<PAGE>
--------------------------------------
THE BRINSON RELATIONSHIP FUNDS
BRINSON GLOBAL SECURITIES FUND
BRINSON POST-VENTURE FUND
BRINSON HIGH YIELD FUND
BRINSON EMERGING MARKETS EQUITY FUND
BRINSON EMERGING MARKETS DEBT FUND
ANNUAL REPORT
DECEMBER 31, 1995
[ARTWORK APPEARS HERE]
GLOBAL INVESTMENT MANAGEMENT OF INSTITUTIONAL ASSETS
--------------------------------------
<PAGE>
TABLE OF CONTENTS
Page
Brinson Global Securities Fund
Schedule of Investments............................................ 5
Statement of Assets and Liabilities................................ 15
Statement of Operations............................................ 16
Statement of Changes in Net Assets................................. 17
Financial Highlights............................................... 18
Brinson Post-Venture Fund
Schedule of Investments............................................ 22
Statement of Assets and Liabilities................................ 26
Statement of Operations............................................ 27
Statement of Changes in Net Assets................................. 28
Financial Highlights............................................... 29
Brinson High Yield Fund
Schedule of Investments............................................ 33
Statement of Assets and Liabilities................................ 35
Statement of Operations............................................ 36
Statement of Changes in Net Assets................................. 37
Financial Highlights............................................... 38
Brinson Emerging Markets Equity Fund
Schedule of Investments............................................ 42
Statement of Assets and Liabilities................................ 48
Statement of Operations............................................ 49
Statement of Changes in Net Assets................................. 50
Financial Highlights............................................... 51
Brinson Emerging Markets Debt Fund
Schedule of Investments............................................ 55
Statement of Assets and Liabilities................................ 57
Statement of Operations............................................ 58
Statement of Changes in Net Assets................................. 59
Financial Highlights............................................... 60
The Brinson Relationship Funds -- Notes to Financial Statements..... 61
Report of Independent Auditors........................................ 64
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
The Brinson Global Securities Fund has provided an unannualized return
of 17.18% since its performance inception on April 30, 1995. This exceeds the
corresponding 14.46% return of its benchmark, the Global Securities Index (GSI).
Positive contributors to relative performance included security selection within
the U.S. equity component, hedging currency risk, and an underweight in 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.
Positive earnings surprises, combined with the bond market rally, propelled
the U.S. equity market to excellent returns. Most non-U.S. equity markets also
responded positively, although none had returns as large on a currency hedged
basis.
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.
1
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
Total Return
4/30/95*
to 12/31/95
- --------------------------------------------------------------------------------
Brinson Global Securities Fund 17.18% **
- --------------------------------------------------------------------------------
Global Securities Index 14.46% **
- --------------------------------------------------------------------------------
* Performance inception date of the Brinson Global Securities Fund.
** Total returns have not been annualized.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson Global
Securities Fund and the Global Securities Index if you had invested $100,000 on
April 30, 1995. 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 Securities Fund
vs. Global Securities Index
[GRAPH APPEARS HERE]
Brinson Global Securities Global Securities
Fund Index
04/30/95 100,000.00 100,000.00
05/31/95 103,327.00 102,509.46
06/30/95 104,439.00 104,073.73
07/31/95 106,942.00 107,315.76
08/31/95 108,458.00 106,940.77
09/30/95 110,483.00 109,802.86
10/31/95 111,333.00 109,113.68
11/30/95 114,689.00 112,379.71
12/31/95 117,181.00 114,455.20
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.
2
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOP TEN U.S. EQUITY HOLDINGS TOP TEN NON U.S. EQUITY HOLDINGS
As of December 31, 1995 As of December 31, 1995
<S> <C> <C> <C>
Percent of Percent of
Net Assets Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
1. Citicorp. 1.57% 1. Royal Dutch Petroleum 0.26%
2. Lockheed Martin Corp. 1.53 2. General Electric PLC 0.23
3. Burlington Northern Santa Fe 1.24 3. Lloyds TSB Group 0.22
4. Honeywell, Inc. 1.18 4. Broken Hill Proprietary 0.18
5. Avon Products, Inc. 0.94 5. British Telecommunications 0.18
6. Schering Plough Corp. 0.88 6. Internationale Nederlanden Groep NV 0.17
7. Kimberly-Clark Corp. 0.85 7. Royal Dutch Petroleum N.Y. Shares 0.16
8. Aon Corp. 0.85 8. Grand Metropolitan 0.16
9. Enron Corp. 0.82 9. British Petroleum 0.16
10. Sprint Corp. 0.81 10. Unilever NV 0.16
</TABLE>
3
<PAGE>
BRINSON GLOBAL SECURITIES FUND
================================================================================
Industry Diversification
As a Percentage of Net Assets
As of December 31, 1995
<TABLE>
<CAPTION>
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals ........................................... 0.23 %
Housing / Paper ..................................... 0.95
Metals .............................................. 0.41
------
1.59
Capital Investment
Capital Goods ....................................... 2.60
Technology .......................................... 1.63
------
4.23
Consumer
Autos / Durables .................................... 0.30
Discretionary ....................................... 1.56
Health : Drugs ...................................... 2.77
Health : Non-Drugs .................................. 0.90
Non-Durables ........................................ 2.89
Retail / Apparel .................................... 1.79
------
10.21
Energy ................................................... 1.76
Financial
Banks ............................................... 2.31
Non-Banks ........................................... 2.83
------
5.14
Services ................................................. 2.28
Transportation ........................................... 1.25
Utilities ................................................ 1.87
Miscellaneous ............................................ 0.65
------
Total U.S. Equities ............................ 28.98
------
NON-U.S. EQUITIES
Aerospace & Military ..................................... 0.07 %
Airlines ................................................. 0.01
Appliances & Household Durables .......................... 0.27
Automobiles .............................................. 0.39
Banking .................................................. 1.92
Beverages & Tobacco ...................................... 0.40
Broadcasting & Publishing ................................ 0.23
Building Materials ....................................... 0.08
Business & Public Service ................................ 0.38
Chemicals ................................................ 0.43
Construction ............................................. 0.20
Data Processing .......................................... 0.10
Electric Components ...................................... 0.12
Electronics .............................................. 0.56
Energy ................................................... 1.35
Financial Services ....................................... 0.24
Food & House Products .................................... 0.69
Forest Products .......................................... 0.24
Goldmines ................................................ 0.03
Health & Personal Care ................................... 0.54
Industrial Components .................................... 0.25
Insurance ................................................ 0.66
Leisure & Tourism ........................................ 0.05
Machinery & Engineering .................................. 0.16
Merchandising ............................................ 0.72
Miscellaneous Materials .................................. 0.22
Multi-Industry ........................................... 0.64
Non-Ferrous Metals ....................................... 0.23
Real Estate .............................................. 0.06
Recreation ............................................... 0.07
Shipping ................................................. 0.10
Steel .................................................... 0.07
Telecommunications ....................................... 0.54
Textiles & Apparel ....................................... 0.04
Transportation ........................................... 0.09
Utilities ................................................ 0.78
------
Total Non-U.S. Equities ........................ 12.93
------
U.S. BONDS
Corporate Bonds
Asset-backed ........................................ 1.93
CMO ................................................. 0.56
Consumer ............................................ 0.61
Financial ........................................... 3.31
Floating rate ....................................... 0.50
Industrial .......................................... 1.56
Telecommunications .................................. 0.63
Yankee .............................................. 0.99
------
Total U.S. Corporate Bonds ..................... 10.09
------
U.S. Government Agencies ................................. 8.05
U.S. Government Obligations .............................. 6.04
Municipal Bonds .......................................... 0.43
International Dollar Bonds .............................. 2.56
------
Total U.S. Bonds ............................... 27.17
------
NON-U.S. BONDS
Foreign Financial Bonds .................................. 1.45
Foreign Government Bonds ................................. 21.80
------
Total Non-U.S. Bonds ........................... 23.25
------
SHORT-TERM INVESTMENTS ........................................... 7.34
TOTAL INVESTMENTS .............................. 99.67
CASH AND OTHER ASSETS,
LESS LIABILITIES ......................................... 0.33
------
NET ASSETS ..................................... 100.00 %
======
</TABLE>
4
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
Equities - 41.91%
U.S. Equities - 28.98%
Aetna Life & Casualty Co. ............................................................... 81,300 $ 5,630,025
Air & Water Technologies Corp. (b) ...................................................... 39,600 242,550
Allergan, Inc. .......................................................................... 135,800 4,413,500
Alza Corp. (b) .......................................................................... 107,100 2,650,725
American Mobile Satellite Corp., Inc. (b) ............................................... 19,700 603,313
Aon Corp. ............................................................................... 165,300 8,244,337
AST Research Corp. (b) ................................................................. 36,638 311,423
Automatic Data Processing, Inc. ......................................................... 77,400 5,746,950
Avon Products, Inc. ..................................................................... 120,900 9,112,838
Bard (C.R.), Inc. ....................................................................... 81,900 2,641,275
Beckman Instruments, Inc. ............................................................... 52,700 1,864,262
Biogen, Inc. (b) ........................................................................ 12,200 750,300
Birmingham Steel Corp. .................................................................. 52,900 786,888
Boeing Co. .............................................................................. 47,700 3,738,487
Boston Technology, Inc. (b) ............................................................. 32,400 413,100
Brinker International, Inc. (b) ......................................................... 39,600 598,950
Burlington Northern Santa Fe ............................................................ 153,500 11,973,000
Campbell Soup Co. ....................................................................... 41,800 2,508,000
Centerior Energy Co. .................................................................... 24,300 215,663
CIGNA Corp. ............................................................................. 65,700 6,783,525
Citicorp ................................................................................ 226,500 15,232,125
CMS Energy Corp. ........................................................................ 144,400 4,313,950
Coca-Cola Enterprises, Inc. ............................................................. 175,700 4,699,975
Comerica, Inc. .......................................................................... 36,300 1,456,537
Computer Sciences Corp. (b) ............................................................. 7,000 491,750
Comverse Technology, Inc. (b) ........................................................... 21,500 430,000
Cooper Cameron Corp. (b) ................................................................ 44,547 1,581,419
Cooper Industries, Inc. ................................................................. 52,901 1,944,112
Dial Corp. .............................................................................. 127,700 3,783,112
Enron Corp. ............................................................................. 208,000 7,930,000
Entergy Corp. ........................................................................... 145,600 4,258,800
Federated Department Stores (b) ......................................................... 171,100 4,705,250
First Data Corp. ........................................................................ 80,280 5,368,725
Food Lion, Inc. Class A. ................................................................ 216,300 1,236,955
Ford Motor Co. .......................................................................... 135,800 3,938,200
Forest Laboratories, Inc. (b) ........................................................... 91,100 4,122,275
Gannett Co., Inc. ....................................................................... 48,800 2,995,100
Genzyme Corp. (b) ....................................................................... 17,500 1,091,563
Goodyear Tire and Rubber Co. ............................................................ 96,300 4,369,612
Health Care & Retirement Corp. (b) ...................................................... 39,300 1,375,500
Hillenbrand Industries, Inc. ............................................................ 3,500 118,563
Honeywell, Inc. ......................................................................... 234,200 11,387,975
Illinova Corp. .......................................................................... 27,400 822,000
Inland Steel Industries ................................................................. 78,800 1,979,850
Interpublic Group of Companies, Inc. .................................................... 53,500 2,320,562
Kimberly-Clark Corp. .................................................................... 99,800 8,258,450
Kroger Co. (b) .......................................................................... 76,500 2,868,750
Lockheed Martin Corp. ................................................................... 187,400 14,804,600
LTV Corp. ............................................................................... 77,500 1,065,625
Lyondell Petrochemical Co. .............................................................. 144,200 3,298,575
Magna Group, Inc. ....................................................................... 26,300 624,625
Manor Care, Inc. ........................................................................ 86,300 3,020,500
Mattel, Inc. ............................................................................ 211,600 6,506,700
Melville Corp. .......................................................................... 123,700 3,803,775
National Semiconductor Corp. (b) ........................................................ 57,300 1,274,925
Nextel Communications, Inc. Class A (b) ................................................. 117,300 1,730,175
Octel Communications Corp. (b) .......................................................... 14,100 454,725
Old Republic International Corp. ........................................................ 51,300 1,821,150
Owens Illinois, Inc. (b) ................................................................ 150,900 2,188,050
Pentair, Inc. ........................................................................... 30,900 1,537,275
Pfizer, Inc. ............................................................................ 81,500 5,134,500
Philip Morris Companies, Inc. ........................................................... 39,100 3,538,550
Raychem Corp. ........................................................................... 45,600 2,593,500
RJR Nabisco Convertible Preferred "C" ................................................... 432,200 2,755,275
RJR Nabisco Holdings Corp. .............................................................. 128,400 3,964,350
Schering Plough Corp. ................................................................... 156,000 8,541,000
</TABLE>
5
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
U.S. Equities - (continued)
Schlumberger Ltd. ....................................................................... 56,200 $ 3,891,850
Schweitzer-Mauduit International, Inc. (b) .............................................. 9,980 230,788
Seagate Technology, Inc. (b) ............................................................ 55,200 2,622,000
Sprint Corp. ............................................................................ 195,500 7,795,562
State Street Boston Corp. ............................................................... 38,900 1,750,500
Timken Co. .............................................................................. 37,000 1,415,250
Tosco Corp. ............................................................................. 23,700 903,563
Transamerica Corp. ...................................................................... 67,300 4,904,487
Ultramar Corp. .......................................................................... 57,600 1,483,200
US Bancorp .............................................................................. 90,300 3,036,338
USF&G Corp. ............................................................................. 119,700 2,019,937
Walgreen Co. ............................................................................ 115,300 3,444,587
Westvaco Corp. .......................................................................... 31,500 874,125
WMX Technologies, Inc. .................................................................. 168,400 5,030,950
------------
Total U.S. Equities ..................................................................... 280,371,233
------------
Non-U.S. Equities - 12.93%
Australia - 0.71%
Amcor Ltd. .............................................................................. 64,200 453,693
ANZ Banking Group ....................................................................... 78,530 368,612
Broken Hill Proprietary ................................................................. 124,949 1,765,998
CRA Ltd. ................................................................................ 48,010 704,982
David Jones Ltd. (b) .................................................................... 179,000 272,967
Lend Lease Corp. Ltd. ................................................................... 38,045 551,869
National Australia Bank ................................................................. 79,920 719,357
News Corp. .............................................................................. 79,420 424,188
Pacific Dunlop Ltd. ..................................................................... 115,145 269,811
Qantas Airways Ltd. ..................................................................... 33,000 54,988
Santos Ltd. ............................................................................. 97,985 286,455
Western Mining Corp. .................................................................... 44,415 285,461
Westpac Banking Corp. Ltd. .............................................................. 152,050 674,119
------------
6,832,500
------------
Belgium - 0.45%
Delhaize-Le Lion, S.A. .................................................................. 4,300 178,248
Electrabel .............................................................................. 3,980 946,624
Fortis AG ............................................................................... 3,590 436,691
Groupe Bruxelles Lambert ................................................................ 2,350 326,179
Kredietbank ............................................................................. 2,230 609,954
Petrofina S.A. Warrants "97" (b) ........................................................ 38 504
Petrofina ............................................................................... 1,800 551,054
Societe Gen de Belgique ................................................................. 3,080 254,827
Solvay .................................................................................. 715 386,278
Tractebel ............................................................................... 1,215 501,590
Union Mineire (b) ....................................................................... 2,450 163,994
------------
4,355,943
------------
Canada - 0.66%
Alcan Aluminium Ltd. .................................................................... 16,150 501,801
Bank of Montreal ........................................................................ 36,255 824,098
Barrick Gold Corp. ...................................................................... 12,795 337,748
Canadian Pacific Ltd. ................................................................... 43,190 787,763
Imperial Oil Canada Ltd. ................................................................ 17,075 618,183
Moore Corp. Ltd. ........................................................................ 9,600 180,378
Noranda, Inc. ........................................................................... 16,565 341,612
Norcen Energy ........................................................................... 14,490 217,807
Northern Telecom Ltd. ................................................................... 8,530 365,111
Nova Corporation of Alberta ............................................................. 35,960 290,043
Royal Bank of Canada .................................................................... 29,145 665,155
Seagram Co. Ltd. ........................................................................ 14,265 491,608
Thomson Corp. ........................................................................... 38,570 537,344
TransCanada Pipelines Ltd. .............................................................. 16,255 224,969
------------
6,383,620
------------
France - 1.42%
Accor ................................................................................... 3,100 401,873
Alcatel Alsthom ......................................................................... 5,911 510,290
Banque Nationale de Paris ............................................................... 18,580 839,227
</TABLE>
6
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
Non-U.S. Equities - (continued)
France - (continued)
Carnaud Metal Box ....................................................................... 10,530 $ 482,297
Cep Communications ...................................................................... 4,003 332,331
Cie Bancaire S.A. ....................................................................... 4,319 483,951
Cie de Saint Gobain ..................................................................... 6,784 751,836
Cie Fin de Suez ......................................................................... 9,435 389,701
Colas ................................................................................... 1,705 285,875
Credit Local de France .................................................................. 10,181 816,045
