------------------------------------------------------------------------
29
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $43,187,001; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................. $5,660,488
Gross unrealized depreciation................................. (1,076,794)
----------
Net unrealized appreciation............................... $4,583,694
==========
</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 December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ---------- -----------
<S> <C> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY BUY CONTRACTS
British Pound............... 06/04/96 1,150,000 $1,770,355 $ 8,555
Canadian Dollar............. 06/04/96 6,100,000 4,470,443 (37,141)
Italian Lira................ 06/04/96 1,500,000,000 927,128 8,320
Swedish Krone............... 06/04/96 6,750,000 1,006,562 (8,842)
Swiss Franc................. 06/04/96 400,000 353,239 (3,617)
FORWARD FOREIGN CURRENCY SALE CONTRACTS
Belgian Franc............... 06/04/96 19,000,000 648,869 11,770
British Pound............... 06/04/96 1,150,000 1,770,355 7,114
Dutch Guilder............... 06/04/96 2,500,000 1,572,638 24,679
French Franc................ 06/04/96 11,250,000 2,309,981 5,302
German Mark................. 06/04/96 2,250,000 1,584,097 21,902
Japanese Yen................ 06/04/96 740,000,000 7,329,981 142,314
Swedish Krone............... 06/04/96 6,750,000 1,006,562 (20,008)
Swiss Franc................. 06/04/96 1,100,000 971,408 11,481
--------
Total................... $171,829
========
</TABLE>
FUTURES CONTRACTS (NOTE 5)
INDEX FUTURES CONTRACTS:
The Global Equity Fund had the following open index futures contracts as of
December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST/PROCEEDS VALUE GAIN
---------- ------------- ---------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CONTRACTS
Topix, 23 contracts............. March 1996 $3,250,218 $3,509,646 $259,428
INDEX FUTURES SALES CONTRACTS
Standard & Poor's 500, 20 con-
tracts......................... March 1996 6,252,000 6,184,500 67,500
--------
Total........................ $326,928
========
</TABLE>
The segregated cash and market value of investments pledged to cover margin
requirements for the open futures positions at December 31, 1995 was $540,000
and $244,878 respectively.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
30
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $43,187,001) (Note 1)................. $47,770,695
Cash.............................................................. 541,499
Foreign currency, at value (Cost $456,324)........................ 457,770
Receivables:
Investment securities sold....................................... 575,031
Dividends........................................................ 131,314
Fund shares sold................................................. 1,136
Due From Advisor (Note 2)........................................ 200,332
Variation Margin (Note 5)........................................ 381,325
Unrealized appreciation on forward foreign currency contracts.... 171,829
Deferred organization costs, net of amortization (Note 1)......... 8,354
Other assets...................................................... 2,000
-----------
TOTAL ASSETS................................................... 50,241,285
-----------
LIABILITIES:
Payables:
Investment securities purchased.................................. 94,731
Accrued expenses................................................. 259,218
-----------
TOTAL LIABILITIES.............................................. 353,949
-----------
NET ASSETS......................................................... $49,887,336
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 7).......................................... $43,829,785
Accumulated undistributed net investment income................... 135,636
Accumulated net realized gain..................................... 840,052
Net unrealized appreciation....................................... 5,081,863
-----------
NET ASSETS..................................................... $49,887,336
===========
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $23,255,087 and 2,177,398 shares issued
and outstanding) (Note 7)....................................... $ 10.68
===========
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $26,632,249 and 2,494,075 shares issued
and outstanding) (Note 7)....................................... $ 10.68
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
31
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $28,115 for foreign taxes withheld)............. $ 407,714
Interest.......................................................... 50,034
----------
TOTAL INCOME................................................... 457,748
----------
EXPENSES:
Advisory (Note 2)................................................. 175,156
Custodian......................................................... 100,000
Distribution (Note 6)............................................. 82,708
Accounting........................................................ 54,946
Professional...................................................... 54,574
Printing.......................................................... 38,644
Amortization of organization costs (Note 1)....................... 1,404
Other............................................................. 68,198
----------
TOTAL EXPENSES................................................. 575,630
Expenses deferred and reimbursed by Advisor (Note 2)........... (273,977)
----------
NET EXPENSES................................................... 301,653
----------
NET INVESTMENT INCOME ......................................... 156,095
----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................................... 3,890,805
Futures contracts................................................ (463,130)
Foreign currency transactions.................................... 1,519,282
----------
Net realized gain.............................................. 4,946,957
----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................. 3,724,923
Futures contracts................................................ 353,828
Forward contracts................................................ 221,046
Translation of other assets and liabilities denominated in for-
eign currency................................................... (501)
----------
Change in net unrealized appreciation or depreciation.......... 4,299,296
----------
Net realized and unrealized gain................................... 9,246,253
----------
Net increase in net assets resulting from operations............... $9,402,348
==========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
32
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR
SIX MONTHS ENDED ENDED
DECEMBER 31, 1995 JUNE 30,
(UNAUDITED) 1995
----------------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income.......................... $ 156,095 $ 361,529
Net realized gain (loss)....................... 4,946,957 (947,502)
Change in net unrealized appreciation or
depreciation.................................. 4,299,296 1,778,802
----------- -----------
Net increase in net assets resulting from oper-
ations........................................ 9,402,348 1,192,829
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income....... (153,514) (72,633)
Distributions from net realized gain........... (3,021,585) --
Distributions in excess of net realized gain... -- (198,395)
----------- -----------
Total distributions to shareholders*........... (3,175,099) (271,028)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................... 23,863,166 133,064
Shares issued on reinvestment of distributions. 3,155,021 271,028
Shares redeemed................................ (4,063,665) (1,262,526)
----------- -----------
Net increase (decrease) in net assets resulting
from capital share
transactions (Note 7)......................... 22,954,522 (858,434)
----------- -----------
TOTAL INCREASE IN NET ASSETS................ 29,181,771 63,367
----------- -----------
NET ASSETS:
Beginning of period............................ 20,705,565 20,642,198
----------- -----------
End of period (including accumulated undistrib-
uted net investment income of $135,636 and
$59,734, respectively)........................ $49,887,336 $20,705,565
=========== ===========
<CAPTION>
*DISTRIBUTIONS BY CLASS:
<S> <C> <C>
Distributions from net investment income:
Brinson Class.................................. $ (153,514) $ (72,633)
SwissKey Class................................. -- --
Distributions from and in excess of net realized
gain:
Brinson Class.................................. (1,399,995) (198,395)
SwissKey Class................................. (1,621,590) --
----------- -----------
$(3,175,099) $ (271,028)
=========== ===========
</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>
SIX MONTHS ENDED YEAR JANUARY 28, 1994*
DECEMBER 31, 1995 ENDED THROUGH
BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of
period...................... $ 9.93 $ 9.49 $ 10.00
------- ------- -------
Income from investment oper-
ations:
Net investment income
(loss)..................... (0.05) 0.18 0.07
Net realized and unrealized
gain (loss)................ 1.57 0.39 (0.54)
------- ------- -------
Total income (loss) from
investment operations... 1.52 0.57 (0.47)
------- ------- -------
Less distributions:
Distributions from net in-
vestment income............ (0.08) (0.04) (0.04)
Distributions from and in
excess of net realized
gain....................... (0.69) (0.09) --
------- ------- -------
Total distributions...... (0.77) (0.13) (0.04)
------- ------- -------
Net asset value, end of peri-
od.......................... $ 10.68 $ 9.93 $ 9.49
======= ======= =======
Total return (non-
annualized)................. 15.39% 6.06% (4.70%)
Ratios/Supplemental data
Net assets, end of period
(in 000s).................. $23,255 $20,706 $20,642
Ratio of expenses to average
net assets:
Before expense reimburse-
ment...................... 2.26%** 2.06% 2.65%**
After expense reimburse-
ment...................... 1.00%** 1.00% 1.00%**
Ratio of net investment in-
come to average net assets:
Before expense reimburse-
ment...................... (0.16%)** 0.71% 0.24%**
After expense reimburse-
ment...................... 1.10%** 1.77% 1.89%**
Portfolio turnover rate..... 59% 36% 21%
</TABLE>
* Commencement of investment operations
** Annualized
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
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $ 10.35
-------
Income from investment operations:
Net investment loss.......................................... (0.16)
Net realized and unrealized gain............................. 1.18
-------
Total income from investment operations................... 1.02
-------
Less distributions:
Distributions from net investment income..................... --
Distributions from net realized gain......................... (0.69)
Distributions in excess of net realized gain................. --
-------
Total distributions....................................... (0.69)
-------
Net asset value, end of period................................ $ 10.68
=======
Total return (non-annualized)................................. 9.93%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $26,632
Ratio of expenses to average net assets:
Before expense reimbursement................................ 3.02%**
After expense reimbursement................................. 1.76%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ (0.92%)**
After expense reimbursement................................. 0.34%**
Portfolio turnover rate...................................... 59%
</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. This philosophy offers the greatest potential for achieving
enhanced long-term returns, while maintaining control of risk.
The Brinson Global Bond Fund has provided an annualized return of 8.05% since
July 31, 1993 (performance inception date). Its benchmark, the Salomon World
Government Bond Index, returned 10.37%; on a currency hedged basis, the
benchmark returned 7.48%. In 1995, the Fund returned 20.32%, while the
benchmark returned 19.04%. In the second half of 1995, the Fund produced a
return of 9.19% compared to the 1.87% return of the benchmark.
Market and currency allocation and bond management strategies all contributed
positively to portfolio performance in 1995. Market allocation contributions
were broadly derived from European and Canadian bond market overweights against
U.S. and Japanese underweights. The yen underweight provided for the currency
allocation contribution. Bond management added value in nearly every country.
The foundation for the bond market strength was established in 1994 as global
bond prices retreated from historically high levels. Yield increases, built on
fears of higher inflation and excessive demand for capital, created large
discrepancies between prices and fundamental values. These discrepancies were
largely erased during 1995 as economies began to languish and inflation fears
evaporated.
During the course of the year global bondmarkets staged an almost uninterrupted
rally. The year's hedged return of 17.83% was the largest calendar year return
since 1982. No single market provided a negative return and the Dutch market,
the Fund's largest overweight during the year, paced the index with a U.S.
dollar hedged return of 20.36%.
Currency movements, especially the Japanese yen, contributed significantly to
index volatility during the year. The yen appreciated by more than 20% early in
the year, reaching a peak of 80 yen/U.S. dollar in mid-April. It depreciated
through the rest of the year to end about unchanged at roughly 100 yen/U.S.
dollar. The yen underweight and U.S. dollar overweight added value through the
extreme interest rate differential between the U.S. and Japan. A partial offset
to this value-added came from underweights of the core European currencies.
These currencies appreciated in the early part of 1995, but, unlike the yen,
remained steady for the year's duration. The European currencies as well as the
yen ended the year overpriced relative to fundamental value. Consequently, the
Fund remains underweighted in these currencies with offsetting overweights in
the U.S. and Canadian dollars.
Bond management added value in nearly every country. In the U.S., added value
is attributable to non-government debt exposures. Long duration strategies in
most non-U.S. markets added to relative performance in 1995.
------------------------------------------------------------
36
<PAGE>
GLOBAL BOND FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 7/31/93*
12/31/95 12/31/95 to 12/31/95
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
BRINSON GLOBAL BOND FUND 9.19% 20.32% 8.05%
Salomon World Government Bond Index (currency
unhedged) 1.87 19.04 10.37
Salomon World Government Bond Index (currency
hedged) 7.12 17.83 7.48
- ---------------------------------------------------------------------------
</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 December 31,
1995. No adjustment has been made for any income taxes payable by shareholders
on income dividends and capital gain distributions. Past performance is no
guarantee of future results. Share price and return will vary with market
conditions; investors may realize a gain or loss upon redemption.
BRINSON GLOBAL BOND FUND
VS. SALOMON WORLD GOVERNMENT BOND INDEX (CURRENCY UNHEDGED AND HEDGED)
Wealth Value with Dividends Reinvested
[GRAPH APPEARS HERE]
- ------------------------------------------------------------------
7/31/93 12/31/94
------- --------
Brinson Global Bond Fund $100,000 $120,612
Salomon World Gov't. Bond
Index (currency unhedged) $100,000 $126,918
Salomon World Gov't. Bond
Index (currency hedged) $100,000 $119,043
7/31/93 = $100,000 Data through 12/31/94
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
-------------------------------------------------------------
37
<PAGE>
GLOBAL BOND FUND
- --------------------------------------------------------------------------------
LOGO
ASSET ALLOCATION
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- -------------------------------
<S> <C> <C>
U.S. 34.3% 28.3%
Japan 19.9 7.4
Australia 1.0 0.0
Austria 0.8 0.0
Belgium 2.7 3.0
Canada 2.9 6.6
Denmark 1.7 6.4
France 7.2 11.3
Germany 10.6 15.2
Italy 5.9 3.7
Netherlands 3.5 8.6
Spain 2.4 3.6
Sweden 1.8 0.0
U.K. 5.3 5.9
- -------------------------------
100.0% 100.0%
</TABLE>
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. BONDS
Corporate Bonds
Asset-backed........................................................... 1.34%
CMO.................................................................... 0.18
Consumer............................................................... 1.58
Financial.............................................................. 2.71
Floating rate.......................................................... 0.65
Industrial............................................................. 0.70
Telecommunications..................................................... 0.75
Transportation......................................................... 0.26
Yankee................................................................. 0.79
------
8.96
International Dollar Bonds............................................. 0.36
U.S. Government Agencies............................................... 9.36
U.S. Government Obligations............................................ 7.86
------
Total U.S. Bonds..................................................... 26.54
------
NON-U.S. BONDS
Foreign Financial Bonds................................................. 32.11
Foreign Government Bonds................................................ 32.93
------
Total Non-U.S. Bonds................................................. 65.04
------
SHORT-TERM INVESTMENTS.................................................. 4.83
------
TOTAL INVESTMENTS.................................................... 96.41
CASH AND OTHER ASSETS, LESS LIABILITIES................................. 3.59
------
NET ASSETS........................................................... 100.00%
======
- --------------------------------------------------------------------------------
</TABLE>
CURRENCY ALLOCATION
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- -------------------------------
<S> <C> <C>
U.S. 34.3% 67.9%
Japan 19.9 0.0
Australia 1.0 3.2
Austria 0.8 0.0
Belgium 2.7 0.0
Canada 2.9 11.5
Denmark 1.7 0.0
France 7.2 0.0
Germany 10.6 0.0
Italy 5.9 8.5
Netherlands 3.5 0.0
Spain 2.4 3.6
Sweden 1.8 0.0
U.K. 5.3 5.3
- -------------------------------
100.0% 100.0%
</TABLE>
------------------------------------------------------------
38
<PAGE>
GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
----------- -----------
<S> <C> <C>
Bonds -- 91.58%
U.S. BONDS -- 26.54%
U.S. CORPORATE BONDS -- 8.96%
Burlington Northern Santa Fe
7.000%, due 12/15/25................................... $ 100,000 $ 98,778
Chrysler Financial Corp.
6.007%, due 07/31/97................................... 150,000 150,042
6.500%, due 08/21/97................................... 165,000 167,034
Dayton Hudson Credit Card Trust 95-1A
6.100%, due 09/25/98................................... 100,000 101,605
Farmers Insurance Exchange 144-A
8.625%, due 05/01/24................................... 250,000 253,547
Ford Credit Grantor Trust 95-b
5.900%, due 10/15/00................................... 102,133 102,046
Ford Credit Auto Lease Trust
6.350%, due 10/15/98................................... 200,000 201,250
GMAC MTN
6.750%, due 06/10/02................................... 200,000 206,192
Green Tree Financial 94-2
8.300%, due 05/15/19................................... 25,000 27,649
Green Tree Acceptance Corp. 94-A
6.900%, due 02/15/04................................... 40,199 40,319
Korean Development Bank
6.500%, due 11/15/02................................... 295,000 299,201
News America Corp.
7.750%, due 01/20/24................................... 275,000 285,264
Republic Bank of New York Corp. FRN
3.942%, due 12/29/02................................... 255,000 247,350
RJR Nabisco, Inc.
8.625%, due 12/01/02................................... 250,000 259,312
Standard Credit Card Trust 94-1A
4.650%, due 02/07/97................................... 250,000 247,920
The Money Store 94-A3
5.525%, due 05/15/97................................... 105,000 103,786
Time Warner, Inc.
9.125%, due 01/15/13................................... 210,000 236,281
USX Corp.
9.800%, due 07/01/01................................... 145,000 167,304
8.500%, due 03/01/23................................... 90,000 98,785
Woolworth Corp.
7.000%, due 10/15/02................................... 105,000 107,341
-----------
3,401,006
-----------
INTERNATIONAL DOLLAR BONDS -- 0.36%
Republic of South Africa
9.625%, due 12/15/99................................... 125,000 135,000
-----------
U.S. GOVERNMENT AGENCIES -- 9.36%
Federal Home Loan Mortgage Corp.
7.000%, due 04/15/07................................... 180,831 182,187
7.000%, due 10/15/21................................... 200,000 199,813
7.500%, due 07/15/22................................... 130,000 136,462
Federal Home Loan Mortgage Corp. Gold
9.000%, due 05/01/24................................... 407,235 430,725
8.500%, due 08/01/24................................... 231,607 241,668
Federal National Mortgage Association
6.240%, due 01/28/04................................... 75,000 74,620
7.400%, due 07/01/04................................... $ 305,000 $ 336,301
7.000%, due 06/17/17................................... 80,000 82,599
9.000%, due 08/01/21................................... 39,575 42,076
8.500%, due 07/01/22................................... 27,713 29,173
7.000%, due 09/01/24................................... 275,000 277,149
7.500%, due 05/01/25................................... 426,419 436,814
Government National Mortgage
Association
9.000%, due 12/15/09................................... 272,604 288,685
9.000%, due 12/15/17................................... 195,593 208,232
8.000%, due 12/15/22................................... 197,188 204,551
7.000%, due 09/15/24................................... 105,000 107,953
5.500%, due 10/20/25................................... 210,400 210,463
Tennessee Valley Authority
6.875%, due 12/15/43................................... 65,000 64,451
-----------
3,553,922
-----------
U.S. GOVERNMENT OBLIGATIONS -- 7.86%
U.S. Treasury Bond
8.125%, due 05/15/21................................... 265,000 335,391
U.S. Treasury Coupon Strips
0.000%, due 11/15/19................................... 920,000 208,840
U.S. Treasury Notes
6.625%, due 03/31/97................................... 710,000 722,203
5.500%, due 11/15/98................................... 410,000 412,947
6.250%, due 08/31/00................................... 755,000 781,425
7.250%, due 05/15/04................................... 435,000 483,938
U.S. Treasury Principal Strips
0.000%, due 05/15/20................................... 170,000 37,675
-----------
2,982,419
-----------
Total U.S. Bonds........................................ 10,072,347
-----------
NON-U.S. BONDS -- 65.04%
BELGIUM -- 2.78%
Kingdom of Belgium
8.750%, due 06/25/02............................... BEF 14,000,000 542,572
9.000%, due 03/28/03................................... 13,000,000 510,620
-----------
1,053,192
-----------
CANADA -- 6.25%
Quebec Province
7.500%, due 12/01/03............................... CAD 1,600,000 1,162,194
Government of Canada
4.250%, due 12/01/21................................... 1,600,000 1,211,132
-----------
2,373,326
-----------
DENMARK -- 5.87%
Kingdom of Denmark
9.000%, due 11/15/00............................... DKR 2,200,000 441,620
Great Belt
7.000%, due 09/02/03................................... 9,900,000 1,786,326
-----------
2,227,946
-----------
</TABLE>
- --------------------------------------------------------------------------------
39
<PAGE>
GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
---------------- -----------
<S> <C> <C>
FRANCE -- 10.95%
Eurofima
8.625%, due 09/01/99............................. FRF 5,100,000 $ 1,138,626
Government of France (OAT)
8.500%, due 12/26/12............................. 3,600,000 841,148
8.500%, due 04/25/23............................. 2,400,000 554,779
KFW International Finance
7.750%, due 02/17/98............................. 1,600,000 342,494
Republic of Finland
9.000%, due 08/13/03............................. 5,500,000 1,276,428
-----------
4,153,475
-----------
GERMANY -- 14.18%
Bundesrepublik Deutscheland
8.000%, due 07/22/02............................. DEM 700,000 552,058
6.250%, due 01/04/24............................. 450,000 292,863
Deutsche Bundesbahn
9.000%, due 12/01/00............................. 900,000 727,835
6.125%, due 10/28/03............................. 400,000 280,444
European Economic Community
6.500%, due 03/10/00............................. 2,950,000 2,176,483
Kingdom of Norway
6.125%, due 05/05/98............................. 1,040,000 757,856
LKB Baden-Wurt Finance
6.500%, due 09/15/08............................. 850,000 590,600
-----------
5,378,139
-----------
ITALY -- 3.06%
Deutsche Bank
11.750%, due 02/23/98............................ ITL 900,000,000 589,273
European Investment Bank
12.750%, due 02/15/00............................ 280,000,000 190,830
Nordic Investment Bank
10.800%, due 05/24/03............................ 600,000,000 381,975
-----------
1,162,078
-----------
JAPAN -- 7.75%
Government of Japan No. 130
6.700%, due 06/20/00............................. JPY 80,000,000 936,345
Government of Japan No. 140
6.600%, due 06/20/01............................. 24,000,000 284,347
International Bank of Reconstruction & Development
4.750%, due 12/20/04............................. 104,000,000 1,151,915
Republic of Italy
3.500%, due 06/20/01............................. 56,000,000 569,704
-----------
2,942,311
-----------
NETHERLANDS -- 5.75%
Austria Republic
6.250%, due 02/28/24.............................. NLG 825,000 $ 465,767
Government of Nederlands
8.500%, due 06/01/06.............................. 325,000 238,833
8.250%, due 09/15/07.............................. 820,000 593,388
Rabobank
6.750%, due 06/25/03.............................. 1,350,000 885,122
-----------
2,183,110
-----------
SPAIN -- 3.02%
European Investment Bank
11.250%, due 03/15/00............................. SPN 130,000,000 1,147,857
-----------
1,147,857
-----------
UNITED KINGDOM -- 5.43%
Abbey National
8.750%, due 05/24/04.............................. GBP 400,000 645,862
British Gas PLC
8.125%, due 03/31/03.............................. 640,000 1,007,844
UK Treasury
8.000%, due 06/10/03.............................. 80,000 129,832
8.500%, due 12/07/05.............................. 165,000 275,305
-----------
2,058,843
-----------
Total Non-U.S. Bonds............................... 24,680,277
-----------
Total Bonds
(Cost $32,227,439)................................ 34,752,624
-----------
Short-Term Investments -- 4.83%
COMMERCIAL PAPER -- 4.83%
Crown Cork & Seal Co., Inc.
6.060%, due 01/09/96.............................. 400,000 399,461
General American Transportation Corp.
6.200%, due 01/18/96.............................. 400,000 398,829
Trinova Corp.
6.200%, due 01/10/96.............................. 500,000 499,225
Whitman Corp.
5.950%, due 01/02/96.............................. 534,000 533,912
-----------
Total Short-Term Investments
(Cost $1,831,427)................................. 1,831,427
-----------
Total Investments
(Cost $34,058,866) -- 96.41% (a) 36,584,051
-----------
Cash and other assets,
less liabilities -- 3.59%......................... 1,362,418
-----------
Net Assets -- 100%................................. $37,946,469
===========
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
40
<PAGE>
GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $34,058,866; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................. $2,566,208
Gross unrealized depreciation................................. (41,023)
----------
Net unrealized appreciation................................ $2,525,185
==========
</TABLE>
FRN: Floating Rate Note--The rate disclosed is that in effect at December 31,
1995.
MTN: Medium Term Note
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4)
The Global Bond Fund had the following open forward foreign currency contracts
as of December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ---------- ----------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY
BUY CONTRACTS
Australian Dollar....... 06/05/96 1,690,000 $1,251,986 $ 1,471
British Pound........... 06/05/96 1,000,000 1,539,210 14,144
Canadian Dollar......... 06/05/96 2,600,000 1,905,418 (20,259)
Dutch Guilder........... 06/04/96 1,500,000 943,583 2,005
Italian Lira............ 06/05/96 3,000,000,000 1,854,030 14,160
Swedish Krone........... 06/05/96 6,800,000 1,013,943 (13,434)
FORWARD FOREIGN CURRENCY
SALE CONTRACTS
Belgian Franc........... 06/05/96 31,000,000 1,058,709 22,032
British Pound........... 06/05/96 1,000,000 1,539,354 13,096
Danish Kroner........... 06/04/96 12,500,000 2,262,418 31,623
Dutch Guilder........... 06/05/96 5,000,000 3,145,432 58,361
French Franc............ 06/05/96 19,000,000 3,892,369 20,195
German Mark............. 06/05/96 7,500,000 5,280,585 75,594
Japanese Yen............ 06/05/96 300,000,000 2,971,990 68,633
Sweden Krone............ 06/05/96 6,800,000 1,013,943 (19,732)
--------
Total................ $267,889
========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
41
<PAGE>
GLOBAL BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $34,058,866) (Note 1)................ $36,584,051
Cash............................................................. 10,721
Foreign currency, at value (Cost $528,746)....................... 533,662
Receivables:
Investment securities sold...................................... 131,666
Interest........................................................ 970,606
Fund shares sold................................................ 50
Due from Advisor (Note 2)....................................... 120,218
Net unrealized appreciation on forward foreign currency con-
tracts......................................................... 267,889
Deferred organization costs, net of amortization (Note 1)........ 7,245
Other assets..................................................... 858
-----------
TOTAL ASSETS.................................................. 38,626,966
-----------
LIABILITIES:
Payables:
Investment securities purchased................................. 514,286
Accrued expenses................................................ 166,211
-----------
TOTAL LIABILITIES............................................. 680,497
-----------
NET ASSETS........................................................ $37,946,469
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 7)......................................... $36,504,078
Accumulated undistributed net investment income.................. 311,700
Accumulated net realized loss.................................... (1,666,332)
Net unrealized appreciation...................................... 2,797,023
-----------
NET ASSETS.................................................... $37,946,469
===========
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $36,184,017 and 3,619,391 shares issued
and outstanding) (Note 7)....................................... $ 10.00
===========
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $1,762,452 and 176,423 shares issued and
outstanding) (Note 7)........................................... $ 9.99
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
42
<PAGE>
GLOBAL BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.......................................................... $1,364,857
----------
TOTAL INCOME................................................... 1,364,857
----------
EXPENSES:
Advisory (Note 2)................................................. 151,282
Custodian......................................................... 57,000
Accounting........................................................ 53,023
Professional...................................................... 38,391
Printing.......................................................... 24,900
Amortization of organization costs (Note 1)....................... 7,413
Distribution (Note 6)............................................. 1,925
Other............................................................. 60,754
----------
TOTAL EXPENSES................................................. 394,688
Expenses deferred and reimbursed by Advisor (Note 2)........... (211,225)
----------
NET EXPENSES................................................... 183,463
----------
NET INVESTMENT INCOME.......................................... 1,181,394
----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments...................................................... 1,131,117
Foreign currency transactions.................................... 715,863
----------
Net realized gain............................................... 1,846,980
----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................. (489,604)
Forward contracts................................................ 988,559
Translation of other assets and liabilities denominated in for-
eign currency................................................... (24,839)
----------
Change in net unrealized appreciation or depreciation........... 474,116
----------
Net realized and unrealized gain.................................. 2,321,096
----------
Net increase in net assets resulting from operations.............. $3,502,490
==========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
43
<PAGE>
GLOBAL BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR
SIX MONTHS ENDED ENDED
DECEMBER 31, 1995 JUNE 30,
(UNAUDITED) 1995
----------------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income.......................... $ 1,181,394 $ 2,663,927
Net realized gain (loss)....................... 1,846,980 (467,411)
Change in net unrealized appreciation or depre-
ciation ...................................... 474,116 2,879,443
----------- -----------
Net increase in net assets resulting from oper-
ations........................................ 3,502,490 5,075,959
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income
Brinson Class................................. (4,048,340) (1,146,710)
SwissKey Class................................ (192,535) --
Distributions from net realized gains
Brinson Class................................. (338,786) --
SwissKey Class................................ (16,271) --
----------- -----------
Total distributions to shareholders............ (4,595,932) (1,146,710)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................... 1,828,373 15,734,111
Shares issued on reinvestment of distributions. 3,493,217 824,053
Shares redeemed................................ (18,144,197) (5,474,354)
----------- -----------
Net increase (decrease) in net assets resulting
from capital share transactions (Note 7)...... (12,822,607) 11,083,810
----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS..... (13,916,049) 15,013,059
----------- -----------
NET ASSETS:
Beginning of period............................ 51,862,518 36,849,459
----------- -----------
End of period (including accumulated undistrib-
uted net investment income of $311,700 and
$1,095,344, respectively)..................... $37,946,469 $51,862,518
=========== ===========
</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>
SIX MONTHS ENDED YEAR JULY 30, 1993*
DECEMBER 31, 1995 ENDED THROUGH
BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of
period......................... $ 10.39 $ 9.55 $ 10.00
------- ------- -------
Income (loss) from investment
operations:
Net investment income ......... 0.88 0.50 0.45
Net realized and unrealized
gain (loss)................... 0.07 0.58 (0.52)
------- ------- -------
Total income (loss) from in-
vestment operations........ 0.95 1.08 (0.07)
------- ------- -------
Less distributions:
Distributions from net invest-
ment income................... (1.24) (0.24) (0.28)
Distributions from and in ex-
cess of net realized gain..... (0.10) -- (0.10)
------- ------- -------
Total distributions......... (1.34) (0.24) (0.38)
------- ------- -------
Net asset value, end of period.. $ 10.00 $ 10.39 $ 9.55
======= ======= =======
Total return (non-annualized)... 9.19% 11.34% (0.79%)
Ratios/Supplemental data
Net assets, end of period (in
000s)......................... $36,184 $51,863 $36,849
Ratio of expenses to average
net assets:
Before expense reimbursement.. 1.96%** 1.43% 1.78%**
After expense reimbursement... 0.90%** 0.90% 0.90%**
Ratio of net investment income
to average net assets:
Before expense reimbursement.. 4.88%** 5.53% 4.03%**
After expense reimbursement... 5.94%** 6.06% 4.91%**
Portfolio turnover rate........ 88% 199% 189%
</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
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $10.56
------
Income from investment operations:
Net investment income........................................ 0.85
Net realized and unrealized loss............................. (0.10)
------
Total income from investment operations................... 0.75
------
Less distributions:
Distributions from net investment income..................... (1.22)
Distributions from net realized gain......................... (0.10)
------
Total distributions....................................... (1.32)
------
Net asset value, end of period................................ $ 9.99
======
Total return (non-annualized)................................. 7.22%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $1,762
Ratio of expenses to average net assets:
Before expense reimbursement................................ 2.45%**
After expense reimbursement................................. 1.39%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ 4.39%**
After expense reimbursement................................. 5.45%**
Portfolio turnover rate...................................... 88%
</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 ten series: Global Fund, Global
Equity Fund, Global Bond Fund, Short-Term Global Income Fund, U.S. Balanced
Fund, U.S. Equity Fund, U.S. Bond Fund, U.S. Cash Management Fund, Non-U.S.
Equity Fund and Non-U.S. Bond Fund. Each Fund has outstanding two classes of
shares, Brinson Class and SwissKey Class. There are an unlimited number of
shares of each class with par value of $0.001 authorized. Each share represents
an identical interest in the investments of the Funds and has the same rights.
The following is a summary of significant accounting policies consistently
followed by the Global Fund, the Global Equity Fund and the Global Bond Fund
(each a "Fund" and collectively, the "Funds") in the preparation of their
financial statements.
A. INVESTMENT VALUATION: Securities for which quotations are readily available
are valued at the last available sales price on the exchange or market on which
they are principally traded, or lacking any sales, at the last available bid
price on the exchange or market on which such securities are principally
traded. Securities for which market quotations are not readily available,
including restricted securities which are subject to limitations on their sale,
are valued at fair value as determined in good faith by or under the direction
of the Trust's Board of Trustees. Fixed income/debt securities are valued by
using market quotations or independent services that use prices provided by
market makers or estimates of market values obtained from yield data relating
to instruments or securities with similar characteristics. Futures contracts
are valued at the settlement price established each day on the exchange on
which they are traded. Forward contracts are valued daily using quoted forward
exchange rates. Short-term obligations with a maturity of 60 days or less are
valued at amortized cost, which approximates market value.
B. FOREIGN CURRENCY TRANSLATION: Investment securities and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
at the bid prices of such currencies against the U.S. dollar as of the date of
valuation. Purchases and sales of portfolio securities, commitments under
forward foreign currency contracts, income receipts and expense accruals are
translated at the prevailing exchange rate on the date of each transaction.
Realized and unrealized foreign exchange gains or losses on investments are
included as a component of net realized and unrealized gain or loss in the
statement of operations.
C. INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade
date basis. Gains and losses on securities sold are determined on an identified
cost basis.
D. INVESTMENT INCOME: Interest income, which includes the amortization of
premiums and discounts is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date, except that certain dividends from foreign
securities are recorded as the information becomes available.
E. FEDERAL INCOME TAXES: It is the policy of the Funds to comply with all
requirements of the Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute substantially all of their taxable
income to their shareholders. The Funds have met the requirements of the Code
applicable to regulated investment companies for the six months ended December
31, 1995. Therefore, no federal income tax provision was required. At December
31, 1995, the Global Equity Fund had a capital loss carryforward of
approximately $1,069,000, of which $251,000 will expire on June 30, 2003 and
$818,000 will expire on June 30, 2004 and the Global Bond Fund had a capital
loss carryforward of approximately $55,000 which will expire on June 30, 2004.
F. ORGANIZATION COSTS: Organization costs are being amortized on a straight-line
basis over five years from each Fund's respective commencement of operations.
G. DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Funds to distribute
their respective net investment income on a semi-annual basis and net capital
gains annually. Distributions to shareholders are recorded on the ex-dividend
date. Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments for
foreign currency transactions. Differences in dividends per
- --------------------------------------------------------------------------------
47
<PAGE>
THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
share between the classes are due to different class expenses. Amounts equal to
17.54% and 100.00% of the amount taxable as ordinary income qualify for the
dividends received deduction available to corporate shareholders for the Global
Fund and the Global Equity Fund, respectively.
H.INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by the
Fund, will be borne on a pro rata basis by each of the classes except that the
Brinson Class shares will not incur any of the 12b-1 expenses.
2.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Brinson Partners, Inc. (the "Advisor"), a registered investment advisor,
provides the Funds with investment management services. As compensation for
these services, the Funds pay the Advisor a monthly fee based on each Fund's
respective average daily net assets. The Advisor has agreed to waive its fees
and reimburse each Fund to the extent total annualized expenses exceed a
specified percentage of each Fund's respective average daily net assets.
Investment advisory fees and other transactions with affiliates, for the six
months ended December 31, 1995, were as follows:
<TABLE>
<CAPTION>
FEES
ADVISORY BRINSON CLASS SWISSKEY CLASS ADVISORY DEFERRED AND/OR DUE FROM
FEE EXPENSE CAP EXPENSE CAP FEES REIMBURSED ADVISOR
-------- ------------- -------------- ---------- --------------- --------
<S> <C> <C> <C> <C> <C> <C>
Global Fund............. 0.80% 1.10% 1.75% $1,610,179 $ -- $ --
Global Equity Fund...... 0.80 1.00 1.76 175,156 273,977 200,332
Global Bond Fund........ 0.75 0.90 1.39 151,282 211,225 120,218
</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 $5,790, $2,139 and $2,266 for the Brinson
Global Fund, Brinson Global Equity Fund and Brinson Global Bond Fund,
respectively.
3.INVESTMENT TRANSACTIONS
Investment transactions for the six months ended December 31, 1995, excluding
short-term investments, are as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
Global Fund........................................... $335,226,000 $293,096,250
Global Equity Fund.................................... 41,086,752 24,255,982
Global Bond Fund...................................... 32,218,194 41,468,914
</TABLE>
4.FORWARD FOREIGN CURRENCY CONTRACTS
The Funds engage in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. Foward foreign currency contracts are also used to achieve
currency allocation strategies. A forward foreign currency contract is a
commitment to purchase or sell a foreign currency at a future date at a
negotiated forward rate. Risks associated with such contracts include movement
in the value of the foreign currency relative to the U.S. dollar and the
ability of the counterparty to perform. The unrealized gain, if any, represents
the credit risk to the Fund on a foward foreign currency contract. Fluctuations
in the value of forward foreign currency contracts are recorded daily as net
unrealized gains or losses. The Funds realize a gain or loss upon settlement of
the contracts. The statement of operations reflects net realized and net
unrealized gains and losses on these contracts. The counterparty to all forward
foreign currency contracts at December 31, 1995 was the Funds' custodian.
5.FUTURES CONTRACTS
The Funds may purchase or sell exchange-traded futures contracts, which are
contracts that obligate the Funds to make or take delivery of a financial
instrument or the cash value of a securities index at a specified future date
at a specified price. The Funds enter into such contracts to hedge a portion of
their portfolio. Risks of entering into futures contracts include the
possibility that there may be an
- --------------------------------------------------------------------------------
48
<PAGE>
THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
illiquid market and that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. Upon entering
into a futures contract, the Funds are required to deposit either cash or
securities in an amount (initial margin) based on the number of open contracts.
Subsequent payments (variation margin) are made or received by the Funds,
generally on a daily basis. The variation margin payments are equal to the
daily changes in the contract value and are recorded as unrealized gains or
losses. The Funds recognize a realized gain or loss when the contract is closed
or expires. The statement of operations reflects net realized and net
unrealized gains and losses on these contracts.
6.DISTRIBUTION PLAN
The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act of 1940 (the "Act"). The Plan governs payments
made for the expenses incurred in the promotion and distribution of the
SwissKey Class of shares. Annual fees under the Plan of 0.65%, 0.76% and 0.49%
of the average daily net assets of the SwissKey Class of the Global Fund,
Global Equity Fund and Global Bond Fund, respectively, are accrued daily.
