<PAGE>
_________________________________________
THE BRINSON RELATIONSHIP FUNDS
BRINSON GLOBAL SECURITIES FUND
BRINSON SHORT-TERM FUND
BRINSON POST-VENTURE FUND
BRINSON HIGH YIELD FUND
BRINSON EMERGING MARKETS EQUITY FUND
BRINSON EMERGING MARKETS DEBT FUND
ANNUAL REPORT
DECEMBER 31, 1996
GLOBAL INSTITUTIONAL ASSET MANAGEMENT
-----------------------------------------
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
<S> <C>
BRINSON GLOBAL SECURITIES FUND............................................. 1
Schedule of Investments............................................... 5
Statement of Assets and Liabilities................................... 17
Statement of Operations............................................... 18
Statements of Changes in Net Assets................................... 19
Financial Highlights.................................................. 20
BRINSON SHORT-TERM FUND.................................................... 21
Schedule of Investments............................................... 22
Statement of Assets and Liabilities................................... 23
Statement of Operations............................................... 24
Statements of Changes in Net Assets................................... 25
Financial Highlights.................................................. 26
BRINSON POST-VENTURE FUND.................................................. 27
Schedule of Investments............................................... 30
Statement of Assets and Liabilities................................... 34
Statement of Operations............................................... 35
Statements of Changes in Net Assets................................... 36
Financial Highlights.................................................. 37
BRINSON HIGH YIELD FUND.................................................... 38
Schedule of Investments............................................... 41
Statement of Assets and Liabilities................................... 43
Statement of Operations............................................... 44
Statements of Changes in Net Assets................................... 45
Financial Highlights.................................................. 46
BRINSON EMERGING MARKETS EQUITY FUND....................................... 47
Schedule of Investments............................................... 50
Statement of Assets and Liabilities................................... 59
Statement of Operations............................................... 60
Statements of Changes in Net Assets................................... 61
Financial Highlights.................................................. 62
BRINSON EMERGING MARKETS DEBT FUND......................................... 63
Schedule of Investments............................................... 66
Statement of Assets and Liabilities................................... 68
Statement of Operations............................................... 69
Statements of Changes in Net Assets................................... 70
Financial Highlights.................................................. 71
The Brinson Relationship Funds -- Notes to Financial Statements............ 72
Report of Independent Auditors............................................. 75
</TABLE>
<PAGE>
BRINSON GLOBAL SECURITIES FUND
================================================================================
The Brinson Global Securities Fund is diversified across the equity and fixed
income markets of the U.S. and a broad range of other countries. This Fund is
actively managed within an asset allocation framework, involving value-based
market, currency and individual security selection. Our senior asset allocation,
equity and fixed income professionals form the investment team for this Fund,
supported by a globally integrated market analysis system. Security selection
within each market is based on the fundamental research of our analytical teams
in Chicago, Basel, Frankfurt, London, Melbourne, Paris, Singapore, Sydney and
Tokyo.
The Brinson Global Securities Fund has provided an annualized return of 19.52%
since its inception on April 30, 1995. This exceeds the corresponding 16.49%
return of its benchmark, the Global Securities Markets Index (GSMI). In 1996,
the Fund returned 15.03%, substantially outperforming the benchmark return of
12.68%. Positive contributors to relative performance were security selection,
particularly in the U.S. and in the Japanese equity market, an overweight in
emerging markets debt, and the currency risk hedging. The primary negative
contributor was the underweight in most equity markets and the overweight in
bonds.
Apart from emerging markets debt, which provided a return in 1996 of
approximately 40%, bond markets turned in poor performance relative to equities.
The U.S. bond market lagged markets elsewhere, with a total return that failed
to exceed cash returns. Bond yields in the U.S. rose substantially in the first
half of the year on stronger than anticipated economic news. In other developed
markets, bond returns were generally quite good. The peripheral European bond
markets in particular performed well, as spreads over German yields declined
substantially due to the market's anticipation of a single currency in the
coming years.
The U.S. equity market return of better than 20% was outdone by many of the
European markets which were driven by a combination of lower interest rates and
the anticipation of a profits recovery. The Japanese equity market stood in
stark contrast with a local currency loss of almost 5% for the year. This was
due in part to the failure of government spending programs and loose monetary
policy to produce sustained economic strength.
While the emerging debt markets were producing spectacular gains, emerging
equities were more subdued with an aggregate dollar return of under 10%. Returns
in the high yield bond market, at over 12%, not surprisingly fell between equity
and bond returns.
Currency risk hedges were beneficial during the year, as the overpriced yen and
deutschemark-bloc currencies depreciated against the U.S. dollar. The risk
hedges also benefited from interest rates in the U.S. exceeding rates in the
overpriced currencies.
Asset allocation strategy continues to underweight equity markets, as prices
remain in excess of fundamental value. Bond markets, apart from Japan, remain
overweight as they provide the most attractive relative value. Emerging markets
debt is also overweight, with small underweights in emerging equity and high
yield bonds. Currency strategy remains focused on controlling the risks in
overpriced core European currencies, and to a lesser extent the yen.
1
<PAGE>
BRINSON GLOBAL SECURITIES FUND
================================================================================
Total Return
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 04/30/95*
12/31/96 12/31/96 to 12/31/96
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
Brinson Global Securities Fund 9.28% 15.03% 19.52%
- ---------------------------------------------------------------------------------------------------------
Global Securities Markets Index ** 6.61% 12.68% 16.49%
- ---------------------------------------------------------------------------------------------------------
</TABLE>
* Performance inception date of the Brinson Global Securities Fund.
** An un-managed index compiled by the Advisor, constructed as follows: 40%
Wilshire 5000 Index; 22% MSCI Non-U.S.
Equity (Free) Index; 19% Salomon BIG Bond Index; 2% International Dollar Bond
Index; 9% Salomon Non-U.S. Government Bond Index (unhedged); 2% JP Morgan
EMBI+; 3% IFC Investable Index; and 3% High Yield Bond Index.
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 Markets 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 MARKETS INDEX
<TABLE>
<CAPTION>
Brinson Global Global Securities
Securities Fund Markets Index
<S> <C> <C>
04/30/95 100,000 100,000
05/31/95 103,327 102,509
06/30/95 104,439 104,074
07/31/95 106,942 107,316
08/31/95 108,458 106,941
09/30/95 110,483 109,803
10/31/95 111,333 109,114
11/30/95 114,689 112,380
12/31/95 117,181 114,455
01/31/96 119,499 116,106
02/29/96 119,014 116,849
03/31/96 120,123 117,787
04/30/96 121,860 119,680
05/31/96 122,513 120,984
06/30/96 123,345 120,969
07/31/96 121,479 117,459
08/31/96 123,345 119,490
09/30/96 127,331 123,636
10/31/96 129,524 124,871
11/30/96 134,752 130,122
12/31/96 134,788 128,963
</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.