GAN (b) ................................................................................. 4,225 154,639
Generale des Eaux ....................................................................... 8,713 871,015
LVMH (Moet-Hennessy Louis Vuitton) ...................................................... 6,103 1,272,862
Michelin Class B ........................................................................ 11,405 455,444
Pechiney Cert D'Invest .................................................................. 7,278 275,310
Peugeot S.A. ............................................................................ 10,410 1,375,058
Sanofi .................................................................................. 7,634 489,983
Societe Generale ........................................................................ 8,834 1,092,825
Societe Nationale Elf Aquitaine ......................................................... 10,918 805,467
Total Co. 'B' ........................................................................... 17,527 1,184,450
UAP ..................................................................................... 18,256 477,435
------------
13,747,914
------------
Germany - 0.98%
Allianz AG Holding ...................................................................... 588 1,156,856
BASF AG ................................................................................. 1,947 439,378
Bayer Motoren Werken .................................................................... 896 463,243
Bayer Vereinsbank ....................................................................... 12,810 384,846
Bayer ................................................................................... 2,013 535,562
Commerzbank ............................................................................. 1,874 445,816
Daimler-Benz ............................................................................ 855 432,488
Deutsche Bank ........................................................................... 27,720 1,318,893
Hoechst ................................................................................. 2,100 572,207
Kaufhof Holding AG ...................................................................... 1,235 377,066
Mannesmann .............................................................................. 2,245 716,022
Muenchener Rueckver ..................................................................... 368 794,467
Muenchener Rueckver Warrants "98" (b) ................................................... 8 1,059
Preussag ................................................................................ 1,546 436,375
RWE ..................................................................................... 1,250 455,443
Schering ................................................................................ 3,770 251,017
Veba .................................................................................... 15,770 676,503
------------
9,457,241
------------
Italy - 0.46%
Assic Generali .......................................................................... 31,800 770,701
Eni ADR (c) ............................................................................. 22,300 763,775
Fiat Spa Priv (b) ....................................................................... 232,300 424,629
Instituto Mobilaire Italiano ............................................................ 82,900 522,537
Italgas ................................................................................. 96,500 293,790
La Rinascente ........................................................................... 32,000 193,837
La Rinascente Savings (Risp) ............................................................ 25,600 72,613
Mediobanca .............................................................................. 18,850 130,638
Montedison (b) .......................................................................... 327,400 219,575
Sai Di Risp ............................................................................. 51,200 212,676
Telecom Italia .......................................................................... 358,000 438,223
Telecom Italia Mobile (b) ............................................................... 365,000 384,213
------------
4,427,207
------------
Japan - 2.87%
Amada ................................................................................... 45,000 444,983
Asahi Glass Co. ......................................................................... 53,000 590,887
Bank of Tokyo ........................................................................... 26,000 456,229
Canon, Inc. ............................................................................. 38,000 688,900
Canon Sales ............................................................................. 13,650 363,912
Citizen Watch Co. ....................................................................... 42,000 321,668
Dai Nippon Printing ..................................................................... 41,000 695,589
Daiichi Pharmaceutical Co. Ltd. ......................................................... 14,000 199,515
Daikin Kogyo Co. ........................................................................ 44,000 430,829
Daiwa House Industries .................................................................. 22,000 362,579
Fanuc Co. ............................................................................... 11,300 489,685
</TABLE>
7
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
Non-U.S. Equities - (continued)
Japan - (continued)
Fujitsu ................................................................................. 29,000 $ 323,316
Hitachi Ltd. ............................................................................ 82,000 826,757
Honda Motor Co. ......................................................................... 26,000 536,888
Inax .................................................................................... 43,000 408,531
Isetan .................................................................................. 15,000 247,213
Ito Yokado Co. .......................................................................... 22,000 1,356,471
Keio Teito Electric Railway ............................................................. 50,000 291,323
Kinki Nippon Railway .................................................................... 49,000 370,528
Kirin Brewery Co. Ltd. .................................................................. 26,000 307,513
Kuraray Co. Ltd. ........................................................................ 24,000 262,918
Maeda Road Construction ................................................................. 10,000 185,167
Marui Co. ............................................................................... 14,000 291,808
Matsushita Electric Industrial .......................................................... 70,000 1,140,087
Mitsubishi Bank ......................................................................... 18,000 424,043
Mitsubishi Paper ........................................................................ 55,000 331,120
NGK Insulators .......................................................................... 72,000 718,953
Nichii Co. .............................................................................. 34,000 451,575
Nintendo ................................................................................ 4,200 319,632
Nippon Denso Co. ........................................................................ 30,000 561,318
Nippon Meat Packers ..................................................................... 28,000 407,174
Nippon Steel Corp. ...................................................................... 35,000 120,116
Orix Corp. .............................................................................. 5,000 206,011
Osaka Gas Corp. ......................................................................... 181,000 626,437
Pioneer Electronics ..................................................................... 20,000 366,457
Sankyo Co. Ltd. ......................................................................... 32,000 719,729
Secom Co. ............................................................................... 10,000 696,074
Seino Transportation .................................................................... 15,000 251,575
Sekisui House ........................................................................... 85,000 1,087,736
Shinmaywa Industries Ltd. ............................................................... 28,000 231,275
Sony Corp. .............................................................................. 11,600 696,112
Sumitomo Bank ........................................................................... 47,000 997,867
Sumitomo Electric Industries ............................................................ 36,000 432,768
Takeda Chemical Industries .............................................................. 49,000 807,562
TDK Corp. ............................................................................... 13,000 664,178
Tokio Marine & Fire ..................................................................... 40,000 523,509
Tokyo Electric Power .................................................................... 19,392 518,875
Tokyo Steel Mfg. ........................................................................ 32,000 589,433
Tonen Corp. ............................................................................. 23,000 336,694
Toray Industries, Inc. .................................................................. 175,000 1,153,660
Toshiba Corp. ........................................................................... 138,000 1,082,327
Toyo Suisan Kaisha ...................................................................... 29,000 359,864
Toyota Motor Corp. ...................................................................... 14,000 297,237
Yamazaki Baking Co. Ltd. ................................................................ 15,000 279,205
------------
27,851,812
------------
Malaysia - 0.15%
Genting ................................................................................. 9,000 75,148
Hume Industries ......................................................................... 22,000 105,711
Kuala Lumpur Kepong ..................................................................... 45,000 142,674
Land & General Holdings ................................................................. 49,000 106,144
Malayan Bank ............................................................................ 23,000 193,856
Nestle Malaysia ......................................................................... 14,000 102,560
Sime Darby .............................................................................. 71,000 188,755
Telekom Malaysia ........................................................................ 35,000 272,942
Tenaga Nasional ......................................................................... 57,000 224,498
------------
1,412,288
------------
Netherlands - 1.07%
ABN-AMRO Holdings ....................................................................... 28,224 1,287,071
D.S.M. .................................................................................. 4,025 331,441
Internationale Nederlanden Groep NV ..................................................... 24,624 1,646,720
KPN NV .................................................................................. 16,471 599,039
Philips Electronics ..................................................................... 9,635 348,615
Royal Dutch Petroleum ................................................................... 18,300 2,559,489
Royal Dutch Petroleum N.Y. Shares (c) ................................................... 11,200 1,580,600
Unilever NV ............................................................................. 10,715 1,507,319
</TABLE>
8
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
Non-U.S. Equities - (continued)
Netherlands - (continued)
VNU-Ver Ned Uitgevers ................................................................... 3,250 $ 446,647
------------
10,306,941
------------
New Zealand - 0.33%
Brierly Investment ...................................................................... 837,600 662,589
Carter Holt Harvey ...................................................................... 350,900 757,041
Fletcher Challenge Ltd. ................................................................. 324,300 748,417
Fletcher Challenge Forest Division ...................................................... 39,629 56,480
Telecom Corp. of New Zealand Ltd. ....................................................... 136,000 586,820
Telecom Corp. of New Zealand Ltd. ADS (c) ............................................... 5,320 369,075
------------
3,180,422
------------
Spain - 0.46%
Banco Bilbao-Vizcaya .................................................................... 9,295 334,799
Banco Intercontinental .................................................................. 3,480 338,466
Banco Popular ........................................................................... 1,870 344,795
Banco Santander ......................................................................... 9,290 466,323
Empresa NAC Electric .................................................................... 6,900 390,715
Iberdrola S.A. .......................................................................... 91,490 837,048
Repsol S.A. ............................................................................. 10,250 335,826
Repsol S.A. ADR (c) ..................................................................... 4,680 153,855
Sevillana de Electric ................................................................... 35,500 275,634
Telefonica de Espana .................................................................... 61,760 855,205
Viscofan ................................................................................ 13,340 158,333
------------
4,490,999
------------
Switzerland - 0.40%
Ciba-Geigy (Reg.) ....................................................................... 503 443,721
CS Holdings ............................................................................. 3,966 407,596
Nestle (Reg.) SA ........................................................................ 984 1,091,243
Roche Holdings Gen. ..................................................................... 101 800,995
Schweitz Bankgesellschaft ............................................................... 409 444,333
Societe Generale Surveillance (Br) ...................................................... 155 308,491
Zurich Insurance ........................................................................ 1,158 347,219
------------
3,843,598
------------
United Kingdom - 2.97%
Asda Group .............................................................................. 173,000 296,794
Bass .................................................................................... 79,200 884,099
B.A.T. Industries PLC ................................................................... 80,400 708,384
BET PLC ................................................................................. 143,100 282,156
Booker PLC .............................................................................. 28,300 157,295
British Gas ............................................................................. 330,200 1,302,139
British Petroleum ....................................................................... 184,820 1,546,623
British Telecommunications .............................................................. 314,050 1,726,032
Charter Group ........................................................................... 53,739 720,024
Coats Viyella ........................................................................... 157,500 427,923
FKI ..................................................................................... 157,687 403,949
General Electric PLC .................................................................... 404,500 2,229,429
Glaxo Holdings .......................................................................... 64,700 919,120
Grand Metropolitan ...................................................................... 218,600 1,574,762
Guinness ................................................................................ 120,700 888,244
Hanson .................................................................................. 197,300 589,664
Hillsdown Holdings ...................................................................... 145,600 382,028
House of Fraser ......................................................................... 326,900 908,479
Legal and General ....................................................................... 45,100 469,135
Lloyds Abbey Life ....................................................................... 67,500 471,588
Lloyds TSB Group ........................................................................ 412,900 2,121,874
Lucas Industries ........................................................................ 92,200 259,093
Marks & Spencer ......................................................................... 99,200 693,060
Mirror Group ............................................................................ 167,300 457,146
National Power .......................................................................... 75,100 524,103
National Westminster Bank ............................................................... 93,000 937,075
Ocean Group ............................................................................. 65,200 392,759
P & O ................................................................................... 71,500 528,396
Reckitt & Colman ........................................................................ 52,500 581,160
Redland ................................................................................. 40,500 244,597
</TABLE>
9
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
Non-U.S. Equities - (continued)
United Kingdom - (continued)
RJB Mining PLC .......................................................................... 39,000 $ 331,812
Rolls Royce ............................................................................. 234,300 687,513
Rolls Royce ADR (c) ..................................................................... 585 8,583
Royal Insurance ......................................................................... 69,200 410,408
Sears PLC ............................................................................... 278,600 449,843
Sedgwick Group .......................................................................... 75,600 142,021
SmithKline Beecham Units ................................................................ 95,200 1,037,578
Tesco ................................................................................... 181,700 837,834
Thames Water ............................................................................ 62,900 548,825
Unilever Ord 5P ......................................................................... 19,700 404,644
W.H. Smith Group ........................................................................ 54,500 358,764
------------
28,844,955
------------
Total Non-U.S. Equities ................................................................. 125,135,440
------------
Total Equities
(Cost $354,519,530) .................................................................. 405,506,673
------------
Face
Bonds - 50.42% Amount
U.S. Bonds - 27.17% ------------
U.S. Corporate Bonds - 10.09%
Bell South Corp., 0.000%, due 12/15/15 .................................................. $ 680,000 180,050
Citicorp Mortgage Securities, 5.750%, due 06/25/09 ...................................... 3,861,045 3,469,535
Countrywide Funding FRN, 6.430%, due 12/01/03 ........................................... 3,000,000 2,860,950
Dayton Hudson Credit Card Trust 95-1A, 6.100%, due 02/25/02 ............................. 3,500,000 3,556,175
Ford Motor Credit MTN, 5.370%, due 09/08/98 ............................................. 5,000,000 4,958,950
GMAC MTN, 7.450%, due 06/05/97 .......................................................... 5,250,000 5,381,880
Green Tree Financial
94-2, 8.300%, due 05/15/19 .......................................................... 1,640,000 1,813,742
94-6, 8.250%, due 11/15/19 .......................................................... 100,000 110,783
IBM Corp., 7.000%, due 10/30/25 ......................................................... 5,710,000 5,876,589
Korea Development Bank, 6.500%, due 11/15/02 ............................................ 535,000 543,193
Lehman Brothers Holdings, Inc., 6.650%, due 07/14/98 .................................... 6,750,000 6,845,445
MBNA Master Trust 94-1A FRN, 6.275%, due 03/15/01 ....................................... 500,000 499,975
Nationwide CSN Trust, 9.875%, due 02/15/25 .............................................. 5,000,000 5,840,315
News America Corp., 7.750%, due 01/20/24 ................................................ 5,750,000 5,964,607
Petroliam Nasional, 7.125%, due 08/15/05 ................................................ 3,650,000 3,850,750
Republic Bank of New York Corp. FRN, 7.087%, due 12/29/02 ............................... 5,000,000 4,850,000
RJR Nabisco, Inc., 8.750%, due 04/15/04 ................................................. 5,750,000 5,901,582
Salomon, Inc., 7.020%, due 09/25/98 ..................................................... 6,000,000 6,105,120
Signet Credit Card 1993-4A FRN, 3.813%, due 05/15/02 .................................... 500,000 501,355
Smurfit Capital Funding, 7.500%, due 11/20/25 ........................................... 5,000,000 5,201,470
Standard Credit Card Trust
94-1A, 4.650%, due 02/07/97 ......................................................... 6,265,000 6,212,875
90-6A, 9.375%, due 07/10/97 ......................................................... 600,000 631,662
93-1A, 8.875%, due 09/07/99 ......................................................... 6,750,000 7,241,535
USX Corp.
7.200%, due 02/15/04 ................................................................ 1,960,000 2,017,095
8.500%, due 03/01/23 ................................................................ 1,530,000 1,679,349
WR Grace & Co., 8.000%, due 08/15/04 .................................................... 5,000,000 5,518,935
------------
97,613,917
------------
International Dollar Bonds - 2.56%
Abbey National, 5.000%, due 01/31/97 .................................................... 700,000 696,938
African Development Bank, 7.375%, due 04/06/23 .......................................... 600,000 645,750
Bangkok Bank Public Co. Ltd., 7.250%, due 09/15/05 ...................................... 5,000,000 5,178,750
Hanson PLC Notes, 6.750%, due 09/15/05 .................................................. 2,460,000 2,546,334
Hong Kong Shanghai Perpetual FRN, 6.375%, due 07/30/49 .................................. 500,000 387,925
Hong Kong & Shanghai Bank, 6.250%, due 08/23/49 ......................................... 5,000,000 3,956,250
International Bank for Reconstruction & Development, 9.250%, due 11/17/98 ............... 700,000 769,562
Kingdom of Sweden, 12.750%, due 10/15/97 ............................................... 700,000 782,798
Province of Ontario, 8.500%, due 08/30/96 ............................................... 600,000 611,250
Province of Quebec, 9.000%, due 05/08/01 ................................................ 600,000 673,126
Republic of Austria, 8.625%, due 01/14/00 .............................................. 600,000 661,125
Republic of Ireland, 9.500%, due 04/03/00 .............................................. 700,000 792,750
</TABLE>
10
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION>
Face
Amount Value
------------ ------------
<S> <C> <C>
U.S. Bonds - (continued)
International Dollar Bonds - (continued)
Republic of Italy
0.000%, due 03/01/99 ............................................................... $ 600,000 $ 498,375
6.875%, due 09/27/23 ............................................................... 4,750,000 4,604,531
State Bank of New South Wales, 10.375%, due 04/26/99 ................................... 700,000 794,063
Statoil Norway, 9.250%, due 01/15/96 .................................................... 600,000 600,750
Swedish Export Credit, 9.875%, due 03/15/38 ............................................. 525,000 582,947
------------
24,783,224
------------
U.S. Government Agencies - 8.48%
Federal Home Loan Mortgage Corp.