7.CAPITAL TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
GLOBAL FUND
---------------------------------------------
SIX MONTHS ENDED
DECEMBER 31, 1995 YEAR ENDED
(UNAUDITED) JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class.................... 4,859,379 $57,939,772 11,726,672 $124,484,442
SwissKey Class................... 147,037 1,780,070 -- --
--------- ----------- ---------- ------------
Total Sales................... 5,006,416 $59,719,842 11,726,672 $124,484,442
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class.................... 2,228,457 $26,028,383 960,415 $ 10,276,565
SwissKey Class................... 9,533 111,252 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment... 2,237,990 $26,139,635 960,415 $ 10,276,565
========= =========== ========== ============
Redemptions:
Brinson Class.................... 2,907,523 $34,785,958 7,205,445 $ 77,406,972
SwissKey Class................... 86 1,026 -- --
--------- ----------- ---------- ------------
Total Redemptions............. 2,907,609 $34,786,984 7,205,445 $ 77,406,972
========= =========== ========== ============
</TABLE>
- --------------------------------------------------------------------------------
49
<PAGE>
THE BRINSON FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL EQUITY FUND
-------------------------------------------
SIX MONTHS ENDED
DECEMBER 31, 1995 YEAR ENDED
(UNAUDITED) JUNE 30, 1995
--------------------- ---------------------
SHARES VALUE SHARES VALUE
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Sales:
Brinson Class...................... 19,449 $ 219,994 13,700 $ 133,064
SwissKey Class..................... 2,645,256 23,643,172 -- --
--------- ----------- --------- -----------
Total Sales..................... 2,664,705 $23,863,166 13,700 $ 133,064
========= =========== ========= ===========
Dividend Reinvestment:
Brinson Class...................... 147,823 $ 1,553,509 28,495 $ 271,028
SwissKey Class..................... 152,235 1,601,512 -- --
--------- ----------- --------- -----------
Total Dividend Reinvestment..... 300,058 $ 3,155,021 28,495 $ 271,028
========= =========== ========= ===========
Redemptions:
Brinson Class...................... 74,980 $ 797,564 131,587 $ 1,262,526
SwissKey Class..................... 303,416 3,266,101 -- --
--------- ----------- --------- -----------
Total Redemptions............... 378,396 $ 4,063,665 131,587 $ 1,262,526
========= =========== ========= ===========
<CAPTION>
GLOBAL BOND FUND
-------------------------------------------
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1995 JUNE 30, 1995
--------------------- ---------------------
SHARES VALUE SHARES VALUE
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Sales:
Brinson Class...................... 10,065 $ 107,043 1,615,817 $15,734,111
SwissKey Class..................... 158,111 1,721,330 -- --
--------- ----------- --------- -----------
Total Sales..................... 168,176 $ 1,828,373 1,615,817 $15,734,111
========= =========== ========= ===========
Dividend Reinvestment:
Brinson Class...................... 333,396 $ 3,310,623 80,422 $ 824,053
SwissKey Class..................... 18,407 182,594 -- --
--------- ----------- --------- -----------
Total Dividend Reinvestment..... 351,803 $ 3,493,217 80,422 $ 824,053
========= =========== ========= ===========
Redemptions:
Brinson Class...................... 1,715,619 $18,143,201 564,413 $ 5,474,354
SwissKey Class..................... 95 996 -- --
--------- ----------- --------- -----------
Total Redemptions............... 1,715,714 $18,144,197 564,413 $ 5,474,354
========= =========== ========= ===========
</TABLE>
- --------------------------------------------------------------------------------
50
<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
SEMI-ANNUAL REPORT
DECEMBER 31, 1995
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
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
------------------------------------------------------------
3
<PAGE>
SHAREHOLDER LETTER
- --------------------------------------------------------------------------------
LOGO
February 22, 1996
Dear Shareholder:
We appreciate the confidence you have placed in us and are pleased to present
you with the December 31, 1995 Semi-Annual Report for the Non-U.S. Equity Fund.
This Report presents our current global economic and market outlook, as well
as the Fund's recent investment strategies and performance. To summarize this
information:
The Brinson Non-U.S. Equity Fund paid a dividend of $0.667 per share on
December 29 to shareholders of record on December 20, 1995.
For the period from August 31, 1993 (inception date of the Fund) to December
31, 1995, the Fund provided an annualized total return of 5.22%. For the
calendar year 1995, the Fund returned 15.55%. In the second half of 1995, the
Fund returned 15.55%.
Market Strategy
Although the Japanese equities are still overvalued, the Fund is only modestly
underweight in Japan as the downward adjustment of the yen should benefit the
equity market. The Fund currently holds a 4% cash hedge.
Currency Strategy
Currency strategy continues to focus on reducing the risk of exposure to the
yen and DM-bloc currencies. Even after their declines from the peaks reached
last April, the levels of these currencies are still above fair value.
On December 31, 1995, the Non-U.S. Equity Fund had net assets of $171,465,487.
We look forward to the challenges of 1996 and, as always, welcome your thoughts
and comments.
Sincerely,
Gary P. Brinson, CFA
/s/ Gary P. Brinson, CFA
President and Chief Investment Officer
Brinson Partners, Inc.
------------------------------------------------------------
4
<PAGE>
GLOBAL ECONOMIC AND MARKET HIGHLIGHTS
- --------------------------------------------------------------------------------
[BRINSON LOGO]
Relative to the U.S. dollar, the yen and deutschemark have weakened from the
highs reached earlier this year. These currencies are, however, still above
equilibrium values. Currency strength has dampened economic activity in Germa-
ny, and has contributed to the suspension of growth and to price deflation in
Japan.
With continued modest growth in most countries, unemployment has tended to de-
cline, albeit slowly. The exception is Japan, where the reported unemployment
rate hit new highs and is expected to continue upward. As businesses attempt to
cut costs, in part by shifting production overseas, the demand for labor has
weakened substantially. The unemployment rate, if calculated by other coun-
tries' standards, would be several times higher than reported.
Inflation in most developed countries remains under control, owing both to in-
creased central bank vigilance and to a lack of major cost shocks. Inflation
has risen in Italy recently and has stayed higher in Spain than elsewhere. Both
these countries have demonstrated less than responsible fiscal policy and poor
monetary discipline.
NON-U.S. EQUITY ENVIRONMENT
<TABLE>
<S> <C> <C>
MAJOR MARKETS
</TABLE>
<TABLE>
<CAPTION>
Total Return in 6 months 1 year Annualized
U.S. Dollar ended ended 8/31/93*
Hedged Terms 12/31/95 12/31/95 to 12/31/95
- -----------------------------------------------
<S> <C> <C> <C>
Japan 37.03% 9.16% 2.22%
U.K. 11.95 21.83 9.79
Germany 8.03 9.19 6.00
France 1.68 4.15 -3.66
Canada 4.15 14.11 9.51
Netherlands 15.44 20.15 12.51
Australia 6.52 14.67 7.02
- -----------------------------------------------
MAJOR CURRENCIES
</TABLE>
<TABLE>
<CAPTION>
Annualized
Percent Change 6 months 1 year 8/31/93*
Relative to ended ended to
U.S. Dollars 12/31/95 12/31/95 12/31/95
- ---------------------------------------------
<S> <C> <C> <C>
Yen -17.70% -3.28% 0.64%
Pound -2.41 -0.76 1.85
Deutschemark -3.30 8.29 7.05
Canadian Dollar 0.73 -1.48 -1.36
- ---------------------------------------------
</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 in the established non-U.S. stock markets. This exposure to the
full range of investable developed non-U.S. equity markets helps provide the
foundation for enhanced investment performance.
Since its inception on August 31, 1993, the Non-U.S. Equity Fund has earned an
annualized return of 5.22% versus a benchmark return of 7.64% for the MSCI Non-
U.S. Equity (Free) Index; on a currency hedged basis the benchmark returned
5.20%. For the year ended December 31, 1995, the Fund returned 15.55%, while
the benchmark returned 11.73% on an unhedged basis and 12.23% on a hedged
basis. For the six months ended December 31, 1995, the Fund returned 15.55%
versus the benchmark return of 8.39%.
During 1995, the best performing markets in dollar-hedged terms were
Switzerland, gaining 30.58%; Hong Kong, rising 22.28%; the U.K., up 21.83%; and
the Netherlands, increasing 20.15%. Many other markets registered double-digit
returns. Within this environment of general market strength, Japan was the
underperformer, with a dollar-hedged return of 9.16%. In sharp contrast,
Austria declined 10.68%, while Italy and Finland were also weak, declining
4.65% and 3.85%, respectively.
Market allocation contributed significantly to performance in 1995.
Overweights in several Anglo-Saxon markets were successful, but the Fund gained
most, particularly in the first half of the year, from its underweight of
Japan, Finland, Norway and Austria. The overall impact of strategic cash was
neutral: a result of varying cash strategies and the widely differing
performance of the non-U.S. markets at various points throughout the year.
Currency allocation was the greatest positive contributor to performance,
helped by the strength of the U.S. dollar against the yen, as well as the
positive performance of the Canadian dollar, the New Zealand dollar and most of
the other currencies (the Italian lira, the Spanish peseta and the Swedish
krona), where the Fund was overweighted. In contrast, the U.S. dollar's 5.58%
decline against the core DM-bloc currencies detracted from performance. The
current U.S. dollar overweight and, to a lesser extent, that of the Canadian
dollar are driven by a minimal exposure to the Japanese yen and the DM-bloc
currencies. The latter currencies continue to be overvalued and pose an
ongoing risk to the portfolio.
Stock selection was neutral. Positive stock selection from Japan resulted from
the portfolio's exposure to high quality defensive issues and exporters, and
underexposure to cyclicals in an environment of market decline. This was
offset by a negative contribution from overweighting European financials.
------------------------------------------------------------
6
<PAGE>
NON-U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
Annualized
6 months 1 year 8/31/93*
ended ended to
12/31/95 12/31/95 12/31/95
- -------------------------------------------------------------------------
<S> <C> <C> <C>
BRINSON NON-U.S. EQUITY FUND 15.55% 15.55% 5.22%
MSCI Non-U.S. Equity (Free) Index (currency
unhedged)** 8.39 11.73 7.64
MSCI Non-U.S. Equity (Free) Index (currency
hedged)** 19.10 12.23 5.20
- -------------------------------------------------------------------------
</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.
December 31, 1995.
BRINSON NON-U.S. EQUITY FUND
VS. MSCI NON-U.S. EQUITY (FREE) INDEX (CURRENCY UNHEDGED AND HEDGED)
Wealth Value with Dividends Reinvested
[GRAPH APPEARS HERE]
8/31/93 12/31/95
-------- --------
BRINSON NON-U.S. EQUITY FUND $100,000 $112,610
MSCI NON-U.S. EQUITY (FREE) INDEX (UNHEDGED) $100,000 $118,746
MSCI NON-U.S. EQUITY (FREE) INDEX (HEDGED) $100,000 $112,544
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
-------------------------------------------------------------
7
<PAGE>
NON-U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- ---------------------------------------
<S> <C>
NON-U.S. EQUITIES
Aerospace & Military 0.43%
Airlines 0.13
Appliances & Household Durables 2.23
Automobiles 2.54
Banking 11.46
Beverages & Tobacco 2.41
Broadcasting & Publishing 1.36
Building Materials 0.60
Business & Public Service 2.84
Chemicals 2.86
Construction 1.69
Data Processing 0.94
Electric Components 1.09
Electronics 4.00
Energy 7.65
Financial Services 1.38
Food & House Products 4.36
Forest Products 1.43
Goldmines 0.18
Health & Personal Care 3.67
Industrial Components 2.05
Insurance 3.88
- ---------------------------------------
</TABLE>
<TABLE>
<S> <C>
Leisure & Tourism 0.31%
Machinery & Engineering 1.28
Merchandising 5.03
Miscellaneous Materials 1.47
Multi-Industry 3.64
Non-Ferrous Metals 0.90
Real Estate 0.31
Recreation 0.58
Shipping 0.58
Steel 1.04
Telecommunications 3.13
Textiles & Apparel 0.26
Transportation 0.83
Utilities 4.84
------
Total Non-U.S. Equities 83.38*
------
SHORT-TERM INVESTMENTS 11.64*
------
TOTAL INVESTMENTS 95.02
CASH AND OTHER ASSETS,
LESS LIABILITIES 4.98
------
NET ASSETS 100.00%
======
</TABLE>
MARKET AND CURRENCY STRATEGY
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Portfolio
-----------------
Market Currency
Strategy Strategy Index
- ---------------------------------------
<S> <C> <C> <C>
U.S. Dollar 0.0% 42.5% 0.0%
Japan 37.3 11.3 39.3
Australia 4.1 4.1 2.5
Belgium 2.7 0.7 1.1
Canada 3.6 12.0 3.7
France 8.2 0.7 6.0
Germany 5.8 0.3 6.6
Hong Kong 0.0 0.0 3.0
Italy 2.3 5.8 2.1
Malaysia 1.0 1.0 2.1
Netherlands 6.1 0.2 3.8
New Zealand 2.2 2.2 0.4
Spain 2.8 2.8 1.7
Sweden 0.0 0.0 1.9
Switzerland 2.3 0.3 5.7
U.K. 17.6 16.1 16.2
Cash Reserves 4.0 0.0 0.0
Other Markets 0.0 0.0 3.9
- ---------------------------------------
100.0% 100.0% 100.0%
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Percent of Net Assets
- -----------------------
<S> <C>
1. Royal Dutch Petroleum 1.92%
2. General Electric PLC 1.39
3. Lloyds TSB Group 1.33
4. Ito-Yokado Co. 1.26
5. Toray Industries, Inc. 1.12
6. British Telecommunications 1.08
7. Matsushita Electric Industrial 1.07
8. Toshiba Corp. 1.02
9. Sekisui House 1.02
10. Grand Metropolitan 0.98
- -----------------------------------------
</TABLE>
*The Fund held a long position in Topix futures on December 31, 1995 which
increased Japanese equity exposure from 26.10% to 37.58% and decreased the
Fund's exposure to Short Term Investments from 11.64% to 0.16%
------------------------------------------------------------
8
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Non-U.S. Equities -- 83.38%
AUSTRALIA -- 3.82%
Amcor Ltd................................................. 60,700 $ 428,959
ANZ Banking Group......................................... 74,319 348,845
Broken Hill Proprietary................................... 118,970 1,681,492
CRA Ltd................................................... 42,800 628,485
David Jones Ltd. (b)...................................... 146,000 222,644
Lend Lease Corp........................................... 36,188 524,932
National Australia Bank................................... 76,448 688,106
News Corp................................................. 83,000 443,309
Pacific Dunlop Ltd........................................ 70,000 164,026
Qantas Airways Ltd........................................ 131,900 219,784
Santos Ltd................................................ 102,300 299,070
Western Mining Corp....................................... 38,700 248,730
Westpac Banking Corp. Ltd................................. 144,951 642,645
------------
6,541,027
------------
BELGIUM -- 2.64%
Delhaize-Le Lion, S.A..................................... 7,500 310,898
Electrabel................................................ 3,565 847,918
Fortis AG................................................. 3,710 451,288
Groupe Bruxelles Lambert.................................. 2,430 337,283
Kredietbank............................................... 2,310 631,836
Petrofina................................................. 1,875 574,014
Petrofina S.A. Warrants '97 (b)........................... 57 755
Societe Generale de Belgique.............................. 3,428 283,619
Solvay.................................................... 735 397,083
Tractebel................................................. 1,250 516,039
Union Mineire (b)......................................... 2,680 179,390
------------
4,530,123
------------
CANADA -- 3.60%
Alcan Aluminium Ltd....................................... 15,600 484,712
Bank of Montreal.......................................... 34,800 791,025
Barrick Gold Corp......................................... 12,000 316,762
Canadian Pacific Ltd...................................... 41,300 753,291
Imperial Oil Canada Ltd................................... 16,200 586,505
Moore Corp. Ltd........................................... 10,000 187,894
Noranda, Inc.............................................. 15,500 319,649
Norcen Energy............................................. 13,900 208,938
Northern Telecom Ltd...................................... 7,900 338,145
Nova Corporation of Alberta............................... 24,400 196,803
Royal Bank of Canada...................................... 27,900 636,741
Seagram Co. Ltd........................................... 13,700 472,137
Thomson Corp.............................................. 41,100 572,591
TransCanada Pipeline Ltd.................................. 22,500 311,400
------------
6,176,593
------------
FRANCE -- 8.29%
Accor..................................................... 3,470 449,838
Alcatel Alsthom........................................... 6,114 527,815
Banque Nationale de Paris................................. 19,230 868,586
Carnaud Metal Box......................................... 10,710 490,541
Cep Communications........................................ 4,400 365,272
Cie Bancaire S.A. ........................................ 3,697 414,255
Cie de Saint Gobain....................................... 7,020 777,990
Cie Fin de Suez........................................... 10,427 430,674
Colas...................................................... 1,777 $ 297,947
Credit Local de France..................................... 10,550 845,622
GAN (b).................................................... 3,480 127,371
Generale des Eaux.......................................... 9,019 901,605
LVMH (Moet-Hennessy Louis Vuitton)......................... 6,315 1,317,078
Michelin Class B........................................... 11,800 471,218
Pechiney Cert D'Invest..................................... 8,010 303,000
Peugeot S.A................................................ 10,780 1,423,932
Sanofi..................................................... 7,901 507,121
Societe Generale........................................... 9,136 1,130,184
Societe Nationale Elf Aquitaine............................ 11,334 836,157
Total Co. "B".............................................. 18,160 1,227,228
UAP........................................................ 18,891 494,041
-----------
14,207,475
-----------
GERMANY -- 5.21%
Allianz AG Holding......................................... 588 1,156,856
BASF AG.................................................... 1,733 391,084
Bayer...................................................... 1,824 485,279
Bayer Motoren Werken....................................... 800 413,610
Bayer Vereinsbank.......................................... 10,914 327,885
Commerzbank................................................ 1,664 395,858
Daimler-Benz............................................... 810 409,726
Deutsche Bank.............................................. 26,257 1,249,285
Hoechst.................................................... 1,808 492,643
Kaufhof Holding AG......................................... 1,222 373,097
Mannesmann................................................. 2,427 774,070
Munchener Ruck............................................. 322 695,158
Munchener Ruck Warrants '98 (b)............................ 12 1,589
Preussag................................................... 1,319 372,302
RWE........................................................ 1,350 491,878
Schering................................................... 3,442 229,178
Veba....................................................... 15,588 668,695
-----------
8,928,193
-----------
ITALY -- 2.47%
Assic Generali............................................. 31,500 763,431
Eni ADR (c)................................................ 22,100 756,925
Fiat Spa Priv.............................................. 231,000 422,253
Instituto Mobilaire Italiano............................... 83,000 523,167
Italgas.................................................... 95,000 289,223
LaRinascente............................................... 27,000 163,550
LaRinascente Savings (Risp)................................ 29,000 82,257
Mediobanca................................................. 15,000 103,956
Montedison (b)............................................. 242,000 162,300
Sai Di Risp................................................ 37,000 153,692
Telecom Italia............................................. 357,000 436,998
Telecom Italia Mobile (b).................................. 357,000 375,792
-----------
4,233,544
-----------
JAPAN -- 26.10%
Amada...................................................... 72,000 711,973
Asahi Glass Co............................................. 86,000 958,798
Bank of Tokyo.............................................. 42,000 736,985
Canon, Inc................................................. 62,000 1,123,994
Canon Sales................................................ 22,050 587,857
Citizen Watch Co........................................... 66,000 505,477
Dai Nippon Printing........................................ 65,000 1,102,763
Daiichi Pharmaceutical Co. Ltd............................. 30,000 427,533
</TABLE>
- --------------------------------------------------------------------------------
9
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
JAPAN (CONTINUED)
Daikin Kogyo Co........................................... 71,000 $ 695,201
Daiwa House Industries.................................... 36,000 593,311
Fanuc Co.................................................. 18,200 788,696
Fujitsu................................................... 43,000 479,399
Hitachi Ltd............................................... 140,000 1,411,537
Honda Motor Co............................................ 42,000 867,281
Inax...................................................... 69,000 655,550
Isetan.................................................... 24,000 395,540
Ito Yokado Co............................................. 35,000 2,158,022
Keio Teito Electric Railway............................... 75,000 436,985
Kinki Nippon Railway...................................... 80,000 604,944
Kirin Brewery Co. Ltd..................................... 37,000 437,615
Kuraray Co. Ltd........................................... 39,000 427,242
Maeda Road Construction................................... 14,000 259,234
Marui Co.................................................. 21,000 437,712
Matsushita Electric Industrial............................ 113,000 1,840,427
Mitsubishi Bank........................................... 30,000 706,738
Mitsubishi Paper.......................................... 88,000 529,792
NGK Insulators............................................ 115,000 1,148,328
Nichii Co................................................. 54,000 717,208
Nintendo.................................................. 6,500 494,668
Nippon Denso Co........................................... 49,000 916,820
Nippon Meat Packers....................................... 45,000 654,387
Nippon Steel Corp......................................... 52,000 178,459
Orix Corp................................................. 7,000 288,415
Osaka Gas Corp............................................ 292,000 1,010,606
Pioneer Electronics....................................... 32,000 586,331
Sankyo Co. Ltd. .......................................... 52,000 1,169,559
Secom Co.................................................. 17,000 1,183,325
Seino Transportation...................................... 24,000 402,521
Sekisui House............................................. 137,000 1,753,175
Shinmaywa Industries Ltd. ................................ 44,000 363,432
Sony Corp................................................. 17,300 1,038,168
Sumitomo Bank............................................. 75,000 1,592,341
Sumitomo Electric Industries.............................. 59,000 709,258
Takeda Chemical Industries................................ 80,000 1,318,468
TDK Corp.................................................. 21,000 1,072,904
Tokio Marine & Fire....................................... 65,000 850,703
Tokyo Electric Power...................................... 31,512 843,171
Tokyo Steel Mfg........................................... 52,700 970,722
Tonen Corp................................................ 38,000 556,277
Toray Industries, Inc..................................... 291,000 1,918,371
Toshiba Corp.............................................. 224,000 1,756,820
Toyo Suisan Kaisha........................................ 41,000 508,774
Toyota Motor Corp......................................... 21,000 445,855
Yamazaki Baking Co. Ltd. ................................. 23,000 428,114
------------
44,757,786
------------
MALAYSIA -- 0.87%
Genting................................................... 10,000 83,497
Hume Industries........................................... 23,000 110,516
Kuala Lumpur Kepong....................................... 48,000 152,186
Land & General Holdings................................... 51,500 111,560
Malayan Bank.............................................. 24,000 202,284
Nestle Malaysia........................................... 15,000 $ 109,886
Sime Darby................................................ 77,000 204,707
Telekom Malaysia.......................................... 37,000 288,539
Tenaga Nasional........................................... 60,000 236,313
------------
1,499,488
------------
NETHERLANDS -- 6.07%
ABN-AMRO Holdings......................................... 28,424 1,296,191
D.S.M..................................................... 4,150 341,734
Internationale Nederlanden Groep NV....................... 24,818 1,659,694
KPN NV.................................................... 16,627 604,712
Philips Electronics....................................... 10,000 361,822
Royal Dutch Petroleum..................................... 23,630 3,304,957
Royal Dutch Petroleum New York Shares..................... 6,200 874,975
Unilever NV............................................... 10,740 1,510,836
VNU-Ver Ned Uitger........................................ 3,350 460,390
------------
10,415,311
------------
NEW ZEALAND -- 1.82%
Brierly Investment........................................ 798,600 631,738
Carter Holt Harvey........................................ 333,600 719,718
Fletcher Challenge Ltd.................................... 306,200 706,646
Fletcher Challenge Forest Division........................ 43,445 61,918
Telecom Corp. of New Zealand Ltd.......................... 62,200 268,384
Telecom Corp. of New Zealand Ltd. ADS (c)................. 10,500 728,438
------------
3,116,842
------------
SPAIN -- 2.44%
Banco Bilbao-Vizcaya...................................... 8,700 313,368
Banco Intercontinental.................................... 3,020 293,726
Banco Popular............................................. 1,680 309,763
Banco Santander........................................... 9,500 476,864
Empresa NAC Electric...................................... 6,400 362,402
Iberdrola S.A............................................. 89,400 817,926
Repsol S.A................................................ 1,200 39,316
Repsol S.A. ADR (c)....................................... 11,300 371,487
Sevillana de Electric..................................... 30,900 239,918
Telefonica de Espana...................................... 59,500 823,910
Viscofan.................................................. 11,300 134,120
------------
4,182,800
------------
SWITZERLAND -- 2.30%
Ciba-Geigy (Reg.)......................................... 503 443,721
CS Holdings............................................... 4,078 419,106
Nestle (Reg.) S.A......................................... 1,011 1,121,185
Roche Holdings Gen........................................ 104 824,787
Schweiz Bankgesellschaft.................................. 420 456,284
Societe Generale Surveillance (Br)........................ 160 318,443
Zurich Insurance.......................................... 1,191 357,114
------------
3,940,640
------------
</TABLE>
- --------------------------------------------------------------------------------
10
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
UNITED KINGDOM -- 17.75%
Asda Group................................................ 152,200 $ 261,110
Bass...................................................... 84,000 937,680
B.A.T. Industries PLC..................................... 106,000 933,939
BET PLC................................................... 160,400 316,268
Booker PLC................................................ 34,500 191,756
British Gas............................................... 355,300 1,401,121
British Petroleum......................................... 198,756 1,663,243
British Telecommunications................................ 337,000 1,852,166
Charter Group............................................. 43,280 579,889
Coats Viyella............................................. 163,100 443,138
FKI....................................................... 174,625 447,339
General Electric PLC...................................... 432,400 2,383,201
Glaxo Holdings............................................ 70,500 1,001,514
Grand Metropolitan........................................ 233,700 1,683,540
Guinness.................................................. 129,300 951,532
Hanson.................................................... 209,500 626,126
Hillsdown Holdings........................................ 162,900 427,420
House of Fraser........................................... 293,800 816,491
Legal and General......................................... 50,000 520,106
Lloyds Abbey Life......................................... 72,100 503,726
Lloyds TSB Group.......................................... 443,185 2,277,507
Lucas Industries.......................................... 104,683 294,172
Marks & Spencer........................................... 104,900 732,883
Mirror Group.............................................. 179,600 490,756
National Power............................................ 83,500 582,724
National Westminster Bank................................. 100,300 1,010,630
Ocean Group............................................... 67,800 408,421
P & O..................................................... 78,700 581,605
Reckitt & Colman.......................................... 58,575 648,408
Redland................................................... 45,600 275,398
RJB Mining PLC............................................ 18,000 153,144
Rolls Royce............................................... 251,500 737,983
Royal Insurance........................................... 78,300 464,378
Sears PLC................................................. 344,700 556,572
Sedgwick Group............................................ 66,600 125,114
SmithKline Beecham Unit................................... 74,800 815,240
Tesco..................................................... 206,900 954,034
Thames Water.............................................. 66,600 581,109
Unilever Ord 5p........................................... 18,900 388,211
W.H. Smith Group.......................................... 62,500 411,427
------------
30,431,021
------------
Total Non-U.S. Equities (Cost $133,708,210)............... 142,960,843
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------------ ------------
Short-Term Investments -- 11.64%
<S> <C> <C>
COMMERCIAL PAPER -- 11.64%
Baxter International, Inc.
6.05%, due 01/02/96................................. $ 858,000 $ 857,856
Burlington Northern Santa Fe
6.05%, due 01/03/96................................. 3,500,000 3,498,824
Conagra, Inc.
5.91%, due 01/04/96................................. 1,449,000 1,448,286
6.05%, due 01/11/96................................. 2,000,000 1,996,639
CSX Corp.
6.00%, due 01/08/96................................. 1,000,000 998,833
General American Transportation Corp. 6.20%, due
01/18/96............................................ 1,500,000 1,495,608
Nabisco Holdings Corp.
5.85% due 01/03/96.................................. 2,000,000 1,999,350
6.04% due 01/19/96.................................. 2,000,000 1,993,960
P.S. Colorado Credit Corp.
6.03%, due 01/04/96................................. 1,000,000 999,498
Texas Utilities Electric Co.
6.30%, due 01/05/96................................. 1,580,000 1,578,894
Trinova Corp.
6.10%, due 01/10/96................................. 1,500,000 1,497,713
Whitman Corp.
5.95%, due 01/02/96................................. 1,590,000 1,589,737
------------
Total Short-Term Investments
(Cost $19,955,198).................................. 19,955,198
------------
Total Investments
(Cost $153,663,408) -- 95.02% (a)................... 162,916,041
------------
Cash and other assets,
less liabilities -- 4.98%........................... 8,549,446
------------
Net Assets -- 100%................................... $171,465,487
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
11
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $153,663,408; net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $13,386,676
Gross unrealized depreciation................................ (4,134,043)
-----------
Net unrealized appreciation................................ $ 9,252,633
===========
</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 December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ----------- ----------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY
BUY CONTRACTS
British Pound........... 02/23/96 4,349,179 $ 6,731,818 $ 61,594
Canadian Dollar......... 02/23/96 18,400,000 13,490,660 (212,050)
Italian Lira............ 02/23/96 9,100,000,000 5,695,748 117,888
Swedish Krone........... 02/23/96 45,000,000 6,760,544 342,059
Swiss Franc............. 02/23/96 1,900,000 1,660,381 (17,323)
FORWARD FOREIGN CURRENCY
SALE CONTRACTS
Belgian Franc........... 02/23/96 95,000,000 3,234,815 25,868
British Pound........... 02/23/96 5,600,000 8,667,884 113,620
Dutch Guilder........... 02/23/96 14,500,000 9,073,927 60,437
French Franc............ 02/23/96 63,500,000 12,996,665 (233,672)
German Mark............. 02/23/96 11,000,000 7,706,385 50,409
Japanese Yen............ 02/23/96 2,480,000,000 24,227,645 995,474
Swedish Krone........... 02/23/96 45,000,000 6,760,544 (90,320)
Swiss Franc............. 02/23/96 5,800,000 5,068,532 9,734
----------
Total................. $1,223,718
==========
FUTURES CONTRACTS (NOTE 5)
INDEX FUTURES CONTRACTS:
The Non-U.S. Equity Fund had the following open index futures contracts as of
December 31, 1995:
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE GAIN
---------- ------------- ----------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CON-
TRACTS
Topix, 129 contracts.... March 1996 $ 18,731,071 $19,684,537 $ 953,466
==========
</TABLE>
The aggregate market value of investments pledged to cover margin requirements
for the open futures positions at December 31, 1995 was $3,410,000.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
12
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $153,663,408) (Note 1).............. $162,916,041
Cash............................................................ 8,984,132
Foreign currency, at value (Cost $1,586,415).................... 1,587,196
Receivables:
Investment securities sold..................................... 296,568
Dividends...................................................... 369,100
Variation Margin (Note 5) ..................................... 1,713,031
Fund shares sold............................................... 30,501
Due from Advisor (Note 2)...................................... 136,513
Net unrealized appreciation on forward foreign currency con-
tracts......................................................... 1,223,718
Deferred organization costs, net of amortization (Note 1)....... 52,471
Other assets.................................................... 5,691
------------
TOTAL ASSETS................................................. 177,314,962
------------
LIABILITIES:
Payables:
Investment securities purchased................................ 5,557,261
Fund shares redeemed........................................... 10,985
Accrued expenses............................................... 281,229
------------
TOTAL LIABILITIES............................................ 5,849,475
------------
NET ASSETS....................................................... $171,465,487
============
NET ASSETS CONSIST OF:
Paid in capital (Note 7)........................................ $159,325,358
Accumulated distributions in excess of net investment income.... (8,402)
Accumulated net realized gain................................... 712,468
Net unrealized appreciation..................................... 11,436,063
------------
NET ASSETS................................................... $171,465,487
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $171,172,601 and 16,293,814 shares is-
sued and outstanding) (Note 7)................................ $ 10.51
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $292,886 and 27,957 shares issued and
outstanding) (Note 7)......................................... $ 10.48
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
13
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $170,023 for foreign taxes withheld)........... $ 1,328,093
Interest......................................................... 550,191
-----------
TOTAL INCOME.................................................. 1,878,284
-----------
EXPENSES:
Advisory (Note 2)................................................ 656,481
Custodian........................................................ 148,000
Professional..................................................... 72,177
Accounting....................................................... 68,112
Amortization of organization costs (Note 1)...................... 1,411
Distribution (Note 6)............................................ 367
Other............................................................ 202,366
-----------
TOTAL EXPENSES................................................ 1,148,914
Expenses deferred by Advisor (Note 2)......................... (327,946)
-----------
NET EXPENSES.................................................. 820,968
-----------
NET INVESTMENT INCOME ........................................ 1,057,316
-----------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments..................................................... 3,674,620
Futures contracts............................................... 759,566
Foreign currency transactions................................... 10,968,352
-----------
Net realized gain............................................. 15,402,538
-----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency ............................... 5,466,900
Futures contracts .............................................. 953,466
Forward contracts............................................... 600,102
Translation of other assets and liabilities denominated in for-
eign currency.................................................. (1,401)
-----------
Change in net unrealized appreciation or depreciation......... 7,019,067
-----------
Net realized and unrealized gain.................................. 22,421,605
-----------
Net increase in net assets resulting from operations.............. $23,478,921
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
14
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR
DECEMBER 31, 1995 ENDED
(UNAUDITED) JUNE 30, 1995
----------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 1,057,316 $ 2,518,556
Net realized gain (loss)..................... 15,402,538 (5,050,764)
Change in net unrealized appreciation or de-
preciation ................................. 7,019,067 2,039,362
------------ ------------
Net increase (decrease) in net assets result-
ing from operations......................... 23,478,921 (492,846)
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income..... (1,643,189) --
Distributions in excess of net investment in-
come........................................ (8,402) --
Distributions from net realized gain......... (8,647,449) --
------------ ------------
Total distributions to shareholders*......... (10,299,040) --
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................. 40,108,628 110,628,882
Shares issued on reinvestment of distribu-
tions....................................... 9,252,205 --
Shares redeemed.............................. (39,393,763) (33,361,344)
------------ ------------
Net increase in net assets resulting from
capital share transactions (Note 7)......... 9,967,070 77,267,538
------------ ------------
TOTAL INCREASE IN NET ASSETS............... 23,146,951 76,774,692
------------ ------------
NET ASSETS:
Beginning of period.......................... 148,318,536 71,543,844
------------ ------------
End of period (including accumulated undis-
tributed net investment income of ($8,402)
and $632,906, respectively)................. $171,465,487 $148,318,536
============ ============
<CAPTION>
*DISTRIBUTIONS BY CLASS:
<S> <C> <C>
Distributions from and in excess of net in-
vestment income:
Brinson Class................................ $ (1,649,171) --
SwissKey Class............................... (2,420) --
Distributions from net realized gain:
Brinson Class................................ (8,632,718) --
SwissKey Class............................... (14,731) --
------------ ------------
$(10,299,040) --
============ ============
</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>
SIX MONTHS
ENDED YEAR AUGUST 31, 1993*
DECEMBER 31, 1995 ENDED THROUGH
BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of
period....................... $ 9.68 $ 9.69 $ 10.00
-------- -------- -------
Income from investment opera-
tions:
Net investment income (loss). (0.07) 0.15 0.10
Net realized and unrealized
gain (loss)................. 1.57 (0.16) (0.34)
-------- -------- -------
Total income (loss) from
investment operations.... 1.50 (0.01) (0.24)
-------- -------- -------
Less distributions:
Distributions from and in ex-
cess of net investment in-
come........................ (0.11) -- (0.07)
Distributions from net real-
ized gain................... (0.56) -- --
-------- -------- -------
Total distributions....... (0.67) -- (0.07)
-------- -------- -------
Net asset value, end of peri-
od........................... $ 10.51 $ 9.68 $ 9.69
======== ======== =======
Total return (non-annualized). 15.55% (0.10%) (2.45%)
Ratios/Supplemental data
Net assets, end of period (in
000s)....................... $171,173 $148,319 $71,544
Ratio of expenses to average
net assets:
Before expense reimburse-
ment....................... 1.40%** 1.23% 1.60%**
After expense reimbursement. 1.00%** 1.00% 1.00%**
Ratio of net investment in-
come to average net assets:
Before expense reimburse-
ment....................... 0.89%** 1.93% 1.28%**
After expense reimbursement. 1.29%** 2.16% 1.88%**
Portfolio turnover rate...... 14% 14% 12%
</TABLE>
* Commencement of investment operations
** Annualized
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
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $10.26
------
Income from investment operations:
Net investment loss.......................................... (0.09)
Net realized and unrealized gain............................. 0.96
------
Total income from investment operations................... 0.87
------
Less distributions:
Distributions from net investment income..................... (0.09)
Distributions from net realized gain......................... (0.56)
------
Total distributions....................................... (0.65)
------
Net asset value, end of period................................ $10.48
======
Total return (non-annualized)................................. 8.58%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $ 293
Ratio of expenses to average net assets:
Before expense reimbursement................................ 2.24%**
After expense reimbursement................................. 1.84%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ 0.05%**
After expense reimbursement................................. 0.45%**
Portfolio turnover rate...................................... 14%
</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 ten series: Global Fund, Global
Equity Fund, Global Bond Fund, Short-Term Global Income Fund, U.S. Balanced
Fund, U.S. Equity Fund, U.S. Bond Fund, U.S. Cash Management Fund, Non-U.S.
Equity Fund and Non-U.S. Bond Fund. The Fund has outstanding two classes of
common shares, Brinson Class and SwissKey Class. There are an unlimited number
of shares of each class with par value of $0.001 authorized. Each share of the
Fund represents an identical interest in the investments of the Fund and has
the same rights. The following is a summary of significant accounting policies
consistently followed by the Non-U.S. Equity Fund (the "Fund") in the
preparation of its financial statements.
A.INVESTMENT VALUATION: Securities for which market quotations are readily
available are valued at the last available sales price on the exchange or
market on which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which such securities are
principally traded. Securities for which market quotations are not readily
available, including restricted securities which are subject to limitations on
their sale, are valued at fair value as determined in good faith by or under
the direction of the Trust's Board of Trustees. Futures contracts are valued at
the settlement price established each day on the exchange on which they are
traded. Forward contracts are valued daily using quoted forward exchange rates.
Short-term obligations with a maturity of 60 days or less are valued at
amortized cost, which approximates market value.
B.FOREIGN CURRENCY TRANSLATION: Investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars at the bid
prices of such currencies against the U.S. dollar as of the date of valuation.
Purchases and sales of portfolio securities, commitments under forward foreign
currency contracts, income receipts and expense accruals are translated at the
prevailing exchange rate on the date of each transaction. Realized and
unrealized foreign exchange gains or losses on investments are included as a
component of net realized and unrealized gain or loss in the statement of
operations.
C.INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade
date basis. Gains and losses on securities sold are determined on an identified
cost basis.
D.INVESTMENT INCOME: Interest income which includes amortization of premiums
and discounts, is recorded on the accrual basis. Dividend income is recorded on
the ex-dividend date, except that certain dividends from foreign securities are
recorded as the information becomes available.
E.FEDERAL INCOME TAXES: It is the policy of the Fund to comply with all
requirements of the Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute substantially all of its taxable income
to its shareholders. The Fund has met the requirements of the Code applicable
to regulated investment companies for the six months ended December 31, 1995,
therefore, no federal income tax provision was required. At December 31, 1995,
the Fund had a capital loss carryforward of approximately $5,400,000, of which
$260,000, $1,180,000 and $3,960,000 will expire on June 30, 2002, June 30, 2003
and June 30, 2004, respectively.
F.ORGANIZATION COSTS: Organization costs are being amortized on a straight-line
basis over five years from the commencement of operations.
G.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Fund to distribute its
net investment income on a semi-annual basis and net capital gains, if any,
annually. Distributions to shareholders are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for foreign
currency transactions. Differences in dividends per share between the classes
are due to different class expenses.
- --------------------------------------------------------------------------------
18
<PAGE>
NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
H.INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by the
Fund will be borne on a pro rata basis by each of the classes except that the
Brinson Class shares will not incur any of the 12b-1 expenses.
2.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Brinson Partners, Inc. (the "Advisor"), a registered investment advisor,
provides the Fund with investment management services. As compensation for
these services, the Fund pays the Advisor a monthly fee based on the Fund's
average daily net assets. The Advisor has agreed to waive its fees and
reimburse the Fund to the extent total annualized expenses exceed a specified
percentage of the Fund's average daily net assets. The expense cap is 1.00% and
1.84% of the average daily net assets of the Brinson Class and SwissKey Class,
respectively. Investment advisory fees and other transactions with affiliates
for the six months ended December 31, 1995, were as follows:
<TABLE>
<CAPTION>
ADVISORY ADVISORY FEES DUE FROM
FEE FEES DEFERRED ADVISOR
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Non-U.S. Equity Fund........................ 0.80% $656,481 $327,946 $136,513
</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 $3,489.
3.INVESTMENT TRANSACTIONS
Investment transactions for the six months ended December 31, 1995, excluding
short-term investments, were as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
----------- -----------
<S> <C> <C>
Non-U.S. Equity Fund.................................... $44,410,789 $19,198,934
</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 December 31, 1995 was the Fund's
custodian.
5.FUTURES CONTRACTS
The Fund may purchase or sell exchange-traded futures contracts, which are
contracts that obligate the Fund to make or take delivery of a financial
instrument or the cash value of a securities index at a specified future date
at a specified price. The Fund enters into such contracts to hedge a portion of
its portfolio. Risks of entering into futures contracts include the possibility
that there may be an illiquid market and that a change in the value of the
contract may not correlate with changes in the value of the underlying
securities. Upon entering into a futures contract, the Fund is required to
deposit either cash or securities in an amount (initial margin) based on the
number of open contracts. Subsequent payments (variation margin) are made or
received by the Fund, generally on a daily basis. The variation margin payments
are equal to the daily changes in the contract value and are recorded as
unrealized gains or losses. The Fund recognizes a realized gain or loss when
the contract is closed or expires. The statement of operations reflects
realized and unrealized gains and losses on these contracts.