2
<PAGE>
BRINSON GLOBAL SECURITIES FUND
================================================================================
TOP TEN U.S. EQUITY HOLDINGS TOP TEN NON U.S. EQUITY HOLDINGS
As of December 31, 1996 As of December 31, 1996
<TABLE>
<CAPTION>
PERCENT OF PERCENT OF
NET ASSETS NET ASSETS
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1. Chase Manhattan Corp. 1.37 % 1. Royal Dutch Petroleum Co. 0.22 %
2. Xerox Corp. 1.07 2. Telecom Corp. of New Zealand Ltd. 0.22
3. Lockheed Martin Corp. 1.06 3. British Telecommunications PLC 0.22
4. Burlington Northern Santa Fe 1.05 4. General Electric Co. PLC 0.21
5. Corning, Inc. 0.99 5. Broken Hill Proprietary Co. Ltd. 0.21
6. Citicorp 0.96 6. Lloyds TSB Group PLC 0.20
7. Philip Morris Companies, Inc. 0.94 7. British Petroleum Co. PLC 0.20
8. Aon Corp. 0.88 8. Matsushita Electric Industrial Co. 0.18
9. Goodyear Tire & Rubber Co. 0.81 9. Toray Industries, Inc. 0.18
10. Enron Corp. 0.73 10. Grand Metropolitan PLC 0.17
</TABLE>
3
<PAGE>
BRINSON GLOBAL SECURITIES FUND
================================================================================
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
As a Percent of Net Assets
As of December 31, 1996
<S> <C> <S> <C>
U.S. EQUITIES
Basic Industries Insurance .................................... 0.75 %
Chemicals ...................... 0.19 % Leisure & Tourism ............................ 0.12
Housing / Paper ................ 1.17 Machinery & Engineering ...................... 0.25
Metals ......................... 0.15 Merchandising ................................ 0.74
--------
1.51 Metals-Steel ................................. 0.35
Capital Investment Miscellaneous Materials ...................... 0.11
Capital Goods .................. 2.59 Multi-Industry ............................... 0.76
Technology ..................... 1.67 Non-Ferrous Metals ........................... 0.40
--------
4.26 Real Estate .................................. 0.12
Consumer Recreation ................................... 0.09
Autos / Durables ............... 0.07 Shipping ..................................... 0.15
Discretionary .................. 1.88 Telecommunications ........................... 0.91
Health : Drugs ................. 2.32 Textiles & Apparel ........................... 0.04
Health : Non-Drugs ............. 1.15 Transportation ............................... 0.14
Non-Durables ................... 3.24 Utilities .................................... 1.05
----------
Retail / Apparel ............... 1.19 Total Non-U.S. Equities ............ 16.49
-------- ----------
9.85
EMERGING MARKETS EQUITIES .......................... 1.98
----------
Energy ............................. 1.43
U.S. BONDS
Financial Corporate Bonds
Banks .......................... 2.91 Asset-Backed ............................ 1.14
Non-Banks ...................... 2.65 CMO ..................................... 0.60
--------
5.56 Consumer ................................ 0.09
Energy .................................. 0.02
Post Venture ....................... 1.23 Financial ............................... 1.29
Industrial .............................. 0.46
Services ........................... 1.84 Telecommunications ...................... 0.36
----------
Total U.S. Corporate Bonds ......... 3.96
----------
Telephone .......................... 0.20
International Dollar Bonds
Transportation ..................... 1.79 Foreign Energy .......................... 0.25
Foreign Financial ....................... 1.10
Utilities .......................... 0.69 Foreign Government ...................... 1.00
Foreign Industrial ...................... 0.04
Miscellaneous ...................... 0.76
-------- Foreign Supernational ................... 0.07
Total U.S. Equities .......... 29.12 Foreign Telecommunications .............. 0.08
--------
Foreign Utilities ....................... 0.15
----------
NON-U.S. EQUITIES Total International Dollar Bonds ... 2.69
----------
Airlines ........................... 0.04
Appliances & Household Durables .... 0.36 U.S. Government Agencies ..................... 6.49
Automobiles ........................ 0.52 U.S. Government Obligations .................. 10.08
-----------
Banking ............................ 1.96 Total U.S. Bonds ................... 23.22
-----------
Beverages & Tobacco ................ 0.42
Broadcasting & Publishing .......... 0.25 HIGH YIELD BONDS ................................... 2.52
-----------
Building Materials ................. 0.32
Business & Public Service .......... 0.56 NON-U.S. BONDS
Chemicals .......................... 0.69 Foreign Financial Bonds ...................... 0.93
Construction ....................... 0.32 Foreign Government Bonds ..................... 20.03
-----------
Data Processing .................... 0.17 Total Non-U.S. Bonds ............... 20.96
Electric Components ................ 0.20 -----------
Electronics ........................ 0.74 EMERGING MARKETS DEBT .............................. 3.03
Energy ............................. 1.49 -----------
Financial Services ................. 0.26 SHORT-TERM INVESTMENTS ............................. 3.65
-----------
Food & House Products .............. 0.80 TOTAL INVESTMENTS .................. 100.97
Forest Products .................... 0.31 LIABILITIES,
Gold Mining ........................ 0.02 LESS CASH AND OTHER ASSETS ................... (0.97)
-----------
Health & Personal Care ............. 0.71 NET ASSETS ......................... 100.00 %
Industrial Components .............. 0.37 ===========
</TABLE>
4
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
Shares Value
------------ -------------
<S> <C> <C>
Equities - 47.59%
U.S. Equities - 29.12%
Aetna Life & Casualty Co. ......................................... 114,900 $ 9,192,000
Allergan, Inc. .................................................... 191,600 6,825,750
Allstate Corp. .................................................... 106,800 6,181,050
Alza Corp. (b) .................................................... 186,900 4,836,038
Aon Corp. ......................................................... 250,400 15,556,100
Automatic Data Processing, Inc. ................................... 182,500 7,824,687
Avon Products, Inc. ............................................... 135,800 7,757,575
Bard (C.R.), Inc. ................................................. 115,700 3,239,600
Beckman Instruments, Inc. ......................................... 75,000 2,878,125
Birmingham Steel Corp. ............................................ 75,000 1,425,000
Boston Technology, Inc. (b) ....................................... 74,700 2,138,288
Brinker International, Inc. (b) ................................... 75,700 1,211,200
Brinson Post-Venture Fund (b) ..................................... 1,414,293 21,569,249
Burlington Northern Santa Fe ...................................... 213,800 18,466,975
Centerior Energy Co. .............................................. 157,300 1,690,975
Chase Manhattan Corp. ............................................. 269,900 24,088,575
Choice Hotels International, Inc. (b) ............................. 122,200 2,153,775
CIGNA Corp. ....................................................... 92,700 12,665,137
Circuit City Stores, Inc. ......................................... 34,600 1,042,325
Citicorp .......................................................... 163,400 16,830,200
CMS Energy Corp. .................................................. 204,400 6,872,950
Coca-Cola Enterprises, Inc. ....................................... 99,900 4,845,150
Comerica, Inc. .................................................... 51,400 2,692,075
Comverse Technology, Inc. (b) ..................................... 34,700 1,305,588
Corning, Inc. ..................................................... 376,600 17,417,750
CPC International, Inc. ........................................... 46,100 3,572,750
CVS Corp. ......................................................... 148,000 6,123,500
Dial Corp. ........................................................ 183,300 2,703,675
EMC Corp./Mass. (b) ............................................... 267,500 8,860,937
Enron Corp. ....................................................... 298,600 12,877,125
Federal Express Corp. (b) ......................................... 278,000 12,371,000
Federated Department Stores (b) ................................... 109,100 3,723,038