7.000%, due 03/15/07 ................................................................ 1,845,000 1,900,608
10.000%, due 07/15/20 ............................................................... 3,000,000 3,270,120
7.000%, due 10/15/21 ................................................................ 1,675,000 1,673,430
6.750%, due 06/15/23 ................................................................ 10,000,000 10,248,500
7.000%, due 12/15/23 ................................................................ 2,258,437 2,021,301
Federal National Mortgage Association
7.400%, due 07/01/04 ................................................................ 2,100,000 2,315,517
8.500%, due 06/25/06 ................................................................ 5,895,000 6,097,434
7.500%, due 09/01/09 ................................................................ 1,865,000 1,917,453
7.000%, due 12/01/09 ................................................................ 10,435,000 10,624,134
7.000%, due 06/17/17 ................................................................ 2,015,000 2,080,467
7.000%, due 05/25/20 ................................................................ 2,950,000 2,995,076
6.500%, due 09/01/24 ................................................................ 8,160,000 8,063,100
Government National Mortgage Association
8.000%, due 11/15/22 ................................................................ 5,872,904 6,127,906
8.000%, due 12/15/22 ................................................................ 2,722,153 2,840,348
7.500%, due 12/15/22 ................................................................ 7,679,551 7,905,944
8.000%, due 09/15/24 ................................................................ 2,810,000 2,925,913
5.500%, due 10/20/25 ................................................................ 4,893,004 4,894,472
Tennessee Valley Authority, 6.875%, due 12/15/43 ........................................ 4,215,000 4,179,417
------------
82,081,140
------------
U.S. Government Obligations - 6.04%
U.S. Treasury Coupon Strips, 0.000%, due 11/15/19 ....................................... 545,000 123,715
U.S. Treasury Notes and Bonds
6.625%, due 03/31/97 ................................................................ 14,605,000 14,856,016
5.500%, due 11/15/98 ................................................................ 8,425,000 8,485,550
6.250%, due 08/31/00 ................................................................ 12,150,000 12,575,250
7.250%, due 05/15/04 ................................................................ 15,610,000 17,366,125
8.125%, due 05/15/21 ................................................................ 3,460,000 4,379,063
U.S. Treasury Principal Strips, 0.000%, due 05/15/20 .................................... 2,850,000 631,617
------------
58,417,336
------------
Total U.S. Bonds ........................................................................ 262,895,617
------------
Non-U.S. Bonds - 23.25%
Belgium - 1.15%
Kingdom of Belgium
9.000%, due 07/30/98 ................................................................BEF 77,000,000 2,897,027
8.750%, due 06/25/02 ................................................................ 88,000,000 3,410,456
8.500%, due 10/01/07 ................................................................ 118,000,000 4,480,094
7.500%, due 07/29/08 ................................................................ 11,000,000 383,848
------------
11,171,425
------------
Canada - 2.34%
Government of Canada
7.500%, due 09/01/00 ................................................................CAD 5,550,000 4,222,118
7.250%, due 06/01/03 ................................................................ 6,000,000 4,478,047
4.250%, due 12/01/21 (d) ............................................................ 15,600,000 11,808,541
9.000%, due 06/01/25 ................................................................ 2,500,000 2,135,650
------------
22,644,356
------------
</TABLE>
11
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION> Face
Amount Value
------------ ------------
<S> <C> <C>
Non-U.S. Bonds - (continued)
Denmark - 2.34%
Kingdom of Denmark
9.000%, due 11/15/98 ................................................................DKR 23,400,000 $ 4,599,271
9.000%, due 11/15/00 ................................................................ 20,000,000 4,014,724
8.000%, due 05/15/03 ................................................................ 31,500,000 6,042,412
7.000%, due 12/15/04 ................................................................ 44,500,000 7,997,330
------------
22,653,737
------------
France - 3.85%
Government of France (OAT)
9.500%, due 06/25/98 ................................................................FRF 24,800,000 5,548,636
8.500%, due 03/28/00 ................................................................ 4,000,000 899,767
7.750%, due 04/12/00 ................................................................ 9,500,000 2,082,362
8.500%, due 04/25/03 ................................................................ 16,000,000 3,657,629
8.250%, due 02/27/04 ................................................................ 13,800,000 3,129,874
6.750%, due 10/25/04 ................................................................ 24,000,000 4,956,447
7.500%, due 04/25/05 ................................................................ 32,600,000 7,063,800
8.500%, due 12/26/12 ................................................................ 42,400,000 9,906,858
------------
37,245,373
------------
Germany - 5.67%
Bundesrepublik Deutscheland
6.750%, due 09/15/99 ................................................................DEM 5,000,000 3,757,074
8.500%, due 08/21/00 ................................................................ 19,400,000 15,481,506
8.375%, due 05/21/01 ................................................................ 14,800,000 11,836,484
6.750%, due 04/22/03 ................................................................ 18,300,000 13,525,865
Treuhandanstalt
6.875%, due 06/11/03 ................................................................ 10,200,000 7,576,776
6.250%, due 03/04/04 ................................................................ 3,700,000 2,635,471
------------
54,813,176
------------
Italy - 1.29%
Republic of Italy (BTP)
9.000%, due 10/01/96 ................................................................ITL 5,000,000,000 3,129,235
8.500%, due 01/01/99 ................................................................ 6,400,000,000 3,884,802
8.500%, due 08/01/99 ................................................................ 2,600,000,000 1,555,421
9.000%, due 10/01/03 ................................................................ 2,200,000,000 1,275,772
8.500%, due 01/01/04 ................................................................ 4,630,000,000 2,605,541
------------
12,450,771
------------
Japan - 0.40%
International Bank of Reconstruction & Development
6.750%, due 03/15/00 ................................................................JPY 165,000,000 1,917,535
4.500%, due 03/20/03 ................................................................ 178,000,000 1,925,170
------------
3,842,705
------------
Netherlands - 2.96%
Government of Nederlands
9.000%, due 07/01/00 ................................................................NLG 3,040,000 2,193,238
8.500%, due 03/15/01 ................................................................ 8,210,000 5,866,847
6.500%, due 04/15/03 ................................................................ 3,600,000 2,354,710
8.250%, due 02/15/07 ................................................................ 6,690,000 4,836,999
8.250%, due 09/15/07 ................................................................ 18,510,000 13,394,635
------------
28,646,429
------------
Spain - 1.23%
Government of Spain
8.300%, due 12/15/98 ................................................................SPN 742,000,000 5,989,873
7.400%, due 07/30/99 ................................................................ 163,000,000 1,269,752
10.300%, due 06/15/02 ............................................................... 380,000,000 3,238,322
10.000%, due 02/28/05 ............................................................... 170,000,000 1,420,839
------------
11,918,786
------------
</TABLE>
12
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION> Face
Amount Value
------------ ------------
<S> <C> <C>
Non-U.S. Bonds - (continued)
United Kingdom - 2.02%
UK Treasury
7.000%, due 11/06/01 ................................................................GBP 2,020,000 $ 3,140,079
8.000%, due 06/10/03 ................................................................ 4,905,000 7,960,344
6.750%, due 11/26/04 ................................................................ 2,410,000 3,581,466
8.500%, due 12/07/05 ................................................................ 2,900,000 4,838,680
------------
19,520,569
------------
Total Non-U.S. Bonds .................................................................... 224,907,327
------------
Total Bonds
(Cost $469,963,893) ................................................................. 487,802,944
------------
Short-Term Investments - 7.34%
U.S. Government Obligations - 0.04%
U.S. Treasury Bill, 5.290%, due 05/16/96 ................................................ 350,000 343,214
------------
Commercial Paper - 7.30%
Baxter International, Inc.
6.050%, due 01/02/96 ................................................................ 7,790,000 7,786,844
6.200%, due 01/18/96 ................................................................ 2,500,000 2,493,111
Burlington Northern Santa Fe
6.100%, due 01/12/96 ................................................................ 5,500,000 5,490,681
6.150%, due 01/31/96 ................................................................ 5,000,000 4,975,229
Columbia/HCA Healthcare Corp., 5.850%, due 01/02/96 ..................................... 1,237,000 1,237,000
Crown Cork & Seal Co., Inc.
6.040%, due 01/12/96 ................................................................ 4,000,000 3,993,289
6.050%, due 01/12/96 ................................................................ 2,400,000 2,395,967
6.150%, due 01/30/96 ................................................................ 2,000,000 1,990,433
General American Transportation Corp., 6.020%, due 01/08/96 ............................. 2,000,000 1,997,993
GMAC, 6.000%, due 01/02/96 .............................................................. 8,000,000 8,000,000
Loral Corp.
6.150%, due 01/09/96 ................................................................ 1,500,000 1,498,206
6.000%, due 01/10/96 ................................................................ 2,000,000 1,997,333
Nabisco Holdings Corp.
6.150%, due 01/05/96 ................................................................ 6,000,000 5,996,925
6.000%, due 01/12/96 ................................................................ 2,750,000 2,745,417
P.S. Colorado Credit Corp.
6.200% , due 01/04/96 ............................................................... 2,000,000 1,999,311
6.300% , due 01/04/96 ............................................................... 3,000,000 2,998,995
Philips Petroleum Co., 6.250%, due 01/02/96 ............................................. 6,125,000 6,125,000
Textron, Inc., 6.000%, due 01/02/96 4,000,000 3,997,466
Trinova Corp. 6.150%, due 01/05/96 ...................................................... 3,000,000 2,998,463
------------
70,717,663
------------
Total Short-Term Investments
(Cost $71,060,877) .................................................................. 71,060,877
------------
Total Investments
(Cost $895,544,300) - 99.67% (a) .................................................... 964,370,494
------------
Cash and other assets, less liabilities - 0.33% ......................................... 3,183,982
------------
Net Assets - 100% ....................................................................... $ 967,554,476
============
</TABLE>
See accompanying notes to schedule of investments.
13
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- ------------------------------------------------------------------------------
December 31, 1995
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $895,544,300; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............... $ 77,974,859
Gross unrealized depreciation............... (9,148,665)
-------------
Net unrealized appreciation........... $ 68,826,194
=============
</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 5)
The Brinson Global Securities 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.................... 05/02/96 16,000,000 $11,863,415 $ (152,747)
British Pound........................ 05/02/96 17,900,000 27,605,962 211,941
Canadian Dollar...................... 05/02/96 48,700,000 35,700,873 (479,061)
Dutch Guilder........................ 05/02/96 2,000,000 1,256,048 3,465
French Franc......................... 05/02/96 7,000,000 1,433,744 (7,727)
Italian Lira......................... 05/02/96 18,000,000,000 11,170,611 158,406
Japanese Yen......................... 05/02/96 50,000,000 493,207 (9,002)
Swedish Krone........................ 05/02/96 86,500,000 12,930,369 156,430
Forward Foreign Currency Sale Contracts:
Belgian Franc........................ 05/02/96 436,000,000 14,876,926 98,687
British Pound........................ 05/02/96 17,900,000 27,605,962 488,893
Danish Kroner........................ 05/02/96 128,000,000 23,155,820 44,249
Dutch Guilder........................ 05/02/96 61,500,000 38,623,474 244,611
French Franc......................... 05/02/96 260,000,000 53,253,357 (494,447)
German Mark.......................... 05/02/96 86,000,000 60,449,296 284,757
Japanese Yen......................... 05/02/96 3,100,000,000 30,578,864 (36,540)
Swedish Krone........................ 05/02/96 86,500,000 12,930,369 (204,915)
----------
Total.............................. $ 307,000
==========
</TABLE>
FUTURES CONTRACTS (Note 6)
Index Futures Contracts:
The Brinson Global Securities Fund had the following open index
futures contracts as of December 31, 1995:
<TABLE>
<CAPTION>
Settlement Cost/ Current Unrealized
Date Proceeds Value Gain
---------- --------- --------- -----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
Topix, 215 contracts................. March 1996 $30,803,393 $32,807,562 $2,004,169
Index Futures Sales Contracts........
Standard & Poor's 500, 30 contracts.. March 1996 9,333,025 9,276,750 56,275
-----------
Total........................ $2,060,444
===========
</TABLE>
The segregated cash and market value of investments pledged to cover margin
requirements for the open futures positions at December 31, 1995 were $6,459,110
and $343,214, respectively.
See accompanying notes to financial statements.
14
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments, at value (Cost $895,544,300) (Note 1)........................................... $ 964,370,494
Cash.......................................................................................... 6,575,002
Foreign currency, at value (Cost $5,902,379).................................................. 5,917,496
Receivables:
Investment securities sold................................................................. 1,434,199
Dividends.................................................................................. 758,852
Interest................................................................................... 10,775,383
Fund shares sold........................................................................... 12,289,432
Net unrealized gain on foreign forward currency contracts.................................. 307,000
Variation margin (Note 6).................................................................. 1,993,669
Due from Advisor (Note 2).................................................................... 537,150
Other assets................................................................................. 887,178
--------------
TOTAL ASSETS........................................................................ 1,005,845,855
--------------
LIABILITIES:
Payables:
Investment securities purchased............................................................ 28,951,274
Securities loaned......................................................................... 8,986,285
Accrued expenses........................................................................... 353,820
--------------
TOTAL LIABILITIES................................................................... 38,291,379
--------------
NET ASSETS:
Applicable to 82,569,418 shares; no par value, unlimited shares authorized................... $ 967,554,476
==============
Net asset value, offering price and redemption
price per share ($967,554,476/82,569,418 shares)....................................... $ 11.7181
==============
NET ASSETS CONSIST OF:
Paid in capital.............................................................................. $ 821,932,565
Accumulated net investment income............................................................ 31,117,994
Accumulated net realized gain................................................................ 43,308,937
Net unrealized appreciation.................................................................. 71,194,980
--------------
NET ASSETS......................................................................... $ 967,554,476
==============
</TABLE>
See accompanying notes to financial statements.
15
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD APRIL 28, 1995* TO DECEMBER 31, 1995
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest (includes security lending income of $48,199)........................................ $ 25,672,511
Dividends (net of $209,172 for foreign taxes withheld)........................................ 5,754,396
-------------
TOTAL INCOME........................................................................ 31,426,907
-------------
EXPENSES:
Custodian..................................................................................... 330,000
Accounting.................................................................................... 193,134
Professional.................................................................................. 181,609
Administration................................................................................ 98,823
Other......................................................................................... 42,497
-------------
TOTAL EXPENSES...................................................................... 846,063
Expenses reimbursed by Advisor (Note 2)............................................. (537,150)
-------------
NET EXPENSES........................................................................ 308,913
-------------
NET INVESTMENT INCOME............................................................... 31,117,994
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments............................................................................... 29,617,888
Futures contracts......................................................................... 886,314
Foreign currency transactions............................................................. 12,804,735
-------------
Net realized gain..................................................................... 43,308,937
-------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency.......................................................... 68,841,311
Forward contracts......................................................................... 307,000
Futures contracts......................................................................... 2,060,444
Translation of other assets and liabilities denominated in foreign currency............... (13,775)
-------------
Change in net unrealized appreciation or depreciation................................. 71,194,980
-------------
Net realized and unrealized gain.............................................................. 114,503,917
-------------
Net increase in net assets resulting from operations.......................................... $ 145,621,911
=============
</TABLE>
* Commencement of operations
See accompanying notes to financial statements.
16
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD APRIL 28, 1995* TO DECEMBER 31, 1995
<TABLE>
<CAPTION>
<S> <C>
OPERATIONS:
Net investment income........................................................................ $ 31,117,994
Net realized gain............................................................................ 43,308,937
Change in net unrealized appreciation or depreciation........................................ 71,194,980
--------------
Net increase in net assets resulting from operations......................................... 145,621,911
--------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................................................................. 1,065,237,178
Shares redeemed.............................................................................. (243,304,623)
--------------
Net increase in net assets resulting from capital share transactions (a)..................... 821,932,555
--------------
TOTAL INCREASE IN NET ASSETS........................................................ 967,554,466
NET ASSETS:
Beginning of period.......................................................................... 10
--------------
End of period (including accumulated net investment income of $31,117,994)................... $ 967,554,476
==============
(a) A summary of capital share transactions follows:
<CAPTION>
Shares
--------------
<S> <C>
Shares sold.................................................................................. 105,297,553
Shares redeemed.............................................................................. (22,728,136)
--------------
Net increase in shares outstanding....................................................... 82,569,417
==============
</TABLE>
* Commencement of operations
See accompanying notes to financial statements.
17
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
Period Ended
December 31, 1995*
-----------------
<S> <C>
Net asset value, beginning of period..................................... $ 10.0000
-----------------
Income from investment operations:
Net investment income................................................. 0.3769
Net realized and unrealized gain...................................... 1.3412
-----------------
Total income from investment operations.......................... 1.7181
-----------------
Net asset value, end of period........................................... $ 11.7181
=================
Total return............................................................. 17.18%
Ratios/Supplemental data
Net assets, end of period (in 000s)................................... $ 967,554
Ratio of expenses to average net assets:
Before expense reimbursement..................................... .14% **
After expense reimbursement...................................... 0.05% **
Ratio of net investment income to average net assets:
Before expense reimbursement..................................... 4.95% **
After expense reimbursement...................................... 5.04% **
Portfolio turnover rate............................................... 158%
</TABLE>
* The Fund commenced operations April 28, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
18
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
The Brinson Post-Venture Fund has achieved a 19.94% unannualized return
since its performance inception on April 30, 1995 versus a 19.96% return for the
Wilshire Small Stock Index, a market capitalization weighted index of roughly
2,400 minicap companies.
The Fund's performance benefited from stock selection in the finance,
technology, consumer durables and energy sectors. Specific stocks which enhanced
performance included Computer Products, a manufacturer of power conversion
equipment for the computer and telecommunications industries; Amre, Inc., an
installer of siding and related home improvement products; American Travellers,
an underwriter of long-term care insurance policies, Kent electronics, a
national specialty electronics distributor and custom contract manufacturer; and
CKE Restaurants, a western regional restaurant company that operates about 660
Carl's Jr. fast-service units. The Fund also benefited from its overweight in
the technology sector.