- --------------------------------------------------------------------------------
19
<PAGE>
NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
6.DISTRIBUTION PLAN
The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plan governs payments made for
the expenses incurred in the promotion and distribution of the SwissKey Class
of shares. Annual fees under the Plan of 0.84% of the average daily net asset
of the SwissKey Class are accrued daily.
7. CAPITAL TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
DECEMBER 31, 1995 YEAR ENDED
(UNAUDITED) JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class.................... 3,842,433 $39,699,672 11,370,317 $110,628,882
SwissKey Class................... 38,337 408,956 -- --
--------- ----------- ---------- ------------
Total Sales................... 3,880,770 $40,108,628 11,370,317 $110,628,882
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class.................... 889,697 $ 9,235,055 -- --
SwissKey Class................... 1,657 17,150 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment... 891,354 $ 9,252,205 -- --
========= =========== ========== ============
Redemptions:
Brinson Class.................... 3,753,166 $39,262,830 3,435,839 $ 33,361,344
SwissKey Class................... 12,037 130,933 -- --
--------- ----------- ---------- ------------
Total Redemptions............. 3,765,203 $39,393,763 3,435,839 $ 33,361,344
========= =========== ========== ============
</TABLE>
- --------------------------------------------------------------------------------
20
<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 NON-U.S. EQUITY FUND
SEMI-ANNUAL REPORT
DECEMBER 31, 1995
<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
International Economic Review and Outlook..................................... 5
Non-U.S. Equity Fund.......................................................... 6
Schedule of Investments....................................................... 9
Financial Statements..........................................................13
Financial Highlights..........................................................16
Notes to Financial Statements.................................................18
------------------------------------------------------------
3
<PAGE>
SHAREHOLDER LETTER
- --------------------------------------------------------------------------------
LOGO
February 22, 1996
Dear Shareholder:
Thank you for investing in the SwissKey Non-U.S. Equity Fund. We appreciate the
confidence you have placed in us. As we begin the first quarter of 1996, we are
pleased to present you with the December 31, 1995 Semi-Annual Report for the
SwissKey Non-U.S. Equity Fund.
A COMPELLING COMBINATION OF TWO GLOBAL INVESTMENT LEADERS
In the world of global investing, the combination of Swiss Bank Corporation and
Brinson Partners, Inc. adds world class value to our clients' investments.
Swiss Bank Corporation, founded in 1872, is a global financial institution
serving the needs of worldwide corporate, public and private clients. With more
than $191 billion in assets and a strong presence in 40 countries, Swiss Bank
Corporation is the largest fund manager in Switzerland and is among the top
money managers worldwide. Swiss Bank Corporation holds membership in the
world's leading stock exchanges.
Brinson Partners, Inc. currently manages over $53 billion in assets for clients
which include employee benefit plans and other institutional investors. The
firm is the largest U.S. active manager of global assets and has operated under
the same investment philosophy and senior management for almost two decades.
Fund Performance
Since the commencement of the SwissKey Class distribution on July 31, 1995, the
SwissKey Non-U.S. Equity Fund has provided a total return of 8.58% versus the
benchmark return of 2.20% for the MSCI Non-U.S. Equity (Free) Index.
Current Strategy
Although the Japanese equities are still overvalued, the Fund is only modestly
underweight in Japan as downward adjustment of the yen should benefit the
equity market. The Fund currently holds a 4% cash hedge. Currency strategy
continues to focus on reducing the risk of exposure to the yen and DM-bloc
currencies. Even after their declines from the peaks reached last April, the
levels of these currencies are still above fair value.
We look forward to the challenges ahead and, as always, welcome your thoughts
and comments.
Sincerely,
/s/ Raoul Weil /s/ Raymond Simon
Raoul Weil Raymond Simon
Executive Director Executive Director
Private Investors & Private Investors &
Asset Management Asset Management
------------------------------------------------------------
4
<PAGE>
INTERNATIONAL ECONOMIC REVIEW AND OUTLOOK
- -------------------------------------------------------------------------------
LOGO
Interest rates declined across the globe in 1995 but the underlying real rates
remained high. The motives varied across countries but the common theme of the
monetary authorities was vigilance against excess liquidity. The problem areas
in the real economies were left to fend for themselves, without access to the
monetary printing presses that had been so readily available in the past. As a
result, inflation remains modest but structural unemployment remains high and
economic growth has slowed in most countries. Whether this new separation
between nominal and real economic policies is maintained is the great
uncertainty in the international outlook.
In Europe, the move toward economic and monetary union is the dominant force
as the monetary rules continue to be set by the Bundesbank with its
unrelenting pursuit of deutschemark integrity. Other countries that remain
committed to the requirements of the Exchange Rate Mechanism have kept their
currencies in line with the DM. On the plus side, those countries that have
kept their currencies most closely tied to the DM now have inflation rates of
2% or less. But this has also worked to keep most European currencies,
including the DM, significantly overpriced in world markets, aggravating the
already severe competitive problems that result from the generally high labor
costs and extensive government involvement in economic affairs that
characterize the region. The result has been a slowing of economic growth and
persistently high rates of unemployment.
The planned move to a single currency (Euro), managed by a single European
central bank, has probably been a major factor in this situation. On the one
hand, the credibility of a single European currency requires the various
governments to show a commitment to consistent, sound monetary policies. On
the other hand, however, the Germans remain suspicious of losing the proven
discipline of the Bundesbank. Thus, the German central bank presses hard to
wring as much inflation out of the system ahead of the adoption of the single
currency and the other governments see themselves as forced to go along. While
it will be a new game if and when the Bundesbank relinquishes its duties, the
near-term outlook for Europe is that monetary policy will continue to focus on
price stability while economic growth prospects will depend primarily on
structural reform.
The paper wealth that the Japanese created for themselves with the speculative
bubble in their domestic asset prices ultimately led to both a collapse of
asset prices within Japan and a surge in the value of the yen against most
other currencies. This wiped out a significant portion of the yen value of the
non-Japanese assets that they had accumulated. Inside Japan, the appreciation
of the yen produced a wealth transfer from investors to consumers, effectively
offsetting the pro-capital, anti-consumption policy of the government.
The large volume of trade between the U.S. and Japan, plus the large capital
flows, gave the appearance that the strength of the yen was actually a problem
of a weak dollar which, in turn, reflected heavy U.S. borrowing abroad. Ergo,
the focus on the Federal budget deficit as the source of the problem. While
little good has resulted from the explosive growth of the Federal budget, its
contribution to the problems of the dollar into early 1995 was coincidental.
Instead, the lead role was played by the Japanese, as the government
steadfastly refused to recognize the aggregate wealth loss that was necessary
to clean up the excesses of the speculative bubble of the late 1980s. In using
official powers, including the Bank of Japan to soften the adjustment, market
forces took the lead in correcting the situation. That meant sharp, real
appreciation of the yen and a period of prolonged economic weakness that
continues into 1996.
------------------------------------------------------------
5
<PAGE>
NON-U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
The Non-U.S. Equity Fund invests in the common stocks of companies
headquartered in the established non-U.S. stock markets. This exposure to the
full range of investable developed non-U.S. equity markets helps provide the
foundation for enhanced investment performance.
Since its inception on July 31, 1995, the Non-U.S. Equity Fund has earned an
unannualized return of 8.58% versus a benchmark return of 2.20% for the MSCI
Non-U.S. Equity (Free) Index.
Below is a discussion of the 1995 international equity markets activity, as
well our current investment strategies.
During 1995, the best performing markets in dollar-hedged terms were
Switzerland, gaining 30.58%; Hong Kong, rising 22.28%; the U.K., up 21.83%; and
the Netherlands, increasing 20.15%. Many other markets registered double-digit
returns. Within this environment of general market strength, Japan was the
underperformer, with a dollar-hedged return of 9.16%. In sharp contrast,
Austria declined 10.68%, while Italy and Finland were also weak, declining
4.65% and 3.85%, respectively.
Market allocation contributed significantly to performance. Overweights in
several Anglo-Saxon markets were successful. The overall impact of strategic
cash was neutral: a result of varying cash strategies and the widely differing
performance of the non-U.S. markets at various points throughout the year.
Currency allocation was the greatest positive contributor to performance,
helped by the strength of the U.S. dollar against the yen, as well as the
positive performance of the Canadian dollar, the New Zealand dollar and most of
the other currencies (the Italian lira, the Spanish peseta and the Swedish
krona), where the Fund was overweighted. The current U.S. dollar overweight
and, to a lesser extent, that of the Canadian dollar are driven by a minimal
exposure to the Japanese yen and the DM-bloc currencies. The latter currencies
continue to be overvalued and pose an ongoing risk to the portfolio.
Stock selection was neutral. Positive stock selection from Japan resulted from
the portfolio's exposure to high quality defensive issues and exporters, and
underexposure to cyclicals in an environment of market decline. This was
offset by a negative contribution from overweighting European financials.
------------------------------------------------------------
6
<PAGE>
NON-U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
Since
Quarter Inception*
- -----------------------------------------------------
<S> <C> <C>
SWISSKEY NON-U.S. EQUITY FUND 5.40% 8.58%
MSCI Non-U.S. Equity (Free) Index 4.11 2.20
- -----------------------------------------------------
</TABLE>
*Inception date of the SwissKey Non-U.S. Equity Fund
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth No adjustment has been made
in the value of an for any income taxes payable
investment in the SwissKey by shareholders on income
Non-U.S. Equity Fund and the dividends and capital gain
MSCI Non-U.S. Equity (Free) distributions. Past
Index if you had invested performance is no guarantee
$10,000 on July 31, 1995, of future results. Share
and had reinvested all your price and return will vary
income dividends and capital with market conditions;
gain distributions through investors may realize a gain
December 31, 1995. or loss upon redemption.
SWISSKEY NON-U.S. EQUITY FUND
VS. MSCI NON-U.S. EQUITY (FREE) INDEX
Wealth Value with Dividends Reinvested
[GRAPH APPEARS HERE]
SwissKey MSCI
Non-U.S. Non-U.S.
Equity Fund Equity (Free) Index
----------- -------------------
7/31/95 $10,000 $10,000
8/31/95 10,146 9,632
9/30/95 10,302 9,817
10/31/95 10,205 9,563
11/30/95 10,448 9,835
12/31/95 10,858 10,220
7/31/95=$10,000 Data through 12/31/95
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
-------------------------------------------------------------
7
<PAGE>
NON-U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- ---------------------------------------
<S> <C>
NON-U.S. EQUITIES
Aerospace & Military 0.43%
Airlines 0.13
Appliances & Household Durables 2.23
Automobiles 2.54
Banking 11.46
Beverages & Tobacco 2.41
Broadcasting & Publishing 1.36
Building Materials 0.60
Business & Public Service 2.84
Chemicals 2.86
Construction 1.69
Data Processing 0.94
Electric Components 1.09
Electronics 4.00
Energy 7.65
Financial Services 1.38
Food & House Products 4.36
Forest Products 1.43
Goldmines 0.18
Health & Personal Care 3.67
Industrial Components 2.05
Insurance 3.88
- ---------------------------------------
</TABLE>
<TABLE>
<S> <C>
Leisure & Tourism 0.31%
Machinery & Engineering 1.28
Merchandising 5.03
Miscellaneous Materials 1.47
Multi-Industry 3.64
Non-Ferrous Metals 0.90
Real Estate 0.31
Recreation 0.58
Shipping 0.58
Steel 1.04
Telecommunications 3.13
Textiles & Apparel 0.26
Transportation 0.83
Utilities 4.84
------
Total Non-U.S. Equities 83.38*
------
SHORT-TERM INVESTMENTS 11.64*
------
TOTAL INVESTMENTS 95.02
CASH AND OTHER ASSETS,
LESS LIABILITIES 4.98
------
NET ASSETS 100.00%
======
</TABLE>
MARKET AND CURRENCY STRATEGY
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Portfolio
-----------------
Market Currency
Strategy Strategy Index
- ---------------------------------------
<S> <C> <C> <C>
U.S. Dollar 0.0% 42.5% 0.0%
Japan 37.3 11.3 39.3
Australia 4.1 4.1 2.5
Belgium 2.7 0.7 1.1
Canada 3.6 12.0 3.7
France 8.2 0.7 6.0
Germany 5.8 0.3 6.6
Hong Kong 0.0 0.0 3.0
Italy 2.3 5.8 2.1
Malaysia 1.0 1.0 2.1
Netherlands 6.1 0.2 3.8
New Zealand 2.2 2.2 0.4
Spain 2.8 2.8 1.7
Sweden 0.0 0.0 1.9
Switzerland 2.3 0.3 5.7
U.K. 17.6 16.1 16.2
Cash Reserves 4.0 0.0 0.0
Other Markets 0.0 0.0 3.9
- ---------------------------------------
100.0% 100.0% 100.0%
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Percent of Net Assets
- -----------------------
<S> <C>
1. Royal Dutch Petroleum 1.92%
2. General Electric PLC 1.39
3. Lloyds TSB Group 1.33
4. Ito-Yokado Co. 1.26
5. Toray Industries, Inc. 1.12
6. British Telecommunications 1.08
7. Matsushita Electric Industrial 1.07
8. Toshiba Corp. 1.02
9. Sekisui House 1.02
10. Grand Metropolitan 0.98
- -----------------------------------------
</TABLE>
*The Fund held a long position in Topix futures on December 31, 1995 which
increased Japanese equity exposure from 26.10% to 37.58% and decreased the
Fund's exposure to Short Term Investments from 11.64% to 0.16%
------------------------------------------------------------
8
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Non-U.S. Equities -- 83.38%
AUSTRALIA -- 3.82%
Amcor Ltd................................................. 60,700 $ 428,959
ANZ Banking Group......................................... 74,319 348,845
Broken Hill Proprietary................................... 118,970 1,681,492
CRA Ltd................................................... 42,800 628,485
David Jones Ltd. (b)...................................... 146,000 222,644
Lend Lease Corp........................................... 36,188 524,932
National Australia Bank................................... 76,448 688,106
News Corp................................................. 83,000 443,309
Pacific Dunlop Ltd........................................ 70,000 164,026
Qantas Airways Ltd........................................ 131,900 219,784
Santos Ltd................................................ 102,300 299,070
Western Mining Corp....................................... 38,700 248,730
Westpac Banking Corp. Ltd................................. 144,951 642,645
------------
6,541,027
------------
BELGIUM -- 2.64%
Delhaize-Le Lion, S.A..................................... 7,500 310,898
Electrabel................................................ 3,565 847,918
Fortis AG................................................. 3,710 451,288
Groupe Bruxelles Lambert.................................. 2,430 337,283
Kredietbank............................................... 2,310 631,836
Petrofina................................................. 1,875 574,014
Petrofina S.A. Warrants '97 (b)........................... 57 755
Societe Generale de Belgique.............................. 3,428 283,619
Solvay.................................................... 735 397,083
Tractebel................................................. 1,250 516,039
Union Mineire (b)......................................... 2,680 179,390
------------
4,530,123
------------
CANADA -- 3.60%
Alcan Aluminium Ltd....................................... 15,600 484,712
Bank of Montreal.......................................... 34,800 791,025
Barrick Gold Corp......................................... 12,000 316,762
Canadian Pacific Ltd...................................... 41,300 753,291
Imperial Oil Canada Ltd................................... 16,200 586,505
Moore Corp. Ltd........................................... 10,000 187,894
Noranda, Inc.............................................. 15,500 319,649
Norcen Energy............................................. 13,900 208,938
Northern Telecom Ltd...................................... 7,900 338,145
Nova Corporation of Alberta............................... 24,400 196,803
Royal Bank of Canada...................................... 27,900 636,741
Seagram Co. Ltd........................................... 13,700 472,137
Thomson Corp.............................................. 41,100 572,591
TransCanada Pipeline Ltd.................................. 22,500 311,400
------------
6,176,593
------------
FRANCE -- 8.29%
Accor..................................................... 3,470 449,838
Alcatel Alsthom........................................... 6,114 527,815
Banque Nationale de Paris................................. 19,230 868,586
Carnaud Metal Box......................................... 10,710 490,541
Cep Communications........................................ 4,400 365,272
Cie Bancaire S.A. ........................................ 3,697 414,255
Cie de Saint Gobain....................................... 7,020 777,990
Cie Fin de Suez........................................... 10,427 430,674
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
Colas...................................................... 1,777 $ 297,947
Credit Local de France..................................... 10,550 845,622
GAN (b).................................................... 3,480 127,371
Generale des Eaux.......................................... 9,019 901,605
LVMH (Moet-Hennessy Louis Vuitton)......................... 6,315 1,317,078
Michelin Class B........................................... 11,800 471,218
Pechiney Cert D'Invest..................................... 8,010 303,000
Peugeot S.A................................................ 10,780 1,423,932
Sanofi..................................................... 7,901 507,121
Societe Generale........................................... 9,136 1,130,184
Societe Nationale Elf Aquitaine............................ 11,334 836,157
Total Co. "B".............................................. 18,160 1,227,228
UAP........................................................ 18,891 494,041
-----------
14,207,475
-----------
GERMANY -- 5.21%
Allianz AG Holding......................................... 588 1,156,856
BASF AG.................................................... 1,733 391,084
Bayer...................................................... 1,824 485,279
Bayer Motoren Werken....................................... 800 413,610
Bayer Vereinsbank.......................................... 10,914 327,885
Commerzbank................................................ 1,664 395,858
Daimler-Benz............................................... 810 409,726
Deutsche Bank.............................................. 26,257 1,249,285
Hoechst.................................................... 1,808 492,643
Kaufhof Holding AG......................................... 1,222 373,097
Mannesmann................................................. 2,427 774,070
Munchener Ruck............................................. 322 695,158
Munchener Ruck Warrants '98 (b)............................ 12 1,589
Preussag................................................... 1,319 372,302
RWE........................................................ 1,350 491,878
Schering................................................... 3,442 229,178
Veba....................................................... 15,588 668,695
-----------
8,928,193
-----------
ITALY -- 2.47%
Assic Generali............................................. 31,500 763,431
Eni ADR (c)................................................ 22,100 756,925
Fiat Spa Priv.............................................. 231,000 422,253
Instituto Mobilaire Italiano............................... 83,000 523,167
Italgas.................................................... 95,000 289,223
LaRinascente............................................... 27,000 163,550
LaRinascente Savings (Risp)................................ 29,000 82,257
Mediobanca................................................. 15,000 103,956
Montedison (b)............................................. 242,000 162,300
Sai Di Risp................................................ 37,000 153,692
Telecom Italia............................................. 357,000 436,998
Telecom Italia Mobile (b).................................. 357,000 375,792
-----------
4,233,544
-----------
JAPAN -- 26.10%
Amada...................................................... 72,000 711,973
Asahi Glass Co............................................. 86,000 958,798
Bank of Tokyo.............................................. 42,000 736,985
Canon, Inc................................................. 62,000 1,123,994
Canon Sales................................................ 22,050 587,857
Citizen Watch Co........................................... 66,000 505,477
Dai Nippon Printing........................................ 65,000 1,102,763
Daiichi Pharmaceutical Co. Ltd............................. 30,000 427,533
</TABLE>
- --------------------------------------------------------------------------------
9
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
JAPAN (CONTINUED)
Daikin Kogyo Co........................................... 71,000 $ 695,201
Daiwa House Industries.................................... 36,000 593,311
Fanuc Co.................................................. 18,200 788,696
Fujitsu................................................... 43,000 479,399
Hitachi Ltd............................................... 140,000 1,411,537
Honda Motor Co............................................ 42,000 867,281
Inax...................................................... 69,000 655,550
Isetan.................................................... 24,000 395,540
Ito Yokado Co............................................. 35,000 2,158,022
Keio Teito Electric Railway............................... 75,000 436,985
Kinki Nippon Railway...................................... 80,000 604,944
Kirin Brewery Co. Ltd..................................... 37,000 437,615
Kuraray Co. Ltd........................................... 39,000 427,242
Maeda Road Construction................................... 14,000 259,234
Marui Co.................................................. 21,000 437,712
Matsushita Electric Industrial............................ 113,000 1,840,427
Mitsubishi Bank........................................... 30,000 706,738
Mitsubishi Paper.......................................... 88,000 529,792
NGK Insulators............................................ 115,000 1,148,328
Nichii Co................................................. 54,000 717,208
Nintendo.................................................. 6,500 494,668
Nippon Denso Co........................................... 49,000 916,820
Nippon Meat Packers....................................... 45,000 654,387
Nippon Steel Corp......................................... 52,000 178,459
Orix Corp................................................. 7,000 288,415
Osaka Gas Corp............................................ 292,000 1,010,606
Pioneer Electronics....................................... 32,000 586,331
Sankyo Co. Ltd. .......................................... 52,000 1,169,559
Secom Co.................................................. 17,000 1,183,325
Seino Transportation...................................... 24,000 402,521
Sekisui House............................................. 137,000 1,753,175
Shinmaywa Industries Ltd. ................................ 44,000 363,432
Sony Corp................................................. 17,300 1,038,168
Sumitomo Bank............................................. 75,000 1,592,341
Sumitomo Electric Industries.............................. 59,000 709,258
Takeda Chemical Industries................................ 80,000 1,318,468
TDK Corp.................................................. 21,000 1,072,904
Tokio Marine & Fire....................................... 65,000 850,703
Tokyo Electric Power...................................... 31,512 843,171
Tokyo Steel Mfg........................................... 52,700 970,722
Tonen Corp................................................ 38,000 556,277
Toray Industries, Inc..................................... 291,000 1,918,371
Toshiba Corp.............................................. 224,000 1,756,820
Toyo Suisan Kaisha........................................ 41,000 508,774
Toyota Motor Corp......................................... 21,000 445,855
Yamazaki Baking Co. Ltd. ................................. 23,000 428,114
------------
44,757,786
------------
MALAYSIA -- 0.87%
Genting................................................... 10,000 83,497
Hume Industries........................................... 23,000 110,516
Kuala Lumpur Kepong....................................... 48,000 152,186
Land & General Holdings................................... 51,500 111,560
Malayan Bank.............................................. 24,000 202,284
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Nestle Malaysia................................ 15,000 $ 109,886
Sime Darby..................................... 77,000 204,707
Telekom Malaysia............................... 37,000 288,539
Tenaga Nasional................................ 60,000 236,313
------------
1,499,488
------------
NETHERLANDS -- 6.07%
ABN-AMRO Holdings.............................. 28,424 1,296,191
D.S.M.......................................... 4,150 341,734
Internationale Nederlanden Groep NV............ 24,818 1,659,694
KPN NV......................................... 16,627 604,712
Philips Electronics............................ 10,000 361,822
Royal Dutch Petroleum.......................... 23,630 3,304,957
Royal Dutch Petroleum New York Shares.......... 6,200 874,975
Unilever NV.................................... 10,740 1,510,836
VNU-Ver Ned Uitger............................. 3,350 460,390
------------
10,415,311
------------
NEW ZEALAND -- 1.82%
Brierly Investment............................. 798,600 631,738
Carter Holt Harvey............................. 333,600 719,718
Fletcher Challenge Ltd......................... 306,200 706,646
Fletcher Challenge Forest Division............. 43,445 61,918
Telecom Corp. of New Zealand Ltd............... 62,200 268,384
Telecom Corp. of New Zealand Ltd. ADS (c)...... 10,500 728,438
------------
3,116,842
------------
SPAIN -- 2.44%
Banco Bilbao-Vizcaya........................... 8,700 313,368
Banco Intercontinental......................... 3,020 293,726
Banco Popular.................................. 1,680 309,763
Banco Santander................................ 9,500 476,864
Empresa NAC Electric........................... 6,400 362,402
Iberdrola S.A.................................. 89,400 817,926
Repsol S.A..................................... 1,200 39,316
Repsol S.A. ADR (c)............................ 11,300 371,487
Sevillana de Electric.......................... 30,900 239,918
Telefonica de Espana........................... 59,500 823,910
Viscofan....................................... 11,300 134,120
------------
4,182,800
------------
SWITZERLAND -- 2.30%
Ciba-Geigy (Reg.).............................. 503 443,721
CS Holdings.................................... 4,078 419,106
Nestle (Reg.) S.A.............................. 1,011 1,121,185
Roche Holdings Gen............................. 104 824,787
Schweiz Bankgesellschaft....................... 420 456,284
Societe Generale Surveillance (Br)............. 160 318,443
Zurich Insurance............................... 1,191 357,114
------------
3,940,640
------------
</TABLE>
- --------------------------------------------------------------------------------
10
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
UNITED KINGDOM -- 17.75%
Asda Group................................................ 152,200 $ 261,110
Bass...................................................... 84,000 937,680
B.A.T. Industries PLC..................................... 106,000 933,939
BET PLC................................................... 160,400 316,268
Booker PLC................................................ 34,500 191,756
British Gas............................................... 355,300 1,401,121
British Petroleum......................................... 198,756 1,663,243
British Telecommunications................................ 337,000 1,852,166
Charter Group............................................. 43,280 579,889
Coats Viyella............................................. 163,100 443,138
FKI....................................................... 174,625 447,339
General Electric PLC...................................... 432,400 2,383,201
Glaxo Holdings............................................ 70,500 1,001,514
Grand Metropolitan........................................ 233,700 1,683,540
Guinness.................................................. 129,300 951,532
Hanson.................................................... 209,500 626,126
Hillsdown Holdings........................................ 162,900 427,420
House of Fraser........................................... 293,800 816,491
Legal and General......................................... 50,000 520,106
Lloyds Abbey Life......................................... 72,100 503,726
Lloyds TSB Group.......................................... 443,185 2,277,507
Lucas Industries.......................................... 104,683 294,172
Marks & Spencer........................................... 104,900 732,883
Mirror Group.............................................. 179,600 490,756
National Power............................................ 83,500 582,724
National Westminster Bank................................. 100,300 1,010,630
Ocean Group............................................... 67,800 408,421
P & O..................................................... 78,700 581,605
Reckitt & Colman.......................................... 58,575 648,408
Redland................................................... 45,600 275,398
RJB Mining PLC............................................ 18,000 153,144
Rolls Royce............................................... 251,500 737,983
Royal Insurance........................................... 78,300 464,378
Sears PLC................................................. 344,700 556,572
Sedgwick Group............................................ 66,600 125,114
SmithKline Beecham Unit................................... 74,800 815,240
Tesco..................................................... 206,900 954,034
Thames Water.............................................. 66,600 581,109
Unilever Ord 5p........................................... 18,900 388,211
W.H. Smith Group.......................................... 62,500 411,427
------------
30,431,021
------------
Total Non-U.S. Equities (Cost $133,708,210)............... 142,960,843
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------------ ------------
Short-Term Investments -- 11.64%
<S> <C> <C>
COMMERCIAL PAPER -- 11.64%
Baxter International, Inc.
6.05%, due 01/02/96................................. $ 858,000 $ 857,856
Burlington Northern Santa Fe
6.05%, due 01/03/96................................. 3,500,000 3,498,824
Conagra, Inc.
5.91%, due 01/04/96................................. 1,449,000 1,448,286
6.05%, due 01/11/96................................. 2,000,000 1,996,639
CSX Corp.
6.00%, due 01/08/96................................. 1,000,000 998,833
General American Transportation Corp. 6.20%, due
01/18/96............................................ 1,500,000 1,495,608
Nabisco Holdings Corp.
5.85% due 01/03/96.................................. 2,000,000 1,999,350
6.04% due 01/19/96.................................. 2,000,000 1,993,960
P.S. Colorado Credit Corp.
6.03%, due 01/04/96................................. 1,000,000 999,498
Texas Utilities Electric Co.
6.30%, due 01/05/96................................. 1,580,000 1,578,894
Trinova Corp.
6.10%, due 01/10/96................................. 1,500,000 1,497,713
Whitman Corp.
5.95%, due 01/02/96................................. 1,590,000 1,589,737
------------
Total Short-Term Investments
(Cost $19,955,198).................................. 19,955,198
------------
Total Investments
(Cost $153,663,408) -- 95.02% (a)................... 162,916,041
------------
Cash and other assets,
less liabilities -- 4.98%........................... 8,549,446
------------
Net Assets -- 100%................................... $171,465,487
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
11
<PAGE>
NON-U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $153,663,408; net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $13,386,676
Gross unrealized depreciation................................ (4,134,043)
-----------
Net unrealized appreciation................................ $ 9,252,633
===========
</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 December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ----------- ----------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY
BUY CONTRACTS
British Pound........... 02/23/96 4,349,179 $ 6,731,818 $ 61,594
Canadian Dollar......... 02/23/96 18,400,000 13,490,660 (212,050)
Italian Lira............ 02/23/96 9,100,000,000 5,695,748 117,888
Swedish Krone........... 02/23/96 45,000,000 6,760,544 342,059
Swiss Franc............. 02/23/96 1,900,000 1,660,381 (17,323)
FORWARD FOREIGN CURRENCY
SALE CONTRACTS
Belgian Franc........... 02/23/96 95,000,000 3,234,815 25,868
British Pound........... 02/23/96 5,600,000 8,667,884 113,620
Dutch Guilder........... 02/23/96 14,500,000 9,073,927 60,437
French Franc............ 02/23/96 63,500,000 12,996,665 (233,672)
German Mark............. 02/23/96 11,000,000 7,706,385 50,409
Japanese Yen............ 02/23/96 2,480,000,000 24,227,645 995,474
Swedish Krone........... 02/23/96 45,000,000 6,760,544 (90,320)
Swiss Franc............. 02/23/96 5,800,000 5,068,532 9,734
----------
Total................. $1,223,718
==========
FUTURES CONTRACTS (NOTE 5)
INDEX FUTURES CONTRACTS:
The Non-U.S. Equity Fund had the following open index futures contracts as of
December 31, 1995:
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE GAIN
---------- ------------- ----------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CON-
TRACTS
Topix, 129 contracts.... March 1996 $ 18,731,071 $19,684,537 $ 953,466
==========
</TABLE>
The aggregate market value of investments pledged to cover margin requirements
for the open futures positions at December 31, 1995 was $3,410,000.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
12
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $153,663,408) (Note 1).............. $162,916,041
Cash............................................................ 8,984,132
Foreign currency, at value (Cost $1,586,415).................... 1,587,196
Receivables:
Investment securities sold..................................... 296,568
Dividends...................................................... 369,100
Variation Margin (Note 5) ..................................... 1,713,031
Fund shares sold............................................... 30,501
Due from Advisor (Note 2)...................................... 136,513
Net unrealized appreciation on forward foreign currency con-
tracts......................................................... 1,223,718
Deferred organization costs, net of amortization (Note 1)....... 52,471
Other assets.................................................... 5,691
------------
TOTAL ASSETS................................................. 177,314,962
------------
LIABILITIES:
Payables:
Investment securities purchased................................ 5,557,261
Fund shares redeemed........................................... 10,985
Accrued expenses............................................... 281,229
------------
TOTAL LIABILITIES............................................ 5,849,475
------------
NET ASSETS....................................................... $171,465,487
============
NET ASSETS CONSIST OF:
Paid in capital (Note 7)........................................ $159,325,358
Accumulated distributions in excess of net investment income.... (8,402)
Accumulated net realized gain................................... 712,468
Net unrealized appreciation..................................... 11,436,063
------------
NET ASSETS................................................... $171,465,487
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $171,172,601 and 16,293,814 shares is-
sued and outstanding) (Note 7)................................ $ 10.51
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $292,886 and 27,957 shares issued and
outstanding) (Note 7)......................................... $ 10.48
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
13
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $170,023 for foreign taxes withheld)........... $ 1,328,093
Interest......................................................... 550,191
-----------
TOTAL INCOME.................................................. 1,878,284
-----------
EXPENSES:
Advisory (Note 2)................................................ 656,481
Custodian........................................................ 148,000
Professional..................................................... 72,177
Accounting....................................................... 68,112
Amortization of organization costs (Note 1)...................... 1,411
Distribution (Note 6)............................................ 367
Other............................................................ 202,366
-----------
TOTAL EXPENSES................................................ 1,148,914
Expenses deferred by Advisor (Note 2)......................... (327,946)
-----------
NET EXPENSES.................................................. 820,968
-----------
NET INVESTMENT INCOME ........................................ 1,057,316
-----------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments..................................................... 3,674,620
Futures contracts............................................... 759,566
Foreign currency transactions................................... 10,968,352
-----------
Net realized gain............................................. 15,402,538
-----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency ............................... 5,466,900
Futures contracts .............................................. 953,466
Forward contracts............................................... 600,102
Translation of other assets and liabilities denominated in for-
eign currency.................................................. (1,401)
-----------
Change in net unrealized appreciation or depreciation......... 7,019,067
-----------
Net realized and unrealized gain.................................. 22,421,605
-----------
Net increase in net assets resulting from operations.............. $23,478,921
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
14
<PAGE>
NON-U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR
DECEMBER 31, 1995 ENDED
(UNAUDITED) JUNE 30, 1995
----------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 1,057,316 $ 2,518,556
Net realized gain (loss)..................... 15,402,538 (5,050,764)
Change in net unrealized appreciation or de-
preciation ................................. 7,019,067 2,039,362
------------ ------------
Net increase (decrease) in net assets result-
ing from operations......................... 23,478,921 (492,846)
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income..... (1,643,189) --
Distributions in excess of net investment in-
come........................................ (8,402) --
Distributions from net realized gain......... (8,647,449) --
------------ ------------
Total distributions to shareholders*......... (10,299,040) --
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................. 40,108,628 110,628,882
Shares issued on reinvestment of distribu-
tions....................................... 9,252,205 --
Shares redeemed.............................. (39,393,763) (33,361,344)
------------ ------------
Net increase in net assets resulting from
capital share transactions (Note 7)......... 9,967,070 77,267,538
------------ ------------
TOTAL INCREASE IN NET ASSETS............... 23,146,951 76,774,692
------------ ------------
NET ASSETS:
Beginning of period.......................... 148,318,536 71,543,844
------------ ------------
End of period (including accumulated undis-
tributed net investment income of ($8,402)
and $632,906, respectively)................. $171,465,487 $148,318,536
============ ============
<CAPTION>
*DISTRIBUTIONS BY CLASS:
<S> <C> <C>
Distributions from and in excess of net in-
vestment income:
Brinson Class................................ $ (1,649,171) --
SwissKey Class............................... (2,420) --
Distributions from net realized gain:
Brinson Class................................ (8,632,718) --
SwissKey Class............................... (14,731) --
------------ ------------
$(10,299,040) --
============ ============
</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>
SIX MONTHS
ENDED YEAR AUGUST 31, 1993*
DECEMBER 31, 1995 ENDED THROUGH
BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of
period....................... $ 9.68 $ 9.69 $ 10.00
-------- -------- -------
Income from investment opera-
tions:
Net investment income (loss). (0.07) 0.15 0.10
Net realized and unrealized
gain (loss)................. 1.57 (0.16) (0.34)
-------- -------- -------
Total income (loss) from
investment operations.... 1.50 (0.01) (0.24)
-------- -------- -------
Less distributions:
Distributions from and in ex-
cess of net investment in-
come........................ (0.11) -- (0.07)
Distributions from net real-
ized gain................... (0.56) -- --
-------- -------- -------
Total distributions....... (0.67) -- (0.07)
-------- -------- -------
Net asset value, end of peri-
od........................... $ 10.51 $ 9.68 $ 9.69
======== ======== =======
Total return (non-annualized). 15.55% (0.10%) (2.45%)
Ratios/Supplemental data
Net assets, end of period (in
000s)....................... $171,173 $148,319 $71,544
Ratio of expenses to average
net assets:
Before expense reimburse-
ment....................... 1.40%** 1.23% 1.60%**
After expense reimbursement. 1.00%** 1.00% 1.00%**
Ratio of net investment in-
come to average net assets:
Before expense reimburse-
ment....................... 0.89%** 1.93% 1.28%**
After expense reimbursement. 1.29%** 2.16% 1.88%**
Portfolio turnover rate...... 14% 14% 12%
</TABLE>
* Commencement of investment operations
** Annualized
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
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $10.26
------
Income from investment operations:
Net investment loss.......................................... (0.09)
Net realized and unrealized gain............................. 0.96
------
Total income from investment operations................... 0.87
------
Less distributions:
Distributions from net investment income..................... (0.09)
Distributions from net realized gain......................... (0.56)
------
Total distributions....................................... (0.65)
------
Net asset value, end of period................................ $10.48
======
Total return (non-annualized)................................. 8.58%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $ 293
Ratio of expenses to average net assets:
Before expense reimbursement................................ 2.24%**
After expense reimbursement................................. 1.84%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ 0.05%**
After expense reimbursement................................. 0.45%**
Portfolio turnover rate...................................... 14%
</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 ten series: Global Fund, Global
Equity Fund, Global Bond Fund, Short-Term Global Income Fund, U.S. Balanced
Fund, U.S. Equity Fund, U.S. Bond Fund, U.S. Cash Management Fund, Non-U.S.
Equity Fund and Non-U.S. Bond Fund. The Fund has outstanding two classes of
common shares, Brinson Class and SwissKey Class. There are an unlimited number
of shares of each class with par value of $0.001 authorized. Each share of the
Fund represents an identical interest in the investments of the Fund and has
the same rights. The following is a summary of significant accounting policies
consistently followed by the Non-U.S. Equity Fund (the "Fund") in the
preparation of its financial statements.
A.INVESTMENT VALUATION: Securities for which market quotations are readily
available are valued at the last available sales price on the exchange or
market on which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which such securities are
principally traded. Securities for which market quotations are not readily
available, including restricted securities which are subject to limitations on
their sale, are valued at fair value as determined in good faith by or under
the direction of the Trust's Board of Trustees. Futures contracts are valued at
the settlement price established each day on the exchange on which they are
traded. Forward contracts are valued daily using quoted forward exchange rates.
Short-term obligations with a maturity of 60 days or less are valued at
amortized cost, which approximates market value.
B.FOREIGN CURRENCY TRANSLATION: Investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars at the bid
prices of such currencies against the U.S. dollar as of the date of valuation.
Purchases and sales of portfolio securities, commitments under forward foreign
currency contracts, income receipts and expense accruals are translated at the
prevailing exchange rate on the date of each transaction. Realized and
unrealized foreign exchange gains or losses on investments are included as a
component of net realized and unrealized gain or loss in the statement of
operations.
C.INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade
date basis. Gains and losses on securities sold are determined on an identified
cost basis.
D.INVESTMENT INCOME: Interest income which includes amortization of premiums
and discounts, is recorded on the accrual basis. Dividend income is recorded on
the ex-dividend date, except that certain dividends from foreign securities are
recorded as the information becomes available.
E.FEDERAL INCOME TAXES: It is the policy of the Fund to comply with all
requirements of the Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute substantially all of its taxable income
to its shareholders. The Fund has met the requirements of the Code applicable
to regulated investment companies for the six months ended December 31, 1995,
therefore, no federal income tax provision was required. At December 31, 1995,
the Fund had a capital loss carryforward of approximately $5,400,000, of which
$260,000, $1,180,000 and $3,960,000 will expire on June 30, 2002, June 30, 2003
and June 30, 2004, respectively.
F.ORGANIZATION COSTS: Organization costs are being amortized on a straight-line
basis over five years from the commencement of operations.
G.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Fund to distribute its
net investment income on a semi-annual basis and net capital gains, if any,
annually. Distributions to shareholders are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for foreign
currency transactions. Differences in dividends per share between the classes
are due to different class expenses.
- --------------------------------------------------------------------------------
18
<PAGE>
NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
H.INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by the
Fund will be borne on a pro rata basis by each of the classes except that the
Brinson Class shares will not incur any of the 12b-1 expenses.