FileNet Corp. (b) ................................................. 44,500 1,412,875
First American Corp.-Tenn. ........................................ 16,600 956,575
First Data Corp. .................................................. 162,170 5,919,205
First of America Bank Corp. ....................................... 24,000 1,443,000
Footstar, Inc. (b) ................................................ 42,545 1,058,307
Ford Motor Co. .................................................... 108,900 3,471,187
Forest Laboratories, Inc. (b) ..................................... 126,900 4,155,975
Gannett Co., Inc. ................................................. 124,800 9,344,400
General Instrument Corp. (b) ...................................... 370,900 8,020,713
Genzyme Corp. (b) ................................................. 75,400 1,639,950
Geon Co. .......................................................... 27,700 543,612
Goodyear Tire & Rubber Co. ........................................ 275,900 14,174,363
Harnischfeger Industries, Inc. .................................... 82,300 3,960,687
Health Care and Retirement Corp. (b) .............................. 138,200 3,955,975
Interpublic Group of Companies, Inc. .............................. 92,900 4,412,750
James River Corp. of Virginia ..................................... 107,400 3,557,625
Kimberly-Clark Corp. .............................................. 89,900 8,562,975
Kroger Co. (b) .................................................... 78,700 3,659,550
Lockheed Martin Corp. ............................................. 203,941 18,660,602
Lyondell Petrochemical Co. ........................................ 204,300 4,494,600
Manor Care, Inc. .................................................. 122,200 3,299,400
Martin Marietta Materials, Inc. ................................... 54,763 1,273,240
Masco Corp. ....................................................... 116,600 4,197,600
Mattel, Inc. ...................................................... 447,000 12,404,250
Nabisco Holdings Corp. Class A .................................... 135,400 5,263,675
National Semiconductor Corp. (b) .................................. 76,300 1,859,812
Nextel Communications, Inc. Class A (b) ........................... 188,000 2,444,000
Old Republic International Corp. .................................. 84,850 2,269,738
Peco Energy Co. ................................................... 121,100 3,057,775
Pentair, Inc. ..................................................... 99,000 3,192,750
Pharmacia & Upjohn, Inc. .......................................... 238,000 9,430,750
</TABLE>
5
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
===============================================================================
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
--------- -------------
<S> <C> <C>
U.S. Equities - (continued)
Philip Morris Companies, Inc. ................... 147,500 $ 16,612,187
Rhone-Poulenc Rorer, Inc. ....................... 64,900 5,070,313
RJR Nabisco Convertible Preferred "C" ........... 608,000 4,104,000
Schering Plough Corp. ........................... 164,000 10,619,000
Seagate Technology, Inc. (b) .................... 50,100 1,978,950
SI Financing Trust I Preferred 9.500% ........... 145,000 3,697,500
Timken Co. ...................................... 78,600 3,605,775
Tyson Foods, Inc. Class A ....................... 223,900 7,640,587
Ultramar Diamond Shamrock Corp. ................. 212,290 6,713,671
US Bancorp ...................................... 113,800 5,106,775
USF&G Corp. ..................................... 87,000 1,816,125
Vencor, Inc. (b) ................................ 97,800 3,092,925
Viad Corp. ...................................... 183,500 3,027,750
Westvaco Corp. .................................. 44,700 1,285,125
Whitman Corp. ................................... 7,900 180,713
WMX Technologies, Inc. .......................... 304,800 9,944,100
Xerox Corp. ..................................... 356,100 18,739,762
York International Corp. ........................ 76,800 4,291,200
360 Communications Co. (b) ...................... 65,033 1,503,888
-------------
Total U.S. Equities ............................. 512,066,424
-------------
Non-U.S. Equities - 16.49%
Australia - 0.89%
Amcor Ltd. ...................................... 116,700 749,883
Boral Ltd. ...................................... 166,900 474,584
Broken Hill Proprietary Co. Ltd. ................ 253,349 3,606,048
CRA Ltd. ........................................ 88,009 1,380,602
David Jones Ltd. ................................ 417,000 579,627
Lend Lease Corp. Ltd. ........................... 23,980 464,743
M.I.M. Holdings Ltd. ............................ 356,819 498,810
National Australia Bank Ltd. .................... 145,420 1,709,465
News Corp. Ltd. ................................. 304,730 1,607,154
News Corp. Ltd. Preferred ....................... 66,000 293,566
Pacific Dunlop Ltd. ............................. 200,145 508,708
Qantas Airways Ltd. ............................. 152,780 254,836
Santos Ltd. ..................................... 169,570 686,900
WMC Ltd. ........................................ 132,415 834,036
Westpac Banking Corp. Ltd. ...................... 276,050 1,569,911
Woolworth's Ltd. ................................ 181,000 435,608
-------------
15,654,481
-------------
Belgium - 0.52%
Delhaize-Le Lion S.A. ........................... 9,400 557,824
Electrabel S.A. ................................. 6,980 1,650,264
Fortis AG ....................................... 6,301 1,009,683
Fortis AG Strip (b) ............................. 111 56
Generale de Banque S.A. ......................... 1,100 393,915
Groupe Bruxelles Lambert S.A. ................... 4,050 520,841
Kredietbank NV .................................. 3,030 992,051
Petrofina S.A. .................................. 3,700 1,176,471
Societe Generale de Belgique .................... 6,480 507,963
Solvay S.A. Class A ............................. 1,315 804,164
Tractebel ....................................... 1,815 844,232
Tractebel Warrants "99" (b) ..................... 1,815 26,284
Union Miniere Group S.A. (b) .................... 8,150 551,638
-------------
9,035,386
-------------
Canada - 0.49%
Alcan Aluminium Ltd. ............................ 18,250 615,834
Bank of Montreal ................................ 16,555 526,629
Barrick Gold Corp. .............................. 11,195 320,592
BCE, Inc. ....................................... 10,300 490,727
Canadian National Railway Co. ................... 12,700 482,759
Canadian Pacific Ltd. ........................... 41,790 1,099,175
Hudson's Bay Co. ................................ 15,500 258,974
</TABLE>
6
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
-------------- -------------
<S> <C> <C>
CANADA - (CONTINUED)
Imperial Oil Ltd. ........................................... 15,075 $ 709,425
Moore Corp. Ltd. ............................................ 14,700 304,597
Noranda, Inc. ............................................... 19,065 424,949
Northern Telecom Ltd. ....................................... 6,330 393,489
NOVA Corp. .................................................. 28,660 254,063
Royal Bank of Canada ........................................ 18,645 654,330
Seagram Co. Ltd. ............................................ 16,065 635,872
Thomson Corp. ............................................... 40,970 904,234
TransCanada Pipelines Ltd. .................................. 24,955 436,977
-------------
8,512,626
-------------
FINLAND - 0.24%
Merita Ltd. Class A (b) ..................................... 144,800 449,260
Nokia Ab Class A............................................. 36,900 2,136,021
Outokumpu OY Class A ........................................ 23,500 400,249
Pohjola Insurance Group Class B ............................. 8,200 184,140
Sampo Insurance Co. Ltd. Class A ............................ 3,000 236,277
UPM-Kymmene Corp. (b) ....................................... 38,700 810,273
-------------
4,216,220
-------------
FRANCE - 1.76%
Accor S.A. .................................................. 8,326 1,052,221
Alcatel Alsthom ............................................. 11,222 899,711
AXA S.A. .................................................... 5,000 317,387