The strategy of the Fund is to invest in companies with strong management
teams, significant competitive strengths in growing markets, and strong
financial positions. This entails identifying target companies that exhibit,
among other attributes, innovative management; low ratios of market
capitalization to sales; and previous venture capital backing. Each company
selected for inclusion in the Fund is scrutinized through onsite visits,
discussions with investment banking firms and venture capitalists and intensive
valuation techniques. Consistent with its focus to add value through detailed
screening of the operating potential of smaller companies, the Fund emphasizes
stock selection and does not make use of market hedging strategies.
Entering 1996, we are particularly encouraged by the relative total return
potential of our larger Fund holdings. These holdings include Applied Power, a
manufacturer of hydraulic high force tools; Nichols Research, an information
technology company serving the commercial, healthcare, and defense markets; and
National Computer Systems, a leading provider of optical mark scanners to the
education and business markets.
19
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
Total Return
4/30/95*
to 12/31/95
- --------------------------------------------------------------------------------
Brinson Post-Venture Fund 19.94% **
- --------------------------------------------------------------------------------
Wilshire Small Stock Index 19.96% **
- --------------------------------------------------------------------------------
* Performance inception date of the Brinson Post-Venture Fund.
** Total returns have not been annualized.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson Post-
Venture Fund and the Wilshire Small Stock Index if you had invested $100,000 on
April 30, 1995. 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 Post-Venture Fund
vs. Wilshire Small Stock Index
[GRAPH APPEARS HERE]
Brinson Post-Venture Wilshire Small
Fund Stock Index
04/30/95 100,000.00 100,000.00
05/31/95 100,802.00 102,030.00
06/30/95 105,306.00 107,957.94
07/31/95 109,310.00 114,392.24
08/31/95 113,508.00 117,835.44
09/30/95 113,864.00 120,474.96
10/31/95 112,673.00 114,390.97
11/30/95 117,557.00 117,307.94
12/31/95 119,936.00 119,959.10
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.
20
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1995
Percent of
Net Assets
- ------------------------------------------------------
1. Applied Power, Inc. Class A 2.87%
2. American Travelers Corp. 2.75
3. Kent Electronics Corp. 2.08
4. Kellwood Co. 2.03
5. First America Corp. Tenn. 1.92
6. Silicon Valley Bancshares 1.89
7. CWM Mortgage Holdings, Inc. 1.73
8. Nichols Research Corp. 1.72
9. AMRE, Inc. 1.70
10. Coachman Industries, Inc. 1.69
Industry Diversification
As a Percentage of Net Assets
As of December 31, 1995
U.S. EQUITIES
Capital Investment
Capital Goods ................ 4.07%
Technology ................... 15.94
------
20.01
Consumer
Durables ..................... 6.91
Non-Durables ................. 17.09
------
24.00
Energy ............................ 3.81
Finance ........................... 18.95
Materials & Service ............... 15.59
Transportation .................... 2.57
Utilities ......................... 3.63
------
Total U.S. Equities ..... 88.56
------
SHORT-TERM INVESTMENTS .................... 11.02
TOTAL INVESTMENTS ....... 99.58
CASH AND OTHER ASSETS,
LESS LIABILITIES .................. 0.42
------
NET ASSETS .............. 100.00%
======
21
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION>
Shares Value
---------- -----------
<S> <C> <C>
U.S. Equities - 88.56%
AFC Cable Systems, Inc. (b) .................................... 57,250 $ 787,188
Allied Capital Corp. II ........................................ 33,700 577,112
Allied Holdings, Inc. (b) ...................................... 128,800 1,110,900
Allied Life Financial Corp. .................................... 98,925 1,793,016
Alpha Microsystems (b) ......................................... 185,100 173,531
Alpha Microsystems Warrants .................................... 104,900 16,385
Alpharma, Inc, Class A ......................................... 68,300 1,784,338
American Business Products, Inc. ............................... 148,670 4,237,095
American Classic Voyages Company ............................... 88,000 957,000
American Software, Inc. Class A (b) ........................... 316,800 2,059,200
American Travelers Corp. (b) ................................... 250,900 7,056,562
AMRE, Inc. ..................................................... 298,494 4,365,475
Applied Power, Inc. Class A .................................... 245,700 7,371,000
Atmos Energy Corp. ............................................. 144,950 3,333,850
Barefoot, Inc. ................................................. 36,000 378,000
BEI Electronics, Inc. .......................................... 176,300 1,300,213
Best Products Corp., Inc. (b) .................................. 213,000 1,011,750
Biocraft Laboratories, Inc. .................................... 153,800 2,037,850
Bon Ton Stores, Inc. (b) ....................................... 238,719 1,193,595
Brewer (C.) Homes, Inc. Class A ................................ 126,095 504,380
Carmike Cinemas, Inc. Class A (b) .............................. 162,000 3,645,000
Centerpoint Properties Corp. ................................... 148,900 3,443,312
Chandler Insurance Co. Ltd. (b) ................................ 193,900 1,211,875
Chico's FAS, Inc. (b) .......................................... 106,200 464,625
Cinergi Pictures Entertainment, Inc. (b) ....................... 134,200 343,888
CKE Restaurants, Inc. .......................................... 123,200 1,971,200
Claire's Stores, Inc. .......................................... 164,978 2,907,737
Clean Harbors, Inc. (b) ........................................ 264,100 660,250
Coachman Industries, Inc. ...................................... 199,700 4,343,475
Coda Energy, Inc. (b) .......................................... 296,900 2,208,194
Communications Central, Inc. ................................... 128,500 578,250
Computer Products, Inc. (b) .................................... 136,600 1,570,900
Computer Task Group, Inc. ...................................... 181,700 3,588,575
Connecticut Energy Corp. ....................................... 156,100 3,473,225
Coventry Corp. ................................................. 47,195 973,397
CPI Corp. ...................................................... 48,100 769,600
Crown Crafts Inc. .............................................. 58,300 670,450
CWM Mortgage Holdings, Inc. .................................... 262,000 4,454,000
Davco Restaurants, Inc. (b) .................................... 55,800 481,275
DH Technology, Inc. ............................................ 167,575 4,105,587
Digicon, Inc. .................................................. 134,200 1,073,600
Dorsey Trailers, Inc. (b) ...................................... 58,700 308,175
Dress Barn, Inc. (b) ........................................... 240,550 2,375,431
Drug Emporium, Inc. (b) ........................................ 140,200 578,325
Duplex Products, Inc. (b) ...................................... 194,900 1,583,562
El Chico Restaurants, Inc. (b) ................................. 49,800 473,100
Electromagnetic Sciences, Inc. (b) ............................. 141,000 1,551,000
Eskimo Pie Corp. ............................................... 98,100 1,790,325
Evans & Sutherland Computer Corp. (b) .......................... 135,200 3,008,200
Financial Security Assurance Holdings .......................... 168,773 4,198,228
First America Corp. Tenn ....................................... 103,900 4,922,263
Fred's, Inc. ................................................... 79,300 594,750
General Physics Corp. .......................................... 181,900 591,175
Granite Broadcasting Corp. (b) ................................. 62,000 2,007,713
Greiner Engineering, Inc. ...................................... 130,400 1,760,400
Hadco Corp. (b) ................................................ 32,000 900,000
Haggar Corp. ................................................... 56,500 1,017,000
Hartmarx Corp. (b) ............................................. 285,100 1,247,313
Helen of Troy Ltd. (b) ......................................... 134,700 2,828,700
Huffy Corp. .................................................... 187,850 1,901,981
Hycor Biomedical, Inc. (b) ..................................... 181,400 793,625
Information Resources, Inc. (b) ................................ 116,100 1,436,738
Integrated Circuit Systems, Inc. (b) ........................... 75,900 939,262
Intelligent Electronics, Inc. .................................. 71,714 430,284
Intertan, Inc. (b) ............................................. 217,200 1,574,700
Kellwood Co. ................................................... 256,375 5,223,641
</TABLE>
22
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION>
Shares Value
---------- -----------
<S> <C> <C>
U.S. Equities (continued)
Kent Electronics Corp. ......................................... 91,300 $ 5,329,638
KLLM Transport Services, Inc. (b) .............................. 123,765 1,299,533
Landstar System, Inc. (b) ...................................... 65,800 1,760,150
Logicon, Inc. .................................................. 46,600 1,281,500
Longhorn Steaks, Inc. (b) ...................................... 93,361 1,657,158
LTC Properties, Inc. ........................................... 220,100 3,301,500
M/A/R/C, Inc. .................................................. 106,280 1,554,345
M.S. Carriers, Inc. (b) ........................................ 113,800 2,276,000
MacNeal Schwendler Corp. ....................................... 241,020 3,856,320
MDT Corp. (b) .................................................. 79,200 386,100
Medalist Industries, Inc. (b) .................................. 106,100 636,600
Methode Electronics, Inc. Class A .............................. 173,080 2,466,390
Michael Anthony Jewelers, Inc. (b) ............................. 246,335 646,629
National Computer Systems, Inc. ................................ 108,320 2,044,540
National Insurance Group ....................................... 142,650 802,406
Newport Corp. .................................................. 185,780 1,509,462
Nichols Research Corp. (b) ..................................... 171,603 4,418,777
North American Vaccine, Inc. ................................... 71,600 1,011,350
North Fork Bancorporation, Inc. ................................ 151,700 3,830,425
Norton McNaughton, Inc. (b) .................................... 74,100 824,362
Pennsylvania Enterprises, Inc. ................................. 55,700 2,109,638
Piccadilly Cafeterias, Inc. .................................... 158,700 1,507,650
Pool Energy Services Co. (b) ................................... 352,100 3,344,950
Pride Petroleum Services, Inc. (b) ............................. 291,700 3,099,312
Prime Residential, Inc. ........................................ 106,400 1,968,400
ProCyte Corp. (b) .............................................. 218,000 613,125
Q Logic Corporation (b) ........................................ 104,100 793,763
Quantum Corp. (b) .............................................. 48,400 780,450
Quidel Corp. (b) ............................................... 55,872 398,088
Quixote Corp. .................................................. 173,200 1,342,300
Ramsay Health Care, Inc. (b) ................................... 226,300 735,475
Regal Beloit Corp. ............................................. 104,920 2,282,010
Regency Health Services, Inc. (b) .............................. 133,600 1,352,700
RFS Hotel Investors, Inc. ...................................... 188,800 2,902,800
Rhodes, Inc. (b) ............................................... 211,800 2,065,050
Safeguard Health Enterprises, Inc. (b) ......................... 136,200 1,532,250
Sanfilippo (John B.) & Son, Inc. (b) ........................... 214,000 1,979,500
Scotsman Industries, Inc. ...................................... 150,600 2,654,325
Shelby Williams Industries, Inc. ............................... 152,400 1,790,700
Sholodge, Inc. (b) ............................................. 20,300 192,850
Shorewood Packaging Corp. (b) .................................. 147,900 2,107,575
Sierra Health Services, Inc. (b) ............................... 12,900 409,575
Silicon Valley Bancshares (b) .................................. 202,390 4,857,360
Sizzler International, Inc. .................................... 243,890 1,036,532
Standard Microsystems Corp. (b) ................................ 55,800 920,700
Stanley Furniture Co, Inc. (b) ................................. 140,860 1,126,880
Sterling Software, Inc. (b) .................................... 33,360 2,080,830
Stevens International, Inc. Series A (b) ....................... 119,700 523,688
Storage USA, Inc. .............................................. 92,700 3,024,338
Sun Healthcare Group, Inc. (b) ................................. 109,880 1,483,380
Team, Inc. (b) ................................................. 142,680 285,360
Teltrend, Inc. (b) ............................................. 22,700 1,061,225
Thomas Group, Inc. (b) ......................................... 4,300 58,050
Triad Systems Corp. (b) ........................................ 200,145 1,225,888
Tripos, Inc. (b) ............................................... 44,633 379,380
Tuesday Morning Corp. (b) ...................................... 158,020 869,110
Versa Technologies, Inc. ....................................... 171,100 2,609,275
------------
Total U.S. Equities (Cost $201,664,950)......................... 227,420,413
------------
</TABLE>
23
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION>
Face
Amount Value
---------- -----------
<S> <C> <C>
Short-Term Investments - 11.02%
U.S. Government Obligations - 0.38%
U.S. Treasury Bill, 0.000%, due 05/30/96 ..................... $ 1,000,000 $ 979,512
------------
Commercial Paper - 10.64%
Baxter International, Inc., 6.050%, due 01/02/96 ............. 7,689,000 7,689,000
Burlington Northern Santa Fe, 6.150%, due 01/31/96 ........... 2,000,000 1,990,092
Crown Cork & Seal Co., Inc.
6.040%, due 01/12/96 ..................................... 1,000,000 998,322
6.050%, due 01/12/96 ..................................... 2,000,000 1,996,639
GMAC, 6.000%, due 01/02/96 ................................... 7,000,000 7,000,000
Loral Corp., 6.000%, due 01/10/96 ............................ 1,000,000 998,667
Nabisco Holdings Corp., 6.150%, due 01/05/96 ................. 3,000,000 2,998,462
Phillips Petroleum Co., 6.250%, due 01/02/96 ................. 875,000 875,000
P.S. Colorado Credit Corp., 6.030%, due 01/04/96 ............. 775,000 774,740
Textron, Inc., 6.000%, due 01/02/96 .......................... 2,000,000 2,000,000
------------
27,320,922
------------
Total Short-Term Investments
(Cost $28,300,352) ....................................... 28,300,434
------------
Total Investments
(Cost $229,965,302) - 99.58% (a) ......................... 255,720,847
------------
Cash and other assets, less liabilities - 0.42% .............. 1,089,477
------------
Net Assets - 100% ............................................ $256,810,324
============
</TABLE>
See accompanying notes to schedule of investments.
24
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1995
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $229,965,302; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation.................. $ 38,401,132
Gross unrealized depreciation.................. (12,645,587)
--------------
Net unrealized appreciation.............. $ 25,755,545
==============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS (Note 6)
Index Futures Contracts:
The Brinson Post Venture Fund had the following open index futures
contracts as of December 31, 1995:
<TABLE>
<CAPTION>
Settlement Current Unrealized
Date Cost Value (Loss)
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
Standard & Poor's 500, 86 contracts March 1996 $26,640,750 $26,593,350 $ (47,400)
</TABLE>
The market value of investments pledged to cover margin requirements for the
open futures positions at December 31, 1995 was $979,512.
25
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $229,965,302) (Note 1)................................... $ 255,720,847
Cash................................................................................. 76,360
Receivables:
Investment securities sold........................................................ 519,151
Fund shares sold.................................................................. 497,809
Dividends......................................................................... 225,285
Variation margin (Note 6)......................................................... 30,100
Due from Advisor (Note 2)............................................................ 131,905
-------------
TOTAL ASSETS............................................................... 257,201,457
-------------
LIABILITIES:
Payable for investment securities purchased.......................................... 254,491
Accrued expenses..................................................................... 136,642
-------------
TOTAL LIABILITIES.......................................................... 391,133
-------------
NET ASSETS:
Applicable to 21,412,207 shares; no par value, unlimited share authorized............ $ 256,810,324
=============
Net asset value, offering price and redemption
price per share ($256,810,324 / 21,412,207 shares)................................ $ 11.9936
=============
NET ASSETS CONSIST OF:
Paid in capital...................................................................... $ 209,356,016
Accumulated net investment income.................................................... 3,554,333
Accumulated net realized gain........................................................ 18,191,830
Net unrealized appreciation.......................................................... 25,708,145
-------------
NET ASSETS................................................................. $ 256,810,324
=============
</TABLE>
See accompanying notes to financial statements.
26
<PAGE>
<TABLE>
<CAPTION>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- -----------------------------------------------------------------------------------------------------------
<S> <C>
STATEMENT OF OPERATIONS
FOR THE PERIOD APRIL 28, 1995* TO DECEMBER 31, 1995
INVESTMENT INCOME
Dividends............................................................................ $ 2,590,633
Interest............................................................................. 963,700
-------------
TOTAL INCOME............................................................... 3,554,333
-------------
EXPENSES:
Custodian............................................................................ 102,000
Accounting........................................................................... 76,929
Professional......................................................................... 69,344
Administration....................................................................... 28,131
Other................................................................................ 21,742
-------------
TOTAL EXPENSES............................................................. 298,146
Expenses reimbursed by Advisor (Note 2).................................... (298,146)
NET EXPENSES............................................................... -------
NET INVESTMENT INCOME...................................................... 3,554,333
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain.................................................................... 18,191,830
Change in net unrealized appreciation or depreciation on:
Investments...................................................................... 25,755,545
Futures contracts................................................................ (47,400)
-------------
Change in net unrealized appreciation or depreciation..................... 25,708,145
-------------
Net realized and unrealized gain..................................................... 43,899,975
-------------
Net increase in net assets resulting from operations................................. $ 47,454,308
=============
</TABLE>
* Commencement of operations
See accompanying notes to financial statements.