2.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Brinson Partners, Inc. (the "Advisor"), a registered investment advisor,
provides the Fund with investment management services. As compensation for
these services, the Fund pays the Advisor a monthly fee based on the Fund's
average daily net assets. The Advisor has agreed to waive its fees and
reimburse the Fund to the extent total annualized expenses exceed a specified
percentage of the Fund's average daily net assets. The expense cap is 1.00% and
1.84% of the average daily net assets of the Brinson Class and SwissKey Class,
respectively. Investment advisory fees and other transactions with affiliates
for the six months ended December 31, 1995, were as follows:
<TABLE>
<CAPTION>
OPERATING
ADVISORY EXPENSE ADVISORY FEES DUE FROM
FEE CAP FEES DEFERRED ADVISOR
-------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Non-U.S. Equity Fund.............. 0.80% 1.00% $656,481 $327,946 $136,513
</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 $3,489.
3.INVESTMENT TRANSACTIONS
Investment transactions for the six months ended December 31, 1995, excluding
short-term investments, were as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
----------- -----------
<S> <C> <C>
Non-U.S. Equity Fund.................................... $44,410,789 $19,198,934
</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 December 31, 1995 was the Fund's
custodian.
5.FUTURES CONTRACTS
The Fund may purchase or sell exchange-traded futures contracts, which are
contracts that obligate the Fund to make or take delivery of a financial
instrument or the cash value of a securities index at a specified future date
at a specified price. The Fund enters into such contracts to hedge a portion of
its portfolio. Risks of entering into futures contracts include the possibility
that there may be an illiquid market and that a change in the value of the
contract may not correlate with changes in the value of the underlying
securities. Upon entering into a futures contract, the Fund is required to
deposit either cash or securities in an amount (initial margin) based on the
number of open contracts. Subsequent payments (variation margin) are made or
received by the Fund, generally on a daily basis. The variation margin payments
are equal to the daily changes in the contract value and are recorded as
unrealized gains or losses. The Fund recognizes a realized gain or loss when
the contract is closed or expires. The statement of operations reflects
realized and unrealized gains and losses on these contracts.
- --------------------------------------------------------------------------------
19
<PAGE>
NON-U.S. EQUITY FUND -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
6.DISTRIBUTION PLAN
The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plan governs payments made for
the expenses incurred in the promotion and distribution of the SwissKey Class
of shares. Annual fees under the Plan of 0.84% of the average daily net asset
the SwissKey class are accrued daily.
7. CAPITAL TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
DECEMBER 31, 1995 YEAR ENDED
(UNAUDITED) JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class.................... 3,842,433 $39,699,672 11,370,317 $110,628,882
SwissKey Class................... 38,337 408,956 -- --
--------- ----------- ---------- ------------
Total Sales................... 3,880,770 $40,108,628 11,370,317 $110,628,882
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class.................... 889,697 $ 9,235,055 -- --
SwissKey Class................... 1,657 17,150 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment... 891,354 $ 9,252,205 -- --
========= =========== ========== ============
Redemptions:
Brinson Class.................... 3,753,166 $39,262,830 3,435,839 $ 33,361,344
SwissKey Class................... 12,037 130,933 -- --
--------- ----------- ---------- ------------
Total Redemptions............. 3,765,203 $39,393,763 3,435,839 $ 33,361,344
========= =========== ========== ============
</TABLE>
- --------------------------------------------------------------------------------
20
<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 GLOBAL FUND
SWISSKEY GLOBAL EQUITY FUND
SWISSKEY GLOBAL BOND FUND
SEMI-ANNUAL REPORT
DECEMBER 31, 1995
<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 Review and Outlook............................................ 5
Global Fund................................................................... 6
Schedule of Investments.....................................................10
Financial Statements........................................................17
Financial Highlights........................................................20
Global Equity Fund............................................................22
Schedule of Investments.....................................................26
Financial Statements........................................................31
Financial Highlights........................................................34
Global Bond Fund..............................................................36
Schedule of Investments.....................................................39
Financial Statements........................................................42
Financial Highlights........................................................45
The SwissKey Funds--Notes to Financial Statements.............................47
------------------------------------------------------------
3
<PAGE>
SHAREHOLDER LETTER
- --------------------------------------------------------------------------------
LOGO
February 22, 1996
Dear Shareholder:
We are pleased to present you with the December 31, 1995 Semi-Annual Report for
the Global Fund, Global Equity Fund and Global Bond Fund. Since SwissKey class
inception on July 31, 1995, the Funds have provided the following total
returns: SwissKey Global Fund 8.61%; SwissKey Global Equity Fund 9.93%; and
SwissKey Global Bond Fund 7.22%.
A COMPELLING COMBINATION OF TWO GLOBAL INVESTMENT LEADERS
In the world of global investing, the combination of Swiss Bank Corporation and
Brinson Partners, Inc. adds world class value to our clients' investments.
Swiss Bank Corporation, founded in 1872, is a global financial institution
serving the needs of worldwide corporate, public and private clients. With more
than $191 billion in assets and a strong presence in 40 countries, Swiss Bank
Corporation is the largest fund manager in Switzerland and is among the top
money managers worldwide. Swiss Bank Corporation holds membership in the
world's leading stock exchanges.
Brinson Partners, Inc. currently manages over $53 billion in assets for clients
which include employee benefit plans and other institutional investors. The
firm is the largest U.S. active manager of global assets and has operated under
the same investment philosophy and senior management for almost two decades.
CURRENT STRATEGY
Global Fund
Fund strategy presently continues to underweight equities, as equity prices
continue to exceed values. These underweights are offset by overweights in the
relatively attractive bond markets, primarily the U.S., Canada and DM-bloc
countries.
Global Equity Fund
The Fund continues to hold a 10% cash hedge, reflecting the overvaluation in
many equity markets. The greatest underweight is the U.S. market, where price
exceeds fundamental value by about 20%. Although the Japanese market remains
overpriced, its underweight is smaller, as the downward adjustment of the yen
should benefit the equity market.
Global Bond Fund
The attractive European bond markets, primarily Denmark, France, Germany and
the Netherlands, are the primary overweight in the Fund. In the U.S. market,
the yield curve is very close to our equilibrium level, leading to a modest
underweight. The below-equilibrium yields cause the Fund's largest underweight
to be the Japanese bond market.
Funds' Currency Strategy
Currency strategy continues to focus on reducing the risk of exposure to the
yen and DM-bloc currencies. Even after their declines from the peaks reached
last April, the levels of these currencies are still above fair value.
We look forward to the challenges ahead and, as always, welcome your thoughts
and comments.
Sincerely,
/s/ Raoul Weil /s/ Raymond Simon
Raoul Weil Raymond Simon
Executive Director Executive Director
Private Investors & Private Investors &
Asset Management Asset Management
------------------------------------------------------------
4
<PAGE>
GLOBAL ECONOMIC REVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
LOGO
Interest rates declined across the globe in 1995 but the underlying real rates
remained high. The motives varied across countries but the common theme of the
monetary authorities was vigilance against excess liquidity. The problem areas
in the real economies were left to fend for themselves, without access to the
monetary printing presses that had been so readily available in the past. As a
result, inflation remains modest but structural unemployment remains high and
economic growth has slowed in most countries. Whether this new separation
between nominal and real economic policies is maintained is the great
uncertainty in the global outlook.
In Europe, the move toward economic and monetary union is the dominant force as
the monetary rules continue to be set by the Bundesbank with its unrelenting
pursuit of deutschemark integrity. Other countries that remain committed to the
requirements of the Exchange Rate Mechanism have kept their currencies in line
with the DM. On the plus side, those countries that have kept their currencies
most closely tied to the DM now have inflation rates of 2% or less. But this
has also worked to keep most European currencies, including the DM,
significantly overpriced in world markets, aggravating the already severe
competitive problems that result from the generally high labor costs and
extensive government involvement in economic affairs that characterize the
region. The result has been a slowing of economic growth and persistently high
rates of unemployment.
The planned move to a single currency (Euro), managed by a single European
central bank, has probably been a major factor in this situation. On the one
hand, the credibility of a single European currency requires the various
governments to show a commitment to consistent, sound monetary policies. On the
other hand, however, the Germans remain suspicious of losing the proven
discipline of the Bundesbank. Thus, the German central bank presses hard to
wring as much inflation out of the system ahead of the adoption of the single
currency and the other governments see themselves as forced to go along. While
it will be a new game if and when the Bundesbank relinquishes its duties, the
near-term outlook for Europe is that monetary policy will continue to focus on
price stability while economic growth prospects will depend primarily on
structural reform.
In the U.S., the Federal budget deficit continues to receive the bulk of
attention. The consensus, both here and abroad, is that the U.S. simply borrows
too much. Among Americans, the typical complaint focuses on the burden that
current deficits impose on future generations. In other countries, the concern
is that the U.S., by its sheer size, absorbs a disproportionate share of global
capital. Aggregate saving within the U.S. continues to fall short of private
domestic investment demands plus government borrowing requirements, producing
current account deficits that must be financed in international markets. While
there are political points to be scored, especially in this election year, the
clear trend is toward a reduction of the Federal deficit. The real issue is how
the reduction is achieved--how much the government will spend, how they will
spend and what tax system will be used to finance that spending.
Even with a balanced budget, the current spending priorities and tax structure
of the Federal government contain significant disincentives for domestic
saving. In general, however, foreigners have been willing to do our saving for
us, providing the capital to fuel strong investment growth in the U.S. Japan
disrupted this process in the late 1980s, however. The paper wealth that the
Japanese created for themselves with the speculative bubble in their domestic
asset prices ultimately led to both a collapse of asset prices within Japan and
a surge in the value of the yen against most other currencies. This wiped out a
significant portion of the yen value of the non-Japanese assets that they had
accumulated. Inside Japan, the appreciation of the yen produced a wealth
transfer from investors to consumers, effectively offsetting the pro-capital,
anti-consumption policy of the government.
The large volume of trade between the U.S. and Japan, plus the large capital
flows, gave the appearance that the strength of the yen was actually a problem
of a weak dollar which, in turn, reflected heavy U.S. borrowing abroad. Ergo,
the focus on the Federal budget deficit as the source of the problem. While
little good has resulted from the explosive growth of the Federal budget, its
contribution to the problems of the dollar into early 1995 was coincidental.
Instead, the lead role was played by the Japanese, as the government
steadfastly refused to recognize the aggregate wealth loss that was necessary
to clean up the excesses of the speculative bubble of the late 1980s. In using
official powers, including the Bank of Japan, to soften the adjustment, market
forces took the lead in correcting the situation. That meant sharp, real
appreciation of the yen and a period of prolonged economic weakness that
continues into 1996.
------------------------------------------------------------
5
<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. This philosophy offers the greatest potential
for achieving superior long-term returns, while maintaining control of risk.
The SwissKey Global Fund has provided an unannualized return of 8.61% since its
inception on July 31, 1995. This compares with the corresponding 6.65% return
of its benchmark, the SwissKey Global Fund Index. Positive contributors to
relative performance included security selection within the U.S. equity
component, hedging currency risk, and underweighting non-U.S. equities.
Negative contributors included an underweight in U.S. equities and overweights
in bond markets.
Below is a discussion of the 1995 global markets activity, as well as our
current investment strategies.
Currency market volatility during the year carried the yen and core European
currencies to extreme highs against the dollar in the first four months of
1995. By the end of the year, however, the dollar showed net appreciation
against the yen and reversed its slide against the deutschemark. Because of the
very low short-term interest rates in Japan, hedging yen risk provided a
substantial interest rate differential.
The strong yen prompted the Bank of Japan to cut short rates to historic lows.
In the U.S., the Fed began to partially reverse the hikes made in 1994.
European central banks eased in the face of slowing growth and overvalued
currencies. The result was falling yield curves and very good performance in
bond markets.
As the U.S. equity and bond markets rallied, the non-U.S. markets became
relatively more attractive and additional weight was allocated. The Japanese
bond and equity valuations remained relatively unattractive. But because of the
policy initiatives by the Japanese government and central bank to restart the
economy and provide liquidity, the Japanese equity underweight was reduced.
Asset allocation strategy continues to underweight equity markets, as prices
remain in excess of fundamental value, and to overweight bonds. In most bond
markets outside Japan, yields exceed equilibrium levels, offering attractive
relative value. The Fund continues to hold no cash. Currency strategy is
focused on controlling exposure to the overvalued core European currencies and
the yen, with a primary overweight in the U.S. dollar.
------------------------------------------------------------
6
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
Since
Quarter Inception*
- ----------------------------------------
<S> <C> <C>
SWISSKEY GLOBAL FUND 5.51% 8.61%
Global Fund Index** 4.24 6.65
- ----------------------------------------
</TABLE>
*Inception date of the SwissKey Global Fund is July 31, 1995.
**An un-managed index compiled by the Advisor, constructed as follows since
December 31, 1981: 50% Wilshire 5000 Index; 17% MSCI Non-U.S. Equity (Free)
Index; 18% Salomon BIG Bond Index; 2% International Dollar Bond Index; 8%
Salomon Non-U.S. Gov't. Bond Index (unhedged); and 5% 30-day Treasury Bills.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth in the value of an investment in the SwissKey
Global Fund and the Global Fund Index if you had invested $10,000 on July 31,
1995, and had reinvested all your income dividends and capital gain
distributions through December
31, 1995. No adjustment has been made for any income taxes payable by
shareholders on income dividends and capital gain distributions. Past
performance is no guarantee of future results. Share price and return will
vary with market conditions; investors may realize a gain or loss upon
redemption.
SWISSKEY GLOBAL FUND
VS. GLOBAL FUND INDEX
Wealth Value with Dividends Reinvested
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Swisskey Global Fund Swisskey Global Fund Index
-------------------- --------------------------
<S> <C> <C>
7/31/95 $10,000 $10,000
8/31/95 $10,129 $ 9,965
9/30/95 $10,293 $10,231
10/31/95 $10,362 $10,167
11/30/95 $10,655 $10,471
12/31/95 $10,860 $10,665
</TABLE>
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 December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. EQUITY 50.0% 28.0%
Large Cap. Stocks 35.0 19.0
Small/Int. Cap. 15.0 9.0
NON-U.S. EQUITIES 17.0 17.0
Japan Equity 6.7 5.9
Other Equities 10.3 11.1
DOLLAR BONDS 20.0 29.5
U.S. Bonds 18.0 27.5
International $ Bonds 2.0 2.0
NON-U.S. BONDS 8.0 25.5
Japan Bonds 2.4 0.4
Other Bonds 5.6 25.1
CASH EQUIVALENTS 5.0 0.0
- -----------------------------------------------------------------------------------------------
100.0% 100.0%
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------------------------
<S> <C>
1. Citicorp 1.51%
2. Lockheed Martin Corp. 1.47
3. Burlington Northern, Santa Fe 1.18
4. Honeywell, Inc. 1.13
5. Avon Products, Inc. 0.90
6. Schering Plough Corp. 0.85
7. Kimberly-Clark Corp. 0.82
8. AON Corp. 0.82
9. Enron Corp. 0.79
10. Sprint Corp. 0.77
- ------------------------------------------------------------------------------
</TABLE>
CURRENCY ALLOCATION
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- --------------------------------------
<S> <C> <C>
U.S. 75.0% 82.9%
Japan 9.1 0.0
U.K. 3.4 3.4
Continental Europe 9.7 5.1
Canada 1.0 6.0
Other 1.8 2.6
- --------------------------------------
100.0% 100.0%
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------------------------
<S> <C>
1. Royal Dutch Petroleum 0.35%
2. Lloyds TSB Group 0.26
3. General Electric, PLC 0.24
4. British Telecommunications 0.20
5. Broken Hill Proprietary 0.19
6. Grand Metropolitan 0.19
7. British Petroleum 0.18
8. International Nederlander Group NV 0.18
9. Peugeot S.A. 0.16
10. British Gas 0.15
- ------------------------------------------------------------------------------
</TABLE>
------------------------------------------------------------
8
<PAGE>
GLOBAL FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals............................................................... 0.22%
Housing/Paper........................................................... 0.93
Metals.................................................................. 0.40
-----
1.55
Capital Investment
Capital Goods........................................................... 2.53
Technology.............................................................. 1.59
-----
4.12
Consumer
Autos/Durables.......................................................... 0.29
Discretionary........................................................... 1.52
Health: Drugs........................................................... 2.70
Health: Non-Drugs....................................................... 0.87
Non-Durables............................................................ 2.82
Retail/Apparel.......................................................... 1.75
-----
9.95
Energy................................................................... 1.72
Financial
Banks................................................................... 2.25
Non-Banks............................................................... 2.76
-----
5.01
Services................................................................. 2.23
Transportation........................................................... 1.22
Utilities................................................................ 1.82
Miscellaneous............................................................ 0.67
-----
Total U.S. Equities................................................... 28.29
-----
NON-U.S. EQUITIES
Aerospace & Military..................................................... 0.08
Airlines................................................................. 0.01
Appliances & Household Durables.......................................... 0.27
Automobiles.............................................................. 0.41
Banking.................................................................. 2.20
Beverages & Tobacco...................................................... 0.43
Broadcasting & Publishing................................................ 0.23
Building Materials....................................................... 0.05
Business & Public Service................................................ 0.42
Chemicals................................................................ 0.49
Construction............................................................. 0.25
Data Processing.......................................................... 0.03
Electric Components...................................................... 0.10
Electronics.............................................................. 0.57
Energy................................................................... 1.42
Financial Services....................................................... 0.07
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
Food & House Products................................................... 0.50%
Forest Products......................................................... 0.27
Goldmines............................................................... 0.03
Health & Personal Care.................................................. 0.52
Industrial Components................................................... 0.26
Insurance............................................................... 0.93
Leisure & Tourism....................................................... 0.07
Machinery & Engineering................................................. 0.13
Merchandising........................................................... 0.81
Miscellaneous Materials................................................. 0.16
Multi-Industry.......................................................... 0.96
Non-Ferrous Metals...................................................... 0.15
Real Estate............................................................. 0.06
Recreation.............................................................. 0.13
Shipping................................................................ 0.04
Steel................................................................... 0.14
Telecommunications...................................................... 0.60
Transportation.......................................................... 0.10
Utilities............................................................... 0.72
------
Total Non-U.S. Equities.............................................. 13.61*
------
U.S. BONDS
Corporate Bonds
Asset-backed........................................................... 3.32
CMO.................................................................... 0.25
Consumer............................................................... 0.73
Financial.............................................................. 1.00
Floating rate.......................................................... 0.23
Industrial............................................................. 0.97
Supernational.......................................................... 0.04
Telecommunications..................................................... 1.52
Yankee................................................................. 0.23
------
8.29
U.S. Government Agencies................................................ 8.04
U.S. Government Obligations............................................. 8.65
International Dollar Bonds.............................................. 2.18
Municipal Bonds......................................................... 0.04
------
Total U.S. Bonds..................................................... 27.20
------
NON-U.S. BONDS
Foreign Government Bonds................................................ 24.07
------
SHORT-TERM INVESTMENTS.................................................. 6.84*
------
TOTAL INVESTMENTS.................................................... 100.01
LIABILITIES LESS CASH AND OTHER ASSETS.................................. (0.01)
------
NET ASSETS........................................................... 100.00%
======
</TABLE>
* The Fund held a long position in Topix futures on
December 31, 1995 which increased Japanese equity
exposure from 2.87% to 5.91% and decreased the Fund's
exposure to Short-Term Investments from 6.84% to 3.80%.
------------------------------------------------------------
9
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
Equities -- 41.90%
U.S. EQUITIES -- 28.29%
Aetna Life & Casualty Co............................. 34,900 $ 2,416,825
Air & Water Technologies Corp.
Class A (b)......................................... 22,400 137,200
Allergan, Inc........................................ 58,300 1,894,750
Alza Corp. (b)....................................... 46,200 1,143,450
American Mobile Satellite Corp., Inc. (b)............ 8,500 260,313
Aon Corp............................................. 70,900 3,536,138
AST Research Corp. (b)............................... 13,740 116,790
Automatic Data Processing, Inc....................... 33,300 2,472,525
Avon Products, Inc................................... 51,500 3,881,812
Bard (C.R.), Inc..................................... 35,200 1,135,200
Beckman Instruments, Inc............................. 22,700 803,012
Biogen, Inc. (b)..................................... 5,200 319,800
Birmingham Steel Corp................................ 23,000 342,125
Boeing Co. .......................................... 20,600 1,64,525
Boston Technology, Inc. (b).......................... 14,000 178,500
Brinker International, Inc. (b)...................... 16,500 249,563
Burlington Northern Santa Fe......................... 65,500 5,109,000
Campbell Soup Co..................................... 18,000 1,080,000
Centerior Energy Co.................................. 9,900 87,863
CIGNA Corp........................................... 28,200 2,911,650
Citicorp............................................. 97,300 6,543,425
CMS Energy Corp...................................... 62,300 1,861,213
Coca-Cola Enterprises, Inc........................... 73,400 1,963,450
Comerica, Inc........................................ 15,700 629,963
Computer Sciences Corp. (b).......................... 3,000 210,750
Converse Technology, Inc. (b)........................ 9,100 182,000
Cooper Cameron Corp. (b)............................. 19,283 684,546
Cooper Industries, Inc............................... 22,352 821,436
Dial Corp............................................ 54,700 1,620,487
Enron Corp........................................... 89,400 3,408,375
Entergy Corp......................................... 62,700 1,833,975
Federated Department Stores (b)...................... 72,800 2,002,000
First Data Corp...................................... 34,490 2,306,505
Food Lion, Inc. Class A.............................. 92,300 527,836
Ford Motor Co........................................ 57,900 1,679,100
Forest Laboratories, Inc. (b)........................ 38,600 1,746,650
Gannett Co., Inc..................................... 20,700 1,270,463
Genzyme Corp. (b).................................... 7,400 461,575
Goodyear Tire and Rubber Co.......................... 41,300 1,873,988
Grand Metro.......................................... 60,000 1,755,000
Health Care and Retirement Corp. (b)................. 16,600 581,000
Hillenbrand Industries, Inc.......................... 1,200 40,650
Honeywell, Inc....................................... 100,800 4,901,400
Illinova Corp........................................ 12,100 363,000
Inland Steel Industries, Inc......................... 33,900 851,737
Interpublic Group of Companies, Inc.................. 22,900 993,287
Kimberly-Clark Corp.................................. 42,900 3,549,975
Kroger Co. (b)....................................... 33,100 1,241,250
Lockheed Martin Corp................................. 80,600 6,367,400
LTV Corp............................................. 33,100 455,125
Lyondell Petrochemical Co............................ 62,400 1,427,400
Magna Group, Inc..................................... 11,400 270,750
Manor Care, Inc...................................... 37,250 1,303,750
Mattel, Inc.......................................... 90,800 $ 2,792,100
Melville Corp........................................ 52,700 1,620,525
National Semiconductor Corp. (b)..................... 24,500 545,125
Nextel Communications, Inc. Class A (b).............. 50,100 738,975
Octel Communications Corp. (b)....................... 6,300 203,175
Old Republic International Corp...................... 22,100 784,550
Owens Illinois, Inc. (b)............................. 64,600 936,700
Pentair, Inc......................................... 13,300 661,675
Pfizer, Inc.......................................... 34,300 2,160,900
Philip Morris Companies, Inc......................... 16,800 1,520,400
Raychem Corp......................................... 19,800 1,126,125
RJR Nabisco Convertible Preferred "C" 184,500 1,176,187
RJR Nabisco Holdings Corp. (b)....................... 55,140 1,702,448
Schering Plough Corp................................. 67,100 3,673,725
Schlumberger Ltd..................................... 24,200 1,675,850
Schweitzer-Masuduit Intl., Inc. (b).................. 4,290 99,206
Seagate Technology (b)............................... 23,800 1,130,500
Sprint Corp.......................................... 83,800 3,341,525
State Street Boston Corp............................. 16,800 756,000
Timken Co............................................ 15,900 608,175
Tosco Corp........................................... 10,200 388,875
Transamerica Corp.................................... 29,500 2,149,813
Ultramar Corp........................................ 24,900 641,175
US Bancorp........................................... 38,800 1,304,650
USF&G Corp........................................... 55,700 939,937
Walgreen Co.......................................... 50,200 1,499,725
Westvaco Corp........................................ 15,950 442,612
WMX Technologies, Inc................................ 72,100 2,153,987
------------
Total U.S. Equities.................................. 122,195,142
------------
NON-U.S. EQUITIES -- 13.61%
AUSTRALIA -- 0.72%
Amcor Ltd............................................ 29,400 207,766
ANZ Banking Group.................................... 33,753 158,433
Broken Hill Proprietary.............................. 57,180 808,168
CRA Ltd.............................................. 20,600 302,495
David Jones Ltd. (b)................................. 74,000 112,847
Lend Lease Corp. Ltd................................. 17,623 255,634
National Australia Bank.............................. 36,947 332,559
News Corp............................................ 36,100 192,813
Pacific Dunlop Ltd................................... 47,600 111,538
Qantas Airways Ltd................................... 18,400 30,659
Santos Ltd........................................... 49,600 145,003
Western Mining Corp.................................. 19,100 122,758
Westpac Banking Corp. Ltd............................ 70,138 310,959
------------
3,091,632
------------
BELGIUM -- 0.47%
Dellanizo-Le Lion, S.A............................... 2,100 87,051
Electrabel........................................... 1,860 442,392
Fortis AG............................................ 1,707 207,641
Groupe Bruxelles Lambert............................. 900 124,920
Kredietbank.......................................... 1,070 292,669
Petrofina............................................ 855 261,750
</TABLE>
- --------------------------------------------------------------------------------
10
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- ------------
<S> <C> <C>
BELGIUM (CONTINUED)
Petrofina S.A. Warrants "97" (b)..................... 13 $ 173
Societe Gen De Belgique.............................. 1,553 128,489
Solvay............................................... 360 194,489
Tractebel............................................ 575 237,378
Union Mineire (b).................................... 920 61,582
------------
2,038,534
------------
CANADA -- 0.67%
Alcan Aluminum Ltd................................... 7,600 236,142
Bank of Montreal..................................... 16,700 379,601
Barrick Gold Corp.................................... 5,700 150,462
Canadian Pacific Ltd................................. 19,900 362,966
Imperial Oil Canada Ltd.............................. 7,800 282,391
Moore Corp. Ltd...................................... 3,900 73,279
Noranda Inc.......................................... 7,700 158,793
Norcen Energy........................................ 5,800 87,183
Northern Telecom Ltd................................. 3,400 145,531
Nova Corporation of Alberta.......................... 10,400 83,883
Royal Bank of Canada................................. 13,600 310,383
Seagram Co Ltd....................................... 6,500 224,006
Thomson Corp......................................... 17,800 247,983
TransCanada Pipelines Ltd............................ 11,200 155,008
------------
2,897,611
------------
FRANCE -- 1.58%
Accor................................................ 2,140 277,422
Alcatel Alsthom...................................... 2,938 253,634
Banque Nationale de Paris............................ 9,230 416,903
Carnaud Metal Box.................................... 4,780 218,934
Cep Communications................................... 1,984 164,705
Cie Bancaire S.A..................................... 1,963 219,957
Cie de Saint Gobain.................................. 3,374 373,923
Cie Fin de Suez...................................... 4,367 180,374
Colas................................................ 854 143,189
Credit Local de France............................... 5,059 405,498
GAN (b).............................................. 1,820 66,614
Generale des Eaux.................................... 4,326 432,458
LVMH (Moet-Hennessy Louis Vaitton)................... 3,029 631,738
Michelin Class B..................................... 5,660 226,025
Pechiney Cert D'Invest............................... 3,640 137,693
Peugeot S.A.......................................... 5,170 682,906
Sanofi............................................... 3,788 243,130
Societe Generale..................................... 4,386 542,578
Societe Nationale Elf Aquitaine...................... 5,434 400,889
Total Co. "B"........................................ 8,712 588,745
UAP.................................................. 9,066 237,096
------------
6,844,411
------------
GERMANY -- 1.02%
Allianz AG Holdings.................................. 268 527,275
BASF AG.............................................. 911 205,584
Bayer................................................ 978 260,199
Bayer Motoren Werken................................. 440 227,486
Bayer Vereinsbank.................................... 5,794 174,067
Commerzbank.......................................... 891 $ 211,965
Daimler-Benz......................................... 408 206,380
Deutsche Bank........................................ 12,811 609,536
Hoechst.............................................. 974 265,395
Kaufhof Holding AG................................... 550 167,924
Mannesmann........................................... 1,077 343,499
Muenchener Rueckver.................................. 171 369,168
Muenchener Rueckver Warrants "98" (b)................ 2 265
Preussag............................................. 742 209,438
RWE.................................................. 600 218,612
Schering............................................. 1,535 102,205
Veba................................................. 6,839 293,379
------------
4,392,377
------------
ITALY -- 0.48%
Assic Generali....................................... 14,300 346,573
Eni ADR (c).......................................... 10,000 342,500
Fiat Spa Priv........................................ 110,000 201,073
Instituto Mobilaire Italiano......................... 41,000 258,432
Italgas.............................................. 45,000 137,001
Mediobanca........................................... 6,000 41,582
Montedison (b)....................................... 150,000 100,599
La Rinascente Savings (Risp)......................... 9,000 25,528
Sai Di Risp.......................................... 42,000 210,629
Telecom Italia....................................... 170,000 208,095
Telecom Italia Mobile (b)............................ 170,000 178,948
------------
2,050,960
------------
JAPAN -- 2.87%
Amada................................................ 20,000 197,770
Asahi Glass Co....................................... 24,000 267,572
Bank of Tokyo........................................ 11,000 193,020
Canon, Inc........................................... 17,000 308,192
Canon Sales.......................................... 5,250 139,966
Citizen Watch Co..................................... 19,000 145,516
Dai Nippon Printing.................................. 19,000 322,346
Daiichi Pharmaceutical Co., Ltd...................... 8,000 114,009
Daiwa Industries..................................... 21,000 205,623
Daiwa House Industries............................... 10,000 164,809
Fanuc Co............................................. 4,300 186,340
Fujitsu.............................................. 12,000 133,786
Hitachi Ltd.......................................... 39,000 393,214
Honda Motor Co....................................... 11,000 227,145
Inax................................................. 18,000 171,013
Isetan............................................... 7,000 115,366
Ito Yokado Co........................................ 10,000 616,578
Keio Teito Electric Railway.......................... 23,000 134,009
Kinki Nippon Railway................................. 22,000 166,360
Kurin Brewery Co. Ltd................................ 11,000 130,102
Kuraray Co. Ltd...................................... 12,000 131,459
Maeda Road Construction.............................. 4,000 74,067
Marui Co............................................. 6,000 125,061
Matsushita Electric Industrial....................... 32,000 521,182
Mitsubishi Bank...................................... 8,000 188,463
Mitsubishi Paper..................................... 25,000 150,509
</TABLE>
- --------------------------------------------------------------------------------
11
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- ------------
<S> <C> <C>
JAPAN (CONTINUED)
NGK Insulators....................................... 34,000 $ 339,506
Nichii Co............................................ 14,000 185,943
Nintendo............................................. 1,900 144,595
Nippon Denso Co...................................... 13,000 243,238
Nippon Meat Packers.................................. 12,000 174,503
Nippon Steel Corp.................................... 16,000 54,910
Orix Corp............................................ 2,000 82,404
Osaka Gas Corp....................................... 81,000 280,339
Pioneer Electronics.................................. 9,000 164,905
Sankyo Co. Ltd....................................... 14,000 314,881
Secom Co............................................. 4,000 278,429
Seino Transportation................................. 7,000 117,402
Sekisui House........................................ 38,000 486,282
Shinmaywa Industries Ltd............................. 13,000 107,378
Sony Corp............................................ 5,200 312,050
Sumitomo Bank........................................ 22,000 467,087
Sumitomo Electric Industries......................... 16,000 192,341
Takeda Chemical Industries........................... 23,000 379,060
TDK Corp............................................. 5,000 255,453
Tokio Marine & Fire.................................. 18,000 235,579
Tokyo Electric Power................................. 7,979 213,495
Tokyo Steel Mfg...................................... 14,000 257,877
Tonen Corp........................................... 11,000 161,028
Toray Industries, Inc................................ 84,000 553,757
Toshiba Corp......................................... 62,000 486,263
Toyo Suisan Kaisha................................... 13,000 161,318
Toyota Motor Corp.................................... 6,000 127,387
Yawazaki Baking Co. Ltd.............................. 6,000 111,682
------------
12,412,569
------------
MALAYSIA -- 0.17%
Genting.............................................. 5,000 41,749
Hume Industries...................................... 11,000 52,855
Kuala Lumpur Kepong.................................. 23,000 72,922
Land & General Holdings.............................. 25,000 54,155
Malayan Bank......................................... 12,000 101,142
Nestle Malaysia...................................... 7,000 51,280
Sime Darby........................................... 39,000 103,683
Telekom Malaysia..................................... 18,000 140,370
Tenaga Nasional...................................... 28,000 110,280
------------
728,436
------------
NETHERLANDS -- 1.13%
ABN-AMRO Holdings.................................... 13,446 613,164
D.S.M................................................ 1,610 132,576
Internationale Nederlanden Groep NV.................. 11,798 788,987
KPN NV............................................... 9,895 359,874
Philips Electronics.................................. 4,680 169,333
Royal Dutch Petroleum................................ 10,800 1,510,518
Royal Dutch Petroleum NY Shares...................... 3,500 493,938
Unilever NV.......................................... 4,650 654,133
VNU-Ver Ned Uitger................................... 1,310 180,033
------------
4,902,556
------------
NEW ZEALAND -- 0.38%
Brierly Investment................................... 417,700 $ 330,424
Carter Holt Harvey................................... 175,400 378,413
Fletcher Challenge Ltd............................... 162,100 374,093
Fletcher Challenge Forest Division................... 16,333 23,278
Telecom Corp. of New Zealand Ltd..................... 91,000 392,652
Telecom Corp. of New Zealand Ltd. ADS (c)............ 2,000 138,750
------------
1,637,610
------------
SPAIN -- 0.43%
Banco Bilbao-Vizcaya................................. 3,800 136,873
Banco Intercontinental............................... 1,430 139,082
Banco Popular........................................ 740 136,443
Banco Santander...................................... 3,900 195,765
Empresa NAC Electric................................. 3,100 175,538
Iberdrola S.A........................................ 39,100 357,729
Repsol S.A........................................... 4,100 134,331
Repsol S.A. ADR (c).................................. 2,100 69,038
Sevillana de Electric................................ 13,200 102,489
Telefonica de Espana................................. 26,400 365,567
Viscofan............................................. 4,900 58,159
------------
1,871,014
------------
SWITZERLAND -- 0.44%
Ciba-Geigy (Reg.).................................... 258 227,594
CS Holdings.......................................... 1,948 200,201
Nestle (Reg) S.A..................................... 483 535,641
Roche Holdings Gen................................... 50 396,532
Schweiz Bankgesellschaft............................. 201 218,364
Societe Generale Surveillance (Br)................... 76 151,260
Zurich Insurance..................................... 569 170,611
------------
1,900,203
------------
UNITED KINGDOM -- 3.25%
Asda Group........................................... 90,200 154,745
Bass................................................. 39,800 444,282
B.A.T. Industries PLC................................ 46,184 406,915
BET PLC.............................................. 70,900 139,797
Booker PLC........................................... 14,100 78,370
British Gas.......................................... 167,900 662,111
British Petroleum.................................... 94,815 793,437
British Telecommunications........................... 159,500 876,619
Charter Group........................................ 20,969 280,954
Coats Viyella........................................ 66,000 179,320
FKI.................................................. 68,700 175,990
General Electric PLC................................. 191,700 1,056,567
Glaxo Holdings....................................... 26,800 380,717
Grand Metropolitan................................... 111,200 801,068
Guinness............................................. 61,000 448,905
Hanson............................................... 101,400 303,051
Hillsdown Holdings................................... 66,000 173,172
House of Fraser...................................... 153,800 427,421
Legal and General.................................... 22,300 231,968
Lloyds Abbey Life.................................... 31,300 218,677
Lloyds TSB Group..................................... 215,779 1,108,878
Lucas Industries..................................... 49,851 140,087
Marks & Spencer...................................... 46,400 324,173
Mirror Group......................................... 85,500 233,628
</TABLE>
- --------------------------------------------------------------------------------
12
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- ------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
National Power...................................... 37,900 $ 264,494
National Westminster Bank........................... 45,800 461,484
Ocean Group......................................... 32,200 193,970
P & O............................................... 36,600 270,480
Reckitt & Colman.................................... 28,325 313,550
Redland............................................. 23,200 140,115
RJB Mining PLC...................................... 10,000 85,080
Rolls Royce......................................... 119,900 351,826
Royal Insurance..................................... 34,366 203,816
Sears PLC........................................... 160,700 259,475
Sedgwick Group...................................... 24,100 45,274
SmithKline Beecham Units............................ 27,000 294,271
Tesco............................................... 99,200 457,420
Thames Water........................................ 27,500 239,948
Unilever Ord 5P..................................... 9,600 197,187
W.H. Smith Group.................................... 29,300 192,877
------------
14,012,119
------------
Total Non-U.S. Equities............................. 58,780,032
------------
Total Equities (Cost $151,483,329).................. 180,975,174
------------
</TABLE>
<TABLE>
<CAPTION>
FACE AMOUNT VALUE
------------- ------------
<S> <C> <C>
Bonds -- 51.27%
U.S. BONDS -- 27.20%
U.S. CORPORATE BONDS -- 8.29%
Bell South Corp.
9.125%, due 07/01/03............................... $ 219,468 $ 241,278
0.000%, due 12/15/15............................... 4,100,000 1,085,598
Choice Credit Card
7.200%, due 03/15/98............................... 1,000,000 1,030,210
Chrysler Financial
8.500%, due 08/21/97............................... 165,000 167,034
Citicorp
9.750%, due 08/01/99............................... 150,000 168,974
Dayton Hudson Credit Card Trust 95-1 6.100%, due
09/25/98........................................... 2,000,000 2,032,100
Ford Credit Grantor Trust 95-b
5.900%, due 10/15/00............................... 194,539 193,129
GMAC
6.700%, due 04/21/97............................... 1,350,000 1,368,590
Green Tree Financial 94-2
8.300%, due 05/15/19............................... 435,000 481,084
Green Tree Acceptance Corp. 94-A
6.900%, due 02/15/04............................... 562,785 564,462
International Bank for Reconstruction and Develop-
ment
9.875%, due 10/01/97............................... 175,000 187,933
ITT Destinations
7.375%, due 11/15/15............................... 1,000,000 1,010,630
Lehman Brothers Holdings, Inc.
6.650%, due 07/14/98............................... 1,960,000 1,987,714
MBNA Master Trust
6.275%, due 09/15/99............................... 3,150,000 3,149,843
News America Corp.
7.750%, due 01/20/24............................... $ 1,755,000 $ 1,820,502
Petroliam Nasional
7.125%, due 08/15/05............................... 950,000 1,002,250
Premier Auto 95-1
8.050%, due 04/04/00............................... 500,000 528,490
Premier Auto Trust
4.220%, due 03/02/99............................... 65,039 64,034
Republic Bank of New York Corp. FRN
6.025%, due 12/29/02............................... 1,000,000 996,055
RJR Nabisco Inc.
8.625%, due 12/01/02............................... 2,100,000 2,178,219
Salomon, Inc.
7.020%, due 09/25/98............................... 585,000 595,249
Signet Credit Card 1993-4A
6.375%, due 05/15/02............................... 2,000,000 2,005,420
Standard Credit Card Trust
94-I 4.650%, due 02/07/97.......................... 1,065,000 1,056,139
8.500%, due 08/07/97............................... 805,000 815,521
91-3A 8.875%, due 07/07/98......................... 2,750,000 2,950,255
8.250%, due 01/07/05............................... 500,000 569,855
Tele-Communications, Inc.
7.250%, due 08/01/05............................... 800,000 813,849
Thrift Financial Corp.
11.250%, due 01/01/16.............................. 45,038 49,534
Time Warner, Inc.