Banque Nationale de Paris ................................... 41,780 1,613,754
CEP Communications .......................................... 2,000 140,997
CEP Communications Warrants "97" (b) ........................ 4,000 4,578
Cie Bancaire S.A. ........................................... 9,923 1,171,970
Cie de Saint Gobain ......................................... 14,069 1,986,390
Cie de Suez ................................................. 18,112 768,559
Cie Generale des Eaux ....................................... 20,560 2,542,959
Colas ....................................................... 2,105 303,682
Credit Local de France ...................................... 19,081 1,658,994
Elf Aquitaine S.A. .......................................... 20,418 1,854,968
GAN (b) ..................................................... 1,025 20,702
Groupe Danone ............................................... 2,800 389,405
L'Oreal S.A. ................................................ 500 187,932
Lafarge S.A. ................................................ 9,900 592,816
LVMH ........................................................ 9,003 2,509,348
Michelin Class B ............................................ 24,047 1,295,625
Pechiney S.A. Class A ....................................... 20,873 872,870
Peugeot S.A. ................................................ 18,410 2,068,102
Rhone-Poulenc Class A ....................................... 48,000 1,633,331
SEITA ....................................................... 16,600 692,904
Societe Generale ............................................ 16,176 1,745,578
Total S.A. Class B .......................................... 29,881 2,425,565
UAP ......................................................... 35,235 877,706
Usinor Sacilor .............................................. 94,100 1,366,601
-------------
30,994,655
-------------
GERMANY - 1.42%
Allianz AG Holding .......................................... 1,188 2,135,332
BASF AG ..................................................... 33,370 1,277,548
Bayer AG .................................................... 45,280 1,834,882
Bayerische Motoren Werke AG ................................. 1,696 1,168,744
Commerzbank AG .............................................. 35,640 904,240
Daimler-Benz AG (b) ......................................... 19,000 1,300,694
Deutsche Bank AG ............................................ 34,120 1,589,654
Deutsche Telekom AG (b) ..................................... 56,000 1,166,440
Henkel KGaA-Vorzug AG ....................................... 14,850 732,334
Hochtief AG ................................................. 9,300 365,096
Hoechst AG .................................................. 15,800 730,997
M.A.N. AG ................................................... 2,560 617,118
Mannesmann AG ............................................... 3,185 1,368,572
Metro AG .................................................... 10,340 808,494
</TABLE>
7
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
----------- -------------
<S> <C> <C>
GERMANY - (continued)
Muenchener Rueckver AG .................................. 613 $ 1,485,663
Muenchener Rueckver AG Warrants "98" (b) ................ 8 1,666
Preussag AG ............................................. 3,846 868,476
RWE AG .................................................. 24,550 1,025,904
Schering AG ............................................. 15,770 1,329,260
Siemens AG .............................................. 11,800 546,854
Thyssen AG .............................................. 6,100 1,080,196
VEBA AG ................................................. 28,470 1,634,933
Volkswagen AG ........................................... 2,450 1,013,481
-------------
24,986,578
-------------
HONG KONG - 0.23%
Cheung Kong Holdings Ltd. ............................... 44,000 391,085
China Light & Power Co. Ltd. ............................ 93,000 413,606
Guoco Group Ltd. ........................................ 49,000 274,302
Hang Seng Bank Ltd. ..................................... 33,000 401,039
Hong Kong Telecommunications Ltd. ....................... 141,600 227,918
Hutchison Whampoa Ltd. .................................. 89,000 699,007
Jardine Matheson Holdings ADR (c) ....................... 32,000 211,200
New World Development Co. Ltd. .......................... 55,000 371,530
Sun Hung Kai Properties Ltd. ............................ 27,000 330,741
Swire Pacific Ltd. Class A .............................. 45,500 433,829
Wharf (Holdings) Ltd. ................................... 71,000 354,316
-------------
4,108,573
-------------
ITALY - 0.58%
Assicurazioni Generali .................................. 53,130 1,004,595
Danieli & Co. Savings (Risp) ............................ 92,000 384,216
Edison Spa .............................................. 47,000 296,744
ENI ADR (c) ............................................. 18,300 944,737
ENI Spa ................................................. 149,000 762,884
Fiat Spa-Priv ........................................... 582,800 960,154
INA-Istituto Nazionale delle Assicurazioni .............. 341,000 443,154
Istituto Mobilaire Italiano Spa ......................... 129,400 1,106,347
Italgas Spa ............................................. 71,500 297,897
La Rinascente ........................................... 44,000 254,653
La Rinascente Savings (Risp) ............................ 70,600 180,157
La Rinascente Warrants "99" (b) ......................... 2,880 1,267
Mediobanca Spa .......................................... 34,850 187,601
Montedison Spa (b) ...................................... 1,356,756 922,648
SAI-Savings (Risp) ...................................... 56,200 199,407
Telecom Italia Spa .............................. 644,000 1,253,693
Telecom Italia Mobile Spa ....................... 698,000 993,864
-------------
10,194,018
-------------
JAPAN - 3.95%
Amada Co. Ltd. .......................................... 124,000 961,489
Asahi Glass Co. Ltd. .................................... 147,000 1,380,460
Bank of Tokyo-Mitsubishi Ltd. ........................... 110,800 2,052,382
Canon, Inc. ............................................. 105,000 2,315,844
Canon Sales Co., Inc. ................................... 40,700 904,678
Citizen Watch Co. Ltd. .................................. 113,000 808,047
Dai Nippon Printing Co. Ltd. ............................ 112,000 1,958,818
Daiichi Pharmaceutical Co. Ltd. ......................... 81,000 1,298,010
Daikin Industries Ltd. .................................. 122,000 1,082,623
Daiwa House Industry Co. Ltd. ........................... 61,000 783,062
Fanuc ................................................... 47,700 1,524,658
Fujitsu ................................................. 73,000 679,245
Hitachi Ltd. ............................................ 239,000 2,223,830
Honda Motor Co. ......................................... 31,000 884,036
Inax .................................................... 154,000 1,138,382
Isetan .................................................. 42,000 542,776
Ito Yokado Co. Ltd. ..................................... 43,000 1,867,149
Kaneka Corp. ............................................ 61,000 311,648
Keio Teito Electric Railway ............................. 139,000 677,815
</TABLE>
8
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUES
----------------- ----------------
<S> <C> <C>
JAPAN - (continued)
Kinki Nippon Railway ........................................ 140,000 $ 872,060
Kirin Brewery Co. Ltd. ...................................... 132,000 1,296,459
Kokuyo ...................................................... 25,000 616,008
Kuraray Co. Ltd. ............................................ 108,000 995,606
Kyocera Corp. ............................................... 10,000 622,038
Maeda Road Construction ..................................... 27,000 311,708
Matsushita Electric Industrial Co. .......................... 193,000 3,142,673
Mitsubishi Paper Mills ...................................... 152,000 593,228
NGK Insulators .............................................. 198,000 1,876,454
Nintendo Corp. Ltd. ......................................... 10,900 778,504
Nippon Denso Co. Ltd. ....................................... 83,000 1,995,089
Nippon Meat Packers, Inc. ................................... 78,000 1,008,012