27
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD APRIL 28, 1995* TO DECEMBER 31, 1995
<TABLE>
<S> <C>
OPERATIONS:
Net investment income................................................................ $ 3,554,333
Net realized gain.................................................................... 18,191,830
Change in net unrealized appreciation or depreciation................................ 25,708,145
-------------
Net increase in net assets resulting from operations................................. 47,454,308
-------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.......................................................................... 265,433,355
Shares redeemed...................................................................... (56,077,349)
-------------
Net increase in net assets resulting from capital share transactions (a)............. 209,356,006
-------------
TOTAL INCREASE IN NET ASSETS................................................. 256,810,314
-------------
NET ASSETS:
Beginning of period.................................................................. 10
-------------
End of period (including accumulated net investment income of $3,554,333)............ $ 256,810,324
=============
(a) A summary of capital share transactions follows:
Shares
-------------
Shares sold.......................................................................... 26,449,077
Shares redeemed...................................................................... (5,036,871)
-------------
Net increase in shares outstanding............................................... 21,412,206
=============
</TABLE>
* Commencement of operations
See accompanying notes to financial statements.
28
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
Period Ended
December 31, 1995*
-----------------
<S> <C>
Net asset value, beginning of period..................................... $ 10.0000
-----------------
Income from investment operations:
Net investment income................................................. 0.1660
Net realized and unrealized gain...................................... 1.8276
-----------------
Total income from investment operations......................... 1.9936
-----------------
Net asset value, end of period........................................... $ 11.9936
=================
Total return............................................................. 19.94%
Ratios/Supplemental data
Net assets, end of period (in 000s)................................... $ 256,810
Ratio of expenses to average net assets:
Before expense reimbursement..................................... 0.17% **
After expense reimbursement...................................... 0.00% **
Ratio of net investment income to average net assets:
Before expense reimbursement..................................... 1.85% **
After expense reimbursement...................................... 2.02% **
Portfolio turnover rate............................................... 25%
</TABLE>
* The Fund commenced operations April 28, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
29
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
The Brinson High Yield Fund has provided an unannualized total return
of 7.36% since performance inception on April 30, 1995 versus 9.67% for its
benchmark, the First Boston High Yield Bond Index. This weak relative
performance was due to several deteriorating credit situations, industry weights
and an underweight of the upper quality tier.
During 1995, the best performing quality tier was the upper tier, which
gained 18.68%. The lower tier lagged with a 10.81% total return. The upper tier
outperformed because of its high interest rate sensitivity and correlation with
U.S. Treasuries. The Fund's 12.7% weight in the upper tier versus 27.7% for the
index had a detrimental impact on performance. We have a modest overweight in
the middle tier (68.7% versus 66.3%) and a significant overweight in the not
rated sector (13.2% versus 0.8%). We believe that the middle tier offers the
most attractive total return opportunities in the existing low interest rate
environment. The not-rated sector offers inherent value due to inefficiencies
caused by fewer investors and less widely followed credits. We are underweight
in the lower tier (1.1% versus 5.2%) and the Fund has a 4.3% cash hedge.
The best performing industries in 1995 were communications, airlines,
gaming and cable television. The Fund did not own airline or gaming bonds, is
slightly underweight in communications and is significantly underweight in cable
television. These strategic weights detracted from performance. We have
gradually shifted out of cyclicals during the year and expect this trend to
continue. Cyclicals lagged defensive issues in 1995. Our largest Fund
overweights are entertainment, general industrial and consumer manufacturing.
Our largest underweights are cable television, energy and gaming.
We attempt to identify attractive total return opportunities in both the
primary and secondary markets. The Fund averages over fifty holdings and is
diversified by industry, quality, coupon, maturity and security type.
The average yield of the index declined from 11.65% to 10.24% during the
year. The Fund yields 10.60%. The average spread to Treasuries of the
index rose from 388 to 484 basis points as high yield bonds underperformed other
major domestic fixed income indices. Nevertheless, the 17.38% total return of
the index was the third best year in the last decade. High yield new issuance
in 1995 was also an impressive $47.2 billion, trailing only 1993's record year.
Positive mutual fund flows contributed to the strong demand for new issues. We
believe that 1996 will be a healthy year for new issuance.
30
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
Total Return
4/30/95*
to 12/31/95
- --------------------------------------------------------------------------------
Brinson High Yield Fund 7.36% **
- --------------------------------------------------------------------------------
High Yield Bond Index 9.67% **
- --------------------------------------------------------------------------------
* Performance inception date of the Brinson High Yield Fund.
** Total returns have not been annualized.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson High
Yield Fund and the High Yield Bond Index if you had invested $100,000 on April
30, 1995. Past performance is no guarantee of future results. Share price and
return will vary with market conditions; investors may realize a gain or loss
upon redemption.
Brinson High Yield Fund
vs. High Yield Bond Index
[GRAPH APPEARS HERE]
Brinson High Yield High Yield
Fund Bond Index
04/30/95 100,000.00 100,000.00
05/31/95 100,662.00 102,820.00
06/30/95 100,553.00 103,498.61
07/31/95 101,729.00 105,102.84
08/31/95 102,291.00 105,397.12
09/30/95 103,491.00 106,609.19
10/31/95 104,956.00 107,792.56
11/30/95 105,941.00 108,299.18
12/31/95 107,361.00 109,674.58
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.
31
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
<TABLE>
Industry Diversification
As a Percentage of Net Assets
As of December 31, 1995
<S> <C>
U.S. CORPORATE BONDS
Consumer ............................................... 40.00 %
Industrial ............................................. 38.81
Telecommunications ..................................... 5.05
Utilities .............................................. 0.98
--------
Total U.S. Corporate Bonds ........................ 84.84
--------
U.S. EQUITIES
Common Stock ........................................... 4.66
Preferred Stock ........................................ 3.09
Warrants ............................................... 0.87
--------
Total U.S. Equities .......................... 8.62
--------
SHORT-TERM INVESTMENTS ................................... 4.17
TOTAL INVESTMENTS ............................ 97.63
CASH AND OTHER ASSETS,
LESS LIABILITIES ....................................... 2.37
--------
NET ASSETS ................................... 100.00 %
========
</TABLE>
32
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
Face
Amount Value
----------- -----------
<S> <C> <C>
U.S. Corporate Bonds - 84.84%
Acetex Corp., 9.750%, due 10/01/03 .............................................................. $ 1,500,000 $ 1,560,000
Allied Waste Industries, 12.000%, due 02/01/04 .................................................. 2,500,000 2,706,250
BE Aerospace, 9.750%, due 03/01/03 .............................................................. 1,000,000 1,002,500
Big 5 Holdings, Inc., 13.625%, due 09/15/02 ..................................................... 2,000,000 1,460,000
Coinmach Corp., 11.750%, due 11/15/05 ........................................................... 2,600,000 2,632,500
Columbia/HCA Healthcare, 7.690%, due 06/15/25 ................................................... 1,000,000 1,091,910
Corporate Express, Inc., 9.125%, due 03/15/04 ................................................... 3,000,000 3,030,000
Dial Call Communications, Inc., 0.000%, due 12/15/05 (c) ........................................ 1,500,000 795,000
Dominick's Finer Foods, 10.875%, due 05/01/05 ................................................... 1,500,000 1,597,500
Fieldcrest Cannon, Inc., 11.250%, due 06/15/04 .................................................. 1,500,000 1,380,000
Florist Transworld Delivery, 14.000%, due 12/15/01 .............................................. 4,000,000 4,000,000
Fundy Cable Ltd., 11.000%, due 11/15/05 ......................................................... 1,500,000 1,560,000
Gaylord Container Corp., 0.000%, due 05/15/05 (d) ............................................... 1,750,000 1,715,000
Genicom Corp., 12.500%, due 02/15/97 ............................................................ 2,750,000 2,763,750
Hines Horticulture, 11.750%, due 10/15/05 ....................................................... 3,500,000 3,640,000
Icon Health & Fitness, Inc., 13.000%, due 07/15/02 .............................................. 4,000,000 4,320,000
Indspec Chemical Corp., 0.000%, due 12/01/03 (e) ................................................ 4,000,000 3,340,000
Inland Steel Co., 12.750%, due 12/15/02 ......................................................... 1,000,000 1,125,000
Lear Seating Corp.,
11.250%, due 07/15/00 ....................................................................... 1,500,000 1,584,375
8.250%, due 02/01/02 ........................................................................ 1,000,000 981,250
Mail-Well, Inc., 10.500%, due 02/15/04 .......................................................... 1,000,000 965,000
MFS Communications, 0.000%, due 01/15/04 (f) .................................................... 1,800,000 1,449,000
Monarch Acquisition Corp., 12.500%, due 07/01/03 ................................................ 3,000,000 3,165,000
Nextel Communications, Inc., 0.000%, due 08/15/04 (g) ........................................... 2,000,000 1,090,000
Norcal Waste Systems, 12.500%, due 11/15/05 ..................................................... 2,500,000 2,525,000
Owens-Illinois, Inc., 11.000%, due 12/01/03 ..................................................... 1,000,000 1,130,000
Plantronics, Inc., 10.000%, due 01/15/01 ........................................................ 1,500,000 1,552,500
Premier Parks, 12.000%, due 08/15/03 ............................................................ 3,000,000 3,082,500
Purity Supreme, Inc., 11.750%, due 08/01/99 ..................................................... 1,000,000 1,105,000
Renaissance Cosmetics, 13.750%, due 08/15/01 .................................................... 3,500,000 3,482,500
Rexene Corp., 11.750%, due 12/15/04 ............................................................. 1,250,000 1,325,000
Scotsman Holdings PIK, 11.000%, due 03/01/04 .................................................... 4,310,000 4,029,850
Sealy Corp., 9.500%, due 05/01/03 ............................................................... 1,500,000 1,507,500
Selmer Co., 11.000%, due 06/30/00 ............................................................... 2,000,000 2,020,000
SFX Broadcasting, 11.375%, due 10/01/00 ......................................................... 1,000,000 1,060,000
Southdown, Inc., 14.000%, due 10/15/01 .......................................................... 1,850,000 2,035,000
Tenet Healthcare, 10.125%, due 03/01/05 ......................................................... 3,000,000 3,322,500
Texas-New Mexico Power Co., 10.750%, due 09/15/03 ............................................... 1,000,000 1,060,000
Triangle Pacific Corp., 10.500%, due 08/01/03 ................................................... 1,950,000 2,067,000
Trism, Inc., 10.750%, due 12/15/00 .............................................................. 1,500,000 1,462,500
Tultex Corp., 10.625%, due 03/15/05 ............................................................. 3,300,000 3,357,750
UCAR Global Enterprises, 12.000%, due 01/15/05 .................................................. 1,600,000 1,836,000
Victory Markets, Inc., 12.500%, due 03/15/00 (h) ................................................ 2,000,000 300,000
Wright Medical Technology, 10.750%, due 07/01/00 ................................................ 3,250,000 3,315,000
Young Broadcasting, 10.125%, due 02/15/05 ....................................................... 1,000,000 1,056,250
-----------
Total U.S. Bonds (Cost $90,028,747) ............................................................. 91,585,885
-----------
Shares
-----------
U.S. Equities - 8.62%
American Communication Services Units (b) ....................................................... 4,000 2,200,000
BCP/Essex Holdings, Inc. Preferred 15.00% (b) ................................................... 53,820 1,426,238
Chevy Chase Savings Bank ........................................................................ 40,000 1,230,000
Dial Call Communications Inc. Warrants (b) ...................................................... 2,315 23
F.T.D. Warrants (b) ............................................................................. 3,250 260,000
Gulf States Utilities Co. ....................................................................... 10,000 1,026,250
Icon Health & Fitness Capital, Inc. Warrants (b) ................................................ 4,000 100,000
Mail-Well, Inc. (b) ............................................................................. 5,000 166,970
Renaissance Cosmetics Warrants (b) .............................................................. 4,000 90,000
S.D. Warren Co. Preferred 14.00% (b) ............................................................ 60,000 1,890,000
S.D. Warren Co. Warrants (b) .................................................................... 60,000 360,000
Scotsman Holdings (b) ........................................................................... 29,992 404,892
Southdown, Inc. Warrants (b) ................................................................... 10,000 27,500
Town & Country Corp. Convertible Preferred 6.00% (b) ............................................ 19,647 22,103
Wright Medical Technology Warrants (b) .......................................................... 618 101,951
-----------
Total U.S. Equities (Cost $8,729,495) ........................................................... 9,305,927
-----------
</TABLE>
33
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
Face
Amount Value
----------- -----------
<S> <C> <C>
Short-Term Investments - 4.17%
Commercial Paper - 4.17%
Burlington Northern Santa Fe, 6.150%, due 01/31/96 .............................................. $ 1,000,000 $ 995,046
Burlington Resources, Inc., 6.100%, due 01/12/96 ................................................ 500,000 499,153
GMAC, 6.000%, due 01/02/96 ...................................................................... 1,000,000 1,000,000
Loral Corp., 6.150%, due 01/09/96 ............................................................... 1,000,000 998,804
Nabisco Holdings Corp., 6.000%, due 01/12/96 .................................................... 500,000 499,166
Textron, Inc., 6.000%, due 01/02/96 ............................................................. 508,000 508,000
-----------
Total Short-Term Investments
(Cost $4,500,169) ........................................................................... 4,500,169
-----------
Total Investments
(Cost $103,258,411) - 97.63% (a) ............................................................ 105,391,981
-----------
Cash and other assets, less liabilities - 2.37% ................................................. 2,560,941
-----------
Net Assets - 100% ............................................................................... $ 107,952,922
===========
<CAPTION>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $103,258,411; and net unrealized
appreciation consisted of:
<S> <C>
Gross unrealized appreciation.................................................................... $ 4,109,760
Gross unrealized depreciation.................................................................... (1,976,190)
------------
Net unrealized appreciation.................................................................. $ 2,133,570
============
</TABLE>
(b) Non-income producing security.
(c) Interest rate 0.00% until 12/15/98, then 10.250% to maturity.
(d) Interest rate 0.00% until 5/15/96, then 12.750% to maturity.
(e) Interest rate 0.00% until 12/1/98, then 11.500% to maturity.
(f) Interest rate 0.00% until 1/15/99, then 9.375% to maturity.
(g) Interest rate 0.00% until 2/15/99, then 9.750% to maturity.
(h) Security in default as to payment of interest.
PIK: Payment in kind bond - Interest is paid in additional bonds.
See accompanying notes to financial statements.
34
<PAGE>
<TABLE>
<CAPTION>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- ----------------------------------------------------------------------------------------------------------
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
ASSETS:
Investments, at value (Cost $103,258,411) (Note 1).................................... $ 105,391,981
Cash.................................................................................. 42,597
Interest receivable................................................................... 2,518,344
Due from Advisor (Note 2)............................................................. 77,295
-------------
TOTAL ASSETS................................................................ 108,030,217
-------------
LIABILITIES:
Accrued expenses...................................................................... 77,295
-------------
TOTAL LIABILITIES........................................................... 77,295
-------------
NET ASSETS:
Applicable to 10,055,114 shares; no par value, unlimited shares authorized............ $ 107,952,922
=============
Net asset value, offering price and redemption
price per share ($107,952,922 / 10,055,114 shares)................................. $ 10.7361
=============
NET ASSETS CONSIST OF:
Paid in capital....................................................................... $ 101,623,068
Accumulated net investment income..................................................... 5,437,559
Accumulated net realized loss......................................................... (1,241,275)
Net unrealized appreciation........................................................... 2,133,570
-------------
NET ASSETS.................................................................. $ 107,952,922
=============
</TABLE>
See accompanying notes to financial statements.
35
<PAGE>
<TABLE>
<CAPTION>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- ----------------------------------------------------------------------------------------------------------
<S> <C>
STATEMENT OF OPERATIONS
FOR THE PERIOD APRIL 28, 1995* TO DECEMBER 31, 1995
INVESTMENT INCOME:
Interest.............................................................................. $ 5,297,859
Dividends............................................................................. 139,700
-------------
TOTAL INCOME................................................................ 5,437,559
-------------
EXPENSES:
Accounting............................................................................ 64,722
Professional.......................................................................... 60,682
Custodian............................................................................. 30,800
Other................................................................................. 27,459
-------------
TOTAL EXPENSES.............................................................. 183,663
Expenses reimbursed by Advisor (Note 2)..................................... (183,663)
-------------
NET EXPENSES................................................................ -------
-------------
NET INVESTMENT INCOME....................................................... 5,437,559
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss..................................................................... (1,241,275)
Change in net unrealized appreciation................................................. 2,133,570
-------------
Net realized and unrealized gain...................................................... 892,295
-------------
Net increase in net assets resulting from operations.................................. $ 6,329,854
=============
</TABLE>
* Commencement of operations
See accompanying notes to financial statements.