9.125%, due 01/15/13............................... 2,250,000 2,531,583
USX Corp.
9.800%, due 07/01/01............................... 1,570,000 1,811,502
8.500% due 03/01/23................................ 950,000 1,042,733
WR Grace & Co.
8.000%, due 08/15/04............................... 1,195,000 1,319,025
------------
35,818,794
------------
INTERNATIONAL DOLLAR BONDS -- 2.18%
BBV International
7.000%, due 12/01/05............................... 2,200,000 2,191,603
City of Oslo
7.875%, due 02/03/97............................... 1,200,000 1,229,250
European Investment Bank
9.250%, due 11/15/97............................... 1,100,000 1,175,625
GMAC Euro
7.250%, due 10/17/97............................... 325,000 333,531
Hanson PLC Notes
6.750%, due 09/15/05............................... 790,000 817,725
Hong Kong Shanghai Perpetual FRN
6.500%, due 07/30/49............................... 1,700,000 1,318,945
Japanese Development Bank
8.375%, due 02/15/01............................... 1,000,000 1,109,375
Republic of Italy
6.875%, due 09/27/23............................... 150,000 146,625
Republic of South Africa
9.625%, due 12/15/99............................... 1,000,000 1,080,000
------------
9,402,679
------------
</TABLE>
- --------------------------------------------------------------------------------
13
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------------- ------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES -- 8.08%
Federal Home Loan Mortgage Corp.
9.200%, due 08/25/97............................... $ 200,000 $ 211,839
9.000%, due 03/01/17............................... 521,086 553,055
7.000%, due 10/15/21............................... 735,000 734,311
7.500%, due 07/15/22............................... 2,575,000 2,703,003
Federal Home Loan Mortgage Corp. Gold
9.500%, due 10/01/20............................... 695,580 742,789
9.000%, due 05/01/24............................... 1,434,965 1,571,734
Federal National Mortgage Association
7.600%, due 01/10/97............................... 200,000 204,575
5.000%, due 06/01/01............................... 1,843,425 1,768,987
7.000%, due 06/17/17............................... 895,000 924,078
10.000%, due 06/25/19.............................. 492,597 546,427
9.000%, due 08/01/21............................... 395,756 420,772
8.200%, due 08/25/21............................... 74,865 77,263
8.000%, due 05/01/22............................... 185,388 191,934
8.500%, due 07/01/22............................... 945,009 994,810
6.500%, due 09/01/24............................... 5,400,000 5,335,875
7.000%, due 09/01/24............................... 115,000 115,899
7.500%, due 05/01/25............................... 2,107,869 2,159,248
8.500%, due 05/01/25............................... 502,612 524,287
Federal National Mortgage Association Dwarf 7.000%,
12/01/09........................................... 4,600,000 4,683,375
Federal National Mortgage Association Principal
0.000%, due 11/01/01............................... 225,000 214,051
Government National Mortgage Association
9.000%, due 12/15/09............................... 2,032,780 2,152,693
11.000%, due 09/15/15.............................. 313,073 353,381
9.000%, due 12/15/17............................... 2,040,194 2,172,032
8.500%, due 05/15/21............................... 76,145 79,905
8.000%, due 11/15/22............................... 582,554 603,672
8.000%, due 12/15/22............................... 1,981,496 2,055,493
8.000%, due 09/15/24............................... 1,050,000 1,093,312
5.500%, due 10/20/25............................... 1,580,440 1,580,915
Tennessee Valley Authority
6.875%, due 12/15/43............................... 170,000 168,565
------------
34,884,280
------------
U.S. GOVERNMENT OBLIGATIONS-- 8.65%
U.S. Treasury Bonds
8.125%, due 05/15/21............................... 4,355,000 5,739,609
U.S. Treasury Coupon Strips
0.000%, due 02/15/03............................... 225,000 152,375
0.000%, due 11/15/19............................... 1,785,000 405,195
U.S. Treasury Notes
6.625%, due 03/31/97............................... 9,400,000 9,561,558
5.500%, due 11/15/98............................... 1,500,000 1,510,780
6.250%, due 08/31/00............................... 4,070,000 4,212,450
7.250%, due 05/15/04............................... 13,840,000 15,397,000
U.S. Treasury Principal Strips
0.000%, due 05/15/20............................... $ 1,855,000 $ 411,105
------------
37,390,072
------------
Total U.S. Bonds................................... 117,495,825
------------
Non-U.S. Bonds -- 24.07%
BELGIUM -- 1.19%
Kingdom of Belgium
8.250%, due 06/01/99...............................BEF 24,000,000 896,527
8.750%, due 06/25/02............................... 32,000,000 1,240,166
9.000%, due 03/28/03............................... 54,000,000 2,121,036
8.500%, due 10/01/07............................... 23,000,000 873,239
------------
5,130,968
------------
CANADA -- 2.38%
Government of Canada
7.500%, due 09/01/00...............................CAD 4,350,000 3,309,228
9.000%, due 06/01/25............................... 1,800,000 1,537,668
Government of Canada
4.250%, due 12/01/21 (d)........................... 7,200,000 5,450,096
------------
10,296,992
------------
DENMARK -- 2.32%
Kingdom of Denmark
9.000%, due 11/15/98...............................DKR 8,300,000 1,631,366
9.000%, due 11/15/00............................... 14,600,000 2,930,748
8.000%, due 05/15/03............................... 12,000,000 2,301,871
7.000%, due 12/15/04............................... 17,500,000 3,145,017
------------
10,009,002
------------
FRANCE -- 4.01%
Government of France (OAT)
8.500%, due 03/28/00...............................FRF 3,300,000 742,307
9.500%, due 01/25/01............................... 15,700,000 3,703,012
8.500%, due 04/25/03............................... 6,500,000 1,485,912
8.250%, due 02/27/04............................... 10,700,000 2,426,786
6.750%, due 10/25/04............................... 27,000,000 5,576,003
8.500%, due 12/26/12............................... 14,500,000 3,387,959
------------
17,321,979
------------
GERMANY -- 5.77%
Bundesrepublik Deutscheland
6.250%, due 02/20/98...............................DEM 3,260,000 2,382,422
7.000%, due 09/20/99............................... 7,000,000 5,277,999
8.500%, due 08/21/00............................... 2,600,000 2,074,841
8.375%, due 05/21/01............................... 1,900,000 1,519,549
8.000%, due 07/22/02............................... 1,950,000 1,537,875
6.500%, due 07/15/03............................... 7,600,000 5,530,748
6.750%, due 07/15/04............................... 5,900,000 4,330,294
Treuhandanstalt
7.750%, due 10/01/02............................... 2,950,000 2,297,467
------------
24,951,195
------------
</TABLE>
- --------------------------------------------------------------------------------
14
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
----------------- ------------
<S> <C> <C>
ITALY -- 1.22%
Republic of Italy (BTP)
9.000%, due 10/01/96........................... ITL 2,100,000,000 $ 1,314,279
8.500%, due 01/01/99........................... 3,100,000,000 1,881,701
9.500%, due 12/01/99........................... 1,200,000,000 741,259
9.000%, due 10/01/03........................... 2,300,000,000 1,333,762
------------
5,271,001
------------
JAPAN -- 0.43%
International Bank of Reconstruction and
Developmentt
6.750%, due 03/15/00........................... JPY 84,000,000 976,200
Export Import Bank of Japan
4.375%, due 10/01/03........................... 82,000,000 873,461
------------
1,849,661
------------
NETHERLANDS -- 3.20%
Government of Nederlands
6.250%, due 07/15/98........................... NLG 1,400,000 914,847
8.500%, due 03/15/01........................... 1,000,000 714,597
8.750%, due 09/15/01........................... 1,300,000 944,791
6.500%, due 04/15/03........................... 1,000,000 654,086
8.500%, due 06/01/06........................... 8,650,000 6,356,644
8.250%, due 02/15/07........................... 4,900,000 3,542,795
7.500%, due 04/15/10........................... 1,000,000 685,115
------------
13,812,875
------------
SPAIN -- 1.36%
Government of Spain
7.400%, due 07/30/99........................... SPN 625,000,000 4,434,682
11.300%, due 01/15/02.......................... 60,000,000 531,635
8.200%, due 02/28/09........................... 70,000,000 511,770
------------
5,878,087
------------
UNITED KINGDOM -- 2.19%
UK Treasury
7.000%, due 11/06/01........................... GBP 1,305,000 2,028,616
8.000%, due 06/10/03........................... 2,040,000 3,310,724
8.500%, due 12/07/05........................... 2,470,000 4,121,220
------------
9,460,560
------------
Total Non-U.S. Bonds............................ 103,982,320
------------
Total Bonds
(Cost $209,790,002)............................ 221,478,145
Short-Term Investments -- 6.84%
COMMERCIAL PAPER -- 6.76%
Baxter International, Inc.
6.050%, due 01/02/96........................... $ 1,177,000 $ 1,176,802
Burlington Northern Santa Fe
6.050%, due 01/03/96........................... 3,500,000 3,498,824
6.150%, due 01/31/96........................... 2,500,000 2,487,187
Conagra, Inc.
5.910%, due 01/04/96........................... 1,000,000 999,508
6.050%, due 01/11/96........................... 3,210,000 3,204,605
Crown Cork & Seal Co., Inc.
6.060%, due 01/09/96........................... 2,000,000 1,997,307
CSX Corp.
6.000%, due 01/08/96........................... 2,000,000 1,997,667
General American
Transportation Corp.
6.200%, due 01/18/96........................... 5,000,000 4,985,361
Nabisco, Inc.
5.850%, due 01/03/96........................... 2,163,000 2,162,297
P.S. Colorado Credit Corp. 6.030%, due
01/04/96....................................... 2,500,000 2,498,744
Texas Utilities Electric Co.
6.300%, due 01/05/96........................... 2,000,000 1,998,600
Trinova Corp.
6.100%, due 01/10/96........................... 1,500,000 1,497,713
6.200%, 01/10/96............................... 700,000 698,915
------------
29,203,530
------------
FOREIGN TIME DEPOSIT -- 0.08%
Bankers Trust
Japanese Yen -- 0.08%,
1.125%, due 01/02/96........................... JPN 36,699,859 355,791
------------
Total Short-Term Investments
(Cost $29,559,321)........................... 29,559,321
------------
Total Investments (Cost $390,823,651) --
100.01% (a)................................. 432,012,640
------------
Liabilities, less cash and other assets --
(0.01%)...................................... (53,884)
------------
Net Assets -- 100%............................ $431,958,756
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
15
<PAGE>
GLOBAL FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $390,832,651; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................ $44,301,030
Gross unrealized depreciation................................ (3,121,041)
-----------
Net unrealized appreciation.............................. $41,179,989
===========
</TABLE>
(b)Non-income producing security.
(c)Denominated in U.S. dollars.
(d)Linked to Canadian's retail price index. Reset semi-annually.
FRN: Floating rate note--The rate disclosed is that in effect at December 31,
1995.
MTN: Medium Term Note
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4)
The Global Fund had the following open forward foreign currency contracts as of
December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ----------- ----------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY BUY
CONTRACTS
Australian Dollar............ 06/05/96 6,800,000 $ 5,037,578 $ 5,918
British Pound................ 06/05/96 4,000,000 6,157,418 (63,782)
Canadian Dollar.............. 06/05/96 15,600,000 11,432,505 (121,553)
Danish Krone................. 06/04/96 3,000,000 542,980 (7,832)
Dutch Guilder................ 06/05/96 2,000,000 1,258,173 (23,656)
French Franc................. 06/05/96 7,000,000 1,434,031 (8,109)
Italian Lira................. 06/05/96 5,400,000,000 3,337,254 25,488
Swedish Krone................ 06/05/96 34,300,000 5,114,447 (67,761)
FORWARD FOREIGN CURRENCY SALE
CONTRACTS
Belgian Franc................ 06/05/96 200,000,000 6,830,383 142,145
British Pound................ 06/05/96 10,000,000 15,524,500 130,955
Danish Krone................. 06/04/96 58,000,000 10,497,618 146,733
Dutch Guilder................ 06/05/96 29,000,000 18,582,001 338,493
French Franc................. 06/05/96 125,000,000 25,607,692 119,305
German Mark.................. 06/05/96 40,000,000 28,163,121 417,255
Japanese Yen................. 06/05/96 1,430,000,000 14,166,487 327,149
Swedish Krone................ 06/05/96 34,300,000 5,114,447 (99,534)
----------
Total...................... $1,261,214
==========
</TABLE>
FUTURES CONTRACTS (NOTE 5)
INDEX FUTURES CONTRACTS:
The Global Fund had the following open index futures contracts as of December
31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE GAIN
---------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CONTRACTS
Topix, 86 contracts.............. March 1996 $12,136,016 $13,123,024 $987,008
========
</TABLE>
The segregated cash pledged to cover margin requirements for the open futures
positions at December 31, 1995 was $2,170,000.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
16
<PAGE>
GLOBAL FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $390,832,651) (Note 1).............. $432,012,640
Cash............................................................ 2,635,056
Foreign currency, at value (Cost $2,583,346).................... 2,589,281
Receivables:
Investment securities sold..................................... 3,519,944
Dividends...................................................... 243,260
Interest....................................................... 4,869,024
Fund shares sold............................................... 1,026,190
Variation Margin (Note 5)...................................... 1,202,454
Net unrealized appreciation on forward foreign currency con-
tracts......................................................... 1,261,214
Deferred organization costs, net of amortization (Note 1)....... 25,375
Other assets.................................................... 58,220
------------
TOTAL ASSETS................................................. 449,442,658
------------
LIABILITIES:
Payables:
Investment securities purchased................................ 16,976,226
Investment advisory fees (Note 2).............................. 286,282
Accrued expenses............................................... 221,394
------------
TOTAL LIABILITIES............................................ 17,483,902
------------
NET ASSETS....................................................... $431,958,756
============
NET ASSETS CONSIST OF:
Paid in capital (Note 7)........................................ $388,721,692
Accumulated undistributed net investment income................. 1,301,114
Accumulated net realized loss................................... (1,496,517)
Net unrealized appreciation..................................... 43,432,467
------------
NET ASSETS................................................... $431,958,756
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $430,112,118 and 36,388,462 shares is-
sued and outstanding) (Note 7)................................ $ 11.82
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $1,846,638 and 156,484 shares issued
and outstanding) (Note 7)..................................... $ 11.80
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
17
<PAGE>
GLOBAL FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.......................................................... $ 7,985,393
Dividends (net of $63,572 for foreign taxes withheld)............. 1,819,381
-----------
TOTAL INCOME................................................... 9,804,774
-----------
EXPENSES:
Advisory (Note 2)................................................. 1,610,179
Administration.................................................... 139,310
Custodian......................................................... 136,000
Amortization of organization costs (Note 1)....................... 7,739
Distribution (Note 6)............................................. 1,692
Other............................................................. 290,457
-----------
TOTAL EXPENSES................................................. 2,185,377
-----------
NET INVESTMENT INCOME ......................................... 7,619,397
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments...................................................... 9,168,219
Futures contracts................................................ 240,485
Foreign currency transactions.................................... 2,269,816
-----------
Net realized gain.............................................. 11,678,520
-----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................. 19,027,030
Futures contracts................................................ 987,009
Forward contracts................................................ 3,246,227
Translation of other assets and liabilities denominated in for-
eign currency................................................... (83,519)
-----------
Change in net unrealized appreciation or depreciation.......... 23,176,747
-----------
Net realized and unrealized gain.................................. 34,855,267
-----------
Net increase in net assets resulting from operations.............. $42,474,664
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
18
<PAGE>
GLOBAL FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR
DECEMBER 31, 1995 ENDED
(UNAUDITED) JUNE 30, 1995
----------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income......................... $ 7,619,397 $ 14,388,762
Net realized gain............................. 11,678,520 2,567,030
Change in net unrealized appreciation or de-
preciation................................... 23,176,747 23,779,745
------------ ------------
Net increase in net assets resulting from op-
erations..................................... 42,474,664 40,735,537
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income...... (16,328,500) (8,427,640)
Distributions from net realized gain.......... (9,441,309) (2,567,030)
Distributions in excess of net realized gain.. (1,496,517) (275,888)
------------ ------------
Total distributions to shareholders*.......... (27,266,326) (11,270,558)
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................... 59,719,842 124,484,442
Shares issued on reinvestment of distribu-
tions........................................ 26,139,635 10,276,565
Shares redeemed............................... (34,786,984) (77,406,972)
------------ ------------
Net increase in net assets resulting from cap-
ital share transactions (Note 7)............. 51,072,493 57,354,035
------------ ------------
TOTAL INCREASE IN NET ASSETS............... 66,280,831 86,819,014
NET ASSETS:
Beginning of year............................. 365,677,925 278,858,911
------------ ------------
End of year (including accumulated undistrib-
uted net investment income of
$1,301,114 and $4,495,172, respectively)..... $431,958,756 $365,677,925
============ ============
<CAPTION>
*DISTRIBUTIONS BY CLASS:
<S> <C> <C>
Distributions from net investment income:
Brinson Class................................. $(16,262,552) $ (8,427,640)
SwissKey Class................................ (65,948) --
Distributions from and in excess of net real-
ized gain:
Brinson Class................................. (10,892,522) (2,842,918)
SwissKey Class................................ (45,304) --
------------ ------------
$(27,266,326) $(11,270,558)
============ ============
</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>
SIX MONTHS
ENDED YEAR YEAR AUGUST 31, 1992*
DECEMBER 31, 1995 ENDED ENDED THROUGH
BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994 JUNE 30, 1993
- ----------------------------------------------------------------------------------------
<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.. 0.20 0.43 0.33 0.26
Net realized and
unrealized gain
(loss)................ 1.07 0.86 (0.23) 0.81
-------- -------- -------- --------
Total income from
investment opera-
tions.............. 1.27 1.29 0.10 1.07
-------- -------- -------- --------
Less distributions:
Distributions from net
investment income..... (0.48) (0.27) (0.27) (0.20)
Distributions from and
in excess of net real-
ized gain............. (0.32) (0.10) (0.27) --
-------- -------- -------- --------
Total distributions. (0.80) (0.37) (0.54) (0.20)
-------- -------- -------- --------
Net asset value, end of
period................. $ 11.82 $ 11.35 $ 10.43 $ 10.87
======== ======== ======== ========
Total return (non-
annualized)............ 11.29% 12.57% 0.77% 10.76%
Ratios/Supplemental data
Net assets, end of pe-
riod (in 000s)........ $430,112 $365,678 $278,859 $191,389
Ratio of expenses to
average net assets:
Before expense reim-
bursement............ 1.10%** 1.09% 1.14% 1.35%**
After expense reim-
bursement............ N/A N/A 1.10% 1.05%**
Ratio of net investment
income to average net
assets:
Before expense reim-
bursement............ 3.82%** 4.27% 3.21% 3.26%**
After expense reim-
bursement............ N/A N/A 3.25% 3.56%**
Portfolio turnover
rate.................. 79% 238% 231% 149%
</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
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $11.60
------
Income from investment operations:
Net investment income........................................ 0.18
Net realized and unrealized gain............................. 0.81
------
Total income from investment operations................... 0.99
------
Less distributions:
Distributions from and in excess of net investment income.... (0.47)
Distributions from net realized gain......................... (0.32)
------
Total distributions....................................... (0.79)
------
Net asset value, end of period................................ $11.80
======
Total return (non-annualized)................................. 8.61%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $1,847
Ratio of expenses to average net assets...................... 1.75**
Ratio of net investment income to average net assets......... 3.17**
Portfolio turnover rate...................................... 79%
</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. This philosophy offers the greatest potential
for achieving enhanced long-term returns, while maintaining control of risk.
The SwissKey Global Equity Fund has provided an unannualized return of 9.93%
since its inception on July 31, 1995, compared to the 5.56% return of its
benchmark, the MSCI World Equity (Free) Index.
Currency allocation and equity management strategies contributed positively to
Fund performance. Below in a discussion of the 1995 global equity markets, as
well as our current investment strategies.
Global equity markets were generally strong in 1995, with the U.S. and
Switzerland providing the highest returns of 38.19% and 30.58%, respectively,
on a U.S. dollar hedged basis. Many other markets posted double-digit returns.
The weakest markets were Austria and Italy with respective currency hedged
declines of 10.68% and 4.65%. Amidst this general market strength, Japanese
equities were notable underperformers. The Japanese market rallied by 9.16% in
U.S. dollar hedged terms. The first half of 1995 saw the Japanese market
decline by about 20%, only to recover more than 35% in the last half.
Currency movements, especially the Japanese yen, contributed significantly to
index volatility during the year. The yen appreciated by more than 20% early in
the year, reaching a peak of 80 yen/U.S. dollar in mid-April. It depreciated
through the rest of the year to end about unchanged at roughly 100 yen/U.S.
dollar. The yen underweight and U.S. dollar overweight added value through the
extreme interest rate differential between the U.S. and Japan. A partial offset
to this value added came from underweights of the core European currencies.
These currencies appreciated in the early part of 1995, but, unlike the yen,
remained steady for the year's duration. The European currencies as well as the
yen ended the year overpriced relative to fundamental values. Consequently, the
Fund remains underweighted in these currencies with offsetting overweights in
the U.S. and Canadian dollars.
Security selection derived most of its added value from equity management in
the U.S. and Japan. The extra return in the U.S. was attributable to a number
of favorable industry positions. Favorable industry exposures included
overweights in defense/aerospace, bank and insurance stocks. Positive
contributions from equity management in Japan were attributable to the Fund's
exposure to high quality defensive issues and exporters, and underweights to
cyclicals in an environment of market decline.
------------------------------------------------------------
22
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
Since
Quarter Inception*
- --------------------------------------------------
<S> <C> <C>
SWISSKEY GLOBAL EQUITY FUND 6.44% 9.93%
MSCI World Equity (Free) Index 4.87 5.56
- --------------------------------------------------
</TABLE>
*Inception date of the SwissKey Global Equity Fund was July 31, 1995.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth in the value of an investment in the SwissKey
Global Equity Fund and the MSCI World Equity (Free) Index if you had invested
$10,000 on July 31, 1995, and had reinvested all your income dividends and
capital gain distributions through December 31, 1995. No adjustment has been
made for any income taxes payable by shareholders on income dividends and
capital gain distributions. Past performance is no guarantee of future
results. Share price and return will vary with market conditions; investors
may realize a gain or loss upon redemption.
SWISSKEY GLOBAL EQUITY FUND
VS. MSCI WORLD EQUITY (FREE) INDEX
Wealth Value with Dividends Reinvested
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Swisskey MSCI World
Global Equity Equity (Free) Index
------------- -------------------
<S> <C> <C>
7/31/95 $10,000 $10,000
8/31/95 $10,154 $ 9,776
9/30/95 $10,328 $10,065
10/31/95 $10,299 $ 9,909
11/30/95 $10,666 $10,254
12/31/95 $10,993 $10,555
</TABLE>
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 December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- ---------------------------------
<S> <C> <C>
U.S. 40.7% 33.4%
Japan 23.3 22.5
Australia 1.5 2.4
Belgium 0.6 1.6
Canada 2.2 2.0
France 3.6 4.8
Germany 3.9 3.4
Hong Kong 1.8 0.0
Italy 1.3 1.3
Malaysia 1.3 0.6
Netherlands 2.3 3.6
New Zealand 0.2 1.3
Spain 1.0 1.6
Sweden 1.1 0.0
Switzerland 3.4 1.3
U.K. 9.6 10.2
Other Markets 2.2 0.0
Cash Reserves 0.0 10.0
- ---------------------------------
100.0% 100.0%
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1995
(Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- -------------------------------------------
<S> <C>
1. Citicorp 2.45%
2. Lockheed Martin Corp. 2.39
3. Burlington Northern, Santa Fe 1.91
4. Honeywell, Inc. 1.84
5. Avon Products, Inc. 1.45
6. Schering Plough Corp. 1.38
7. AON Corp. 1.33
8. Kimberly-Clark Corp. 1.33
9. Enron Corp. 1.27
10. Sprint Corp. 1.23
- -------------------------------------------
</TABLE>
CURRENCY ALLOCATION
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- ---------------------------------
<S> <C> <C>
U.S. 40.7% 70.6%
Japan 23.3 0.0
Australia 1.5 2.4
Belgium 0.6 0.0
Canada 2.2 10.8
France 3.6 0.0
Germany 3.9 0.0
Hong Kong 1.8 0.0
Italy 1.3 3.1
Malaysia 1.3 0.6
Netherlands 2.3 0.0
New Zealand 0.2 1.3
Spain 1.0 1.6
Sweden 1.1 0.0
Switzerland 3.4 0.0
U.K. 9.6 9.6
Other Markets 2.2 0.0
- ---------------------------------
100.0% 100.0%
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- -------------------------------------------
<S> <C>
1. Royal Dutch Petroleum 1.01%
2. Lloyds TSB Group 0.77
3. Broken Hill Proprietary 0.76
4. General Electric PLC 0.75
5. Ito Yokado Co. 0.74
6. Toray Industries, Inc. 0.63
7. Matsushita Electric Industrial 0.62
8. Sekisui House 0.59
9. Toshiba Corp. 0.58
10. British Telecommunications 0.57
- -------------------------------------------
</TABLE>
------------------------------------------------------------
24
<PAGE>
GLOBAL EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals............................................................... 0.36%
Housing/Paper........................................................... 1.48
Metals.................................................................. 0.64
-----
2.48
Capital Investments
Capital Goods........................................................... 4.03
Technology.............................................................. 2.53
-----
6.56
Consumer
Autos/Durables.......................................................... 0.47
Discretionary........................................................... 2.42
Health: Drugs........................................................... 4.30
Health: Non-Drugs....................................................... 1.39
Non-Durables............................................................ 4.49
Retail/Apparel.......................................................... 2.78
-----
15.85
Energy................................................................... 2.73
Financial
Banks................................................................... 3.58
Non-Banks............................................................... 4.39
-----
7.97
Services................................................................. 3.55
Transportation........................................................... 1.94
Utilities................................................................ 2.90
Miscellaneous............................................................ 1.04
-----
Total U.S. Equities................................................... 45.02*
-----
</TABLE>
- ------------------------------------------------------------
<TABLE>
<S> <C>
NON-U.S. EQUITIES
Aerospace & Military.................................................... 0.22%
Airlines................................................................ 0.01
Appliances & Household Durables......................................... 1.33
Automobiles............................................................. 1.47
Banking................................................................. 6.79
Beverages & Tobacco..................................................... 1.39
Broadcasting & Publishing............................................... 0.78
Building Materials...................................................... 0.35
Business & Public Service............................................... 1.62
Chemicals............................................................... 2.04
Construction............................................................ 1.01
Data Processing......................................................... 0.52
Electric Components..................................................... 0.59
Electronics............................................................. 2.16
Energy.................................................................. 4.62
Financial Services...................................................... 0.78
Food & House Products................................................... 2.53
Forest Products......................................................... 1.03
Goldmines............................................................... 0.11
Health & Personal Care.................................................. 1.48
Industrial Components................................................... 1.17
Insurance............................................................... 2.55
Leisure & Tourism....................................................... 0.22
Machinery & Engineering................................................. 0.77
Merchandising........................................................... 2.79
Miscellaneous Materials................................................. 0.63
Multi-Industry.......................................................... 2.34
Non-Ferrous Metal....................................................... 0.54
Real Estate............................................................. 0.18
Recreation.............................................................. 0.35
Shipping................................................................ 0.32
Steel................................................................... 0.62
Telecommunications...................................................... 1.47
Textiles & Apparel...................................................... 0.14
Transportation.......................................................... 0.50
Utilities............................................................... 2.80
------
Total Non-U.S. Equities.............................................. 48.22*
------
SHORT-TERM INVESTMENTS.................................................. 2.52*
------
TOTAL INVESTMENTS.................................................... 95.76
CASH AND OTHER ASSETS, LESS LIABILITIES................................. 4.24
------
NET ASSETS........................................................... 100.00%
======
</TABLE>
* The Fund held a short position in stock index futures on December 31, 1995
which reduced U.S. Equity exposure from 45.02% to 32.62%. The Fund held a
long position in Topix futures which increased Japanese Equity exposure from
14.96% to 22.00%. These two adjustments result in a net increase in the
Fund's exposure to Short-Term Investments from 2.52% to 7.88%.
------------------------------------------------------------
25
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
Equities -- 93.24%
U.S. EQUITIES -- 45.02%
Aetna Life & Casualty Co................................. 6,500 $ 450,125
Air & Water Technologies Corp. (b)....................... 2,300 14,088
Allergan, Inc............................................ 11,000 357,500
Alza Corp. (b)........................................... 8,700 215,325
American Mobile Satellite Corp., Inc. (b)................ 1,600 49,000
Aon Corp................................................. 13,300 663,338
AST Research Corp. (b)................................... 1,588 13,498
Automatic Data Processing, Inc........................... 6,300 467,775
Avon Products, Inc....................................... 9,600 723,600
Bard (C.R.), Inc......................................... 6,600 212,850
Beckman Instruments, Inc................................. 4,300 152,113
Biogen, Inc. (b)......................................... 1,000 61,500
Birmingham Steel Corp.................................... 4,200 62,475
Boeing Co................................................ 3,900 305,663
Boston Technology, Inc. (b).............................. 2,600 33,150
Brinker International, Inc. (b).......................... 3,100 46,887
Burlington Northern Santa Fe............................. 12,200 951,600
Campbell Soup Co......................................... 3,300 198,000
Centerior Energy Co...................................... 1,800 15,975
CIGNA Corp............................................... 5,300 547,225
Citicorp................................................. 18,200 1,223,950
CMS Energy Corp.......................................... 11,600 346,550
Coca-Cola Enterprises, Inc............................... 13,600 363,800
Comerica, Inc............................................ 2,900 116,362
Computer Sciences Corp. (b).............................. 700 49,175
Converse Technology, Inc. (b)............................ 1,700 34,000
Cooper Cameron Corp. (b)................................. 3,600 127,800
Cooper Industries, Inc................................... 2,333 85,738
Dial Corp................................................ 10,200 302,175
Enron Corp............................................... 16,600 632,875
Entergy Corp............................................. 11,800 345,150
Federal Department Stores (b)............................ 13,700 376,750
First Data Corp.......................................... 6,502 434,834
Food Lion, Inc. Class A.................................. 17,100 97,790
Ford Motor Co............................................ 10,800 313,200
Forest Laboratories, Inc. (b)............................ 7,200 325,800
Gannett Co., Inc......................................... 4,100 251,638
Genzyme Corp. (b)........................................ 1,400 87,325
Goodyear Tire & Rubber Co................................ 7,800 353,925
Health Care and Retirement Corp. (b)..................... 2,300 80,500
Hillenbrand Industries, Inc.............................. 400 13,550
Honeywell, Inc........................................... 18,900 919,012
Illinova Corp............................................ 2,200 66,000
Inland Steel Industries, Inc............................. 6,300 158,288
Interpublic Group of Companies, Inc...................... 4,300 186,513
Kimberly-Clark Corp...................................... 8,000 662,000
Kroger Co. (b)........................................... 6,200 232,500
Lockheed Martin Corp..................................... 15,100 1,192,900
LTV Corp................................................. 6,200 85,250
Lyondell Petrochemical Co................................ 11,700 267,637
Magna Group Inc.......................................... 2,100 49,875
Manor Care, Inc.......................................... 6,900 241,500
Mattel, Inc.............................................. 16,700 513,525
Melville Corp............................................ 9,000 276,750
National Semiconductor Corp. (b)........................... 4,500 $ 100,125
Nextel Communications, Inc. Class A (b).................... 9,400 138,650
Octel Communications Corp. (b)............................. 1,100 35,475
Old Republic International Corp............................ 4,100 145,550
Owens Illinois Inc. (b).................................... 12,200 176,900
Pentair, Inc............................................... 2,500 124,375
Pfizer, Inc................................................ 6,500 409,500
Philip Morris Companies, Inc............................... 3,200 289,600
Raychem Corp............................................... 3,800 216,125
RJR Nabisco Convertible Preferred "C"...................... 34,600 220,575
RJR Nabisco Holdings Corp. (b)............................. 10,400 321,100
Schering Plough Corp....................................... 12,600 689,850
Schlumberger Ltd........................................... 4,500 311,625
Schweitzer Manduit International, Inc. (b)................. 800 18,500
Seagate Technology (b)..................................... 4,400 209,000
Sprint Corp................................................ 15,700 626,037
State Street Boston Corp................................... 3,100 139,500
Timken Co.................................................. 3,000 114,750
Tosco Corp................................................. 1,900 72,437
Transamerica Corp.......................................... 5,900 429,962
Ultramar Corp.............................................. 4,700 121,025
US Bancorp................................................. 7,200 242,100
USF&G Corp................................................. 10,200 172,125
Walgreen Co................................................ 9,600 286,800
Westvaco Corp.............................................. 3,350 92,962
WMX Technologies, Inc...................................... 13,500 403,312
-----------
Total U.S. Equities........................................ 22,464,284
-----------
NON-U.S. EQUITIES -- 48.22%
AUSTRALIA -- 2.55%
Amcor Ltd. ................................................ 10,100 71,376
ANZ Banking Group.......................................... 8,947 41,996
Broken Hill Proprietary.................................... 26,750 378,076
CRA Ltd.................................................... 7,500 110,132
David Jones Ltd. (b)....................................... 22,000 33,549
Lend Lease Corp. Ltd....................................... 6,049 87,745
National Australia Bank.................................... 18,275 164,493
News Corp.................................................. 14,500 77,446
Pacific Dunlop Ltd......................................... 40,000 93,729
Qantas Airways Ltd......................................... 4,000 6,665
Santos Ltd................................................. 17,000 49,699
Western Mining Corp........................................ 7,300 46,918
Westpac Banking Corp. Ltd.................................. 24,545 108,821
-----------
1,270,645
-----------
BELGIUM -- 1.42%
Delhaize-Le Lion, S.A...................................... 600 24,872
Electrabel................................................. 650 154,599
Fortis AG.................................................. 580 70,552
Groupe Bruxelles Lambert................................... 380 52,744
Kredietbank................................................ 365 99,835
Petrofina.................................................. 290 88,781
Petrofina S.A. Warrants "97" (b)........................... 10 133
Societe Gen De Belgique.................................... 540 44,678
Solvay..................................................... 115 62,128
</TABLE>
- --------------------------------------------------------------------------------
26
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
BELGIUM (CONTINUED)
Tractebel................................................. 200 $ 82,566
Union Miniere (b)......................................... 420 28,113
-----------
709,001
-----------
CANADA -- 2.17%
Alcan Aluminium Ltd....................................... 2,800 87,000
Bank of Montreal.......................................... 6,100 138,657
Barrick Gold Corp......................................... 2,100 55,433
Canadian Pacific Ltd...................................... 7,300 133,148
Imperial Oil Canada Ltd................................... 2,900 104,992
Moore Corp. Ltd........................................... 1,800 33,821
Noranda, Inc.............................................. 2,800 57,743
Norcen Energy............................................. 2,500 37,579
Northern Telecom Ltd...................................... 1,400 59,924
Nova Corporation of Alberta............................... 4,300 34,682
Royal Bank of Canada...................................... 4,800 109,547
Seagram Co. Ltd........................................... 2,400 82,710
Thomson Corp.............................................. 6,500 90,556
TransCanada Pipelines Ltd................................. 4,000 55,360
-----------
1,081,152
-----------
FRANCE -- 4.75%
Accor..................................................... 760 98,524
Alcatel Alsthom........................................... 1,044 90,127
Banque Nationale de Paris................................. 3,280 148,152
Cep Communications........................................ 704 58,444
Cie Bancaire S.A.......................................... 680 76,195
Cie de Saint Gobain....................................... 1,228 136,093
Cie Fin de Suez........................................... 1,651 68,192
Colas..................................................... 330 55,331
Credit Local de France.................................... 1,803 144,517
GAN (b)................................................... 650 23,791
Generale des Eaux......................................... 1,534 153,350
LVMH (Moet-Hennessy Louis Vaitton)........................ 1,080 225,248
Michelin Class B (b)...................................... 2,010 80,267
Pechiney Cert D'Invest.................................... 1,350 51,067
Pechiney Cert D'Invest Warrants (b)....................... 1,350 3
Peuegot S.A............................................... 1,840 243,046
Sanofi.................................................... 1,344 86,264
Societe Generale.......................................... 1,562 193,230
Societe Nationale Elf Aquitaine........................... 1,950 143,860
Total Co. "B"............................................. 3,090 208,818
UAP....................................................... 3,219 84,183
-----------
2,368,702
-----------
GERMANY -- 3.38%
Allianz AG Holdings....................................... 115 226,256
BASF AG................................................... 390 88,011
Bayer..................................................... 390 103,760
Bayer Motoren Worken...................................... 170 87,892
Bayer Vereinsbank......................................... 2,000 60,085
Commerzbank............................................... 330 78,506
Daimler-Benz.............................................. 160 80,933
Deutsche Bank............................................. 4,950 235,517
Hoechst................................................... 340 92,643
Kaufhof Holding AG......................................... 205 $ 62,590
Mannesmann................................................. 430 137,145
Muenchener Rueckver........................................ 57 123,056
Muenchener Rueckver Warrants "98" (b)...................... 3 397
Preussag................................................... 260 73,388
RWE........................................................ 220 80,158
Schering................................................... 650 43,279
Veba....................................................... 2,650 113,679
-----------
1,687,295
-----------
ITALY -- 1.57%
Assic Generali............................................. 6,200 150,263
Eni ADR (c)................................................ 4,300 147,275
Fiat Spa Priv.............................................. 43,000 78,601
Instituto Mobilaire Italiano............................... 15,000 94,548
Italgas.................................................... 13,000 39,578
La Rinascente.............................................. 5,000 30,287
La Rinascente Savings (Risp)............................... 6,000 17,019
Mediobanca................................................. 2,800 19,405
Montedison (b)............................................. 44,000 29,509
Sai Di Risp................................................ 7,000 29,077
Telecom Italia............................................. 61,000 74,669
Telecom Italia Mobile (b).................................. 67,000 70,527
-----------
780,758
-----------
JAPAN -- 14.96%
Amada...................................................... 12,000 118,662
Asahi Glass Co. ........................................... 14,000 156,083
Bank of Tokyo.............................................. 7,000 122,831
Canon, Inc. ............................................... 10,000 181,289
Canon Sales................................................ 3,200 85,313
Citizen Watch Co. ......................................... 12,000 91,905
Dai Nippon Printing........................................ 11,000 186,621
Daiichi Pharmaceutical Co. Ltd............................. 4,000 57,004
Daikin Kogyo Co. .......................................... 13,000 127,290
Daiwa House Industries..................................... 6,000 98,885
Fanuc Co. ................................................. 3,200 138,672
Fujitsu.................................................... 7,000 78,042
Hitachi Ltd. .............................................. 18,000 181,483
Honda Motor Co. ........................................... 7,000 144,547
Inax....................................................... 12,000 114,009
Isetan..................................................... 4,000 65,923
Ito Yokado Co. ............................................ 6,000 369,947
Keio Teito Electric Railway ............................... 14,000 81,571
Kinki Nippon Railway ...................................... 14,000 105,865
Kirin Brewery Co. Ltd...................................... 8,000 94,619
Kuraray Co. Ltd. .......................................... 6,000 65,730
Maeda Road Construction.................................... 3,000 55,550
Marui Co................................................... 4,000 83,374
Matsushita Electric Industrial............................. 19,000 309,452
Mitsubishi Bank............................................ 5,000 117,790
Mitsubishi Paper........................................... 16,000 96,326
NGK Insulators............................................. 19,000 189,724
Nichii Co. ................................................ 9,000 119,535
Nintendo................................................... 1,100 83,713
Nippon Denso Co. .......................................... 8,000 149,685
Nippon Meat Packers........................................ 7,000 101,794
</TABLE>
- --------------------------------------------------------------------------------
27
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
<S> <C> <C>
JAPAN (CONTINUED)
Nippon Steel Corp. ....................................... 10,000 $ 34,319
Orix Corp. ............................................... 1,000 41,202
Osaka Gas Corp. .......................................... 48,000 166,127
Pioneer Electronics....................................... 5,000 91,614
Sankyo Co. Ltd. .......................................... 9,000 202,424
Secom Co. ................................................ 3,000 208,822
Seino Transportation...................................... 4,000 67,087
Sekisui House............................................. 23,000 294,329
Shimmaywa Industries Ltd.................................. 7,000 57,819
Sony Corp. ............................................... 3,400 204,033
Suisan Kaisah ............................................ 6,000 74,455
Sumitomo Bank ............................................ 12,000 254,775
Sumitomo Electric Industries.............................. 10,000 120,213
Takeda Chemical Industries................................ 13,000 214,251
TDK Corp.................................................. 3,000 153,272
Tokio Marine & Fire ...................................... 11,000 143,965
Tokyo Electric Power ..................................... 5,454 145,934
Tokyo Steel Mfg. ......................................... 9,000 165,778
Tonen Corp. .............................................. 6,000 87,833
Toray Industries, Inc. ................................... 48,000 316,432
Toshiba Corp. ............................................ 37,000 290,189
Toyota Motor Corp. ....................................... 4,000 84,924
Yamazaki Baking Co. Ltd................................... 4,000 74,454
-----------
7,467,485
-----------
MALAYSIA -- 0.51%
Genting................................................... 1,000 8,350
Hume Industries........................................... 4,000 19,220
Kuala Lumpur Kepong....................................... 8,000 25,364
Land & General Holdings................................... 9,000 19,496
Malayan Bank.............................................. 5,000 42,143
Nestle Malaysia........................................... 2,000 14,651
Sime Darby................................................ 14,000 37,219
Telekom Malaysia.......................................... 6,000 46,790
Tenaga Nasional........................................... 10,000 39,386
-----------
252,619
-----------
NETHERLANDS -- 3.42%
ABN-AMRO Holdings......................................... 4,772 217,613
D.S.M..................................................... 680 55,995
Internationale Nederlanden Groep NV....................... 4,075 272,514
KPN NV.................................................... 2,778 101,034
Philips Electronics....................................... 1,600 57,891
Royal Dutch Petroleum..................................... 3,600 503,506
Royal Dutch Petroleum NY Shares........................... 1,200 169,350
Unilever NV............................................... 1,750 246,179
VNU-Ver Ned Uitger........................................ 600 82,458
-----------
1,706,540
-----------
NEW ZEALAND -- 1.14%
Brierly Investment........................................ 141,000 111,539
Carter Holt Harvey........................................ 59,500 128,367
Fletcher Challenge Ltd.................................... 55,000 126,928
Fletcher Challenge Forest Division........................ 7,803 11,121
Telecom Corp. of New Zeland Ltd........................... 26,000 $ 112,186
Telecom Corp. of New Zealand Ltd. ADS (c)................. 1,100 76,312
-----------
566,453
-----------
SPAIN -- 1.60%
Banco Bilbao-Vizcaya...................................... 1,800 64,835
Banco Intercontinental.................................... 600 58,356
Banco Popular............................................. 300 55,315
Banco Santander........................................... 1,600 80,314
Empresa NAC Electric...................................... 1,350 76,444
Iberorola S.A............................................. 16,200 148,215
Repsol S.A................................................ 2,600 85,185
Sevillana de Electric..................................... 6,300 48,915
Telefonica de Espana...................................... 10,900 150,935
Viscofan.................................................. 2,300 27,299
-----------
795,813
-----------
SWITZERLAND -- 1.37%
Ciba Geigy (Reg.)......................................... 95 83,804
CS Holdings............................................... 696 71,530
Nestle (Reg.)............................................. 173 191,855
Roche Holdings Gen........................................ 18 142,752
Schweiz Bankgesellschaft.................................. 72 78,220
Societe Generale Surveillance (Br)........................ 27 53,737
Zurich Insurance.......................................... 203 60,868
-----------
682,766
-----------
UNITED KINGDOM -- 9.38%
Asda Group................................................ 26,000 44,605
Bass...................................................... 12,800 142,885
B.A.T. Industries PLC..................................... 16,000 140,972
BET PLC................................................... 24,500 48,308
Booker PLC................................................ 6,500 36,128
British Gas............................................... 53,500 210,977
British Petroleum......................................... 30,278 253,374
British Telecommunications................................ 52,000 285,794
Charter Group............................................. 7,236 96,952
Coats Viyella............................................. 25,000 67,924
FKI....................................................... 30,875 79,093
General Electric PLC...................................... 68,000 374,787
Glaxo Holdings............................................ 6,500 92,338
Grand Metropolitan........................................ 35,000 252,135
Guinness.................................................. 19,500 143,503
Hanson.................................................... 35,000 104,603
Hillsdown Holdings........................................ 25,000 65,595
House of Fraser........................................... 47,000 130,616
Legal and General......................................... 7,700 80,096
Lloyds Abbey Life......................................... 10,500 73,358
Lloyds TSB Group.......................................... 74,630 383,520
Lucas Industries.......................................... 15,500 43,557
Marks & Spencer........................................... 15,500 108,291
Mirror Group.............................................. 28,200 77,056
National Power............................................ 12,000 83,745
National Westminster Bank................................. 16,600 167,263
Ocean Group............................................... 11,500 69,275
P & O..................................................... 12,000 88,682
</TABLE>
- --------------------------------------------------------------------------------
28
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Reckitt & Colman.......................................... 8,500 $ 94,093
Redland................................................... 6,500 39,256
RJB Mining PLC............................................ 5,000 42,540
Rolls Royce............................................... 37,400 109,744
Royal Insurance........................................... 11,900 70,576
Sears PLC................................................. 52,000 83,962
Sedgwick Group............................................ 11,000 20,664
SmithKline Beecham Units.................................. 9,900 107,899
Tesco..................................................... 34,000 156,777
Thames Water.............................................. 10,000 87,254
Unilever Ord 5P........................................... 3,000 61,621
W.H. Smith Group.......................................... 9,000 59,245
-----------
4,679,063
-----------
Total Non-U.S. Equities................................... 24,048,292
-----------
Total Equities
(Cost $41,929,255)....................................... $46,512,576
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
-------- -----------
<S> <C> <C>
Short-Term Investments -- 2.52%
U.S. GOVERNMENT OBLIGATIONS -- 0.49%
U.S. Treasury Bills 5.275%, due 05/30/96.................. $250,000 $ 244,878
-----------
COMMERCIAL PAPER -- 2.03%
Baxter International, Inc.