Nippon Steel Co. ............................................ 98,000 288,757
Okumura ..................................................... 123,000 746,033
Osaka Gas Co. ............................................... 501,000 1,368,286
Sankyo Co. Ltd. ............................................. 89,000 2,515,034
Sanwa Bank Ltd. ............................................. 61,000 830,361
Secom ....................................................... 28,000 1,691,049
Seino Transportation ........................................ 42,000 463,169
Sekisui House Ltd. .......................................... 235,000 2,389,076
Shinmaywa Industries Ltd. ................................... 111,000 815,741
Sony Corp. .................................................. 36,900 2,412,949
Sumitomo Bank ............................................... 128,000 1,841,647
Sumitomo Electric Industries ................................ 100,000 1,395,709
Takeda Chemical Industries .................................. 90,000 1,884,208
TDK Corp. ................................................... 22,000 1,431,033
Tokio Marine & Fire Insurance Co. ........................... 111,000 1,042,388
Tokyo Electric Power ........................................ 53,300 1,166,382
Tokyo Steel Mfg. ............................................ 90,000 1,279,400
Tonen Corp. ................................................. 89,000 1,035,151
Toray Industries, Inc. ...................................... 500,000 3,080,038
Toshiba Corp. ............................................... 286,000 1,793,814
Toyo Suisan Kaisha .......................................... 67,000 669,596
Toyota Motor Corp. .......................................... 31,000 889,377
Yamazaki Baking Co. Ltd. .................................... 58,000 924,442
----------------
69,456,431
----------------
MALAYSIA - 0.23%
Hume Industries (Malaysia) Bhd .............................. 61,000 384,043
Kuala Lumpur Kepong Bhd ..................................... 127,500 323,104
Land & General Holdings Bhd ................................. 137,000 328,193
Malayan Banking Bhd ......................................... 26,400 292,695
Malaysia International Shipping Bhd (Frgn.) ................. 81,000 240,546
Nestle (Malaysia) Bhd ....................................... 12,000 96,456
Public Bank Bhd (Frgn.) ..................................... 145,333 307,872
Resorts World Bhd ........................................... 62,000 282,320
Sime Darby Bhd .............................................. 128,000 504,296
Telekom Malaysia Bhd ........................................ 30,000 267,274
Tenaga Nasional Bhd ......................................... 152,000 728,252
YTL Corp. Bhd ............................................... 46,000 247,713
----------------
4,002,764
----------------
NETHERLANDS - 1.07%
ABN AMRO Holdings NV ........................................ 24,864 1,615,722
Akzo Nobel NV ............................................... 3,000 409,319
DSM NV ...................................................... 6,025 593,548
Hoogovens NV ................................................ 8,500 353,819
ING Groep NV ................................................ 63,313 2,276,735
KLM Royal Dutch Air Lines NV ................................ 14,500 407,412
KPN NV ...................................................... 39,654 1,510,781
Philips Electronics NV ...................................... 20,235 818,899
Royal Dutch Petroleum Co. ................................... 22,200 3,887,599
Royal Dutch Petroleum Co. NY Shares (c) ..................... 16,700 2,851,525
Unilever NV ................................................. 14,015 2,476,143
Vendex International NV ..................................... 22,279 951,852
</TABLE>
9
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
--------------- ---------------
<S> <C> <C>
NETHERLANDS - (continued)
VNU-Ver Ned Uitgevers ............................................. 34,500 $ 720,038
---------------
18,873,392
---------------
NEW ZEALAND - 0.55%
Brierley Investments Ltd. ......................................... 1,681,900 1,556,765
Carter Holt Harvey Ltd. ........................................... 551,900 1,251,748
Fletcher Challenge Building ....................................... 195,075 599,573
Fletcher Challenge Energy ......................................... 202,075 585,394
Fletcher Challenge Forest Ltd. .................................... 363,629 608,917
Fletcher Challenge Paper .......................................... 403,150 828,917
Telecom Corp. of New Zealand Ltd. ................................. 751,900 3,835,737
Telecom Corp. of New Zealand Ltd. ADS (c) ......................... 5,320 430,920
---------------
9,697,971
---------------
SPAIN - 0.58%
Acerinox S.A. ..................................................... 2,293 330,707
Banco Bilbao-Vizcaya S.A. ......................................... 14,695 791,943
Banco Central Hispanoamericano .................................... 14,530 372,535
Banco Intercontinental Espanol S.A. ............................... 1,912 295,895
Banco Popular Espanol S.A. ........................................ 3,370 660,657
Banco Santander S.A. .............................................. 13,590 868,214
Cia Sevillana de Electricidad ..................................... 20,965 237,735
Empresa Nacional de Electridad S.A. ............................... 18,000 1,278,647
Fomento de Construcciones y Contratas S.A. ........................ 4,700 437,209
Gas Natural SDG S.A. .............................................. 1,500 348,261
Iberdrola S.A. .................................................... 97,390 1,377,648
Mapfre Corp. ...................................................... 7,400 450,002
Repsol S.A. ....................................................... 18,950 725,512
Repsol S.A. ADR (c) ............................................... 6,680 254,675
Telefonica de Espana .............................................. 57,260 1,327,226
Vallehermosa S.A. ................................................. 10,400 225,070
Viscofan Envolturas Celulosicas S.A. .............................. 19,040 278,117
---------------
10,260,053
---------------
SWITZERLAND - 0.32%
ABB AG (Bearer) ................................................... 250 310,010
CS Holdings AG (Reg.) ............................................. 3,326 340,601
Nestle S.A. (Reg.) ................................................ 1,519 1,625,682
Novartis AG (Reg.) ................................................ 1,201 1,370,829
Roche Holding AG (Gen.) ........................................... 117 907,541
Schweiz Bankgesellschaft (Bearer) ................................. 341 297,902
Societe Generale de Surveillance Holding S.A. (Bearer) ............ 96 235,227
Zurich Versicherungs (Reg.) ....................................... 1,788 495,372
---------------
5,583,164
---------------
UNITED KINGDOM - 3.66%
Abbey National PLC ................................................ 82,000 1,073,592
Bank of Scotland .................................................. 136,000 718,056
Bass PLC .......................................................... 51,200 719,411
B.A.T. Industries PLC ............................................. 292,000 2,421,256
Booker PLC ........................................................ 58,300 398,611
British Energy PLC ................................................ 631,000 1,587,489
British Gas PLC ................................................... 593,300 2,279,580
British Petroleum Co. PLC ......................................... 288,565 3,459,509
British Steel PLC ................................................. 499,000 1,370,691
British Telecommunications PLC .................................... 563,050 3,801,527
Charter PLC ....................................................... 75,086 951,586
Coats Viyella PLC ................................................. 342,800 780,291
FKI PLC ........................................................... 280,687 970,371
General Electric Co. PLC .......................................... 573,500 3,749,392
Glaxo Wellcome PLC ................................................ 88,700 1,439,117
Grand Metropolitan PLC ............................................ 372,100 2,923,052
Guinness PLC ...................................................... 294,700 2,307,466