36
<PAGE>
<TABLE>
<CAPTION>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- ----------------------------------------------------------------------------------------------------------
<S> <C>
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD APRIL 28, 1995* TO DECEMBER 31, 1995
OPERATIONS:
Net investment income................................................................. $ 5,437,559
Net realized loss..................................................................... (1,241,275)
Change in net unrealized appreciation................................................. 2,133,570
-------------
Net increase in net assets resulting from operations.................................. 6,329,854
-------------
CAPITAL SHARE TRANSACTIONS:
Shares sold........................................................................... 122,069,499
Shares redeemed....................................................................... (20,446,441)
-------------
Net increase in net assets resulting from capital share transactions (a).............. 101,623,058
-------------
TOTAL INCREASE IN NET ASSETS................................................. 107,952,912
-------------
NET ASSETS:
Beginning of period................................................................... 10
-------------
End of period (including accumulated net investment income of $5,437,559)............. $ 107,952,922
=============
(a) A summary of capital share transactions follows:
Shares
-------------
Shares sold........................................................................... 12,072,988
Shares redeemed....................................................................... (2,017,875)
-------------
Net increase in shares outstanding................................................ 10,055,113
=============
</TABLE>
* Commencement of operations
See accompanying notes to financial statements.
37
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL HIGHLIGHTS
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
Period Ended
December 31, 1995*
-----------------
<S> <C>
Net asset value, beginning of period..................................... $ 10.0000
-----------------
Income from investment operations:
Net investment income................................................. 0.5408
Net realized and unrealized gain...................................... 0.1953
-----------------
Total income from investment operations.......................... 0.7361
-----------------
Net asset value, end of period........................................... $ 10.7361
=================
Total return............................................................. 7.36%
Ratios/Supplemental data
Net assets, end of period (in 000s)................................... $ 107,953
Ratio of expenses to average net assets:
Before expense reimbursement..................................... 0.33% **
After expense reimbursement...................................... 0.00% **
Ratio of net investment income to average net assets:
Before expense reimbursement..................................... 9.33% **
After expense reimbursement...................................... 9.66% **
Portfolio turnover rate............................................... 25%
</TABLE>
* The Fund commenced operations April 28, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
38
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
On June 30,1995, Brinson Partners, Inc. introduced its Brinson Emerging
Markets Equity Fund. Since its inception, the Fund has earned an unannualized
return of-6.84%, compared to the -4.41% return of its benchmark, the Brinson
Emerging Markets Normal Index. The index is constructed to minimize country
specific risk while providing regional exposure similar to the International
Finance Corporation's Investable Index (IFCI), a market capitalization-weighted
benchmark.
We believe a capitalization-weighted index is suboptimal given the
extremely high weights of two or three countries, the still formidable barriers
to free capital flows and the ever-evolving and volatile nature of these
markets. The Normal Index was developed to provide a better proxy for setting
strategy and measuring performance. The Normal Index categorizes the 26
countries that comprise the IFCI universe (plus additional markets not covered
in our developed markets portfolios) into three broad classes ranked on the
basis of institutional investability, liquidity/transaction costs and the
potential for economic development. Individual countries are equally weighted
within each class.
Market allocation made a positive contribution to performance. The
Fund benefited most from its overweight in Argentina, which gained 19.12%
since inception, and underweights in the Philippines and Malaysia, which posted
declines of 10.50% and 7.17%, respectively. Turkey, which declined 34.82%, was
underweight most of the year. Strategic cash further added value in an
environment where most markets experienced declines. In contrast, the
overweights in India and Poland, relatively poor performers with-17.45% and -
12.52% returns, respectively, had a negative impact on the Fund.
Market entry costs were the primary detractor from performance;
specifically, rapidly appreciating markets during the investment phase at
inception. Generally, the costs of purchasing, registering and holding
securities are significant in many emerging markets and initially detract from
performance. These costs were mitigated to a significant extent by the
Fund's use of equity swaps.
39
<PAGE>
<TABLE>
<CAPTION>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
6/30/95*
to 12/31/95
- --------------------------------------------------------------------------------
<S> <C>
Brinson Emerging Markets Equity Fund -6.84% **
- --------------------------------------------------------------------------------
Brinson Emerging Markets Normal Index -4.41% **
- --------------------------------------------------------------------------------
IFC Investable Index -1.26% **
- --------------------------------------------------------------------------------
</TABLE>
* Inception date of the Brinson Emerging Markets Equity Fund.
** Total returns have not been annualized.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson
Emerging Markets Equity Fund, the Brinson Emerging Markets Normal Index and the
IFC Investable Index if you had invested $100,000 on June 30, 1995. 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 Emerging Markets Equity Fund
vs. Brinson Emerging Markets Normal
Index and IFC Investable Index
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Brinson Emerging Markets IFC Investable Brinson Emerging Markets
Equity Fund Index Normal Index
<S> <C> <C> <C>
06/30/95 100,000.00 100,000.00 100,000
07/31/95 99,469.00 103,182.02 102,874
08/31/95 94,941.00 100,416.48 98,425
09/30/95 95,041.00 99,655.43 98,015
10/31/95 92,298.00 95,895.13 95,041
11/30/95 90,060.00 95,415.73 92,724
12/31/95 93,164.00 98,735.58 95,588
</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.
40
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOP TEN NON U.S. EQUITY HOLDINGS
As of December 31, 1995
Percent of
Net Assets
- -------------------------------------------------------------
<S> <C>
1. Phillipines Long Distance Telephone 0.76%
2. Petron Corp. 0.59
3. BCO Comm Portugues 0.57
4. Portugal Telecom 0.54
5. San Miguel Corp. B 0.50
6. Malayan Bank 0.49
7. Sime Darby 0.48
8. Telekom Malaysia 0.47
9. Sonae Investimentos 0.47
10. De Beers Consolidated Mines 0.46
</TABLE>
Portfolio Composition
As of December 31, 1995
<TABLE>
<CAPTION>
Normal Market
Policy Allocation
- --------------------------------------------------------------
<S> <C> <C>
Argentina 5.9% 6.4%
Brazil 5.9 4.9
Chile 5.9 6.3
Mexico 5.9 5.1
Indonesia 5.9 5.9
Korea 5.9 5.9
Malaysia 5.9 4.9
Philippines 5.9 4.9
Taiwan 5.9 5.9
Thailand 5.9 5.9
Greece 5.9 5.9
Israel 5.9 6.4
Portugal 5.9 5.9
South Africa 5.9 4.9
Turkey 5.9 6.4
China 3.0 1.8
India 3.0 4.0
Peru 3.0 3.0
Poland 3.0 4.0
Czech Republic 0.0 1.2
Cash 0.0 0.8
- --------------------------------------------------------------
100.0% 100.0%
</TABLE>
Totals may not add due to rounding.
41
<PAGE>
<TABLE>
<CAPTION>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- ----------------------------------------------------------------------------------------------
December 31, 1995
Shares Value
---------- ----------
<S> <C> <C>
Non-U.S. Equities - 27.48%
Argentina - 0.88%
Astra Cia Argentina de Petrole ....................................... 17,000 $ 31,116
BCO Frances Del Rio de la Plat ....................................... 4,500 39,158
BCO Galicia y Buenos Aires ........................................... 9,000 46,539
Buenos Aires Embotelladora S.A. ...................................... 40 43,209
Cia Interamericana de Automo S ....................................... 5,000 25,755
Inversiones y Representacion S ....................................... 9,000 22,109
Molinos Rio de la Plata S.A. ......................................... 3,000 24,305
Perez Companc S.A. Class B ........................................... 25,000 130,351
Siderca S.A. Class A ................................................. 43,000 41,718
Telecom Argentina S.A. Class B ....................................... 17,000 80,256
Telefonica de Argentina Class B ...................................... 37,000 99,920
Transportadorade Gas del Sursa ....................................... 14,000 33,747
YPF Sociedad Anomina ................................................. 8,000 171,938
----------
790,121
----------
Brazil - 1.79%
Aracruz Cellulose .................................................... 22,000 35,312
Banco Bradesco ....................................................... 8,300,000 71,309
Banco Itau S.A. ...................................................... 160,000 44,752
Centrais Electricas Brasileira ....................................... 250,000 68,258
Centrais Electricas Brasileira ....................................... 610,000 166,324
Cesp - Comp Energ de Sao Paulo ....................................... 1,200,000 34,942
Cia Cervejaria Brahma ................................................ 42,000 17,735
Cia Cervejaria Brahma Preferred ...................................... 121,000 50,046
Cia Energetica Minas ................................................. 2,000,000 43,832
Cia Paranaense de Energia ............................................ 2,800,000 20,167
Cia Sider Belgo Mineir ............................................... 300,000 22,224
Cia Siderurgica Nacional ............................................. 2,200,000 44,933
Cia Suzano Papel e Celulose S.A. ..................................... 6,000 30,250
Cia Vale Do Rio Doce ................................................. 467,000 77,147
Cia Vale Do Rio Doce NPV ............................................. 353,000 90,726
Cia Vidraria Santa Marina ............................................ 5,000 17,491
Copene Petroquimica Nord S.A. ........................................ 55,000 24,777
Inds Klabin de Papel e Celulos ....................................... 25,000 23,120
Itausa Investimentos Itau S.A. ....................................... 65,000 36,162
Lojas Americanas ..................................................... 900,000 21,658
Petroleo Brasileiro .................................................. 1,250,000 106,107
Souza Cruz S.A. ...................................................... 4,000 22,459
Telec de Sao Paulo S.A. .............................................. 420,000 61,786
Telecom Brasileiras S.A. ............................................. 5,300,000 254,153
Telecomunicacoes Brasileiras ......................................... 1,700,000 65,966
Telecomunicacoes de Sao Paulo ........................................ 700,000 105,165
Usinas Sider Minas Gerais ............................................ 41,000,000 33,325
White Martins S.A. ................................................... 23,000,000 22,954
----------
1,613,080
----------
China - 0.58%
Chlor Alkaline Chemical ............................................. 365,000 92,710
Dajiang Group B ...................................................... 160,000 74,880
Jinqiao Exp Pro B .................................................... 100,000 37,400
Outer Gaoqiao Free B ................................................. 100,000 36,600
Sha Diesel Enginge B ................................................. 95,000 35,150
Shanghai Dazhong Taxi Co. (b) ........................................ 55,000 40,700
Shanghai Industrial Sewing Machine ................................... 210,000 34,020
Shanghai Tyre & Rubber Co. ........................................... 170,000 35,020
Yaohua Pilkington .................................................... 159,000 139,920
----------
526,400
----------
Greece - 2.48%
Commercial Bank of Greece ............................................ 6,150 231,092
Credit Bank .......................................................... 4,650 269,266
Delta Dairy .......................................................... 6,300 118,497
Elais Co. ............................................................ 2,950 96,011
Ergo Bank ............................................................ 4,200 167,672
Hellas Can ........................................................... 7,300 146,563
Hellenic Bottling .................................................... 8,400 275,162
Hellenic Sugar Ind ................................................... 8,450 109,292
</TABLE>
42
<PAGE>
<TABLE>
<CAPTION>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- ----------------------------------------------------------------------------------------------
December 31, 1995
Shares Value
---------- ----------
<S> <C> <C>
Non-U.S. Equities - (continued)
Greece - (continued)
Heracles General Cement Co. .......................................... 16,750 $ 159,296
Intracom Bearer ...................................................... 3,900 84,235
Ionian Bank .......................................................... 7,100 140,597
Michaniki ............................................................ 5,800 74,772
National Bank of Greece .............................................. 4,450 227,308
Titan Cement ......................................................... 3,150 132,477
----------
2,232,240
----------
Hong Kong - 1.05%
Maanshanish .......................................................... 2,020,000 282,137
Shanghai Petroleum ................................................... 1,390,000 399,973
Tsingtao Brewery Co. ................................................. 274,000 63,429
Yizheng Chemical ..................................................... 900,000 202,525
----------
948,064
----------
Indonesia - 1.43%
Bank Internasional Indonesia ......................................... 21,000 69,569
Barito Pacific Timber ................................................ 109,500 80,213
Bank Dagang Nasional Indonesia ....................................... 49,875 40,898
Ciputra Development .................................................. 24,500 38,573
Gadjah Tunggal ....................................................... 68,000 37,917
Gudang Garam ......................................................... 26,000 271,760
Hanjaja Mandanla Sampoerna ........................................... 24,000 249,806
Indah Kiat Pulp & Paper .............................................. 46,602 34,138
Indocement Tunggal Perkasa ........................................... 26,000 87,270
Indosat .............................................................. 34,000 123,416
Inti Indorayon Utama ................................................. 29,500 30,963
Kalbe Farma .......................................................... 17,500 59,314
Lippo Bank ........................................................... 19,500 30,061
Mayora Indah ......................................................... 69,000 49,791
Modern Photo ......................................................... 15,500 89,818
----------
1,293,507
----------
Israel - 2.51%
Africa-Israel Invest Ltd. ............................................ 45 47,350
Bank Hapoalim Ltd. ................................................... 208,000 343,560
Bank Leumi Le-Israel ................................................. 169,000 232,260
Bezeq Ltd. ........................................................... 85,100 245,577
Clal Electronics Inds. Ltd. .......................................... 440 51,994
Clal Industries Ltd. ................................................. 17,700 94,762
Clal Israel Ltd. ..................................................... 3,700 85,170
Dead Sea Works Ltd. .................................................. 33,000 96,661
Discount Investment Corp. ............................................ 1,200 78,924
Elco Holdings Ltd. ................................................... 1,100 49,646
IDB Bank Holding Corp. ............................................... 24,500 81,091
IDB Development Corp. ................................................ 6,000 106,145
Industrial Buildings Corp. ........................................... 40,200 49,998
Israel Chemicals Ltd. ................................................ 142,000 110,481
Koor Industries Ltd. ................................................. 310 30,640
Koor Industries Ltd. ................................................. 1,190 122,373
Makhteshim Chemical Works ............................................ 8,000 47,728
Osem Investment Ltd. ................................................. 8,050 47,693
Supersol Ltd. ........................................................ 2,300 48,272
Teva Pharmaceutical Inds. ............................................ 620 287,864
----------
2,258,189
----------
Malaysia - 2.74%
Genting .............................................................. 15,000 125,246
Hume Industries ...................................................... 32,000 153,761
Kuala Lumpur Kepong .................................................. 73,000 231,449
Land & General Holdings .............................................. 71,000 153,801
Malayan Bank ......................................................... 52,000 438,283
Nestle Malaysia ...................................................... 26,000 190,469
Sime Darby ........................................................... 164,000 435,998
Telekom Malaysia ..................................................... 54,000 421,111
Tenaga Nasional ...................................................... 80,000 315,085
----------
2,465,203
----------
</TABLE>
43
<PAGE>
<TABLE>
<CAPTION>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- ----------------------------------------------------------------------------------------------
December 31, 1995
Shares Value
---------- ----------
<S> <C> <C>
Non-U.S. Equities - (continued)
Peru - 1.00%
Backus Johnston ...................................................... 44,000 $ 77,432
Banco Wiese .......................................................... 10,000 15,895
Buenaventura ......................................................... 9,500 62,227
Cementos Lima ....................................................... 2,500 31,987
Credicorp Ltd. (b) ................................................... 5,790 99,878
South Peru Copper .................................................... 31,000 109,922
Telefonos Peru A ..................................................... 67,000 142,777
Telefonos Peru B ..................................................... 166,000 358,096
----------
898,214
----------
Phillipines - 3.94%
Ayala Corp. B ........................................................ 295,400 360,370
Ayala Land, Inc. B ................................................... 308,200 375,986
Engineering & Equipment Corp. ........................................ 130,000 7,533
J.G. Summit Holdings B ............................................... 854,000 234,411
Manila Electric Co. B ................................................ 43,000 350,809
Metropolitan Bank & Trust ............................................ 9,625 187,137
Petron Corp. ......................................................... 1,028,000 529,073
Phillipines Long Distance Telephone .................................. 12,650 687,217
Philippines Commercial International Bank ............................ 14,700 135,619
San Miguel Corp. B ................................................... 130,800 446,292
SM Prime Holdings, Inc. .............................................. 782,000 223,592
Universal Robina Corp. ............................................... 24,000 11,894
----------
3,549,933
----------
Portugal - 4.01%
Banco Espirito Santo ................................................. 25,000 375,489
BCO Comm Portugues ................................................... 38,000 517,622
BCO Portugues Investimentos .......................................... 30,567 371,359
BCO Totta E Acores ................................................... 5,454 90,319
Cimentos De Portugal ................................................. 17,200 285,410
Corticeira Amorim Ord ................................................ 9,500 109,693
Jeronimo Martins & Filho ............................................. 7,000 388,903
Modelo Continente .................................................... 11,600 318,351
Portugal Telecom ..................................................... 26,000 485,525
Soares Da Costa ...................................................... 3,700 42,079
Soporcel-Sociedade Portuguesa de Celulose ............................ 10,000 207,437
Sonae Investimentos .................................................. 19,600 419,696
----------
3,611,883
----------
South Africa - 3.53%
Amalg Banks of South Africa .......................................... 24,000 134,957
Anglo American Industrial Corp. ...................................... 2,500 113,664
Anglovaal Ltd. ....................................................... 3,300 133,970
Barlow Ltd. .......................................................... 7,300 104,126
De Beers Consolidated Mines .......................................... 13,800 418,285
First National Bank Holdings ......................................... 16,300 149,783
Impala Platinum ...................................................... 4,900 89,382
Iscor Zar ............................................................ 91,200 82,054
Kloof Gold Mining Co. ................................................ 9,600 92,166
Liberty Life Association of Africa ................................... 10,300 319,262
Murray & Roberts Holdings ............................................ 18,000 127,139
Nampak Ltd. .......................................................... 15,700 86,562
Nedcor Ltd. .......................................................... 9,500 164,171
Pepkor Ltd. .......................................................... 9,000 56,164
Rembrandt Group Ltd. ................................................. 18,500 177,611
Rustenberg Platinum Holdings ......................................... 7,100 116,853
Samancor Ltd. ........................................................ 6,700 84,540
Sappi Ltd. ........................................................... 5,800 89,094
Sasol Ltd. ........................................................... 21,500 176,041
South African Breweries .............................................. 9,400 344,223
Tiger Oats Ltd. ...................................................... 7,200 124,424
----------
3,184,471
----------
Turkey - 1.54%
Akbank ............................................................... 740,000 138,261
Aksa ................................................................. 278,298 84,778
</TABLE>
44
<PAGE>
<TABLE>
aCAPTION>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- ----------------------------------------------------------------------------------------------
December 31, 1995
Shares Value
---------- ----------
<S> <C> <C>
Non-U.S. Equities - (continued)
Turkey - (continued)
Arcelik A.S. ......................................................... 724,018 $ 57,639
Aygaz ................................................................ 100,000 44,679
Brisa Bridgestone .................................................... 185,000 44,334
Dogan Holding ........................................................ 537,500 15,937
EGE Biracilik Ve M ................................................... 218,500 74,549
Erciyas Biracilik .................................................... 95,000 43,989
Eregli Demir Ve Celik ................................................ 770,000 62,551
KOC Holdings A.S. .................................................... 690,000 97,530
Netas Telekomunik .................................................... 180,000 50,447
Otosan Otomobil S.A.S. ............................................... 187,500 30,463
Petkim ............................................................... 325,000 163,688
Petrol Ofisi ......................................................... 315,000 48,619
T. Garanti Bankasi ................................................... 940,000 77,888
T. Sise Cam .......................................................... 320,000 36,913
Tofas Otomobil Fab ................................................... 600,000 57,514
Tupras Turkiye Petrol ................................................ 510,000 83,688
Turk Hava Yollari .................................................... 908,864 119,607
Tupras Hava Yollari Rights (b) ....................................... 645,000 10,479
Yapi Ve Kredi Bankasi ................................................ 1,170,000 47,522
----------
1,391,075
----------
Total Non-U.S. Equities
(Cost $26,934,846) ................................................ 24,762,380
----------
Mutual Funds - 5.50%
Morgan Stanley India Fund ............................................ 48,200 439,825
Taiwan Fund, Inc. .................................................... 2,700 55,350
The Brazil Fund ...................................................... 20,266 428,119
The Chile Fund ....................................................... 155,200 4,035,200
----------
Total Mutual Funds
(Cost $4,952,275) ................................................ 4,958,494
----------
Face
Bonds - 4.51% Amount
U.S. Government Obligations - 4.51% ----------
U.S. Treasury Note, 7.250%, due 11/30/96 .............................$ 4,000,000 4,070,000
----------
Total Bonds
(Cost $4,060,489) ................................................ 4,070,000
----------
Short-Term Investments - 72.95%
Commercial Paper - 72.95%
Baxter International, Inc.