6.050%, due 01/02/96..................................... 514,000 513,914
Crown Cork & Seal Co., Inc.
6.060%, due 01/09/96..................................... 500,000 499,327
-----------
1,013,241
-----------
Total Short-Term Investments
(Cost $1,257,746)........................................ 1,258,119
-----------
Total Investments
(Cost $43,187,001) -- 95.76% (a)......................... 47,770,695
-----------
Cash and other assets, less liabilities -- 4.24%.......... 2,116,641
-----------
Net Assets -- 100%........................................ $49,887,336
===========
</TABLE>
See accompanying notes to schedules of investments.
- --------------------------------------------------------------------------------
29
<PAGE>
GLOBAL EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $43,187,001; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................. $5,660,488
Gross unrealized depreciation................................. (1,076,794)
----------
Net unrealized appreciation............................... $4,583,694
==========
</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 December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ---------- -----------
<S> <C> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY BUY CONTRACTS
British Pound............... 06/04/96 1,150,000 $1,770,355 $ 8,555
Canadian Dollar............. 06/04/96 6,100,000 4,470,443 (37,141)
Italian Lira................ 06/04/96 1,500,000,000 927,128 8,320
Swedish Krone............... 06/04/96 6,750,000 1,006,562 (8,842)
Swiss Franc................. 06/04/96 400,000 353,239 (3,617)
FORWARD FOREIGN CURRENCY SALE CONTRACTS
Belgian Franc............... 06/04/96 19,000,000 648,869 11,770
British Pound............... 06/04/96 1,150,000 1,770,355 7,114
Dutch Guilder............... 06/04/96 2,500,000 1,572,638 24,679
French Franc................ 06/04/96 11,250,000 2,309,981 5,302
German Mark................. 06/04/96 2,250,000 1,584,097 21,902
Japanese Yen................ 06/04/96 740,000,000 7,329,981 142,314
Swedish Krone............... 06/04/96 6,750,000 1,006,562 (20,008)
Swiss Franc................. 06/04/96 1,100,000 971,408 11,481
--------
Total................... $171,829
========
</TABLE>
FUTURES CONTRACTS (NOTE 5)
INDEX FUTURES CONTRACTS:
The Global Equity Fund had the following open index futures contracts as of
December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST/PROCEEDS VALUE GAIN
---------- ------------- ---------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CONTRACTS
Topix, 23 contracts............. March 1996 $3,250,218 $3,509,646 $259,428
INDEX FUTURES SALES CONTRACTS
Standard & Poor's 500, 20 con-
tracts......................... March 1996 6,252,000 6,184,500 67,500
--------
Total........................ $326,928
========
</TABLE>
The segregated cash and market value of investments pledged to cover margin
requirements for the open futures positions at December 31, 1995 was $540,000
and $244,878 respectively.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
30
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $43,187,001) (Note 1)................. $47,770,695
Cash.............................................................. 541,499
Foreign currency, at value (Cost $456,324)........................ 457,770
Receivables:
Investment securities sold....................................... 575,031
Dividends........................................................ 131,314
Fund shares sold................................................. 1,136
Due From Advisor (Note 2)........................................ 200,332
Variation Margin (Note 5)........................................ 381,325
Unrealized appreciation on forward foreign currency contracts.... 171,829
Deferred organization costs, net of amortization (Note 1)......... 8,354
Other assets...................................................... 2,000
-----------
TOTAL ASSETS................................................... 50,241,285
-----------
LIABILITIES:
Payables:
Investment securities purchased.................................. 94,731
Accrued expenses................................................. 259,218
-----------
TOTAL LIABILITIES.............................................. 353,949
-----------
NET ASSETS......................................................... $49,887,336
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 7).......................................... $43,829,785
Accumulated undistributed net investment income................... 135,636
Accumulated net realized gain..................................... 840,052
Net unrealized appreciation....................................... 5,081,863
-----------
NET ASSETS..................................................... $49,887,336
===========
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $23,255,087 and 2,177,398 shares issued
and outstanding) (Note 7)....................................... $ 10.68
===========
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $26,632,249 and 2,494,075 shares issued
and outstanding) (Note 7)....................................... $ 10.68
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
31
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $28,115 for foreign taxes withheld)............. $ 407,714
Interest.......................................................... 50,034
----------
TOTAL INCOME................................................... 457,748
----------
EXPENSES:
Advisory (Note 2)................................................. 175,156
Custodian......................................................... 100,000
Distribution (Note 6)............................................. 82,708
Accounting........................................................ 54,946
Professional...................................................... 54,574
Printing.......................................................... 38,644
Amortization of organization costs (Note 1)....................... 1,404
Other............................................................. 68,198
----------
TOTAL EXPENSES................................................. 575,630
Expenses deferred and reimbursed by Advisor (Note 2)........... (273,977)
----------
NET EXPENSES................................................... 301,653
----------
NET INVESTMENT INCOME ......................................... 156,095
----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................................... 3,890,805
Futures contracts................................................ (463,130)
Foreign currency transactions.................................... 1,519,282
----------
Net realized gain.............................................. 4,946,957
----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................. 3,724,923
Futures contracts................................................ 353,828
Forward contracts................................................ 221,046
Translation of other assets and liabilities denominated in for-
eign currency................................................... (501)
----------
Change in net unrealized appreciation or depreciation.......... 4,299,296
----------
Net realized and unrealized gain................................... 9,246,253
----------
Net increase in net assets resulting from operations............... $9,402,348
==========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
32
<PAGE>
GLOBAL EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR
SIX MONTHS ENDED ENDED
DECEMBER 31, 1995 JUNE 30,
(UNAUDITED) 1995
----------------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income.......................... $ 156,095 $ 361,529
Net realized gain (loss)....................... 4,946,957 (947,502)
Change in net unrealized appreciation or
depreciation.................................. 4,299,296 1,778,802
----------- -----------
Net increase in net assets resulting from oper-
ations........................................ 9,402,348 1,192,829
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income....... (153,514) (72,633)
Distributions from net realized gain........... (3,021,585) --
Distributions in excess of net realized gain... -- (198,395)
----------- -----------
Total distributions to shareholders*........... (3,175,099) (271,028)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................... 23,863,166 133,064
Shares issued on reinvestment of distributions. 3,155,021 271,028
Shares redeemed................................ (4,063,665) (1,262,526)
----------- -----------
Net increase (decrease) in net assets resulting
from capital share
transactions (Note 7)......................... 22,954,522 (858,434)
----------- -----------
TOTAL INCREASE IN NET ASSETS................ 29,181,771 63,367
----------- -----------
NET ASSETS:
Beginning of period............................ 20,705,565 20,642,198
----------- -----------
End of period (including accumulated undistrib-
uted net investment income of $135,636 and
$59,734, respectively)........................ $49,887,336 $20,705,565
=========== ===========
<CAPTION>
*DISTRIBUTIONS BY CLASS
<S> <C> <C>
Distributions from net investment income:
Brinson Class.................................. $ (153,514) $ (72,633)
SwissKey Class................................. -- --
Distributions from and in excess of net realized
gain:
Brinson Class.................................. (1,399,995) (198,395)
SwissKey Class................................. (1,621,590) --
----------- -----------
$(3,175,099) $ (271,028)
=========== ===========
</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>
SIX MONTHS ENDED YEAR JANUARY 28, 1994*
DECEMBER 31, 1995 ENDED THROUGH
BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of
period...................... $ 9.93 $ 9.49 $ 10.00
------- ------- -------
Income from investment oper-
ations:
Net investment income
(loss)..................... (0.05) 0.18 0.07
Net realized and unrealized
gain (loss)................ 1.57 0.39 (0.54)
------- ------- -------
Total income (loss) from
investment operations... 1.52 0.57 (0.47)
------- ------- -------
Less distributions:
Distributions from net in-
vestment income............ (0.08) (0.04) (0.04)
Distributions from and in
excess of net realized
gain....................... (0.69) (0.09) --
------- ------- -------
Total distributions...... (0.77) (0.13) (0.04)
------- ------- -------
Net asset value, end of peri-
od.......................... $ 10.68 $ 9.93 $ 9.49
======= ======= =======
Total return (non-
annualized)................. 15.39% 6.06% (4.70%)
Ratios/Supplemental data
Net assets, end of period
(in 000s).................. $23,255 $20,706 $20,642
Ratio of expenses to average
net assets:
Before expense reimburse-
ment...................... 2.26%** 2.06% 2.65%**
After expense reimburse-
ment...................... 1.00%** 1.00% 1.00%**
Ratio of net investment in-
come to average net assets:
Before expense reimburse-
ment...................... (0.16%)** 0.71% 0.24%**
After expense reimburse-
ment...................... 1.10%** 1.77% 1.89%**
Portfolio turnover rate..... 59% 36% 21%
</TABLE>
* Commencement of investment operations
** Annualized
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
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $ 10.35
-------
Income from investment operations:
Net investment loss.......................................... (0.16)
Net realized and unrealized gain............................. 1.18
-------
Total income from investment operations................... 1.02
-------
Less distributions:
Distributions from net investment income..................... --
Distributions from net realized gain......................... (0.69)
Distributions in excess of net realized gain................. --
-------
Total distributions....................................... (0.69)
-------
Net asset value, end of period................................ $ 10.68
=======
Total return (non-annualized)................................. 9.93%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $26,632
Ratio of expenses to average net assets:
Before expense reimbursement................................ 3.02%**
After expense reimbursement................................. 1.76%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ (0.92%)**
After expense reimbursement................................. 0.34%**
Portfolio turnover rate...................................... 59%
</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. This philosophy offers the greatest potential for achieving
enhanced long-term returns, while maintaining control of risk.
The SwissKey Global Bond Fund has provided an unannualized return of 7.22%
since July 31, 1995. Its benchmark, the Salomon World Government Bond Index,
returned 1.62%. Below is a discussion of the 1995 global bond markets, as well
as our current investment strategies.
Market and currency allocation and bond management strategies all contributed
positively to portfolio performance. Market allocation contributions were
broadly derived from European and Canadian bond market overweights against U.S.
and Japanese underweights. The yen underweight provided for the currency
allocation contribution. Bond management added value in nearly every country.
The foundation for the bond market strength was established in 1994 as global
bond prices retreated from historically high levels. Yield increases, built on
fears of higher inflation and excessive demand for capital, created large
discrepancies between prices and fundamental values. These discrepancies were
largely erased during 1995 as economies began to languish and inflation fears
evaporated.
During the course of the year global bondmarkets staged an almost uninterrupted
rally. The year's hedged return of 17.83% was the largest calendar year return
since 1982. No single market provided a negative return and the Dutch market
paced the index with a U.S. dollar hedged return of 20.36%.
Currency movements, especially the Japanese yen, contributed significantly to
index volatility during the year. The yen appreciated by more than 20% early in
the year, reaching a peak of 80 yen/U.S. dollar in mid-April. It depreciated
through the rest of the year to end about unchanged at roughly 100 yen/U.S.
dollar. The yen underweight and U.S. dollar overweight added value through the
extreme interest rate differential between the U.S. and Japan. A partial offset
to this value-added came from underweights of the core European currencies.
These currencies appreciated in the early part of 1995, but, unlike the yen,
remained steady for the year's duration. The European currencies as well as the
yen ended the year overpriced relative to fundamental value. Consequently, the
Fund remains underweighted in these currencies with offsetting overweights in
the U.S. and Canadian dollars.
Bond management added value in nearly every country. In the U.S., added value
is attributable to non-government debt exposures. Long duration strategies in
most non-U.S. markets added to relative performance.
------------------------------------------------------------
36
<PAGE>
GLOBAL BOND FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
Since
Quarter Inception*
- -------------------------------------------------------
<S> <C> <C>
SWISSKEY GLOBAL BOND FUND 4.93% 7.22%
Salomon World Government Bond Index 2.95% 1.62%
- -------------------------------------------------------
</TABLE>
*Inception date of the SwissKey Global Bond Fund was July 31, 1995.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth in the value of an investment in the SwissKey
Global Bond Fund and the Salomon World Government Bond Index if you had
invested $10,000 on July 31, 1995, and had reinvested all your income dividends
and capital gain distributions through December 31, 1995. No adjustment has
been made for any income taxes payable by shareholders on income dividends and
capital gain distributions. Past performance is no guarantee of future
results. Share price and return will vary with market conditions; investors
may realize a gain or loss upon redemption.
SWISSKEY GLOBAL BOND FUND
VS. SALOMON WORLD GOVERNMENT BOND INDEX
Wealth Value with Dividends Reinvested
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Swisskey Global Salomon World Government
Bond Fund Bond Index
--------------- ------------------------
<S> <C> <C>
7/31/95 $10,000 $10,000
8/31/95 $10,094 $ 9,656
9/30/95 $10,217 $ 9,871
10/31/95 $10,388 $ 9,944
11/30/95 $10,587 $10,056
12/31/95 $10,722 $10,162
</TABLE>
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 December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- -------------------------------
<S> <C> <C>
U.S. 34.3% 28.3%
Japan 19.9 7.4
Australia 1.0 0.0
Austria 0.8 0.0
Belgium 2.7 3.0
Canada 2.9 6.6
Denmark 1.7 6.4
France 7.2 11.3
Germany 10.6 15.2
Italy 5.9 3.7
Netherlands 3.5 8.6
Spain 2.4 3.6
Sweden 1.8 0.0
U.K. 5.3 5.9
- -------------------------------
100.0% 100.0%
</TABLE>
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. BONDS
Corporate Bonds
Asset-backed........................................................... 1.34%
CMO.................................................................... 0.18
Consumer............................................................... 1.58
Financial.............................................................. 2.71
Floating rate.......................................................... 0.65
Industrial............................................................. 0.70
Telecommunications..................................................... 0.75
Transportation......................................................... 0.26
Yankee................................................................. 0.79
------
8.96
International Dollar Bonds............................................. 0.36
U.S. Government Agencies............................................... 9.36
U.S. Government Obligations............................................ 7.86
------
Total U.S. Bonds..................................................... 26.54
------
NON-U.S. BONDS
Foreign Financial Bonds................................................. 32.11
Foreign Government Bonds................................................ 32.93
------
Total Non-U.S. Bonds................................................. 65.04
------
SHORT-TERM INVESTMENTS.................................................. 4.83
------
TOTAL INVESTMENTS.................................................... 96.41
CASH AND OTHER ASSETS, LESS LIABILITIES................................. 3.59
------
NET ASSETS........................................................... 100.00%
======
- --------------------------------------------------------------------------------
</TABLE>
CURRENCY ALLOCATION
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
- -------------------------------
<S> <C> <C>
U.S. 34.3% 67.9%
Japan 19.9 0.0
Australia 1.0 3.2
Austria 0.8 0.0
Belgium 2.7 0.0
Canada 2.9 11.5
Denmark 1.7 0.0
France 7.2 0.0
Germany 10.6 0.0
Italy 5.9 8.5
Netherlands 3.5 0.0
Spain 2.4 3.6
Sweden 1.8 0.0
U.K. 5.3 5.3
- -------------------------------
100.0% 100.0%
</TABLE>
------------------------------------------------------------
38
<PAGE>
GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
----------- -----------
<S> <C> <C>
Bonds -- 91.58%
U.S. BONDS -- 26.54%
U.S. CORPORATE BONDS -- 8.96%
Burlington Northern Santa Fe
7.000%, due 12/15/25................................... $ 100,000 $ 98,778
Chrysler Financial Corp.
6.007%, due 07/31/97................................... 150,000 150,042
6.500%, due 08/21/97................................... 165,000 167,034
Dayton Hudson Credit Card Trust 95-1A
6.100%, due 09/25/98................................... 100,000 101,605
Farmers Insurance Exchange 144-A
8.625%, due 05/01/24................................... 250,000 253,547
Ford Credit Grantor Trust 95-b
5.900%, due 10/15/00................................... 102,133 102,046
Ford Credit Auto Lease Trust
6.350%, due 10/15/98................................... 200,000 201,250
GMAC MTN
6.750%, due 06/10/02................................... 200,000 206,192
Green Tree Financial 94-2
8.300%, due 05/15/19................................... 25,000 27,649
Green Tree Acceptance Corp. 94-A
6.900%, due 02/15/04................................... 40,199 40,319
Korean Development Bank
6.500%, due 11/15/02................................... 295,000 299,201
News America Corp.
7.750%, due 01/20/24................................... 275,000 285,264
Republic Bank of New York Corp. FRN
3.942%, due 12/29/02................................... 255,000 247,350
RJR Nabisco, Inc.
8.625%, due 12/01/02................................... 250,000 259,312
Standard Credit Card Trust 94-1A
4.650%, due 02/07/97................................... 250,000 247,920
The Money Store 94-A3
5.525%, due 05/15/97................................... 105,000 103,786
Time Warner, Inc.
9.125%, due 01/15/13................................... 210,000 236,281
USX Corp.
9.800%, due 07/01/01................................... 145,000 167,304
8.500%, due 03/01/23................................... 90,000 98,785
Woolworth Corp.
7.000%, due 10/15/02................................... 105,000 107,341
-----------
3,401,006
-----------
INTERNATIONAL DOLLAR BONDS -- 0.36%
Republic of South Africa
9.625%, due 12/15/99................................... 125,000 135,000
-----------
U.S. GOVERNMENT AGENCIES -- 9.36%
Federal Home Loan Mortgage Corp.
7.000%, due 04/15/07................................... 180,831 182,187
7.000%, due 10/15/21................................... 200,000 199,813
7.500%, due 07/15/22................................... 130,000 136,462
Federal Home Loan Mortgage Corp. Gold
9.000%, due 05/01/24................................... 407,235 430,725
8.500%, due 08/01/24................................... 231,607 241,668
Federal National Mortgage Association
6.240%, due 01/28/04................................... 75,000 74,620
7.400%, due 07/01/04............................... $ 305,000 $ 336,301
7.000%, due 06/17/17............................... 80,000 82,599
9.000%, due 08/01/21............................... 39,575 42,076
8.500%, due 07/01/22............................... 27,713 29,173
7.000%, due 09/01/24............................... 275,000 277,149
7.500%, due 05/01/25............................... 426,419 436,814
Government National Mortgage
Association
9.000%, due 12/15/09............................... 272,604 288,685
9.000%, due 12/15/17............................... 195,593 208,232
8.000%, due 12/15/22............................... 197,188 204,551
7.000%, due 09/15/24............................... 105,000 107,953
5.500%, due 10/20/25............................... 210,400 210,463
Tennessee Valley Authority
6.875%, due 12/15/43............................... 65,000 64,451
-----------
3,553,922
-----------
U.S. GOVERNMENT OBLIGATIONS -- 7.86%
U.S. Treasury Bond
8.125%, due 05/15/21............................... 265,000 335,391
U.S. Treasury Coupon Strips
0.000%, due 11/15/19............................... 920,000 208,840
U.S. Treasury Notes
6.625%, due 03/31/97............................... 710,000 722,203
5.500%, due 11/15/98............................... 410,000 412,947
6.250%, due 08/31/00............................... 755,000 781,425
7.250%, due 05/15/04............................... 435,000 483,938
U.S. Treasury Principal Strips
0.000%, due 05/15/20............................... 170,000 37,675
-----------
2,982,419
-----------
Total U.S. Bonds.................................... 10,072,347
-----------
NON-U.S. BONDS -- 65.04%
BELGIUM -- 2.78%
Kingdom of Belgium
8.750%, due 06/25/02............................... BEF 14,000,000 542,572
9.000%, due 03/28/03............................... 13,000,000 510,620
-----------
1,053,192
-----------
CANADA -- 6.25%
Quebec Province
7.500%, due 12/01/03............................... CAD 1,600,000 1,162,194
Government of Canada
4.250%, due 12/01/21............................... 1,600,000 1,211,132
-----------
2,373,326
-----------
DENMARK -- 5.87%
Kingdom of Denmark
9.000%, due 11/15/00............................... DKR 2,200,000 441,620
Great Belt
7.000%, due 09/02/03............................... 9,900,000 1,786,326
-----------
2,227,946
-----------
</TABLE>
- --------------------------------------------------------------------------------
39
<PAGE>
GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
---------------- -----------
<S> <C> <C>
FRANCE -- 10.95%
Eurofima
8.625%, due 09/01/99............................. FRF 5,100,000 $ 1,138,626
Government of France (OAT)
8.500%, due 12/26/12............................. 3,600,000 841,148
8.500%, due 04/25/23............................. 2,400,000 554,779
KFW International Finance
7.750%, due 02/17/98............................. 1,600,000 342,494
Republic of Finland
9.000%, due 08/13/03............................. 5,500,000 1,276,428
-----------
4,153,475
-----------
GERMANY -- 14.18%
Bundesrepublik Deutscheland
8.000%, due 07/22/02............................. DEM 700,000 552,058
6.250%, due 01/04/24............................. 450,000 292,863
Deutsche Bundesbahn
9.000%, due 12/01/00............................. 900,000 727,835
6.125%, due 10/28/03............................. 400,000 280,444
European Economic Community
6.500%, due 03/10/00............................. 2,950,000 2,176,483
Kingdom of Norway
6.125%, due 05/05/98............................. 1,040,000 757,856
LKB Baden-Wurt Finance
6.500%, due 09/15/08............................. 850,000 590,600
-----------
5,378,139
-----------
ITALY -- 3.06%
Deutsche Bank
11.750%, due 02/23/98............................ ITL 900,000,000 589,273
European Investment Bank
12.750%, due 02/15/00............................ 280,000,000 190,830
Nordic Investment Bank
10.800%, due 05/24/03............................ 600,000,000 381,975
-----------
1,162,078
-----------
JAPAN -- 7.75%
Government of Japan No. 130
6.700%, due 06/20/00............................. JPY 80,000,000 936,345
Government of Japan No. 140
6.600%, due 06/20/01............................. 24,000,000 284,347
International Bank of Reconstruction & Development
4.750%, due 12/20/04............................. 104,000,000 1,151,915
Republic of Italy
3.500%, due 06/20/01............................. 56,000,000 569,704
-----------
2,942,311
-----------
NETHERLANDS -- 5.75%
Austria Republic
6.250%, due 02/28/24.............................. NLG 825,000 $ 465,767
Government of Nederlands
8.500%, due 06/01/06.............................. 325,000 238,833
8.250%, due 09/15/07.............................. 820,000 593,388
Rabobank
6.750%, due 06/25/03.............................. 1,350,000 885,122
-----------
2,183,110
-----------
SPAIN -- 3.02%
European Investment Bank
11.250%, due 03/15/00............................. SPN 130,000,000 1,147,857
-----------
1,147,857
-----------
UNITED KINGDOM -- 5.43%
Abbey National
8.750%, due 05/24/04.............................. GBP 400,000 645,862
British Gas PLC
8.125%, due 03/31/03.............................. 640,000 1,007,844
UK Treasury
8.000%, due 06/10/03.............................. 80,000 129,832
8.500%, due 12/07/05.............................. 165,000 275,305
-----------
2,058,843
-----------
Total Non-U.S. Bonds............................... 24,680,277
-----------
Total Bonds
(Cost $32,227,439)................................ 34,752,624
-----------
Short-Term Investments -- 4.83%
COMMERCIAL PAPER -- 4.83%
Crown Cork & Seal Co., Inc.
6.060%, due 01/09/96.............................. 400,000 399,461
General American Transportation Corp.
6.200%, due 01/18/96.............................. 400,000 398,829
Trinova Corp.
6.200%, due 01/10/96.............................. 500,000 499,225
Whitman Corp.
5.950%, due 01/02/96.............................. 534,000 533,912
-----------
Total Short-Term Investments
(Cost $1,831,427)................................. 1,831,427
-----------
Total Investments
(Cost $34,058,866) -- 96.41% (a) 36,584,051
-----------
Cash and other assets,
less liabilities -- 3.59%......................... 1,362,418
-----------
Net Assets -- 100%................................. $37,946,469
===========
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
40
<PAGE>
GLOBAL BOND FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a)Aggregate cost for federal income tax purposes was $34,058,866; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................................. $2,566,208
Gross unrealized depreciation................................. (41,023)
----------
Net unrealized appreciation................................ $2,525,185
==========
</TABLE>
FRN: Floating Rate Note--The rate disclosed is that in effect at December 31,
1995.
MTN: Medium Term Note
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 4)
The Global Bond Fund had the following open forward foreign currency contracts
as of December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
---------- ------------- ---------- ----------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY
BUY CONTRACTS
Australian Dollar....... 06/05/96 1,690,000 $1,251,986 $ 1,471
British Pound........... 06/05/96 1,000,000 1,539,210 14,144
Canadian Dollar......... 06/05/96 2,600,000 1,905,418 (20,259)
Dutch Guilder........... 06/04/96 1,500,000 943,583 2,005
Italian Lira............ 06/05/96 3,000,000,000 1,854,030 14,160
Swedish Krone........... 06/05/96 6,800,000 1,013,943 (13,434)
FORWARD FOREIGN CURRENCY
SALE CONTRACTS
Belgian Franc........... 06/05/96 31,000,000 1,058,709 22,032
British Pound........... 06/05/96 1,000,000 1,539,354 13,096
Danish Kroner........... 06/04/96 12,500,000 2,262,418 31,623
Dutch Guilder........... 06/05/96 5,000,000 3,145,432 58,361
French Franc............ 06/05/96 19,000,000 3,892,369 20,195
German Mark............. 06/05/96 7,500,000 5,280,585 75,594
Japanese Yen............ 06/05/96 300,000,000 2,971,990 68,633
Sweden Krone............ 06/05/96 6,800,000 1,013,943 (19,732)
--------
Total................ $267,889
========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
41
<PAGE>
GLOBAL BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $34,058,866) (Note 1)................ $36,584,051
Cash............................................................. 10,721
Foreign currency, at value (Cost $528,746)....................... 533,662
Receivables:
Investment securities sold...................................... 131,666
Interest........................................................ 970,606
Fund shares sold................................................ 50
Due from Advisor (Note 2)....................................... 120,218
Net unrealized appreciation on forward foreign currency con-
tracts......................................................... 267,889
Deferred organization costs, net of amortization (Note 1)........ 7,245
Other assets..................................................... 858
-----------
TOTAL ASSETS.................................................. 38,626,966
-----------
LIABILITIES:
Payables:
Investment securities purchased................................. 514,286
Accrued expenses................................................ 166,211
-----------
TOTAL LIABILITIES............................................. 680,497
-----------
NET ASSETS........................................................ $37,946,469
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 7)......................................... $36,504,078
Accumulated undistributed net investment income.................. 311,700
Accumulated net realized loss.................................... (1,666,332)
Net unrealized appreciation...................................... 2,797,023
-----------
NET ASSETS.................................................... $37,946,469
===========
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $36,184,017 and 3,619,391 shares issued
and outstanding) (Note 7)....................................... $ 10.00
===========
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $1,762,452 and 176,423 shares issued and
outstanding) (Note 7)........................................... $ 9.99
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
42
<PAGE>
GLOBAL BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.......................................................... $1,364,857
----------
TOTAL INCOME................................................... 1,364,857
----------
EXPENSES:
Advisory (Note 2)................................................. 151,282
Custodian......................................................... 57,000
Accounting........................................................ 53,023
Professional...................................................... 38,391
Printing.......................................................... 24,900
Amortization of organization costs (Note 1)....................... 7,413
Distribution (Note 6)............................................. 1,925
Other............................................................. 60,754
----------
TOTAL EXPENSES................................................. 394,688
Expenses deferred and reimbursed by Advisor (Note 2)........... (211,225)
----------
NET EXPENSES................................................... 183,463
----------
NET INVESTMENT INCOME.......................................... 1,181,394
----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments...................................................... 1,131,117
Foreign currency transactions.................................... 715,863
----------
Net realized gain............................................... 1,846,980
----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................. (489,604)
Forward contracts................................................ 988,559
Translation of other assets and liabilities denominated in for-
eign currency................................................... (24,839)
----------
Change in net unrealized appreciation or depreciation........... 474,116
----------
Net realized and unrealized gain.................................. 2,321,096
----------
Net increase in net assets resulting from operations.............. $3,502,490
==========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
43
<PAGE>
GLOBAL BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR
SIX MONTHS ENDED ENDED
DECEMBER 31, 1995 JUNE 30,
(UNAUDITED) 1995
----------------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income.......................... $ 1,181,394 $ 2,663,927
Net realized gain (loss)....................... 1,846,980 (467,411)
Change in net unrealized appreciation or depre-
ciation ...................................... 474,116 2,879,443
----------- -----------
Net increase in net assets resulting from oper-
ations........................................ 3,502,490 5,075,959
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income
Brinson Class................................. (4,048,340) (1,146,710)
SwissKey Class................................ (192,535) --
Distributions from net realized gains
Brinson Class................................. (338,786) --
SwissKey Class................................ (16,271) --
----------- -----------
Total distributions to shareholders............ (4,595,932) (1,146,710)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................... 1,828,373 15,734,111
Shares issued on reinvestment of distributions. 3,493,217 824,053
Shares redeemed................................ (18,144,197) (5,474,354)
----------- -----------
Net increase (decrease) in net assets resulting
from capital share transactions (Note 7)...... (12,822,607) 11,083,810
----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS..... (13,916,049) 15,013,059
----------- -----------
NET ASSETS:
Beginning of period............................ 51,862,518 36,849,459
----------- -----------
End of period (including accumulated undistrib-
uted net investment income of $311,700 and
$1,095,344, respectively)..................... $37,946,469 $51,862,518
=========== ===========
</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>
SIX MONTHS ENDED YEAR JULY 30, 1993*
DECEMBER 31, 1995 ENDED THROUGH
BRINSON CLASS (UNAUDITED) JUNE 30, 1995 JUNE 30, 1994
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of
period......................... $ 10.39 $ 9.55 $ 10.00
------- ------- -------
Income (loss) from investment
operations:
Net investment income ......... 0.88 0.50 0.45
Net realized and unrealized
gain (loss)................... 0.07 0.58 (0.52)
------- ------- -------
Total income (loss) from in-
vestment operations........ 0.95 1.08 (0.07)
------- ------- -------
Less distributions:
Distributions from net invest-
ment income................... (1.24) (0.24) (0.28)
Distributions from and in ex-
cess of net realized gain..... (0.10) -- (0.10)
------- ------- -------
Total distributions......... (1.34) (0.24) (0.38)
------- ------- -------
Net asset value, end of period.. $ 10.00 $ 10.39 $ 9.55
======= ======= =======
Total return (non-annualized)... 9.19% 11.34% (0.79%)
Ratios/Supplemental data
Net assets, end of period (in
000s)......................... $36,184 $51,863 $36,849
Ratio of expenses to average
net assets:
Before expense reimbursement.. 1.96%** 1.43% 1.78%**
After expense reimbursement... 0.90%** 0.90% 0.90%**
Ratio of net investment income
to average net assets:
Before expense reimbursement.. 4.88%** 5.53% 4.03%**
After expense reimbursement... 5.94%** 6.06% 4.91%**
Portfolio turnover rate........ 88% 199% 189%
</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
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $10.56
------
Income from investment operations:
Net investment income........................................ 0.85
Net realized and unrealized loss............................. (0.10)
------
Total income from investment operations................... 0.75
------
Less distributions:
Distributions from net investment income..................... (1.22)
Distributions from net realized gain......................... (0.10)
------
Total distributions....................................... (1.32)
------
Net asset value, end of period................................ $ 9.99
======
Total return (non-annualized)................................. 7.22%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $1,762
Ratio of expenses to average net assets:
Before expense reimbursement................................ 2.45%**
After expense reimbursement................................. 1.39%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ 4.39%**
After expense reimbursement................................. 5.45%**
Portfolio turnover rate...................................... 88%
</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 ten series: Global Fund, Global
Equity Fund, Global Bond Fund, Short-Term Global Income Fund, U.S. Balanced
Fund, U.S. Equity Fund, U.S. Bond Fund, U.S. Cash Management Fund, Non-U.S.
Equity Fund and Non-U.S. Bond Fund. Each Fund has outstanding two classes of
shares, Brinson class and SwissKey class. There are an unlimited number of
shares of each class with par value of $0.001 authorized. Each share represents
an identical interest in the investments of the Funds and has the same rights.
The following is a summary of significant accounting policies consistently
followed by the Global Fund, the Global Equity Fund and the Global Bond Fund
(each a "Fund" and collectively, the "Funds") in the preparation of their
financial statements.
A.INVESTMENT VALUATION: Securities for which quotations are readily available
are valued at the last available sales price on the exchange or market on which
they are principally traded, or lacking any sales, at the last available bid
price on the exchange or market on which such securities are principally
traded. Securities for which market quotations are not readily available,
including restricted securities which are subject to limitations on their sale,
are valued at fair value as determined in good faith by or under the direction
of the Trust's Board of Trustees. Fixed income/debt securities are valued by
using market quotations or independent services that use prices provided by
market makers or estimates of market values obtained from yield data relating
to instruments or securities with similar characteristics. Futures contracts
are valued at the settlement price established each day on the exchange on
which they are traded. Forward contracts are valued daily using quoted forward
exchange rates. Short-term obligations with a maturity of 60 days or less are
valued at amortized cost, which approximates market value.
B.FOREIGN CURRENCY TRANSLATION: Investment securities and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
at the bid prices of such currencies against the U.S. dollar as of the date of
valuation. Purchases and sales of portfolio securities, commitments under
forward foreign currency contracts, income receipts and expense accruals are
translated at the prevailing exchange rate on the date of each transaction.
Realized and unrealized foreign exchange gains or losses on investments are
included as a component of net realized and unrealized gain or loss in the
statement of operations.