Hanson PLC ........................................................ 544,900 760,044
Hillsdown Holdings PLC ............................................ 406,700 1,392,093
House of Fraser PLC ............................................... 473,900 1,244,971
</TABLE>
10
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED KINGDOM - (continued)
HSBC Holdings PLC ..................................................... 94,000 $ 2,101,044
Imperial Chemical Industries PLC ...................................... 29,000 381,422
Legal & General Group PLC ............................................. 209,750 1,335,393
Lloyds TSB Group PLC .................................................. 487,000 3,588,114
Marks & Spencer PLC ................................................... 236,800 1,989,882
Millennium Chemicals, Inc. (b,c) ...................................... 4,456 79,089
Mirror Group PLC ...................................................... 201,100 741,692
National Power PLC .................................................... 139,100 1,164,126
National Westminster Bank PLC ......................................... 83,000 973,755
Peninsular & Oriental Steam Navigation Co. ............................ 232,900 2,351,720
Reckitt & Colman PLC .................................................. 40,375 500,282
Redland PLC ........................................................... 67,500 423,391
RJB Mining PLC ........................................................ 159,400 1,173,062
Royal & Sun Alliance Insurance Group PLC .............................. 139,305 1,059,748
RTZ Corp. PLC ......................................................... 93,400 1,496,990
Sainsbury (J.) PLC .................................................... 193,000 1,281,602
Scottish Hydro-Electric PLC ........................................... 152,400 855,506
Sears PLC ............................................................. 575,600 935,855
Sedgwick Group PLC .................................................... 385,600 867,814
SmithKline Beecham PLC ................................................ 110,700 1,533,658
Smurfit (Jefferson) Group PLC ......................................... 205,000 608,720
Tesco PLC ............................................................. 163,200 990,149
Thames Water PLC ...................................................... 110,900 1,162,524
Unilever PLC .......................................................... 53,100 1,287,286
Vodafone Group PLC .................................................... 150,800 636,184
Yorkshire Water PLC ................................................... 42,000 509,276
-------------
64,376,389
-------------
TOTAL NON-U.S. EQUITIES ............................................... 289,952,701
-------------
EMERGING MARKETS EQUITIES - 1.98%
Brinson Emerging Markets Equity Fund (b) .............................. 3,416,976 34,805,999
-------------
Total Equities
(Cost $737,540,436) ................................................ 836,825,124
-------------
FACE
BONDS - 49.73% AMOUNT VALUE
----------- -------------
U.S. BONDS - 23.22%
U.S. CORPORATE BONDS - 3.96%
Asset Securitization Corp. 96-D3, 7.210%, due 10/13/26 ................ $ 2,060,000 2,101,281
Barnett Capital Trust I 144A, 8.060%, due 12/01/26 .................... 5,000,000 5,110,000
BellSouth Corp., 0.000%, due 12/15/15 ................................. 680,000 150,959
Capital One Bank, 6.830%, due 05/17/99 ................................ 6,520,000 6,550,096
Chase Manhattan Credit Card Trust 96-4A, 6.730%, due 02/15/03 ......... 4,340,000 4,400,109
Chemical Master Credit Card Trust 95-2A, 6.230%, due 06/15/03 ......... 3,915,000 3,904,899
Citicorp Mortgage Securities, 5.750%, due 06/25/09 .................... 4,089,425 3,463,334
Countrywide Funding FRN, 6.650%, due 12/01/03 ......................... 3,000,000 2,876,250
Dayton Hudson Credit Card Master Trust 95-1A, 6.100%, due 02/25/02 .... 650,000 651,749
Ford Motor Co., 7.250%, due 10/01/08 .................................. 5,000,000 5,042,615
Ford Motor Credit Corp. MTN, 5.370%, due 09/08/98 ..................... 5,000,000 4,940,185
GE Capital Mtg. Services, Inc. 94-9A, 6.500%, due 02/25/24 ............ 3,602,869 3,023,095
GMAC MTN, 7.450%, due 06/05/97 ........................................ 5,250,000 5,291,575
Green Tree Financial
94-2, 8.300%, due 05/15/19 ........................................ 1,810,000 1,914,400
94-6, 8.250%, due 11/15/19 ........................................ 100,000 106,130
Kern River Funding Corp., 6.720%, due 09/30/01 ........................ 275,000 275,623
Lockheed Martin Corp., 7.700%, due 06/15/08 ........................... 3,000,000 3,140,505
News America Corp., 7.750%, due 01/20/24 .............................. 6,435,000 6,151,191
Premier Auto Trust 96-4A, 6.400%, due 10/06/01 ........................ 5,475,000 5,501,280
Salomon, Inc., 6.750%, due 02/15/03 ................................... 3,000,000 2,929,488
Standard Credit Card Trust 90-6A, 9.375%, due 07/10/97 ................ 600,000 611,754
Time Warner, Inc., 9.150%, due 02/01/23 ............................... 215,000 232,991
Time Warner Entertainment, Inc., 8.375%, due 03/15/23 ................. 1,250,000 1,270,596
-------------
69,640,105
-------------
</TABLE>
11
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
----------- -----------
<S> <C> <C>
INTERNATIONAL DOLLAR BONDS - 2.69%
Abbey National PLC, 7.350%, due 10/29/49 ..................................... $ 645,000 $ 651,153
Abbey National Treasury Service, 5.000%, due 01/31/97 ........................ 700,000 699,729
ABN AMRO Bank NV (Chicago), 6.625%, due 10/31/01 ............................. 1,000,000 999,282
African Development Bank, 7.375%, due 04/06/23 ............................... 600,000 605,882
AT&T Corp., 8.250%, due 01/11/00 ............................................. 400,000 420,742
Bayerische Landesbank, 6.850%, due 07/19/01 .................................. 3,820,000 3,878,698
BCH Cayman Islands Ltd., 7.700%, due 07/15/06 ................................ 3,500,000 3,602,043
Deutsche Bank Financial, 6.700%, due 12/13/06 ................................ 770,000 754,415
International Bank for Reconstruction & Development, 9.250%, due 11/17/98 .... 700,000 739,300
International Telecom Satellite, 8.125%, due 02/28/05 ........................ 890,000 960,491
Kingdom of Sweden, 12.750%, due 10/15/97 .................................... 700,000 735,924
Korea Development Bank, 6.625%, due 11/21/03 ................................. 485,000 481,397
LKB, 8.125%, due 01/27/00 .................................................... 1,000,000 1,050,858
Petroliam Nasional, 7.125%, due 08/15/05 ..................................... 700,000 705,963
Province of Quebec
9.000%, due 05/08/01 ..................................................... 600,000 651,610
7.500%, due 07/15/23 ..................................................... 5,500,000 5,490,375
Ras Laffan Liquefied Natural Gas Co. Ltd. 144A, 8.294%, due 03/15/14 ......... 4,340,000 4,412,513
Republic of Austria, 8.625%, due 01/14/00 ................................... 600,000 638,897
Republic of Colombia EMTN, 8.660%, due 10/07/16 .............................. 3,000,000 3,143,835
Republic of Ireland, 9.500%, due 04/03/00 .................................... 700,000 763,283
Republic of Italy
0.000%, due 03/01/99 ..................................................... 600,000 525,375
6.875%, due 09/27/23 ..................................................... 4,750,000 4,490,322
Royal Bank of Scotland, 7.375%, due 04/01/06 ................................. 985,000 981,673
S.E. Banken 144A, 6.625%, due 03/29/49 ....................................... 500,000 492,500
State Bank of New South Wales, 10.375%, due 04/26/99 ......................... 700,000 759,004
Southern Investments UK, 6.800%, due 12/01/06 ................................ 2,740,000 2,681,989
Swedbank FRN
7.383%, due 10/29/49 ..................................................... 750,000 766,875
7.500%, due 11/29/49 ..................................................... 4,000,000 4,095,000
Swedish Export Credit, 9.875%, due 03/15/38 .................................. 525,000 565,002
Telstra Corp. Ltd., 6.500%, due 11/28/05 ..................................... 650,000 634,357
-----------
47,378,487
-----------
U.S. GOVERNMENT AGENCIES - 6.49%
Federal Home Loan Mortgage Corp.