6.050%, due 01/02/96 ............................................. 725,000 725,000
6.050%, due 01/02/96 ............................................. 11,892,000 11,892,000
Burlington Northern Santa Fe, 6.150%, due 01/31/96 ................... 2,000,000 1,990,092
Centex Corp., 6.000%, due 01/04/96 ................................... 400,000 399,867
Columbia/HCA Healthcare Corp.
6.050%, due 01/18/96 ............................................. 1,500,000 1,495,967
6.020%, due 02/08/96 ............................................. 1,500,000 1,490,719
Crown, Cork & Seal Co., Inc.
6.050%, due 01/12/96 ............................................. 530,000 529,109
6.150%, due 01/30/96 ............................................. 1,500,000 1,492,825
GMAC, 6.000%, due 01/02/96 ........................................... 13,000,000 13,000,000
General American Transportation Corp., 6.020%, due 01/08/96 .......... 1,000,000 998,997
Loral Corp.
6.050%, due 01/09/96 ............................................. 1,165,000 1,163,629
6.000%, due 01/10/96 ............................................. 800,000 798,933
Nabisco Holdings Corp.
6.150%, due 01/05/96 ............................................. 6,000,000 5,996,925
6.000%, due 01/12/96 ............................................. 750,000 748,750
5.960%, due 01/17/96 ............................................. 2,000,000 1,995,033
P.S. Colorado Credit Corp.
6.030%, due 01/04/96 ............................................. 2,000,000 1,999,330
6.200%, due 01/04/96 ............................................. 1,000,000 999,656
</TABLE>
45
<PAGE>
<TABLE>
<CAPTION>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- ----------------------------------------------------------------------------------------------
December 31, 1995
Face
Amount Value
---------- ----------
<S> <C> <C>
Short-Term Investments - (continued)
Commercial Paper - (continued)
Pennzoil Co.
6.100%, due 01/16/96 .............................................$ 1,500,000 $ 1,496,442
6.090%, due 02/14/96 ............................................. 1,500,000 1,489,089
Philips Petroleum Co., 6.250%, due 01/02/96 .......................... 5,000,000 5,000,000
Textron, Inc., 6.000%, due 01/02/96 .................................. 1,268,000 1,268,000
Trinova Corp. 6.150%, due 01/05/96 ................................... 2,000,000 1,998,975
Union Pacific Corp.
5.950%, due 01/12/96 ............................................. 2,810,000 2,805,356
6.000%, due 01/30/96 ............................................. 400,000 398,133
6.050%, due 01/30/96 ............................................. 1,041,000 1,036,101
Unocal Corp., 6.030%, due 01/04/96 ................................... 2,542,000 2,541,148
----------
Total Short-Term Investments
(Cost $65,750,076) ............................................... 65,750,076
----------
Total Investments
(Cost $101,697,686) - 110.44% (a) ................................. 99,540,950
----------
Liabilities, less cash and other assets - (10.44%) ................... (9,411,978)
----------
Net Assets - 100% .................................................... $90,128,972
==========
</TABLE>
See accompanying notes to schedule of investments.
46
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- ---------------------------------------------------------------------
December 31, 1995
NOTES TO SCHEDULE OF INVESTMENTS
<TABLE>
<S> <C>
(a) Aggregate cost for federal income tax purposes was $101,697,686; and net
unrealized depreciation consisted of:
Gross unrealized appreciation . . . . . . . . . . . . . . $ 425,154
Gross unrealized depreciation . . . . . . . . . . . . . . (2,581,890)
-------------
Net unrealized depreciation . . . . . . . . . . . $ (2,156,736)
=============
</TABLE>
(b) Non-income producing security.
EQUITY SWAP CONTRACTS (Note 4)
The Brinson Emerging Markets Equity Fund has entered into equity swap contracts
as of December 31, 1995. These swaps serve to reduce the Fund's exposure, as a
percentage of net assets, to short-term investments from 72.95% to 22.44% and
increase the Fund's exposure to various countries. The following reflects the
open swap positions as of December 31, 1995 aggregated by country exposure:
<TABLE>
<CAPTION>
Net Unrealized
Notional Amounts Maturity Dates Country Gain (Loss) Exposure
- ---------------- ------------------ ---------- -------------- --------
<S> <C> <C> <C> <C>
$ 4,748,130 09/27/96 Argentina $ 90,747 5.37%
2,400,000 01/05/96 Brazil (193,806) 2.45
1,155,444 07/11/96-09/30/96 Czech Republic (84,170) 1.19
1,000,000 09/30/96 Greece (83,727) 1.02
1,132,228 09/30/96 India (644) 1.26
3,133,318 09/30/96 Indonesia (9,025) 3.47
3,484,471 01/05/96-09/30/96 Israel (17,098) 3.85
5,414,808 01/05/96-12/12/96 Korea (204,362) 5.77
4,500,000 01/05/96-12/12/96 Mexico (286,943) 4.67
1,000,000 01/12/96 Peru (83,397) 1.02
2,500,000 09/30/96-12/11/97 Poland (213,577) 2.54
1,250,000 09/30/96 Portugal (42,454) 1.34
1,000,000 09/30/96 South Africa 69,152 1.19
4,531,118 09/30/96-12/12/96 Taiwan 30,149 5.06
5,379,433 01/05/96-12/12/96 Thailand (36,549) 5.92
4,400,000 09/30/96-12/12/96 Turkey (441,284) 4.39
- ----------- ------------- -----
$47,028,950 $ (1,506,988) 50.51
=========== ============= =====
</TABLE>
See accompanying notes to financial statements.
47
<PAGE>
<TABLE>
<CAPTION>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- -------------------------------------------------------------------------------------------------------
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
ASSETS:
Investments, at value (Cost $101,697,686) (Note 1).................................... $ 99,540,950
Cash................................................................................... 63,098
Foreign currency, at value (Cost $2,355,069)........................................... 2,344,927
Receivables:
Equity swap contracts closed........................................................ 465,046
Dividends........................................................................... 8,094
Interest ........................................................................... 20,341
Other assets........................................................................... 11,039
------------
TOTAL ASSETS................................................................. 102,453,495
------------
LIABILITIES:
Payables:
Investment securities purchased..................................................... 9,739,036
Net unrealized loss on open equity swap contracts (Note 4).......................... 1,506,988
Equity swap contracts closed........................................................ 1,033,102
Accrued expenses.................................................................... 45,397
------------
TOTAL LIABILITIES............................................................ 12,324,523
------------
NET ASSETS:
Applicable to 9,674,258 shares; no par value, unlimited shares authorized............. $ 90,128,972
============
Net asset value and redemption price
per share ($90,128,972 / 9,674,258 shares)......................................... $ 9.3164
============
Maximum offering price per share (net asset value,
plus 1.52% of net asset value, or 1.50% of offering price) (Note 8)................$ 9.4583
============
NET ASSETS CONSIST OF:
Paid in capital....................................................................... $ 93,697,510
Accumulated net investment income...................................................... 994,689
Accumulated net realized loss.......................................................... (900,400)
Net unrealized depreciation............................................................ (3,662,827)
------------
NET ASSETS.................................................................. $ 90,128,972
============
</TABLE>
See accompanying notes to financial statements.
48
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
================================================================================
<TABLE>
<CAPTION>
<S> <C>
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 30, 1995* TO DECEMBER 31, 1995
INVESTMENT INCOME:
Interest.............................................................................. $ 1,055,347
Dividends (net of $5,358 for foreign taxes withheld).................................. 67,467
------------
TOTAL INCOME................................................................ 1,122,814
------------
EXPENSES:
Accounting............................................................................ 49,804
Professional.......................................................................... 46,847
Custodian............................................................................. 20,344
Other................................................................................. 11,130
------------
TOTAL EXPENSES.............................................................. 128,125
------------
NET INVESTMENT INCOME....................................................... 994,689
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments....................................................................... 10,292
Equity swap contracts............................................................. (892,710)
Foreign currency transactions..................................................... (17,982)
------------
Net realized loss............................................................. (900,400)
------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency.................................................. (3,673,866)
Translation of other assets and liabilities denominated in foreign currency....... 11,039
------------
Change in net unrealized appreciation or depreciation......................... (3,662,827)
------------
Net realized and unrealized loss...................................................... (4,563,227)
------------
Net decrease in net assets resulting from operations.................................. $ (3,568,538)
============
</TABLE>
* Commencement of operations
See accompanying notes to financial statements.
49
<PAGE>
<TABLE>
<CAPTION>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- -------------------------------------------------------------------------------------------------------
<S> <C>
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD JUNE 30, 1995* TO DECEMBER 31, 1995
OPERATIONS:
Net investment income................................................................. $ 994,689
Net realized loss..................................................................... (900,400)
Change in net unrealized appreciation or depreciation................................. (3,662,827)
------------
Net decrease in net assets resulting from operations.................................. (3,568,538)
------------
CAPITAL SHARE TRANSACTIONS:
Shares sold (Note 8).................................................................. 93,700,000
Shares redeemed....................................................................... (2,500)
------------
Net increase in net assets resulting from capital share transactions (a).............. 93,697,500
------------
TOTAL INCREASE IN NET ASSETS................................................. 90,128,962
------------
NET ASSETS:
Beginning of period................................................................... 10
------------
End of period (including accumulated net investment income of $994,689)............... $ 90,128,972
============
(a) A summary of capital share transactions follows:
Shares
------------
Shares sold........................................................................... 9,674,521
Shares redeemed....................................................................... (264)
------------
Net increase in shares outstanding................................................ 9,674,257
============
</TABLE>
* Commencement of operations
See accompanying notes to financial statements.
50
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL HIGHLIGHTS
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
Period Ended
December 31, 1995*
-----------------
<S> <C>
Net asset value, beginning of period..................................... $ 10.0000
-----------------
Income from investment operations:
Net investment income................................................. 0.1028
Net realized and unrealized loss...................................... (0.7864)
-----------------
Total loss from investment operations............................ (0.6836)
-----------------
Net asset value, end of period........................................... $ 9.3164
=================
Total return............................................................. (6.84%)
Ratios/Supplemental data
Net assets, end of period (in 000s)................................... $ 90,129
Ratio of expenses to average net assets............................... 0.50% **
Ratio of net investment income to average net assets.................. 3.86% **
Portfolio turnover rate............................................... 2%
</TABLE>
* The Fund commenced operations June 30, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
51
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
On June 30, 1995, Brinson Partners, Inc. introduced its Brinson Emerging
Markets Debt Fund. Since its inception, the portfolio has earned an unannualized
return of 16.40% compared to the 16.77% return of its benchmark, the J.P. Morgan
Emerging Market Bond Index Plus (EMBI+).
The decline in U.S. interest rates provided a very favorable backdrop for
emerging market debt. Because the market is predominantly U.S. dollar
denominated, the bonds' cash flows are priced relative to the interest rates on
U.S. Treasury securities. Equivalent duration U.S. Treasury securities returned
6.68% over the last half of 1995.
The incremental return over the equivalent duration Treasuries (10.09%) was
due to the incremental yield on the Brady Bonds and to principal gains resulting
from credit spread declines. The United States' financial rescue of Mexico
early in the year and the concomitant investor nervousness produced attractive
credit spreads (valuations) as we entered the Brady bond market at mid-year. As
Mexico and other Latin American economies stabilized and investors' concerns
regarding sovereign credit risk waned, credit spreads declined abruptly. The
index's sovereign spread declined from 13.56% to 10.44%.
Market and country allocation strategies improved Fund results. Since
we maintained a neutral outlook regarding U.S. interest rates over the second
half of the year, duration management had a negligible impact upon performance
relative to the index. Market entry issues, such as the absorption of bid/asked
spreads and the timing of our initial funding during a period of rapidly rising
prices, offset the added value relative to the index.
After the launch of our Fund, J.P. Morgan constructed the EMBI+, including
a wider range of markets and debt instruments than the EMBI, which comprised
only Brady Bonds. The EMBI+ comprises 80% Brady Bonds, 10% loans, 6% domestic
issues and 4% Eurobonds. The brief performance and volatility history of the
EMBI+ is similar to that of the EMBI, but includes five additional debt markets-
Morocco, Panama, Peru, Russia and South Africa. The EBMI+ expands the market
capitalization from $75.9 to 110.0 billion. As of year-end, the EMBI+ was
adopted as the benchmark. Our investment strategies early in 1996 continue to
reflect a neutral view on U.S. interest rates and incorporate an expectation of
declining credit spreads.
52
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
Total Return
6/30/95*
to 12/31/95
- --------------------------------------------------------------------------------
Brinson Emerging Markets Debt Fund 16.40% **
- --------------------------------------------------------------------------------
JP Morgan EMBI+ 16.77% **
- --------------------------------------------------------------------------------
* Inception date of the Brinson Emerging Markets Debt Fund.