C.INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade
date basis. Gains and losses on securities sold are determined on an identified
cost basis.
D.INVESTMENT INCOME: Interest income, which includes the amortization of
premiums and discounts is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date, except that certain dividends from foreign
securities are recorded as the information becomes available.
E.FEDERAL INCOME TAXES: It is the policy of the Funds to comply with all
requirements of the Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute substantially all of their taxable
income to their shareholders. The Funds have met the requirements of the Code
applicable to regulated investment companies for the six months ended December
31, 1995. Therefore, no federal income tax provision was required. At December
31, 1995, the Global Equity Fund had a capital loss carryforward of
approximately $1,069,000, of which $251,000 will expire on June 30, 2003 and
$818,000 will expire on June 30, 2004 and the Global Bond Fund had a capital
loss carryforward of approximately $55,000 which will expire on June 30, 2004.
F.ORGANIZATION COSTS: Organization costs are being amortized on a straight-line
basis over five years from each Fund's respective commencement of operations.
G.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Funds to distribute
their respective net investment income on a semi-annual basis and net capital
gains annually. Distributions to shareholders are recorded on the ex-dividend
date. Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments for
foreign currency transactions. Differences in dividends per
- --------------------------------------------------------------------------------
47
<PAGE>
THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
share between the classes are due to different class expenses. Amounts equal to
17.54% and 100.00% of the amount taxable as ordinary income qualify for the
dividends received deduction available to corporate shareholders for the Global
Fund and the Global Equity Fund, respectively.
H.INCOME AND EXPENSE ALLOCATION: All income earned and expenses incurred by the
Fund, will be borne on a pro rata basis by each of the classes except that the
Brinson Class shares will not incur any of the 12b-1 expenses.
2.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Brinson Partners, Inc. (the "Advisor"), a registered investment advisor,
provides the Funds with investment management services. As compensation for
these services, the Funds pay the Advisor a monthly fee based on each Fund's
respective average daily net assets. The Advisor has agreed to waive its fees
and reimburse each Fund to the extent total annualized expenses exceed a
specified percentage of each Fund's respective average daily net assets.
Investment advisory fees and other transactions with affiliates, for the six
months ended December 31, 1995, were as follows:
<TABLE>
<CAPTION>
FEES
ADVISORY BRINSON CLASS SWISSKEY CLASS ADVISORY DEFERRED AND/OR DUE FROM
FEE EXPENSE CAP EXPENSE CAP FEES REIMBURSED ADVISOR
-------- ------------- -------------- ---------- --------------- --------
<S> <C> <C> <C> <C> <C> <C>
Global Fund............. 0.80% 1.10% 1.75% $1,610,179 $ -- $ --
Global Equity Fund...... 0.80 1.00 1.76 175,156 273,977 200,332
Global Bond Fund........ 0.75 0.90 1.39 151,282 211,225 120,218
</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 $5,790, $2,139 and $2,266 for the Brinson
Global Fund, Brinson Global Equity Fund and Brinson Global Bond Fund,
respectively.
3.INVESTMENT TRANSACTIONS
Investment transactions for the six months ended December 31, 1995, excluding
short-term investments, are as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
Global Fund........................................... $335,226,000 $293,096,250
Global Equity Fund.................................... 41,086,752 24,255,982
Global Bond Fund...................................... 32,218,194 41,468,914
</TABLE>
4.FORWARD FOREIGN CURRENCY CONTRACTS
The Funds engage in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. Foward foreign currency contracts are also used to achieve
currency allocation strategies. A forward foreign currency contract is a
commitment to purchase or sell a foreign currency at a future date at a
negotiated forward rate. Risks associated with such contracts include movement
in the value of the foreign currency relative to the U.S. dollar and the
ability of the counterparty to perform. The unrealized gain, if any, represents
the credit risk to the Fund on a foward foreign currency contract. Fluctuations
in the value of forward foreign currency contracts are recorded daily as net
unrealized gains or losses. The Funds realize a gain or loss upon settlement of
the contracts. The statement of operations reflects net realized and net
unrealized gains and losses on these contracts. The counterparty to all forward
foreign currency contracts at December 31, 1995 was the Funds' custodian.
5.FUTURES CONTRACTS
The Funds may purchase or sell exchange-traded futures contracts, which are
contracts that obligate the Funds to make or take delivery of a financial
instrument or the cash value of a securities index at a specified future date
at a specified price. The Funds enter into such contracts to hedge a portion of
their portfolio. Risks of entering into futures contracts include the
possibility that there may be an
- --------------------------------------------------------------------------------
48
<PAGE>
THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
illiquid market and that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. Upon entering
into a futures contract, the Funds are required to deposit either cash or
securities in an amount (initial margin) based on the number of open contracts.
Subsequent payments (variation margin) are made or received by the Funds,
generally on a daily basis. The variation margin payments are equal to the
daily changes in the contract value and are recorded as unrealized gains or
losses. The Funds recognize a realized gain or loss when the contract is closed
or expires. The statement of operations reflects net realized and net
unrealized gains and losses on these contracts.
6.DISTRIBUTION PLAN
The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act of 1940 (the "Act"). The Plan governs payments
made for the expenses incurred in the promotion and distribution of the
SwissKey Class of shares. Annual fees under the Plan of 0.65%, 0.76% and 0.49%
of the average daily net assets of the SwissKey Class of the Global Fund,
Global Equity Fund and Global Bond Fund, respectively, are accrued daily.
7.CAPITAL TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
GLOBAL FUND
---------------------------------------------
SIX MONTHS ENDED
DECEMBER 31, 1995 YEAR ENDED
(UNAUDITED) JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class.................... 4,859,379 $57,939,772 11,726,672 $124,484,442
SwissKey Class................... 147,037 1,780,070 -- --
--------- ----------- ---------- ------------
Total Sales................... 5,006,416 $59,719,842 11,726,672 $124,484,442
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class.................... 2,228,457 $26,028,383 960,415 $ 10,276,565
SwissKey Class................... 9,533 111,252 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment... 2,237,990 $26,139,635 960,415 $ 10,276,565
========= =========== ========== ============
Redemptions:
Brinson Class.................... 2,907,523 $34,785,958 7,205,445 $ 77,406,972
SwissKey Class................... 86 1,026 -- --
--------- ----------- ---------- ------------
Total Redemptions............. 2,907,609 $34,786,984 7,205,445 $ 77,406,972
========= =========== ========== ============
</TABLE>
- --------------------------------------------------------------------------------
49
<PAGE>
THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL EQUITY FUND
-------------------------------------------
SIX MONTHS ENDED
DECEMBER 31, 1995 YEAR ENDED
(UNAUDITED) JUNE 30, 1995
--------------------- ---------------------
SHARES VALUE SHARES VALUE
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Sales:
Brinson Class...................... 19,449 $ 219,994 13,700 $ 133,064
SwissKey Class..................... 2,645,256 23,643,172 -- --
--------- ----------- --------- -----------
Total Sales..................... 2,664,705 $23,863,166 13,700 $ 133,064
========= =========== ========= ===========
Dividend Reinvestment:
Brinson Class...................... 147,823 $ 1,553,509 28,495 $ 271,028
SwissKey Class..................... 152,235 1,601,512 -- --
--------- ----------- --------- -----------
Total Dividend Reinvestment..... 300,058 $ 3,155,021 28,495 $ 271,028
========= =========== ========= ===========
Redemptions:
Brinson Class...................... 74,980 $ 797,564 131,587 $ 1,262,526
SwissKey Class..................... 303,416 3,266,101 -- --
--------- ----------- --------- -----------
Total Redemptions............... 378,396 $ 4,063,665 131,587 $ 1,262,526
========= =========== ========= ===========
<CAPTION>
GLOBAL BOND FUND
-------------------------------------------
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1995 JUNE 30, 1995
--------------------- ---------------------
SHARES VALUE SHARES VALUE
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Sales:
Brinson Class...................... 10,065 $ 107,043 1,615,817 $15,734,111
SwissKey Class..................... 158,111 1,721,330 -- --
--------- ----------- --------- -----------
Total Sales..................... 168,176 $ 1,828,373 1,615,817 $15,734,111
========= =========== ========= ===========
Dividend Reinvestment:
Brinson Class...................... 333,396 $ 3,310,623 80,422 $ 824,053
SwissKey Class..................... 18,407 182,594 -- --
--------- ----------- --------- -----------
Total Dividend Reinvestment..... 351,803 $ 3,493,217 80,422 $ 824,053
========= =========== ========= ===========
Redemptions:
Brinson Class...................... 1,715,619 $18,143,201 564,413 $ 5,474,354
SwissKey Class..................... 95 996 -- --
--------- ----------- --------- -----------
Total Redemptions............... 1,715,714 $18,144,197 564,413 $ 5,474,354
========= =========== ========= ===========
</TABLE>
- --------------------------------------------------------------------------------
50
<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
SWISSKEY U.S. BALANCED FUND
SWISSKEY U.S. EQUITY FUND
SWISSKEY U.S. BOND FUND
SEMI-ANNUAL REPORT
DECEMBER 31, 1995
<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. Balanced Fund............................................................ 5
Schedule of Investments...................................................... 8
Financial Statements.........................................................11
Financial Highlights.........................................................14
U.S. Equity Fund..............................................................16
Schedule of Investments......................................................19
Financial Statements.........................................................21
Financial Highlights.........................................................24
U.S. Bond Fund................................................................26
Schedule of Investments......................................................29
Financial Statements.........................................................30
Financial Highlights.........................................................33
The SwissKey Funds--Notes to Financial Statements.............................35
------------------------------------------------------------
3
<PAGE>
SHAREHOLDER LETTER
- --------------------------------------------------------------------------------
LOGO
February 22, 1996
Dear Shareholder:
Thank you for investing in the SwissKey Funds. We are pleased to present you
with the December 31, 1995 Semi-Annual Report for the U.S Balanced Fund, the
U.S. Equity Fund and the U.S. Bond Fund.
A COMPELLING COMBINATION OF TWO GLOBAL INVESTMENT LEADERS
In the world of global investing, the combination of Swiss Bank Corporation and
Brinson Partners, Inc. adds world class value to our clients' investments.
Swiss Bank Corporation, founded in 1872, is a global financial institution
serving the needs of worldwide corporate, public and private clients. With more
than $191 billion in assets and a strong presence in 40 countries, Swiss Bank
Corporation is the largest fund manager in Switzerland and is among the top
money managers worldwide. Swiss Bank Corporation holds membership in the
world's leading stock exchanges.
Brinson Partners, Inc. currently manages over $53 billion in assets for clients
which include employee benefit plans and other institutional investors. The
firm is the largest U.S. active manager of global assets and has operated under
the same investment philosophy and senior management for almost two decades.
U.S. BALANCED FUND
Since the commencement of the SwissKey Class distribution on July 31, 1995, the
SwissKey U.S. Balanced Fund has provided a total return of 8.41%. The Fund's
market allocation has been characterized by an underweight in the U.S. equity
market and overweight to the U.S. Bond market.
U.S. EQUITY FUND
Since the commencement of the SwissKey Class distribution on July 31, 1995, the
SwissKey U.S. Equity Fund has provided a total return of 13.35%. Fund strategy
currently maintains an above average exposure to stocks with high
earnings/price measures and an overweight of intermediate versus large
capitalization issues relative to the benchmark. The Fund also possesses a
meaningful exposure toward economically-sensitive and financially-leveraged
stocks and an underweight with respect to companies with foreign earnings and
relative strength.
U.S. BOND FUND
Since commencement on August 31, 1995, the SwissKey U.S. Bond Fund has provided
a total return of 5.29%. With intermediate and long-term interest rates within
the range of our estimates of fair value, the Fund's current investment
strategy involves near neutral duration and yield curve exposure.
We look forward to the challenges ahead and, as always, welcome your thoughts
and comments.
Sincerely,
/s/ Raoul Weil /s/ Raymond Simon
Raoul Weil Raymond Simon
Executive Director Executive Director
Private Investors & Private Investors &
Asset Management Asset Management
------------------------------------------------------------
4
<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. This philosophy offers the greatest
potential for achieving enhanced long-term returns, while controlling risk.
The SwissKey U.S. Balanced Fund produced an unannualized return of 8.41% since
its inception on July 31, 1995. This compares with the corresponding 8.54%
return of its benchmark, the U.S. Balanced Index. The U.S. Balanced Index is a
fixed weight composite of 65% Wilshire 5000 Equity Index and 35% Salomon
Brothers Broad Investment Grade Bond Index. Security selection within equities
contributed positively to relative performance, while underweighting equities
and overweighting bonds contributed negatively.
Below is a discussion of the 1995 U.S. markets activity, as well as our current
investment strategies.
At the start of 1995, the Federal Reserve raised its target for the Fed Funds
rate by 50 basis points, after increasing it more than 250 basis points the
previous year. These rate hikes produced enough signs of slowing growth and
sluggish inflationary pressure that the Fed reversed course and provided two
small rate cuts later in the year.
Bonds performed well in the low inflation environment. Considerable declines in
long yields caused the yield curve to become almost horizontal toward the end
of the year. Long bonds provided excellent returns as a result. With rates
declining over most of the curve, the bond market moved from undervalued to a
position approximating fundamental value. At the short end, values are still in
excess of price, but at the long end price and value are very close.
Lower interest rates also benefited several sectors of the U.S. equity market,
in particular bank and insurance stocks. The equity market was buoyed by a
large number of positive earnings surprises, and earnings growth continued at a
double-digit pace. The equity component of the Fund was helped by an overweight
in bank stocks and by favorable market response to consolidation in several
overweighted industries.
With equity prices rising through the year, the market's overvaluation
persisted at about 20%. At year-end, asset allocation strategy involves
underweighting the overvalued equity market and overweighting the relatively
attractive bond market. Duration strategy is approximately neutral as bond
prices, except at the short end, are within the range of our fundamental value
estimates.
------------------------------------------------------------
5
<PAGE>
U.S. BALANCED FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
Since
Quarter inception*
- -----------------------------------------------
<S> <C> <C>
SWISSKEY U.S. BALANCED FUND 4.99% 8.41%
- -----------------------------------------------
U.S. Balanced Index** 4.55% 8.54%
- -----------------------------------------------
</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 Equity Index and 35% Salomon Brothers Broad Investment Grade Bond
Index.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth in the value of an investment in the SwissKey U.S.
Balanced Fund and the U.S. Balanced Index if you had invested $10,000 on July
31, 1995, and had reinvested all your income dividends and capital gain
distributions through December 31, 1995. No adjustment has been made for any
income taxes payable by shareholders on income dividends and capital gain
distributions. Past performance is no guarantee of future results. Share price
and return will vary with market conditions; investors may realize a gain or
loss upon redemption.
SWISSKEY U.S. BALANCED FUND
VS. U.S. BALANCED INDEX
Wealth Value with Dividends Reinvested
<TABLE>
[GRAPH APPEARS HERE]
<CAPTION>
SwissKey U.S. U.S.
Measurement Period Balanced Fund Balanced Index
- ------------------- ------------- --------------
<S> <C> <C>
Measurement Pt-
7/31/95 $10,000 $10,000
8/31/95 $10,140 $10,100
9/30/95 $10,325 $10,381
10/31/95 $10,386 $10,357
11/30/95 $10,694 $10,693
12/31/95 $10,840 $10,854
</TABLE>
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
-------------------------------------------------------------
6
<PAGE>
U.S. BALANCED FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals.............................................................. 0.31%
Housing/Paper.......................................................... 1.30
Metals................................................................. 0.56
------
2.17
Capital Investment
Capital Goods.......................................................... 3.54
Technology............................................................. 2.22
------
5.76
Consumer
Autos/Durables......................................................... 0.41
Discretionary.......................................................... 2.12
Health: Drugs.......................................................... 3.77
Health: Non-Drugs...................................................... 1.22
Non-Durables........................................................... 3.94
Retail/Apparel......................................................... 2.44
------
13.90
Energy.................................................................. 2.40
Financial
Banks.................................................................. 3.14
Non-Banks.............................................................. 3.86
------
7.00
------
Services................................................................ 3.11%
Transportation.......................................................... 1.70
Utilities............................................................... 2.54
Miscellaneous........................................................... 0.92
------
Total U.S. Equities.................................................. 39.50
------
U.S. BONDS
Corporate Bonds
Asset-backed........................................................... 4.26
Consumer............................................................... 2.83
Financial.............................................................. 4.46
Floating Rate.......................................................... 0.52
Industrial............................................................. 0.39
Telecommunications..................................................... 1.02
Transportation......................................................... 0.23
Yankee................................................................. 0.41
------
14.12
International Dollar Bonds.............................................. 3.27
U.S. Government Agencies................................................ 16.61
U.S. Government Obligations............................................. 17.01
------
Total U.S. Bonds..................................................... 51.01
------
SHORT-TERM INVESTMENTS.................................................. 15.01
------
TOTAL INVESTMENTS.................................................... 105.52
LIABILITIES, LESS
CASH AND OTHER ASSETS.................................................. (5.52)
------
NET ASSETS.............................................................. 100.00%
======
</TABLE>
ASSET ALLOCATION
As of December 31, 1995 (Unaudited)
<TABLE>
- ------------------------------------
<CAPTION>
CURRENT
BENCHMARK STRATEGY
--------- --------
<S> <C> <C>
U.S. Equity 65% 40%
U.S. Bonds 35 55
Cash Equivalents 0 5
- ------------------------------------
100% 100%
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
- ---------------------------------------------
<S> <C>
1. Citicorp 2.09%
2. Lockheed Martin Corp. 2.07
3. Burlington Northern, Santa Fe 1.65
4. Honeywell, Inc. 1.57
5. Avon Products, Inc. 1.26
6. Schering Plough Corp. 1.17
7. AON Corp. 1.17
8. Kimberly-Clark Corp. 1.13
9. Sprint Corp. 1.11
10. Enron Corp. 1.09
- ---------------------------------------------
</TABLE>
------------------------------------------------------------
7
<PAGE>
U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
----------- ------------
<S> <C> <C>
U.S. EQUITIES -- 39.50%
Aetna Life & Casualty Co............................... 25,100 $ 1,738,175
Air & Water Technologies Corp.
Class A (b)........................................... 10,400 63,700
Allergan, Inc.......................................... 39,900 1,296,750
Alza Corp. (b)......................................... 34,900 863,775
American Mobile Satellite Corp., Inc. (b).............. 6,000 183,750
Aon Corp............................................... 50,300 2,508,712
AST Research Corp. (b)................................. 7,918 67,303
Automatic Data Processing, Inc......................... 22,800 1,692,900
Avon Products, Inc..................................... 35,800 2,698,425
Bard (C.R.), Inc....................................... 24,100 777,225
Beckman Instruments, Inc............................... 15,500 548,312
Biogen, Inc. (b)....................................... 3,600 221,400
Birmingham Steel Corp.................................. 15,600 232,050
Boeing Co.............................................. 14,200 1,112,925
Boston Technology, Inc. (b)............................ 9,600 122,400
Brinker International, Inc. (b)........................ 11,500 173,938
Burlington Northern Santa Fe........................... 45,400 3,541,200
Campbell Soup Co....................................... 12,300 738,000
Centerior Energy Co.................................... 7,000 62,125
CIGNA Corp............................................. 19,600 2,023,700
Citicorp............................................... 66,600 4,478,850
CMS Energy Corp........................................ 42,500 1,269,688
Coca-Cola Enterprises, Inc............................. 50,200 1,348,734
Comerica, Inc.......................................... 10,760 429,337
Computer Sciences Corp. (b)............................ 2,300 161,575
Converse Technology, Inc. (b).......................... 6,500 130,000
Cooper Cameren Corp. (b)............................... 13,130 466,115
Cooper Industries, Inc................................. 13,692 519,719
Dial Corp.............................................. 40,600 1,202,775
Enron Corp............................................. 61,100 2,329,437
Entergy Corp........................................... 42,900 1,254,825
Federated Department Stores (b)........................ 50,800 1,397,000
First Data Corp........................................ 23,631 1,580,330
Food Lion, Inc. Class A................................ 64,100 366,569
Ford Motor Co.......................................... 40,400 1,171,600
Forest Laboratories, Inc. (b).......................... 26,600 1,203,650
Gannett Co. Inc........................................ 14,400 883,800
Genzyme Corp. (b)...................................... 5,100 318,113
Goodyear Tire and Rubber Co............................ 28,400 1,288,650
Grand Metro............................................ 50,000 1,462,500
Health Care & Retirement Corp. (b)..................... 11,000 385,000
Hillenbrand Industries, Inc............................ 1,100 37,263
Honeywell, Inc......................................... 69,100 3,359,987
Illinova Corp. ........................................ 8,200 246,000
Inland Steel Industries, Inc........................... 23,200 582,900
Interpublic Group of Companies, Inc.................... 15,600 676,650
Kimberly-Clark Corp.................................... 29,300 2,424,575
Kroger Co. (b)......................................... 22,500 843,750
Lockheed Martin Corp................................... 56,100 4,431,900
LTV Corp............................................... 22,600 310,750
Lyondell Petrochemical Co.............................. 42,600 974,475
Magna Group, Inc....................................... 7,700 182,875
Manor Care, Inc........................................ 25,400 889,000
Mattel, Inc............................................ 63,800 1,961,850
Melville Corp.......................................... 35,400 1,088,550
National Semiconductor Corp. (b)....................... 16,300 373,800
Nextel Communications, Inc. Class A (b)................ 36,600 539,850
Octel Communications Corp. (b)......................... 4,200 135,450
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
----------- ------------
<S> <C> <C>
Old Republic International Corp........................ 15,100 $ 536,050
Owens Illinois, Inc. (b)............................... 44,100 639,450
Pentair, Inc........................................... 9,100 452,725
Pfizer, Inc............................................ 24,500 1,543,500
Philip Morris Companies, Inc........................... 11,500 1,040,750
Raychem Corp........................................... 13,500 767,812
RJR Nabisco Convertible Preferred "C".................. 126,400 805,800
RJR Nabisco Holdings Corp. (b)......................... 38,540 1,189,922
Schering Plough Corp................................... 46,000 2,518,500
Schlumberger Ltd....................................... 16,500 1,142,625
Schweitzer-Meuduit International, Inc. (b)............. 2,930 67,756
Seagate Technology, Inc. (b)........................... 16,300 774,250
Sprint Corp............................................ 59,600 2,376,550
State Street Boston Corp............................... 11,600 522,000
Timken Co.............................................. 11,000 420,750
Tosco Corp............................................. 7,000 266,875
Transamerica Corp...................................... 20,000 1,457,500
Ultramar Corp.......................................... 20,200 520,150
US Bancorp............................................. 26,700 897,788
USF&G Corp............................................. 37,400 631,125
Walgreen Co............................................ 34,200 1,021,725
Westvaco Corp.......................................... 10,750 298,312
WMX Technologies, Inc.................................. 50,200 1,499,725
------------
Total U.S. Equities (Cost $70,776,456)................. 84,766,297
------------
<CAPTION>
FACE
AMOUNT VALUE
----------- ------------
<S> <C> <C>
BONDS -- 51.01%
U.S. CORPORATE BONDS -- 14.12%
Bell South Corp.
0.000% due 12/15/15.................................... $ 3,175,000 $ 840,676
Beneficial Home Equity
6.280%, due 03/28/25................................... 495,158 495,158
Burlington Northern Santa Fe
7.000%, due 12/15/25................................... 900,000 889,005
Chrysler Financial Corp.
FRN 6.023%, due 07/31/97............................... 1,000,000 1,000,283
MTN 6.500%, due 08/21/97............................... 1,000,000 1,012,330
Dayton Hudson Credit Card Trust 95-1
6.100%, due 09/25/98................................... 2,000,000 2,032,100
Dean Witter & Co.
6.245%, due 03/21/97................................... 1,250,000 1,249,258
Ford Motor Credit Corp.
5.370%, due 09/08/98................................... 945,000 937,242
GMAC MTN
6.750%, due 06/10/02................................... 1,000,000 1,030,960
Grace W.R. & Co.
8.000%, due 08/15/04................................... 1,150,000 1,269,355
MBNA Master Trust
5.962%, due 03/15/01................................... 1,500,000 1,499,925
Nationwide CSN Trust
9.875%, due 02/15/25................................... 1,000,000 1,168,063
News America Corp.
7.750%, due 01/20/24................................... 1,000,000 1,037,323
Petroliam Nasional
7.125%, due 08/15/05................................... 1,500,000 1,582,500
Republic Bank of New York Corp. FRN
6.025%, due 12/29/02................................... 1,065,000 1,033,050
RJR Nabisco Inc.
8.625%, due 12/01/02................................... 1,500,000 1,555,871
</TABLE>
- --------------------------------------------------------------------------------
8
<PAGE>
U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
----------- ------------
<S> <C> <C>
U.S. CORPORATE BONDS (CONTINUED)
Signet Credit Card
6.062%, due 05/15/02................................. $ 1,500,000 $ 1,504,065
Standard Credit Card Trust
94-1A 4.650%, due 02/07/97........................... 2,000,000 1,983,360
91-3A 8.875%, due 07/07/98........................... 1,750,000 2,950,255
TCI Communication
6.820%, due 09/15/10................................. 2,100,000 2,134,225
Time Warner Inc.
9.125%, due 01/15/13................................. 1,000,000 1,125,148
Woolworth Corp.
7.000%, due 10/15/02................................. 1,920,000 1,962,797
------------
30,292,949
------------
INTERNATIONAL DOLLAR BONDS -- 3.27%
Bangkok Bank Public Co. Ltd.
7.250%, due 09/15/05................................. 2,100,000 2,175,075
Hanson PLC Notes
6.750%, due 09/15/05................................. 1,000,000 1,035,095
Hong Kong Shanghai Perpetual FRN
6.375%, due 07/30/49................................. 1,000,000 775,850
International Bank for Reconstruction & Development
6.375%, due 07/21/05................................. 1,500,000 1,558,665
Republic of Italy
6.875%, due 09/27/23................................. 1,500,000 1,466,250
------------
7,010,935
------------
U.S. GOVERNMENT AGENCIES -- 16.61%
Federal Home Loan Mortgage Corp.
7.000%, due 12/15/06................................. 1,695,000 1,736,239
7.000%, due 03/15/07................................. 2,615,000 2,693,816
9.250%, due 07/15/21................................. 2,314,417 2,503,296
7.000%, due 10/15/21................................. 750,000 749,297
7.000%, due 12/15/23................................. 949,443 849,751
Federal Home Loan Mortgage Corp. Gold
9.000%, due 03/01/24................................. 532,516 563,231
Federal National Mortgage Association
8.000%, due 06/01/24................................. 355,229 367,773
8.000%, due 07/01/24................................. 23,026 23,839
8.000%, due 08/01/24................................. 52,078 53,916
6.500%, due 09/01/24................................. 1,875,000 1,852,734
7.000%, due 09/01/24................................. 4,585,000 4,620,823
8.000%, due 11/01/24................................. 25,509 26,410
8.000%, due 03/01/25................................. 208,092 215,440
8.000%, due 04/01/25................................. 916,702 949,073
7.500%, due 05/01/25................................. 1,632,993 1,672,797
8.000%, due 05/01/25................................. 1,985,695 2,055,815
8.000%, due 06/01/25................................. 1,739,010 1,800,419
Federal National Mortgage Association Dwarf
7.500%, due 09/01/09................................. 1,655,000 1,701,547
7.000%, due 12/01/09................................. 5,160,000 5,253,525
Government National Mortgage Association
9.000%, due 12/15/09................................. 1,476,280 1,563,365
11.000%, due 09/15/15................................ 443,192 497,995
9.000%, due 12/15/17................................. 493,677 525,579
7.750%, due 06/16/20................................. 600,000 624,938
7.000%, due 06/15/23................................. 449,193 454,387
7.000%, due 07/15/23................................. 474,793 480,283
</TABLE>
<TABLE>
<CAPTION>
FACE AMOUNT VALUE
----------- ------------
<S> <C> <C>
7.000%, due 09/15/23............................... $ 100,375 $ 101,536
9.000%, due 07/15/24............................... 211,455 223,944
8.500%, due 11/15/24............................... 234,174 245,737
8.500%, due 01/15/25............................... 527,633 553,664
9.000%, due 05/15/25............................... 644,922 683,013
------------
35,644,182
------------
U.S. GOVERNMENT OBLIGATIONS -- 17.01%
U.S. Treasury Coupon Strips
0.000%, due 11/15/19............................... 1,295,000 293,965
U.S. Treasury Notes and Bonds
6.625%, due 03/31/97............................... 12,215,000 12,424,939
5.300%, due 11/15/98............................... 2,500,000 2,517,968
6.250%, due 08/31/00............................... 4,415,000 4,569,525
7.250%, due 05/15/04............................... 7,235,000 8,048,938
8.125%, due 05/15/21............................... 6,620,000 8,378,437
U.S. Treasury Principal Strips
0.000%, due 05/15/20............................... 1,245,000 275,917
------------
36,509,689
------------
Total U.S. Bonds (Cost $106,199,902)................ 109,457,755
------------
SHORT-TERM INVESTMENTS -- 15.01%
COMMERCIAL PAPER -- 15.01%
Baxter International, Inc.
6.050%, due 01/02/96............................... 1,000,000 999,832
Burlington Northern Santa Fe
6.050%, due 01/03/96............................... 3,000,000 2,998,992
6.150%, due 01/31/96............................... 2,500,000 2,487,187
Conagra, Inc.
5.910%, due 01/04/96............................... 2,000,000 1,999,015
6.050%, due 01/11/96............................... 2,000,000 1,996,639
Crown Cork & Seal Co., Inc.
6.060%, due 01/09/96............................... 1,400,000 1,398,115
CSX Corp.
6.000%, due 01/08/96............................... 2,000,000 1,997,666
General American Transportation Corp.
6.200%, due 01/18/96............................... 2,500,000 2,492,681
Nabisco Holdings Corp.
5.850%, due 01/03/96............................... 3,000,000 2,999,025
6.040%, due 01/19/96............................... 2,990,000 2,980,970
P.S. Colorado Credit Corp.
6.030%, due 01/04/96............................... 2,500,000 2,498,744
Texas Utilities Electric Co.
6.300%, due 01/05/96............................... 2,000,000 1,998,600
Trinova Corp.
6.100%, due 01/10/96............................... 2,000,000 1,996,950
6.200%, due 01/10/96............................... 2,562,000 2,558,029
Whitman Corp.
5.950%, due 01/02/96............................... 799,000 798,868
------------
Total Short-Term Investments
(Cost $32,201,313)................................. 32,201,313
------------
Total Investments
(Cost $209,177,671) -- 105.52% (a) ................ 226,425,365
------------
Liabilities, less cash and other assets --(5.52%) .. (11,852,198)
------------
Net Assets -- 100%.................................. $214,573,167
============
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
9
<PAGE>
U.S. BALANCED FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $209,177,671; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation.............................. $18,141,919
Gross unrealized depreciation.............................. (894,225)
-----------
Net unrealized appreciation.............................. $17,247,694
===========
</TABLE>
(b) Non-income producing security
FRN: Floating Rate Note--The rate disclosed is that in effect at December
31, 1995.
MTN: Medium Term Note
FUTURES CONTRACTS (NOTE 4)
INDEX FUTURES CONTRACTS:
The U.S. Balanced Fund had the following open index futures contract as of
December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE (LOSS)
---------- -------- -------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CONTRACTS
Standard & Poors 500,
2 contracts.................. March 1996 $625,300 $618,450 $(6,850)
=======
</TABLE>
The segregated cash pledged to cover margin requirements for the open position
at December 31, 1995 was $30,000.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
10
<PAGE>
U.S. BALANCED FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $209,177,671) (Note 1)............... $226,425,365
Cash............................................................. 200,986
Receivables:
Investment securities sold...................................... 804,060
Dividends....................................................... 130,699
Interest........................................................ 1,288,509
Fund shares sold................................................ 17,309
Due from Advisor (Note 2)....................................... 46,935
Deferred organization costs, net of amortization (Note 1)........ 11,240
Other assets..................................................... 46,125
------------
TOTAL ASSETS.................................................. 228,971,228
------------
LIABILITIES:
Payables:
Fund shares redeemed............................................ 3,516
Investment securities purchased................................. 14,185,918
Accrued expenses................................................ 208,627
------------
TOTAL LIABILITIES............................................. 14,398,061
------------
NET ASSETS........................................................ 214,573,167
============
NET ASSETS CONSIST OF:
Paid in capital (Note 6)......................................... $196,113,598
Accumulated undistributed net investment income.................. 3,527
Accumulated net realized gain.................................... 1,215,178
Net unrealized appreciation...................................... 17,240,864
------------
NET ASSETS.................................................... $214,573,167
============
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $214,352,075 and 18,619,851 shares is-
sued and outstanding) (Note 6)................................. $ 11.51
============
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $221,092 and 19,251 shares issued and
outstanding) (Note 6).......................................... $ 11.48
============
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
11
<PAGE>
U.S. BALANCED FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest.......................................................... $ 3,742,835
Dividends......................................................... 893,648
-----------
TOTAL INCOME................................................... 4,636,483
-----------
EXPENSES:
Advisory (Note 2)................................................. 660,274
Custodian......................................................... 76,000
Professional...................................................... 65,831
Registration...................................................... 62,845
Administration.................................................... 62,280
Amortization of organization costs (Note 1)....................... 1,406
Distribution (Note 5)............................................. 8
Other............................................................. 129,004
-----------
TOTAL EXPENSES................................................. 1,057,648
Expenses deferred by Advisor (Note 2).......................... (303,042)
-----------
NET EXPENSES................................................... 754,606
-----------
NET INVESTMENT INCOME ......................................... 3,881,877
-----------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments...................................................... 4,856,016
Futures contracts................................................ 90,260
-----------
Net realized gain.............................................. 4,946,276
-----------
Change in net unrealized appreciation on:
Investments ..................................................... 9,587,848
Futures contracts................................................ (9,406)
-----------
Change in net unrealized appreciation.......................... 9,578,442
-----------
Net realized and unrealized gain.................................. 14,524,718
-----------
Net increase in net assets resulting from operations.............. $18,406,595
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
12
<PAGE>
U.S. BALANCED FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED DECEMBER 30, 1994*
DECEMBER 31, 1995 THROUGH
(UNAUDITED) JUNE 30, 1995
----------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................... $ 3,881,877 $ 2,935,679
Net realized gain........................ 4,946,276 6,155,398
Change in net unrealized appreciation.... 9,578,442 7,662,424
------------ ------------
Net increase in net assets resulting from
operations.............................. 18,406,595 16,753,501
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income:
Brinson Class........................... (4,820,091) (1,993,463)
SwissKey Class.......................... (477) --
Distributions from net realized gain:
Brinson Class........................... (9,885,505) --
SwissKey Class.......................... (992) --
------------ ------------
Total distributions to shareholders...... (14,707,065) (1,993,463)
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.............................. 46,157,898 154,231,504
Shares issued on reinvestment of distri-
butions................................. 14,703,089 1,991,226
Shares redeemed.......................... (7,711,178) (13,268,940)
------------ ------------
Net increase in net assets resulting from
capital share transactions
(Note 6)................................ 53,149,809 142,953,790
------------ ------------
TOTAL INCREASE IN NET ASSETS.......... 56,849,339 157,713,828
------------ ------------
NET ASSETS:
Beginning of period...................... 157,723,828 10,000
------------ ------------
End of period (including accumulated un-
distributed net investment income of
$3,527 and $942,216, respectively)...... $214,573,167 $157,723,828
============ ============
</TABLE>
* Commencement of investment operations
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
13
<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>
SIX MONTHS ENDED DECEMBER 30, 1994*
DECEMBER 31, 1995 THROUGH
BRINSON CLASS (UNAUDITED) JUNE 30, 1995
- -------------------------------------------------------------------------------
<S> <C> <C>
Net asset value, beginning of period...... $ 11.23 $ 10.00
-------- --------
Income from investment operations:
Net investment income................... 0.21 0.23
Net realized and unrealized gain........ 0.92 1.16
-------- --------
Total income from investment opera-
tions................................ 1.13 1.39
-------- --------
Less distributions:
Distributions from net investment in-
come................................... (0.28) (0.16)
Distributions from net realized gain.... (0.57) --
-------- --------
Total distributions................... (0.85) (0.16)
-------- --------
Net asset value, end of period............ $ 11.51 $ 11.23
======== ========
Total return (non-annualized)............. 10.16% 13.91%
Ratios/Supplemental data
Net assets, end of period (in 000s)...... $214,352 $157,724
Ratio of expenses to average net assets:
Before expense reimbursement............ 1.12%** 1.06%**
After expense reimbursement............. 0.80%** 0.80%**
Ratio of net investment income to average
net assets:
Before expense reimbursement............ 3.81%** 4.36%**
After expense reimbursement............. 4.13%** 4.63%**
Portfolio turnover rate.................. 130% 196%
</TABLE>
*Commencement of investment operations
**Annualized
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 the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $11.38
------
Income from investment operations:
Net investment income....................................... 0.21
Net realized and unrealized gain on investments............. 0.74
------
Total income from investment operations................... 0.95
------
Less distributions:
Distributions from net investment income.................... (0.28)
Distributions from net realized gain........................ (0.57)
------
Total distributions....................................... (0.85)
------
Net asset value, end of period................................ $11.48
======
Total return (non-annualized)................................. 8.41%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $ 221
Ratio of expenses to average net assets:
Before expense reimbursement................................ 1.62%**
After expense reimbursement................................. 1.30%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ 3.31%**
After expense reimbursement................................. 3.63%**
Portfolio turnover rate...................................... 130%
</TABLE>
*Commencement of SwissKey Class distribution
**Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
15
<PAGE>
U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
The U.S. Equity Fund is an actively managed portfolio of common stocks selected
from the total universe of public, domestic issues.
For the period July 31, 1995 to December 31, 1995, the SwissKey U.S. Equity
Fund provided a total return of 13.35% compared to its benchmark, the Wilshire
5000 Index, return of 9.94%. The major factors affecting excess return in 1995
and the year's market conditions are discussed in the following paragraphs.
The strong excess return of the U.S. Equity Fund in 1995 was attributable to a
number of favorable industry positions. Industry consolidation was a common
theme in many of these positions as strong excess cash flows plus management
focus on strengthening market position and cutting costs catalyzed a wave of
mergers, acquisitions, and divestitures across corporate America. One of the
most favorable of these industry positions was the weighting in
defense/aerospace. This group benefited from a number of positive factors in
1995, including a stabilization of the downtrend in defense budget
appropriations, strong takeover activity among defense industry participants,
and an upturn in commercial aircraft orders. Lockheed Martin, one of the larger
portfolio positions, was a notable beneficiary of these trends, particularly as
a result of the merger of Martin Marietta and Lockheed earlier in the year.
This combination promises to produce a materially stronger, more profitable
competitor. Other meaningful holdings in this industry were Boeing, which
enjoyed a strong flow of new orders, especially from overseas, and Honeywell,
which has a leading market position in avionics for both commercial and defense
aircraft.
An overweighting in bank stocks also added to results. Continued improvement in
credit quality, lower interest rates, strong loan demand and heightened merger
activity were all contributors to bank earnings and stock valuations in 1995.
Bank holdings included Citicorp, Chase Manhattan, U.S. Bancorp, Comerica,
BayBanks, State Street and Magna Group.
Insurance was another industry that benefited from a confluence of favorable
fundamental factors in 1995, including lower inflation and interest rates as
well as reduced claims trends, particularly regarding environmental
liabilities. In addition, many insurance company managements took action to
refocus their companies on core strengths in recent years by eliminating less
profitable lines of business. The U.S. Equity Fund was well represented in the
insurance industry last year with important positions in Cigna, Aon,
TransAmerica, Aetna, Old Republic, Allstate and USF&G.