6.520%, due 01/02/02 ..................................................... 9,000,000 9,026,559
5.800%, due 08/15/19 ..................................................... 550,000 513,744
10.000%, due 07/15/20 .................................................... 2,724,076 2,928,409
6.500%, due 05/15/21 ..................................................... 3,252,786 2,951,839
Federal Home Loan Mortgage Corp. Gold, 9.500%, due 04/01/25 .................. 2,795,338 3,008,483
Federal National Mortgage Association
6.500%, due 08/25/01 ..................................................... 630,000 602,412
6.500%, due 03/01/03 ..................................................... 15,055,000 14,895,116
6.220%, due 03/13/06 ..................................................... 1,000,000 966,752
8.500%, due 06/25/06 ..................................................... 6,245,000 6,356,473
7.000%, due 11/01/25 ..................................................... 11,407,385 11,168,172
6.500%, due 03/01/26 ..................................................... 27,770,000 26,494,330
7.500%, due 12/01/26 ..................................................... 11,121,547 11,122,214
Federal National Mortgage Association Strip
8.000%, due 07/01/24 Interest Only ....................................... 3,284,204 1,012,060
0.000%, due 07/01/26 Principal Only ...................................... 2,978,715 2,004,109
Government National Mortgage Association
8.000%, due 11/15/22 ..................................................... 5,019,800 5,158,748
7.500%, due 12/15/22 ..................................................... 3,649,187 3,669,185
8.000%, due 12/15/22 ..................................................... 2,347,918 2,412,908
7.000%, due 12/15/23 ..................................................... 2,018,368 1,983,652
7.500%, due 11/15/24 ..................................................... 7,802,358 7,831,227
-----------
114,106,392
-----------
U.S. GOVERNMENT OBLIGATIONS - 10.08%
U.S. Treasury Coupon Strips, 0.000%, due 05/15/08 ............................ 16,275,000 7,745,435
</TABLE>
12
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------------- ------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS - (CONTINUED)
U.S. Treasury Notes and Bonds
5.500%, due 11/15/98 ....................... $ 8,620,000 $ 8,555,350
6.250%, due 10/31/01 ....................... 44,315,000 44,342,697
6.500%, due 05/15/05 ....................... 10,065,000 10,137,347
7.000%, due 07/15/06 ....................... 52,780,000 54,841,745
8.125%, due 05/15/21 ....................... 44,515,000 51,637,400
------------
177,259,974
------------
TOTAL U.S. BONDS ............................... 408,384,958
------------
SHARES VALUE
------------- ------------
HIGH YIELD BONDS - 2.52%
Brinson High Yield Fund (b) .................... 3,601,899 44,366,394
------------
FACE
AMOUNT VALUE
------------- ------------
NON-U.S. BONDS - 20.96%
BELGIUM - 0.85%
Kingdom of Belgium
9.000%, due 07/30/98 ....................... BEF 77,000,000 2,634,258
8.750%, due 06/25/02 ....................... 66,000,000 2,453,248
9.000%, due 03/28/03 ....................... 10,000,000 378,127
6.500%, due 03/31/05 ....................... 92,000,000 3,053,295
8.500%, due 10/01/07 ....................... 132,000,000 4,959,688
7.500%, due 07/29/08 ....................... 27,000,000 941,466
8.000%, due 03/28/15 ....................... 17,000,000 611,293
------------
15,031,375
------------
CANADA - 2.66%
Government of Canada
7.500%, due 09/01/00 ....................... CAD 5,950,000 4,676,172
7.250%, due 06/01/03 ....................... 7,475,000 5,827,238
6.500%, due 06/01/04 ....................... 5,000,000 3,723,260
8.750%, due 12/01/05 ....................... 2,900,000 2,461,339
7.000%, due 12/01/06 ....................... 5,700,000 4,337,589
9.000%, due 03/01/11 ....................... 3,955,000 3,457,378
4.250%, due 12/01/21 (d) ................... 24,755,000 19,934,114
4.250%, due 12/01/26 (d) ................... 3,000,000 2,282,034
------------
46,699,124
------------
DENMARK - 2.19%
Kingdom of Denmark
9.000%, due 11/15/98 ....................... DKK 13,400,000 2,473,783
9.000%, due 11/15/00 ....................... 22,200,000 4,288,410
8.000%, due 05/15/03 ....................... 23,100,000 4,337,736
7.000%, due 12/15/04 ....................... 70,400,000 12,439,255
8.000%, due 03/15/06 ....................... 21,900,000 4,083,812
7.000%, due 11/15/07 ....................... 38,500,000 6,634,330
7.000%, due 11/10/24 ....................... 26,000,000 4,178,406
------------
38,435,732
------------
FRANCE - 2.72%
Government of France (OAT)
9.500%, due 06/25/98 ....................... FRF 24,800,000 5,170,662
7.750%, due 04/12/00 ....................... 9,500,000 2,032,046
5.750%, due 03/12/01 ....................... 24,500,000 4,952,123
8.500%, due 04/25/03 ....................... 5,250,000 1,193,664
8.250%, due 02/27/04 ....................... 10,150,000 2,288,226
6.750%, due 10/25/04 ....................... 14,400,000 2,998,996
7.500%, due 04/25/05 ....................... 19,400,000 4,194,433
7.250%, due 04/25/06 ....................... 37,500,000 7,959,923
8.500%, due 10/25/08 ....................... 19,000,000 4,439,071
8.500%, due 12/26/12 ....................... 54,000,000 12,658,895
------------
47,888,039
------------
</TABLE>
13
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
-------------- --------------
<S> <C> <C>
GERMANY - 4.58%
Bundesrepublik Deutscheland
8.500%, due 08/21/00 .................................... DEM 19,350,000 $ 14,269,856
5.250%, due 02/21/01 .................................... 11,500,000 7,685,322
8.375%, due 05/21/01 .................................... 18,800,000 13,976,484
6.750%, due 04/22/03 .................................... 14,200,000 9,930,141
6.500%, due 07/15/03 .................................... 5,900,000 4,071,157
6.750%, due 07/15/04 .................................... 1,300,000 905,217
6.000%, due 01/05/06 .................................... 2,100,000 1,383,784
6.250%, due 04/26/06 .................................... 12,500,000 8,383,622
6.000%, due 06/20/16 .................................... 3,500,000 2,150,964
6.250%, due 01/04/24 .................................... 2,260,000 1,391,841
Treuhandanstalt
6.875%, due 06/11/03 .................................... 5,800,000 4,074,414
6.250%, due 03/04/04 .................................... 18,200,000 12,325,832
--------------
80,548,634
--------------
ITALY - 2.38%
Republic of Italy (BTP)
9.500%, due 12/01/97 .................................... ITL 4,500,000,000 3,021,703
8.500%, due 01/01/99 .................................... 11,400,000,000 7,804,933
9.500%, due 02/01/99 .................................... 9,700,000,000 6,760,335
8.500%, due 08/01/99 .................................... 2,400,000,000 1,649,931
9.500%, due 02/01/01 .................................... 5,700,000,000 4,116,521
11.500%, due 03/01/03 ................................... 6,000,000,000 4,794,476
8.500%, due 01/01/04 .................................... 9,430,000,000 6,654,646
10.500%, due 09/01/05 ................................... 8,900,000,000 6,994,739
--------------
41,797,284
--------------
NETHERLANDS - 2.80%
Government of Nederlands
8.500%, due 03/15/01 .................................... NLG 9,460,000 6,286,795
8.250%, due 06/15/02 .................................... 3,800,000 2,542,927
6.500%, due 04/15/03 .................................... 11,900,000 7,368,272
5.750%, due 01/15/04 .................................... 13,600,000 8,035,613
6.000%, due 01/15/06 .................................... 1,400,000 828,005
8.500%, due 06/01/06 .................................... 2,300,000 1,594,323
8.250%, due 02/15/07 .................................... 15,690,000 10,756,317
8.250%, due 09/15/07 .................................... 17,090,000 11,750,672
--------------
49,162,924
--------------
SWEDEN - 0.65%
Government of Sweden
13.000%, due 06/15/01 ................................... SWK 18,000,000 3,398,884
10.250%, due 05/05/03 ................................... 19,000,000 3,386,441
6.000%, due 02/09/05 .................................... 21,000,000 2,980,474
9.000%, due 04/20/09 .................................... 10,000,000 1,722,496
--------------
11,488,295
--------------
UNITED KINGDOM - 2.13%
UK Treasury
7.000%, due 11/06/01 .................................... GBP 1,905,000 3,229,746
8.000%, due 06/10/03 .................................... 6,085,000 10,765,649
6.750%, due 11/26/04 .................................... 3,340,000 5,510,814
8.500%, due 12/07/05 .................................... 2,720,000 4,959,182
7.500%, due 12/07/06 .................................... 2,565,000 4,392,612
9.000%, due 10/13/08 .................................... 4,535,000 8,591,881
--------------
37,449,884
--------------
TOTAL NON-U.S. BONDS ........................................ 368,501,291
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------------- -------------
<S> <C> <C>
EMERGING MARKETS DEBT - 3.03%
Brinson Emerging Markets Debt Fund (b) ...................... 3,153,940 53,243,554
--------------
TOTAL BONDS
(COST $856,428,662) ..................................... 874,496,197
--------------
</TABLE>
14
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------------- -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 3.65%
U.S. GOVERNMENT OBLIGATIONS - 0.23%
U.S. Treasury Bills
4.960%, due 05/01/97 ......................................... $ 175,000 $ 172,107
4.990%, due 05/01/97 ......................................... 230,000 226,174
5.063%, due 05/01/97 ......................................... 3,645,000 3,583,491
-------------
3,981,772
-------------
COMMERCIAL PAPER - 3.42%
Burlington Northern Santa Fe, 5.650%, due 01/17/97 ............... 2,500,000 2,493,722
Case Credit Corp., 5.510%, due 01/07/97 .......................... 2,500,000 2,497,704
Cincinnati Bell, Inc., 7.250%, due 01/02/97 ...................... 9,720,000 9,718,042
Columbia/HCA Healthcare Corp., 5.700%, due 02/11/97 .............. 2,000,000 1,987,017
Crown Cork & Seal Co., Inc.