** Total returns have not been annualized.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson
Emerging Markets Debt Fund and the JP Morgan EMBI+ if you had invested $100,000
on June 30, 1995. 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 Emerging Markets Debt Fund
vs. JP Morgan EMBI+
[GRAPH APPEARS HERE]
Brinson Emerging Markets JP Morgan
Debt Fund EMBI+
06/30/95 100,000.00 100,000.00
07/31/95 98,952.00 100,073.63
08/31/95 101,671.00 102,435.36
09/30/95 105,713.00 105,964.34
10/31/95 104,843.00 104,875.67
11/30/95 108,802.00 108,546.33
12/31/95 116,401.00 116,771.85
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
53
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
Portfolio Composition
As of December 31, 1995
<TABLE>
<CAPTION>
Normal Market
Policy Allocation
- --------------------------------------------------------------
<S> <C> <C>
Argentina 21.1% 19.2%
Brazil 28.6 29.0
Bulgaria 1.9 4.3
Ecuador 2.2 4.7
Mexico 19.1 21.7
Morocco 1.5 0.0
Nigeria 0.9 3.2
Panama 0.4 0.0
Peru 1.2 0.0
Philippines 2.9 0.0
Poland 4.3 4.3
Russia 7.0 4.7
South Africa 0.7 0.0
Venezuela 8.2 8.4
Cash 0.0 0.5
- --------------------------------------------------------------
100.0% 100.0%
</TABLE>
54
<PAGE>
<TABLE>
<CAPTION>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------------------------
December 31, 1995
Face
Amount Value
---------- ----------
<S> <C> <C>
Bonds - 97.60%
International Dollar Bonds - 92.93%
Argentina - Bear FRN, 6.812%, due 03/31/05 ......................... $ 17,500,000 $ 12,468,750
Argentina - Par Series L-GP FRN, 5.000%, due 03/31/23 .............. 17,750,000 10,128,594
Brazil - C Bond, 4.000%, due 04/15/14 .............................. 23,718,023 13,563,745
Brazil - E.I. Series L FRN, 6.812%, due 04/15/06 ................... 12,500,000 8,562,500
Brazil - Par Z-L, 4.250%, due 04/15/24 ............................. 18,000,000 9,551,250
Brazil New Money Bond L FRN, 6.875%, due 04/15/09 .................. 4,000,000 2,420,000
Bulgaria - Disc. Series A FRN, 6.750%, due 07/28/24 ................ 4,750,000 2,523,437
Bulgaria - IAB Series PDI FRN, 6.750%, due 07/28/11 ................ 5,000,000 2,306,250
Equador - Disc. FRN, 6.812%, due 02/28/25 .......................... 6,000,000 3,037,500
Equador - Par, 3.000%, due 02/28/25 ................................ 6,750,000 2,438,437
Mexico - Disc. Series B FRN, 6.766%, due 12/31/19 .................. 4,000,000 2,887,500
Mexico - Disc. Series D FRN, 6.546%, due 12/31/19 .................. 10,500,000 7,579,687
Mexico - Par Series A, 6.250%, due 12/31/19 ........................ 6,000,000 3,907,500
Mexico - Par Series B, 6.250%, due 12/31/19 ........................ 17,000,000 11,071,250
Nigeria - Par Series WW, 6.250%, due 11/15/20 ...................... 7,750,000 3,797,500
Poland - Bear Series PDIB, 3.750%, due 10/27/14 .................... 7,750,000 5,027,813
Venezuela - Par Series W-A, 6.750%, due 03/31/20 ................... 4,500,000 2,570,625
Venezuela Series A FRN, 6.812%, due 03/31/07 ....................... 9,250,000 5,133,750
Venezuela Series B FRN, 7.000%, due 03/31/07 ....................... 4,000,000 2,220,000
-----------
111,196,088
-----------
Loan Participation Certificate - 4.67%
Vneshekonom Bank Loan Participation, 0.000%, due 01/01/00 .......... 16,500,000 5,589,375
-----------
Total Bonds
(Cost $110,510,230) ............................................ 116,785,463
-----------
Short Term Investments - 5.69%
U.S. Government Obligations - 0.08%
U.S. Treasury Bill, 5.250%, due 05/16/96 ........................... 98,000 96,071
-----------
Commercial Paper - 5.61%
Burlington Northern Santa Fe, 6.250%, due 01/10/96 ................. 5,500,000 5,492,361
GMAC, 6.000%, due 01/02/96 ......................................... 1,000,000 1,000,000
Textron, Inc., 6.000%, due 01/02/96 ................................ 224,000 224,000
-----------
6,716,361
-----------
Total Short-Term Investments
(Cost $6,812,432) .............................................. 6,812,432
-----------
Total Investments
(Cost $117,322,662) - 103.29% (a) .............................. 123,597,895
-----------
Liabilities, less cash and other assets - (3.29%) .................. (3,943,702)
-----------
Net Assets - 100% .................................................. $ 119,654,193
===========
</TABLE>
See accompanying notes to schedule of investments.
55
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- -----------------------------------------------------------------------------
December 31, 1995
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $117,322,662; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation......... $ 6,392,405
Gross unrealized depreciation......... (117,172)
-------------
Net unrealized appreciation..... $ 6,275,233
=============
</TABLE>
FRN: Floating rate note - The rate disclosed is that in effect at
December 31, 1995
FUTURES CONTRACTS (Note 6)
Futures Contracts:
The Brinson Emerging Markets Debt Fund had the following open futures
contracts as of December 31, 1995:
<TABLE>
<CAPTION>
Settlement Current Unrealized
Date Proceeds Value (Loss)
---------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Sales Contracts
U.S. Treasury Bond, 130 contracts March 1996 $ 15,620,188 $ 15,790,938 $ (170,750)
</TABLE>
The segregated cash and market value of investments pledged to cover margin
requirements for the open futures positions at December 31, 1995 were $165,000
and $96,071, respectively.
See accompanying notes to financial statements.
56
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $117,322,662) (Note 1)........................................ $ 123,597,895
Cash...................................................................................... 172,046
Interest receivable....................................................................... 2,391,350
-------------
TOTAL ASSETS.................................................................... 126,161,291
-------------
LIABILITIES:
Payables:
Investment securities purchased........................................................ 6,375,776
Variation margin (Note 6).............................................................. 44,687
Accrued expenses....................................................................... 86,635
-------------
TOTAL LIABILITIES............................................................... 6,507,098
-------------
NET ASSETS:
Applicable to 10,279,463 shares; no par value, unlimited shares authorized................ $ 119,654,193
=============
Net asset value, offering price and redemption
price per share ($119,654,193 / 10,279,463 shares)..................................... $ 11.6401
=============
Maximum offering price per share (net asset value,
plus 0.50% of net asset value, or 0.50% of offering price) (Note 8).................... $ 11.6986
=============
NET ASSETS CONSIST OF:
Paid in capital........................................................................... $ 108,097,510
Accumulated net investment income......................................................... 4,609,962
Accumulated net realized gain............................................................. 842,238
Net unrealized appreciation............................................................... 6,104,483
-------------
NET ASSETS...................................................................... $ 119,654,193
=============
</TABLE>
See accompanying notes to financial statements.
57
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 30, 1995* TO DECEMBER 31, 1995
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.................................................................................. $ 4,787,178
-------------
TOTAL INCOME.................................................................... 4,787,178
-------------
EXPENSES:
Custodian................................................................................. 58,441
Accounting................................................................................ 54,116
Professional.............................................................................. 46,591
Other..................................................................................... 18,068
-------------
TOTAL EXPENSES.................................................................. 177,216
-------------
NET INVESTMENT INCOME........................................................... 4,609,962
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments........................................................................... 878,588
Futures contracts..................................................................... (36,350)
-------------
Net realized gain.............................................................. 842,238
-------------
Change in net unrealized appreciation or depreciation on:
Investments........................................................................... 6,275,233
Futures contracts..................................................................... (170,750)
-------------
Change in net unrealized appreciation or depreciation.......................... 6,104,483
-------------
Net realized and unrealized gain.......................................................... 6,946,721
-------------
Net increase in net assets resulting from operations...................................... $ 11,556,683
=============
</TABLE>
* Commencement of operations
See accompanying notes to financial statements.
58
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD JUNE 30, 1995* TO DECEMBER 31, 1995
<TABLE>
<S> <C>
OPERATIONS:
Net investment income..................................................................... $ 4,609,962
Net realized gain......................................................................... 842,238
Change in net unrealized appreciation or depreciation..................................... 6,104,483
-------------
Net increase in net assets resulting from operations...................................... 11,556,683
-------------
CAPITAL SHARE TRANSACTIONS:
Shares sold (Note 8)...................................................................... 108,100,000
Shares redeemed........................................................................... (2,500)
-------------
Net increase in net assets resulting from capital share transactions (a).................. 108,097,500
-------------
TOTAL INCREASE IN NET ASSETS..................................................... 119,654,183
-------------
NET ASSETS:
Beginning of period....................................................................... 10
-------------
End of period (including accumulated net investment income of $4,609,962)................. $ 119,654,193
=============
(a) A summary of capital share transactions follows:
Shares
-------------
Shares sold............................................................................... 10,279,700
Shares redeemed........................................................................... (238)
-------------
Net increase in shares outstanding.................................................... 10,279,462
=============
</TABLE>
* Commencement of operations
See accompanying notes to financial statements.
59
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL HIGHLIGHTS
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
Period Ended
December 31, 1995*
-----------------
<S> <C>
Net asset value, beginning of period..................................... $ 10.0000
-----------------
Income from investment operations:
Net investment income................................................. 0.4485
Net realized and unrealized gain...................................... 1.1916
-----------------
Total income from investment operations.......................... 1.6401
-----------------
Net asset value, end of period........................................... $ 11.6401
=================
Total return............................................................. 16.40%
Ratios/Supplemental data
Net assets, end of period (in 000s)................................... $ 119,654
Ratio of expenses to average net assets............................... 0.50% **
Ratio of net investment income to average net assets.................. 12.95% **
Portfolio turnover rate............................................... 29%
</TABLE>
* The Fund commenced operations June 30, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
60
<PAGE>
THE BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
================================================================================
1. SIGNIFICANT ACCOUNTING POLICIES
The Brinson Relationship Funds (the "Trust") is an open-end, management
investment company registered under the Investment Company Act of 1940, as
amended. The Trust currently offers shares of six series representing separate
portfolios of investments, each of which is non-diversified. The six series are:
Brinson Global Securities Fund, Brinson Short-Term Fund, Brinson Post-Venture
Fund, Brinson High Yield Fund, Brinson Emerging Markets Equity Fund and Brinson
Emerging Markets Debt Fund (each a "Fund" and collectively, the "Funds"). The
Brinson Short-Term Fund has been inactive since inception, except for matters
relating to its organization and registration and the sale on April 25, 1995 of
1,000 shares of the Fund for $10,000 to Fund/Plan Services, Inc., the Trust's
administrator. The following is a summary of significant accounting policies
consistently followed by the Funds, except for the Brinson Short-Term Fund, 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 and equity swap contracts, 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. Equity swap values are
derived based on the values, or estimates of the values, of the applicable
equity indices and foreign exchange rates underlying the contracts. 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 on investments in the
statement of operations.
C. Investment Transactions: Investment transactions are accounted for on a
trade date basis. Gains and losses on investments 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: The Trust has received rulings from the Internal
Revenue Service that each Fund will be treated as a separate partnership for
federal income tax purposes. Income taxes are not provided for by the Funds
because taxable income (loss) of the Funds is includable in the income tax
returns of the investors.
F. Partnership Allocations: For federal income tax purposes, an investor's
distributive share of each item of a Fund's income, gain, loss, deduction and
credit will be determined by the Agreement and Declaration of Trust (the "Trust
Agreement") so long as the allocation has "substantial economic effect" within
the meaning of Code Section 704 and the regulations thereunder. The Trust has
received rulings from the Internal Revenue Service that this allocation method
has substantial economic effect.
G. Use of Estimates: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimates.
61
<PAGE>
THE BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
================================================================================
2. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Brinson Partners, Inc. (the "Advisor"), a registered investment advisor, manages
the assets of the Trust pursuant to an Investment Advisory Agreement with the
Trust (the "Advisory Agreement"). The Advisor does not receive any compensation
under the Advisory Agreement for providing investment advisory services. The
Advisor has agreed to reimburse the Brinson Post-Venture Fund and Brinson High
Yield Fund for all operating expenses. The Advisor has agreed to reimburse
Brinson Global Securities Fund to the extent that total operating expenses
exceed 0.05% of average daily net assets. The Advisor has agreed to reimburse
Brinson Emerging Markets Equity Fund and Brinson Emerging Markets Debt Fund to
the extent that total operating expenses exceed 0.50% of average daily net
assets. Certain officers of the Funds are also officers and directors of the
Advisor. All officers serve without direct compensation from the Funds.
3. INVESTMENT TRANSACTIONS
Investment transactions for the period ended December 31, 1995, excluding short-
term investments, were as follows:
<TABLE>
<CAPTION>
Purchases Proceeds from sales
-------------- -------------------
<S> <C> <C>
Brinson Global Securities Fund........ $2,186,825,420 $1,389,981,123
Brinson Post-Venture Fund............. 297,518,656 114,045,536
Brinson High Yield Fund............... 122,295,011 22,783,036
Brinson Emerging Markets Equity Fund.. 36,316,989 359,098
Brinson Emerging Markets Debt Fund.... 130,545,945 21,996,250
</TABLE>
4. EQUITY SWAP CONTRACTS
The Brinson Emerging Markets Equity Fund enters into equity swap contracts.
Equity swaps often provide a less expensive, and in some cases, the only means
of investing in certain emerging markets. In these swaps, the Fund agrees to
receive the return on an emerging market equity index and pay a floating
interest rate based on the notional amount of each contract.
Fluctuations in the value of open swap contracts are recorded daily as net
unrealized gains or losses. The Fund realizes a gain or loss upon termination or
reset of the contracts. The statement of operations reflects net realized and
net unrealized gains and losses on these contracts. Amounts receivable or
payable related to terminated or reset equity swap contracts are reflected as
receivable or payable for equity swap contracts closed on the statement of
assets and liabilities.
Credit risk may arise as a result of the failure of the swap counterparty to
comply with the terms of the swap contract. The Fund considers the
creditworthiness of each counterparty to a swap contract in evaluating potential
credit risk. The credit risk to the Fund is limited to the net receivable by
counterparty, if any, on the swap contracts. Additionally, risks may arise from
unanticipated movements in interest rates, foreign exchange rates or in the
value of the underlying indices.
At December 31, 1995, the Brinson Emerging Markets Equity Fund had open equity
swap contracts with five international dealers, including the Fund's custodian.
At December 31, 1995, the Brinson Emerging Markets Equity Fund had short-term
investments segregated with its custodian equal to the notional amount of its
open equity swap contracts.
5. FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Global Securities Fund engages in portfolio hedging with respect to
changes in currency exchange rates by entering into forward foreign currency
contracts to purchase or sell currencies. Forward foreign currency contracts are
also used to achieve currency allocation strategies. A forward foreign currency
contract is a commitment to purchase or sell a foreign currency at a future date
at a negotiated forward rate. Risks associated with such contracts include
movement in the value of the foreign currency relative to the U.S. dollar and
the ability of the counterparty to perform. The unrealized gain, if any,
represents the credit risk to the Fund on a forward foreign currency contract.
Fluctuations in the value of forward foreign currency contracts are recorded
daily as net unrealized gains or losses. The Fund realizes a gain or loss upon
settlement of the contracts. The statement of operations reflects net realized
and net unrealized gains and losses on these contracts. The counterparty to all
forward foreign currency contracts at and for the period ended December 31, 1995
was the Fund's custodian.
62
<PAGE>
THE BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
================================================================================
6. 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 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.
7. LOANS OF PORTFOLIO SECURITIES
The Brinson Global Securities Fund loaned securities to certain brokers, with
the Fund's custodian acting as the Fund's lending agent. The Fund earned
negotiated lenders' fees, which are included in interest income in the statement
of operations. Securities loaned are recorded at the amount of cash collateral
received. The Fund monitors the market value of securities loaned on a daily
basis and maintains collateral against the loaned securities in an amount at
least equal to 102% of the value of domestic securities loaned and 105% of the
value of non-U.S. securities loaned. The cash collateral received is invested in
commercial paper. The value of securities on loan was $8,482,022 as of December
31, 1995.
8. TRANSACTION CHARGES
Effective December 20, 1995, investors in the Brinson Emerging Markets Equity
Fund and the Brinson Emerging Markets Debt Fund are subject to a transaction
charge equal to 1.50% and 0.50%, respectively, on Fund share purchases.
Therefore, the shares of each of these Funds are sold at a price which is equal
to the net asset value of such shares, plus the transaction charge. The
transaction charge is retained by the Funds and is intended to defray
transaction costs associated with the purchase and sale of securities within the
Funds. Transaction charges received by the Brinson Emerging Markets Equity Fund
and the Brinson Emerging Markets Debt Fund were $435,000 and $175,000,
respectively, for the period ended December 31, 1995, and were included in
shares sold on the statement of changes in net assets.
Effective February 20, 1996, investors in the Brinson Emerging Markets Equity
Fund will also be subject to a transaction charge equal to 1.50% on Fund share
redemptions.
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 each Fund's objectives, policies, expenses and other
information.
63
<PAGE>
THE BRINSON RELATIONSHIP FUNDS - REPORT OF INDEPENDENT AUDITORS
- --------------------------------------------------------------------------------
The Board of Trustees of The Brinson Relationship Funds and Shareholders of
Brinson Global Securities Fund
Brinson Post-Venture Fund
Brinson High Yield Fund
Brinson Emerging Markets Equity Fund
Brinson Emerging Markets Debt Fund
We have audited the accompanying statements of asset and liabilities, including
the schedules of investments, of The Brinson Relationship Funds: Brinson Global
Securities Fund, Brinson Post-Venture Fund, Brinson High Yield Fund, Brinson
Emerging Markets Equity Fund and Brinson Emerging Markets Debt Fund as of
December 31, 1995, and the related statements of operations and changes in net
assets and the financial highlights for the periods indicated therein. These
financial statements and financial highlights are the responsibility of the
Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmations of securities owned as of
December 31, 1995, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
Brinson Relationship Funds: Brinson Global Securities Fund, Brinson Post-
Venture Fund, Brinson High Yield Fund, Brinson Emerging Markets Equity Fund and
Brinson Emerging Markets Debt Fund at December 31, 1995, the results of their
operations, the changes in their net assets and the financial highlights for the
periods indicated therein in conformity with generally accepted accounting
principles.
Ernst & Young LLP
Chicago, Illinois
February 6, 1996
64