The consolidation theme was also evident in several other important individual
stock contributors to portfolio results. Burlington Northern is particularly
noteworthy in this regard, as the combination with Santa Fe Pacific promises to
produce very large cost savings and other synergies. In addition, Kimberly
Clark was a standout performer following the Scott Paper acquisition
announcement, as the combined company promises to be a better positioned, more
profitable, global entity. Finally, First Financial Management, a credit card
transaction processing company, was acquired by First Data Corp. in a highly
complementary merger.
------------------------------------------------------------
16
<PAGE>
U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
Since
Quarter Inception*
- ---------------------------------------------
<S> <C> <C>
SWISSKEY U.S. EQUITY FUND 7.24% 13.35%
- ---------------------------------------------
Wilshire 5000 Index 4.88 9.94
- ---------------------------------------------
</TABLE>
*Inception date of the SwissKey U.S. Equity Fund.
Total return includes reinvestment of all capital gain and income
distributions.
ILLUSTRATION OF AN ASSUMED INVESTMENT OF $10,000
This chart shows the growth in the value of an investment in the SwissKey U.S.
Equity Fund and the Wilshire 5000 Index if you had invested $10,000 on July 31,
1995, and had reinvested all your income dividends and capital gain
distributions through December 31, 1995. No adjustment has been made for any
income taxes payable by shareholders on income dividends and capital gain
distributions. Past performance is no guarantee of future results. Share price
and return will vary with market conditions; investors may realize a gain or
loss upon redemption.
SWISSKEY U.S. EQUITY FUND
VS. WILSHIRE 5000 INDEX
Wealth Value with Dividends Reinvested
<TABLE>
[GRAPH APPEARS HERE]
<CAPTION>
SwissKey U.S. Wilshire
Measurement Period Equity Fund 5000
- ------------------- ------------- --------
<S> <C> <C>
7/31/95 $10,000 $10,000
8/31/95 $10,184 $10,097
9/30/95 $10,569 $10,482
10/31/95 $10,527 $10,377
11/30/95 $11,122 $10,817
12/31/95 $11,334 $10,993
</TABLE>
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
-------------------------------------------------------------
17
<PAGE>
U.S. EQUITY FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals.............................................................. 0.76%
Housing/Paper.......................................................... 3.18
Metals................................................................. 1.38
------
5.32
Capital Investments
Capital Goods.......................................................... 8.66
Technology............................................................. 5.42
------
14.08
Consumer
Autos/Durables......................................................... 1.01
Discretionary.......................................................... 5.19
Health: Drugs.......................................................... 9.23
Health: Non-Drugs...................................................... 2.99
Non-Durables........................................................... 9.64
Retail/Apparel......................................................... 5.97
------
34.03
Energy.................................................................. 5.87%
Financial
Banks.................................................................. 7.69
Non-Banks.............................................................. 9.43
------
17.12
Services................................................................ 7.62
Transportation.......................................................... 4.17
Utilities............................................................... 6.22
Miscellaneous........................................................... 2.21
------
Total U.S. Equities.................................................. 96.64
------
SHORT-TERM INVESTMENTS.................................................. 3.31
------
TOTAL INVESTMENTS.................................................... 99.95
CASH AND OTHER ASSETS,
LESS LIABILITIES ...................................................... 0.05
------
NET ASSETS.............................................................. 100.00%
======
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- -----------------------------------------
<S> <C>
1. Citicorp 5.25%
2. Lockheed Martin Corp. 5.10
3. Burlington Northern, Inc. 4.14
4. Honeywell, Inc. 3.92
5. Avon Products, Inc. 3.18
6. Schering Plough Corp. 2.95
7. Kimberly-Clark Corp. 2.84
8. AON Corp. 2.84
9. Enron Corp. 2.73
10. Sprint Corp. 2.69
- -----------------------------------------
</TABLE>
- --------------- ------------------------------------------------------------
18
<PAGE>
U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
U.S. EQUITIES -- 96.64%
Aetna Life & Casualty Co................................. 26,300 $ 1,821,275
Air & Water Technologies Corp. Class A (b)............... 3,700 22,662
Allergan, Inc............................................ 44,000 1,430,000
Alza Corp. (b)........................................... 35,100 868,725
American Mobile Satellite Corp., Inc. (b)................ 6,400 196,000
Aon Corp................................................. 53,500 2,668,312
AST Research Corp. (b)................................... 5,159 43,851
Automatic Data Processing, Inc........................... 25,200 1,871,100
Avon Products, Inc....................................... 39,700 2,992,387
Bard (C.R.), Inc......................................... 26,600 857,850
Beckman Instruments, Inc................................. 17,200 608,450
Biogen, Inc. (b)......................................... 4,000 246,000
Birmingham Steel Corp.................................... 17,100 254,362
Boeing Co................................................ 15,500 1,214,812
Boston Technology, Inc. (b).............................. 10,500 133,885
Brinker International, Inc. (b).......................... 12,600 190,575
Burlington Northern Santa Fe............................. 49,900 3,892,200
Campbell Soup Co......................................... 13,500 810,000
Centerior Energy Co...................................... 7,300 64,787
CIGNA Corp............................................... 21,200 2,188,900
Citicorp................................................. 73,500 4,942,875
CMS Energy Corp.......................................... 47,000 1,404,125
Coca-Cola Enterprises, Inc............................... 53,600 1,433,800
Comerica, Inc............................................ 11,800 473,475
Computer Sciences Corp. (b).............................. 2,100 147,525
Comverse Technology, Inc. (b)............................ 7,000 140,000
Cooper Cameron Corp. (b)................................. 14,629 519,329
Cooper Industries, Inc................................... 10,076 370,293
Dial Corp................................................ 41,300 1,223,512
Enron Corp............................................... 67,300 2,565,812
Entergy Corp............................................. 47,200 1,380,600
Federated Department Stores (b).......................... 56,900 1,564,750
First Data Corp.......................................... 25,916 1,733,119
Food Lion, Inc. Class A.................................. 69,200 395,734
Ford Motor Co............................................ 44,400 1,287,600
Forest Laboratories, Inc. (b)............................ 29,300 1,325,825
Gannett Co., Inc......................................... 15,700 963,587
Genzyme Corp. (b)........................................ 5,700 355,537
Goodyear Tire & Rubber Co................................ 31,300 1,420,237
Health Care & Retirement Corp. (b)....................... 12,000 420,000
Hillenbrand Industries, Inc.............................. 500 16,937
Honeywell, Inc........................................... 75,900 3,690,637
Illinova Corp. .......................................... 8,800 264,000
Inland Steel Industries, Inc............................. 25,400 638,175
Interpublic Group of Companies, Inc...................... 17,200 746,050
Kimberly-Clark Corp...................................... 32,300 2,672,825
Kroger Co. (b)........................................... 24,900 933,750
Lockheed Martin Corp..................................... 60,800 4,803,200
LTV Corp................................................. 25,200 346,500
Lyondell Petrochemical Co................................ 46,800 1,070,550
Magna Group, Inc......................................... 8,700 206,625
Manor Care, Inc.......................................... 28,000 980,000
Mattel, Inc.............................................. 70,000 2,152,500
Melville Corp............................................ 39,800 1,223,850
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
National Semiconductor Corp. (b)........................ 18,300 $ 407,175
Nextel Communications, Inc. Class A (b)................. 56,100 827,475
Octel Communications Corp. (b).......................... 4,700 151,575
Old Republic International Corp......................... 16,600 589,300
Owens Illinois, Inc. (b)................................ 48,900 709,050
Pentair, Inc............................................ 10,100 502,475
Pfizer, Inc............................................. 27,100 1,707,300
Philip Morris Companies, Inc............................ 12,700 1,149,350
Raychem Corp............................................ 14,900 847,438
RJR Nabisco Convertible Preferred "C"................... 139,900 891,862
RJR Nabisco Holdings Corp. (b).......................... 41,840 1,291,810
Schering Plough Corp.................................... 50,700 2,775,825
Schlumberger Ltd........................................ 18,300 1,267,275
Schweitzer-Meuduit International, Inc. (b).............. 3,230 74,693
Seagate Technology, Inc. (b)............................ 17,900 850,250
Sprint Corp............................................. 63,400 2,528,075
State Street Boston Corp................................ 12,600 567,000
Timken Co............................................... 12,000 459,000
Tosco Corp.............................................. 7,600 289,750
Transamerica Corp....................................... 22,100 1,610,537
Ultramar Corp........................................... 18,600 478,950
US Bancorp.............................................. 29,200 981,850
USF&G Corp.............................................. 40,000 675,000
Walgreen Co............................................. 38,100 1,138,237
Westvaco Corp........................................... 11,500 319,125
WMX Technologies, Inc................................... 54,500 1,628,188
-----------
Total U.S. Equities (Cost $77,802,162).................. 90,908,032
-----------
<CAPTION>
FACE
AMOUNT VALUE
---------- -----------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 3.31%
COMMERCIAL PAPER -- 3.31%
Baxter International, Inc.
6.050%, due 01/02/96................................... $1,000,000 $ 999,832
Crown Cork & Seal Co., Inc.
6.060%, due 01/09/96................................... 700,000 699,057
General American Transportation Corp.
6.200%, due 01/18/96................................... 400,000 398,829
Nabisco Holdings Corp.
5.850%, due 01/03/96................................... 700,000 699,772
Whitman Corp.
5.959%, due 01/02/96................................... 311,000 310,949
-----------
Total Short-Term Investments
(Cost $3,108,439)...................................... 3,108,439
-----------
Total Investments
(Cost $80,910,601) -- 99.95% (a)....................... 94,016,471
-----------
Cash and other assets,
less liabilities -- 0.05%.............................. 50,366
-----------
Net Assets -- 100%...................................... $94,066,837
===========
</TABLE>
See accompanying notes to schedule of investments.
- --------------------------------------------------------------------------------
19
<PAGE>
U.S. EQUITY FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $80,910,601; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............................. $14,060,570
Gross unrealized depreciation............................. (954,700)
-----------
Net unrealized appreciation.............................. $13,105,870
===========
</TABLE>
(b) Non-income producing security
FUTURES CONTRACTS (NOTE 4)
INDEX FUTURES CONTRACTS:
The U.S. Equity Fund had the following open index futures contracts as of
December 31, 1995:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST/PROCEEDS VALUE (LOSS)
---------- ------------- ---------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CON-
TRACTS
Standard & Poor's 500, 10
contracts................ March 1996 $3,129,000 $3,092,250 $(36,750)
INDEX FUTURE SELL CONTRACT
Standard & Poor's 500, 1
contract.................. March 1996 308,700 309,225 (525)
--------
$(37,275)
========
</TABLE>
The segregated cash pledged to cover margin requirements for the open positions
at December 31, 1995 was $100,000.
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
20
<PAGE>
U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $80,910,601) (Note 1) ............... $94,016,471
Cash............................................................. 291,716
Receivables:
Investment securities sold...................................... 376,554
Dividends....................................................... 139,939
Fund shares sold................................................ 1,833
Due from Advisor (Note 2)....................................... 74,339
Deferred organization costs, net of amortization (Note 1)........ 8,586
Other assets..................................................... 48,975
-----------
TOTAL ASSETS.................................................. 94,958,413
-----------
LIABILITIES:
Payables:
Investment securities purchased................................. 599,616
Fund shares redeemed............................................ 122,463
Accrued expenses................................................ 169,497
-----------
TOTAL LIABILITIES............................................. 891,576
-----------
NET ASSETS........................................................ $94,066,837
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 6)......................................... $80,059,249
Accumulated distributions in excess of net investment income..... (4,423)
Accumulated net realized gain.................................... 943,416
Net unrealized appreciation...................................... 13,068,595
-----------
NET ASSETS.................................................... $94,066,837
===========
OFFERING PRICE PER SHARE:
Brinson Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $93,927,856 and 7,130,115 shares issued
and outstanding) (Note 6)...................................... $ 13.17
===========
SwissKey Class:
Net asset value, offering price and redemption price per share
(Based on net assets of $138,981 and 10,537 shares issued and
outstanding) (Note 6).......................................... $ 13.19
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
21
<PAGE>
U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends......................................................... $ 783,884
Interest.......................................................... 98,066
-----------
TOTAL INCOME................................................... 881,950
-----------
EXPENSES:
Advisory (Note 2)................................................. 254,154
Custodian......................................................... 52,000
Professional...................................................... 38,786
Registration...................................................... 31,899
Accounting........................................................ 30,818
Amortization of organization costs (Note 1)....................... 1,404
Distribution (Note 5)............................................. 208
Other............................................................. 81,171
-----------
TOTAL EXPENSES................................................. 490,440
Expenses deferred and reimbursed by Advisor (Note 2)........... (199,769)
-----------
NET EXPENSES................................................... 290,671
-----------
NET INVESTMENT INCOME.......................................... 591,279
-----------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments...................................................... 1,902,847
Futures contracts................................................ 319,925
-----------
Net realized gain ............................................. 2,222,772
-----------
Change in net unrealized appreciation or depreciation on:
Investments ..................................................... 8,867,673
Futures contracts ............................................... (59,100)
-----------
Change in net unrealized appreciation or depreciation.......... 8,808,573
-----------
Net realized and unrealized gain ................................. 11,031,345
-----------
Net increase in net assets resulting from operations.............. $11,622,624
===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
22
<PAGE>
U.S. EQUITY FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
DECEMBER 31, 1995 ENDED
(UNAUDITED) JUNE 30, 1995
----------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income......................... $ 591,279 $ 440,023
Net realized gain ............................ 2,222,772 552,822
Change in net unrealized appreciation or de-
preciation .................................. 8,808,573 4,476,351
----------- -----------
Net increase in net assets resulting from op-
erations..................................... 11,622,624 5,469,196
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income...... (725,167) (318,699)
Distributions in excess of net investment in-
come......................................... (4,423) --
Distributions from net realized gain.......... (1,766,825) (47,930)
----------- -----------
Total distributions to shareholders*.......... (2,496,415) (366,629)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................... 41,500,740 30,972,427
Shares issued on reinvestment of distribu-
tions........................................ 2,459,602 349,100
Shares redeemed............................... (1,593,175) (2,050,830)
----------- -----------
Net increase in net assets resulting from cap-
ital share transactions (Note 6)............. 42,367,167 29,270,697
----------- -----------
TOTAL INCREASE IN NET ASSETS............... 51,493,376 34,373,264
----------- -----------
NET ASSETS:
Beginning of period........................... 42,573,461 8,200,197
----------- -----------
End of period (including accumulated undis-
tributed net investment income of ($4,423)
and $133,889, respectively).................. $94,066,837 $42,573,461
=========== ===========
*DISTRIBUTIONS BY CLASS:
Distributions from and in excess of net in-
vestment income:
Brinson Class............................... $ (728,627) $ (318,699)
SwissKey Class.............................. (963) --
Distributions from net realized gain:
Brinson Class............................... (1,764,214) (47,930)
SwissKey Class.............................. (2,611) --
----------- -----------
$(2,496,415) $ (366,629)
=========== ===========
</TABLE>
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
23
<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>
SIX MONTHS
ENDED YEAR FEBRUARY 22, 1994*
DECEMBER 31, 1995 ENDED THROUGH
BRINSON CLASS (UNAUDITED) 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 op-
erations:
Net investment income...... 0.07 0.16 0.05
Net realized and unrealized
gain (loss)............... 1.93 1.89 (0.36)
------- ------- ------
Total income (loss) from
investment operations.. 2.00 2.05 (0.31)
------- ------- ------
Less distributions:
Distributions from and in
excess of net investment
income.................... (0.11) (0.14) (0.04)
Distributions from net re-
alized gain............... (0.25) (0.03) --
------- ------- ------
Total distributions..... (0.36) (0.17) (0.04)
------- ------- ------
Net asset value, end of pe-
riod....................... $ 13.17 $ 11.53 $ 9.65
======= ======= ======
Total return (non-
annualized)................ 17.39% 21.45% (3.10%)
Ratios/Supplemental data
Net assets, end of period
(in 000s)................. $93,928 $42,573 $8,200
Ratio of expenses to aver-
age net assets:
Before expense reimburse-
ment..................... 1.35%** 1.70% 5.40% **
After expense reimburse-
ment..................... 0.80%** 0.80% 0.80% **
Ratio of net investment in-
come to average net as-
sets:
Before expense reimburse-
ment..................... 1.08%** 1.09% (2.82%)**
After expense reimburse-
ment..................... 1.63%** 1.99% 1.78% **
Portfolio turnover rate.... 17% 33% 9%
</TABLE>
*Commencement of investment operations
**Annualized
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 the period presented.
<TABLE>
<CAPTION>
JULY 31, 1995*
THROUGH
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $11.94
------
Income from investment operations:
Net investment income....................................... 0.03
Net realized and unrealized gain on investments............. 1.56
------
Total income from investment operations................... 1.59
------
Less distributions:
Distributions from and in excess of net investment income... (0.09)
Distributions from net realized gain........................ (0.25)
------
Total distributions....................................... (0.34)
------
Net asset value, end of period................................ $13.19
======
Total return (non-annualized)................................. 13.35%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $ 139
Ratio of expenses to average net assets:
Before expense reimbursement................................ 1.87%**
After expense reimbursement................................. 1.32%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ 0.56%**
After expense reimbursement................................. 1.11%**
Portfolio turnover rate...................................... 17%
</TABLE>
*Commencement of Swisskey Class distribution
**Annualized
See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
25
<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.
The SwissKey U.S. Bond Fund produced a return of 5.29% since its inception on
August 31, 1995 compared to the Salomon Brothers Broad Investment Grade (BIG)
Bond Index return of 5.32%.
Below is a dicussion of the 1995 U.S. Bond market activity, as well as our
outlook for 1996.
At the beginning of 1995, the U.S. economy was coming off a period of above
trend real economic growth. The most recent changes in Federal Reserve policy
were to raise short-term interest rates. Bond markets were priced to reflect
the risk of an acceleration of inflation in a potentially overheated economy.
These expectations were reinforced when the Federal Reserve increased its
target rate on overnight funds from 5.5% to 6.0% at the end of January 1995.
The lagged impact of a restrictive monetary policy was reinforced by a less
expansive fiscal policy as reported federal deficits declined. This was
complemented by events in Mexico and elsewhere that dampened U.S. export
demand. A growing political consensus to move toward a federal budget balance
met a favorable response in the bond market. Over the course of the year,
growth of real economic activity slowed, inflation remained stable, and bond
prices shifted from discounting further Fed tightening to expecting Fed ease.
Responding to an improved inflation outlook, the Federal Reserve cut its
overnight target rates in 25 basis point increments both in July and December.
Yields on intermediate-maturity fixed income securities fell by over 250 basis
points over the year as the front of the yield curve shifted from a steep
positive slope at the beginning of the year to a flat to mildly inverted shape
at year-end. Long-term yields fell about 190 basis points. Corporate bonds
provided the best sector returns as credit risk premiums generally narrowed.
Mortgage backed securities lagged in performance as the large absolute decline
in intermediate yields gave homeowners added incentives to refinance
outstanding higher coupon mortgages.
Our investment strategies early in 1996 involve near neutral duration and yield
curve exposures within the U.S. Bond Fund. Intermediate and long-term interest
rates are within the range of our estimates of fair value. Short-term rates
remain above fair value, and we expect them to decline as Federal Reserve
policy shifts produce further reductions in overnight funds rates. Unlike the
prior two years, when large interest rate shifts first produced negative
returns followed by large positive returns, in 1996 we expect relative
stability in U.S. interest rates, which would result in total returns
comparable to the current yields available to fixed income investors.
------------------------------------------------------------
26
<PAGE>
U.S. BOND FUND
- --------------------------------------------------------------------------------
LOGO
TOTAL RETURN
<TABLE>
<CAPTION>
Since
Quarter Inception*
- ----------------------------------------------------------------------------
<S> <C> <C>
SWISSKEY U.S. BOND FUND 4.46% 5.29%
- ----------------------------------------------------------------------------
Salomon Brothers Broad Investment Grade (BIG) Bond Index 4.34% 5.32%
- ----------------------------------------------------------------------------
</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 in the value of an investment in the SwissKey U.S.
Bond Fund and the Salomon Brothers BIG Bond Index if you had invested $10,000 on
August 31, 1995, and had reinvested all your income dividends and capital gain
distributions through December 31, 1995. No adjustment has been made for any
income taxes payable by shareholders on income dividends and capital gain
distributions. Past performance is no guarantee of future results. Share price
and return will vary with market conditions; investors may realize a gain or
loss upon redemption.
SWISSKEY U.S. BOND FUND
VS. SALOMON BROTHERS BIG BOND INDEX
Wealth Value with Dividends Reinvested
<TABLE>
[GRAPH APPEARS HERE]
<CAPTION>
SwissKey U.S. Salomon Brothers
Measurement Period Bond Fund BIG Bond Index
- ------------------- ------------- ----------------
<S> <C> <C>
8/31/95 $10,000 $10,000
9/30/95 $10,080 $10,094
10/31/95 $10,230 $10,229
11/30/95 $10,390 $10,389
12/31/95 $10,529 $10,532
</TABLE>
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
-------------------------------------------------------------
27
<PAGE>
U.S. BOND FUND
- --------------------------------------------------------------------------------
LOGO
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of December 31, 1995 (Unaudited)
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
U.S. BONDS
Corporate Bonds
Asset-backed........................................................... 3.78%
CMO.................................................................... 2.73
Consumer............................................................... 2.77
Financial.............................................................. 10.88
Floating Rate.......................................................... 2.62
Industrial............................................................. 6.19
Telecommunications..................................................... 2.80
Yankee................................................................. 1.12
------
Total U.S. Corporate Bonds........................................... 32.89
U.S. Government Agencies................................................ 27.54
U.S. Government Obligations............................................. 28.94
International Dollar Bonds.............................................. 5.08
------
Total U.S. Bonds..................................................... 94.45
------
SHORT-TERM INVESTMENTS.................................................. 12.44
------
TOTAL INVESTMENTS.................................................... 106.89
LIABILITIES, LESS
CASH AND OTHER ASSETS.................................................. (6.89)
------
NET ASSETS.............................................................. 100.00%
======
</TABLE>
------------------------------------------------------------
- ---------------
28
<PAGE>
U.S. BOND FUND -- SCHEDULE OF INVESTMENTS
December 31, 1995 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
-------- ----------
<S> <C> <C>
BONDS -- 94.45%
U.S. CORPORATE BONDS 32.89%
Capital One Bank
8.625%, due 01/15/97...................................... $250,000 $ 257,353
Citicorp Mortgage Securities
5.750%, due 06/25/09...................................... 84,462 75,898
Countrywide Funding FRN
6.480%, due 12/01/03...................................... 250,000 238,413
Dayton Hudson Credit Card Trust 95-1A
6.100%, due 02/25/02...................................... 100,000 101,605
GMAC MTN
7.450%, due 06/05/97...................................... 250,000 256,280
Green Tree Financial 94-2
8.300%, due 05/15/19...................................... 160,000 176,950
Hanson PLC Notes
6.750%, due 09/15/05...................................... 100,000 103,509
IBM Corp.
7.000%, due 10/30/25...................................... 325,000 334,482
Lehman Brothers Holdings, Inc. MTN
6.650%, due 07/14/98...................................... 250,000 253,535
News America Corp.
7.750%, due 01/20/24...................................... 250,000 259,331
Republic Bank of New York Corp. FRN
6.025%, due 12/29/02...................................... 250,000 242,500
RJR Nabisco, Inc.
8.750%, due 04/15/04...................................... 250,000 256,590
Standard Credit Card Trust 94-1A
4.650%, due 02/07/97...................................... 250,000 247,920
USX Corp.
9.800%, due 07/01/01...................................... 130,000 149,997
8.500%, due 03/01/23...................................... 30,000 87,809
----------
3,042,172
----------
INTERNATIONAL DOLLAR BONDS -- 5.08%
Republic of Italy
6.875%, due 09/27/23...................................... 250,000 244,375
Standard Credit Card Trust 91-3
8.875%, due 09/07/99...................................... 210,000 225,292
----------
469,667
----------
U.S. GOVERNMENT AGENCIES -- 27.54%
Federal Home Loan Mortgage Corp.
7.000%, due 12/15/06...................................... 220,000 225,353
7.000%, due 10/15/21...................................... 60,000 60,923
7.500%, due 07/15/22...................................... 250,000 262,428
Federal National Mortgage Association
6.500%, due 09/01/24...................................... 220,000 217,388
7.000%, due 09/01/24...................................... 245,000 246,914
7.500%, due 05/01/25...................................... 232,592 238,262
Federal National Mortgage Association Dwarf
7.000%, due 12/01/09...................................... 250,000 254,531
Government National Mortgage Association
9.000%, due 12/15/09...................................... 72,145 76,400
9.000%, due 12/15/17...................................... 214,071 227,904
7.500%, due 12/15/22...................................... 463,088 476,740
8.000%, due 09/15/24...................................... 100,000 104,125
Government National Mortgage Association ARM 5.500%, due
10/20/25.................................................. 156,576 156,623
----------
2,547,591
----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
-------- ----------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS -- 28.94%
U.S. Treasury Coupon Strips
0.000%, due 11/15/19...................................... $480,000 $ 108,960
U.S. Treasury Notes and Bonds
6.625%, due 03/31/97...................................... 835,000 849,352
5.500%, due 11/15/98...................................... 350,000 352,515
6.250%, due 08/31/00...................................... 185,000 191,475
7.250%, due 05/15/04...................................... 740,000 823,250
8.125%, due 05/15/21...................................... 250,000 316,406
U.S. Treasury Principal Strips
0.000%, due 05/15/20...................................... 155,000 34,351
----------
2,676,309
----------
Total U.S. Bonds (Cost $8,554,756)......................... 8,735,739
----------
SHORT-TERM INVESTMENTS -- 12.44%
COMMERCIAL PAPER -- 12.44%
Baxter International, Inc.
6.050%, due 01/02/96...................................... 451,000 450,924
General American Transportation Corp.
6.200%, due 01/18/96...................................... 200,000 199,415
Whitman Corp.
5.950%, due 01/02/96...................................... 500,000 499,917
----------
Total Short-Term Investments
(Cost $1,150,256)......................................... 1,150,256
----------
Total Investments
(Cost $9,705,012) -- 106.89%.............................. 9,885,995
----------
Liabilities, less cash and other assets --(6.89%) (a)...... (636,965)
----------
Net Assets -- 100%......................................... $9,249,030
==========
</TABLE>
(a) Aggregate cost for federal income tax purposes was $9,705,012; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation......... $181,935
Gross unrealized depreciation......... (952)
--------
Net unrealized appreciation.......... $180,983
========
</TABLE>
FRN: Floating Rate Note -- The rate disclosed is that in effect at December 31,
1995.
MTN:Medium Term Note
- --------------------------------------------------------------------------------
29
<PAGE>
U.S. BOND FUND -- FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $9,705,012) (Note 1)................. $ 9,885,995
Cash............................................................. 40,223
Receivables:
Investment securities sold...................................... 253,203
Interest........................................................ 117,792
Due from Advisor (Note 2)....................................... 99,086
Deferred organization costs, net of amortization (Note 1)........ 13,004
Other assets..................................................... 15,935
-----------
TOTAL ASSETS.................................................. 10,425,238
-----------
LIABILITIES:
Payables:
Investment securities purchased................................. 1,071,068
Accrued expenses................................................ 105,140
-----------
TOTAL LIABILITIES............................................. 1,176,208
-----------
NET ASSETS........................................................ $ 9,249,030
===========
NET ASSETS CONSIST OF:
Paid in capital (Note 6)......................................... $ 8,985,395
Accumulated distributions in excess of net investment income..... (7,907)
Accumulated net realized gain on investments..................... 90,559
Net unrealized appreciation on investments....................... 180,983
-----------
NET ASSETS.................................................... $ 9,249,030
===========
OFFERING PRICE PER SHARE:
Brinson Class
Net asset value, offering price and redemption price per share
(Based on net assets of $9,074,299 and 880,184 shares issued
and outstanding) (Note 6)...................................... $ 10.31
===========
SwissKey Class
Net asset value, offering price and redemption price per share
(Based on net assets of $174,731 and 16,961 shares issued and
outstanding) (Note 6).......................................... $ 10.30
===========
</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 DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................ $ 190,503
---------
TOTAL INCOME..................................................... 190,503
---------
EXPENSES:
Professional........................................................ 28,675
Custodian........................................................... 21,000
Registration........................................................ 17,605
Transfer Agent...................................................... 16,060
Advisory (Note 2)................................................... 14,076
Accounting.......................................................... 13,585
Printing............................................................ 11,358
Amortization of organization costs (Note 1)......................... 932
Distribution (Note 5)............................................... 89
Other expenses...................................................... 6,897
---------
TOTAL EXPENSES................................................... 130,277
Expenses deferred by Advisor (Note 2)............................ (113,298)
---------
NET EXPENSES..................................................... 16,979
---------
NET INVESTMENT INCOME ........................................... 173,524
---------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on investments.................................... 113,897
Change in net unrealized appreciation............................... 180,983
---------
Net realized and unrealized gain.................................... 294,880
---------
Net increase in net assets resulting from operations................ $ 468,404
=========
</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 DECEMBER 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
OPERATIONS:
Net investment income............................................. $ 173,524
Net realized gain on investments.................................. 113,897
Change in net unrealized appreciation............................. 180,983
----------
Net increase in net assets resulting from operations.............. 468,404
----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income.......................... (173,523)
Distributions in excess of net investment income.................. (7,907)
Distributions from net realized gain.............................. (23,339)
----------
Total distributions to shareholders*.............................. (204,769)
----------
CAPITAL SHARE TRANSACTIONS:
Shares sold....................................................... 8,861,181
Shares issued on reinvestment of distributions.................... 204,769
Shares redeemed................................................... (131,555)
----------
Net increase in net assets resulting from capital share transac-
tions (Note 6)................................................... 8,934,395
----------
TOTAL INCREASE IN NET ASSETS................................... 9,198,030
----------
NET ASSETS:
Beginning of period............................................... 51,000
----------
End of period (including distributions in excess of net investment
income of $7,907)................................................ $9,249,030
==========
*DISTRIBUTION BY CLASS:
Distributions from and in excess of net investment income:
Brinson Class.................................................... $ (179,446)
SwissKey Class................................................... (1,984)
Distributions from net realized gain:
Brinson Class.................................................... (23,071)
SwissKey Class................................................... (268)
----------
$ (204,769)
==========
</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.
<TABLE>
<CAPTION>
AUGUST 31, 1995*
THROUGH
DECEMBER 31, 1995
BRINSON CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $10.00
------
Income from investment operations:
Net investment income....................................... 0.20
Net realized and unrealized gain............................ 0.35
------
Total income from investment operations................... 0.55
------
Less distributions:
Distributions from and in excess of net investment income... (0.21)
Distributions from net realized gain........................ (0.03)
------
Total distributions....................................... (0.24)
------
Net asset value, end of period................................ $10.31
======
Total return (non-annualized)................................. 5.49%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $9,074
Ratio of expenses to average net assets:
Before expense reimbursement................................ 4.69%**
After expense reimbursement................................. 0.60%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ 2.17%**
After expense reimbursement................................. 6.26%**
Portfolio turnover rate...................................... 212%
</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
DECEMBER 31, 1995
SWISSKEY CLASS (UNAUDITED)
- --------------------------------------------------------------------------------
<S> <C>
Net asset value, beginning of period.......................... $10.00
------
Income from investment operations:
Net investment income....................................... 0.20
Net realized and unrealized gain............................ 0.33
------
Total income from investment operations................... 0.53
------
Less distributions:
Distributions from and in excess of net investment income... (0.20)
Distributions from net realized gain........................ (0.03)
------
Total distributions....................................... (0.23)
------
Net asset value, end of period................................ $10.30
======
Total return (non-annualized)................................. 5.29%
Ratios/Supplemental data
Net assets, end of period (in 000s).......................... $175
Ratio of expenses to average net assets:
Before expense reimbursement................................ 5.16%**
After expense reimbursement................................. 1.07%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................ 1.70%**
After expense reimbursement................................. 5.79%**
Portfolio turnover rate...................................... 212%
</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 ten series: Global Fund, Global
Equity Fund, Global Bond Fund, Short-Term Global Income Fund, U.S. Balanced
Fund, U.S. Equity Fund, U.S. Bond Fund, U.S. Cash Management Fund, Non-U.S.
Equity Fund and Non-U.S. Bond Fund. Each Fund has outstanding two classes of
shares, Brinson class and SwissKey class. There are an unlimited number of
shares of each class with par value of $0.00 authorized. Each share represents
an identical interest in the investments of the Funds and has the same rights.
The following is a summary of significant accounting policies consistently
followed by the U.S. Balanced Fund, U.S. Equity Fund and the U.S. Bond Fund
(each a "Fund," collectively the "Funds") in the preparation of their financial
statements.
A.INVESTMENT VALUATION: Securities for which market quotations are readily
available are valued at the last available sales price on the exchange or
market on which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which such securities are
principally traded. Securities for which market quotations are not readily
available, including restricted securities which are subject to limitations on
their sale, are valued at fair value as determined in good faith by or under
the direction of the Trust's Board of Trustees. Fixed income/debt securities
are valued using market quotations or independent services that use prices
provided by market makers or estimates of market values obtained from yield
data relating to instruments or securities with similar characteristics. Short-
term obligations with a maturity of 60 days or less are valued at amortized
cost, which approximates market value.
B.INVESTMENT TRANSACTIONS: Investment transactions are accounted for on a trade
date basis. Gains and losses on securities sold are determined on an identified
cost basis.
C.INVESTMENT INCOME: Interest income, which includes the amortization of
premiums and discounts, is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date.
D.FEDERAL INCOME TAXES: It is the policy of the Funds to comply with all
requirements of the Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute substantially all of their taxable
income to their shareholders. The Funds have met the requirements of the Code
applicable to regulated investment companies for the period ended December 31,
1995, therefore, no federal income tax provision was required.
E.ORGANIZATION COSTS: Organization costs are being amortized on a straight-line
basis over five years from each Fund's respective commencement of operations.
F.DISTRIBUTIONS TO SHAREHOLDERS: It is the policy of the Funds to distribute
their respective net investment income on a semi-annual basis and capital
gains, if any, annually. Distributions to shareholders are recorded on the ex-
dividend date. Income and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. Differences in dividends per share between the classes
are due to different class expenses. Amounts equal to 7.21% and 68.68% of the
amount taxable as ordinary income qualify for the dividends received deduction
available to corporate shareholders for the Brinson U.S. Balanced Fund and the
Brinson U.S. Equity Fund, respectively.
G.INCOME AND EXPENSE ALLOCATIONS: All income earned and expenses incurred by
the Fund will be borne on a prorata basis by each of the classes except that
the Brinson class will not incur any of the 12b-1 expenses.
- --------------------------------------------------------------------------------
35
<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 December 31, 1995, were as follows:
<TABLE>
<CAPTION>
BRINSON SWISSKEY
CLASS CLASS
ADVISORY EXPENSE EXPENSE ADVISORY FEES DEFERRED DUE FROM
FEE CAP CAP FEES AND/OR REIMBURSED ADVISOR
-------- ------- -------- -------- ----------------- --------
<S> <C> <C> <C> <C> <C> <C>
U.S. Balanced Fund...... 0.70% 0.80% 1.30% $660,274 $303,042 $46,935
U.S. Equity Fund........ 0.70 0.80 1.32 254,154 199,769 74,339
U.S. Bond Fund.......... 0.50 0.60 1.07 14,076 113,298 99,086
</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 $3,623, $2,451 and $3,942 for the U.S. Balanced
Fund, U.S. Equity Fund, and U.S. Bond Fund, respectively.
3.INVESTMENT TRANSACTIONS
Investment transactions for the period ended December 31, 1995, excluding
short-term investments, were as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
U.S. Balanced Fund.................................... $255,669,041 $220,420,733
U.S. Equity Fund...................................... 51,092,420 11,182,406
U.S. Bond Fund........................................ 26,005,847 17,524,350
</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 and that a change in the value
of the contract may not correlate with changes in the value of the underlying
securities. Upon entering into a futures contract, the Funds are required to
deposit either cash or securities in an amount (initial margin) based on the
number of open contracts. Subsequent payments (variation margin) are made or
received by the Funds, generally on a daily basis. The variation margin
payments are equal to the daily changes in the contract value and are recorded
as unrealized gains or losses. The Funds recognize a realized gain or loss when
the contract is closed or expires. The statement of operations reflects
realized and unrealized gains and losses on these contracts. Futures contracts
are valued at the settlement price established each day on the exchange on
which they are traded.
5.DISTRIBUTION PLAN
The Trust has adopted a distribution plan (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act of 1940 (the "Act"). The Plan governs payments
made for the expenses incurred in the promotion and distribution of the
SwissKey Class of shares. Annual fees under the Plan of 0.50%, 0.52% and 0.47%
of the average daily net assets of the SwissKey Class of the U.S. Balanced
Fund, U.S. Equity Fund and U.S. Bond Fund, respectively, are accrued daily.
- --------------------------------------------------------------------------------
36
<PAGE>
THE SWISSKEY FUNDS -- NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
6.CAPITAL TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
U.S. BALANCED FUND
---------------------------------------------
SIX MONTHS ENDED
DECEMBER 31, 1995 PERIOD ENDED
(UNAUDITED) JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class................... 3,945,476 $45,936,887 15,121,050 $154,231,504
SwissKey Class.................. 19,216 221,011 -- --
--------- ----------- ---------- ------------
Total Sales....................... 3,964,692 $46,157,898 15,121,050 $154,231,504
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class................... 1,291,889 $14,701,695 178,265 $ 1,991,226
SwissKey Class.................. 123 1,394 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment....... 1,292,012 $14,703,089 178,265 $ 1,991,226
========= =========== ========== ============
Redemptions:
Brinson Class................... 657,649 $ 7,710,180 1,260,181 $ 13,268,940
SwissKey Class.................. 88 998 -- --
--------- ----------- ---------- ------------
Total Redemptions................. 657,737 $ 7,711,178 1,260,181 $ 13,268,940
========= =========== ========== ============
<CAPTION>
U.S. EQUITY FUND
---------------------------------------------
SIX MONTHS ENDED
DECEMBER 31, 1995 PERIOD ENDED
(UNAUDITED) JUNE 30, 1995
--------------------- -----------------------
SHARES VALUE SHARES VALUE
--------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Sales:
Brinson Class................... 3,374,176 $41,373,607 3,011,049 $ 30,972,427
SwissKey Class.................. 10,353 127,133 -- --
--------- ----------- ---------- ------------
Total Sales....................... 3,384,529 $41,500,740 3,011,049 $ 30,972,427
========= =========== ========== ============
Dividend Reinvestment:
Brinson Class................... 189,516 $ 2,456,129 33,507 $ 349,100
SwissKey Class.................. 268 3,473 -- --
--------- ----------- ---------- ------------
Total Dividend Reinvestment....... 189,784 $ 2,459,602 33,507 $ 349,100
========= =========== ========== ============
Redemptions:
Brinson Class................... 125,891 $ 1,592,171 202,160 $ 2,050,830
SwissKey Class.................. 84 1,004 -- --
--------- ----------- ---------- ------------
Total Redemptions................. 125,975 $ 1,593,175 202,160 $ 2,050,830
========= =========== ========== ============
<CAPTION>
U.S. BOND FUND
---------------------
PERIOD ENDED
DECEMBER 31, 1995
(UNAUDITED)
---------------------
SHARES VALUE
--------- -----------
<S> <C> <C> <C> <C>
Sales:
Brinson Class................... 867,973 $ 8,691,149
SwissKey Class.................. 16,640 170,032
--------- -----------
Total Sales....................... 884,613 $ 8,861,181
========= ===========
Dividend Reinvestment:
Brinson Class................... 19,835 $ 202,518
SwissKey Class.................. 221 2,251
--------- -----------
Total Dividend Reinvestment....... 20,056 $ 204,769
========= ===========
Redemptions:
Brinson Class................... 12,624 $ 131,555
SwissKey Class.................. -- --
--------- -----------
Total Redemptions................. 12,624 $ 131,555
========= ===========
</TABLE>
- --------------------------------------------------------------------------------
37
<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