5.520%, due 01/10/97 ......................................... 2,000,000 1,997,240
5.580%, due 01/29/97 ......................................... 2,400,000 2,389,584
5.580%, due 01/31/97 ......................................... 3,200,000 3,185,120
CSX Corp., 5.520%, due 01/15/97 .................................. 2,000,000 1,995,707
Harris Corp., 5.600%, due 01/07/97 ............................... 3,000,000 2,997,200
Lockheed Martin Corp., 6.970%, due 01/02/97 ...................... 2,227,000 2,226,569
PS Colorado Credit Corp., 5.580%, due 02/12/97 ................... 1,100,000 1,092,839
Rite Aid Corp.
5.750%, due 01/06/97 ......................................... 2,168,000 2,166,269
5.550%, due 01/08/97 ......................................... 2,000,000 1,997,842
5.550%, due 02/18/97 ......................................... 1,500,000 1,488,900
Reynolds Metals Co., 5.770%, due 01/17/97 ........................ 1,000,000 997,435
Supervalu, Inc., 6.250%, due 01/21/97 ............................ 2,000,000 1,993,056
Tenneco, Inc., 6.000%, due 01/16/97 .............................. 2,500,000 2,493,750
Texas Utilities Co., 7.250%, due 01/02/97 ........................ 1,993,000 1,992,599
Textron, Inc., 5.620%, due 01/10/97 .............................. 2,000,000 1,997,190
Tyson Foods, Inc.
5.580%, due 01/06/97 ......................................... 2,500,000 2,498,062
5.750%, due 01/09/97 ......................................... 3,005,000 3,001,160
US West Capital Funding, Inc., 5.630%, due 02/05/97 .............. 2,000,000 1,989,053
Vastar Resources, Inc., 6.020%, due 01/03/97 ..................... 2,000,000 1,999,331
Whirlpool Financial Corp., 6.000%, due 01/02/97 .................. 3,000,000 2,999,500
-------------
60,194,891
-------------
TOTAL SHORT-TERM INVESTMENTS
(COST $64,176,663) ........................................... 64,176,663
-------------
TOTAL INVESTMENTS
(COST $1,658,145,761) - 100.97% (a) .......................... 1,775,497,984
-------------
LIABILITIES, LESS CASH AND OTHER ASSETS - (0.97%) ................ (16,988,518)
-------------
NET ASSETS - 100% ................................................ $1,758,509,466
=============
</TABLE>
See accompanying notes to schedule of investments.
15
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
===============================================================================
December 31, 1996
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $1,658,145,761; and net
unrealized appreciation consisted of:
Gross unrealized appreciation $ 147,135,511
Gross unrealized depreciation (29,783,288)
---------------
Net unrealized appreciation $ 117,352,223
===============
(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,
1996.
MTN: Medium term note
144A: Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At December 31, 1996, the
value of these securities amounted to $10,015,013 or 0.57% of net assets.
FORWARD FOREIGN CURRENCY CONTRACTS (NOTE 5)
The Brinson Global Securities Fund had the following open forward foreign
currency contracts as of December 31, 1996:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN/(LOSS)
----------- --------------- ------------- -------------
<S> <C> <C> <C> <C>
FORWARD FOREIGN CURRENCY BUY CONTRACTS:
Belgian Franc.............................................. 05/05/97 30,000,000 $ 952,466 $ (26,327)
FORWARD FOREIGN CURRENCY SALE CONTRACTS:
Belgian Franc.............................................. 05/02/97 780,000,000 24,759,023 565,653
British Pound.............................................. 05/02/97 10,500,000 17,912,996 (889,346)
Canadian Dollar............................................ 05/02/97 49,000,000 36,026,763 890,287
Danish Kroner.............................................. 05/02/97 210,000,000 35,828,229 587,114
Dutch Guilder.............................................. 05/02/97 108,000,000 62,940,731 1,429,277
Dutch Guilder.............................................. 05/05/97 11,000,000 6,411,935 (89,278)
French Franc............................................... 05/02/97 350,000,000 67,818,286 1,366,715
French Franc............................................... 05/05/97 70,000,000 13,566,126 (233,809)
German Mark................................................ 05/02/97 143,000,000 93,512,948 2,024,198
German Mark................................................ 05/05/97 22,000,000 14,389,453 (213,282)
Italian Lira............................................... 05/02/97 33,000,000,000 21,598,272 (43,029)
Italian Lira............................................... 05/05/97 10,000,000,000 6,544,425 (79,257)
Japanese Yen............................................... 05/02/97 7,300,000,000 63,967,753 1,769,586
Swiss Franc................................................ 05/02/97 7,000,000 5,277,542 395,527
----------
Total $7,454,029
==========
</TABLE>
FUTURES CONTRACTS (NOTE 6)
The Brinson Global Securities Fund had the following open futures contracts as
of December 31, 1996:
<TABLE>
<CAPTION>
SETTLEMENT COST/ CURRENT UNREALIZED
DATE PROCEEDS VALUE GAIN/(LOSS)
----------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CONTRACTS
Topix, 18 contracts........................................... March 1997 $ 2,374,257 $ 2,282,760 $ (91,497)
INTEREST RATE FUTURES BUY CONTRACTS
5 year U.S. Treasury Notes, 239 contracts..................... March 1997 25,747,000 25,475,906 (271,094)
10 year U.S. Treasury Notes, 275 contracts.................... March 1997 30,505,937 30,009,375 (496,562)
30 year U.S. Treasury Bonds, 157 contracts.................... March 1997 18,073,500 17,682,125 (391,375)
INDEX FUTURES SALE CONTRACTS
Standard & Poor's 500, 204 contracts.......................... March 1997 77,191,000 75,939,000 1,252,000
----------
Total................................................... $ 1,472
==========
</TABLE>
The segregated cash and market value of investments pledged to cover margin
requirements for the open futures positions at December 31, 1996 were $580,360
and $3,981,772, respectively.
See accompanying notes to financial statements.
16
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Note 1):
Unaffiliated issuers (Cost $1,508,460,735)................................. $1,621,512,788
Affiliated issuers (Cost $149,685,026)..................................... 153,985,196
Cash.......................................................................... 744,673
Foreign currency, at value (Cost $3,747,297).................................. 3,795,377
Receivables:
Investment securities sold................................................. 1,547,541
Dividends.................................................................. 1,737,745
Interest................................................................... 16,801,711
Fund shares sold........................................................... 7,575,224
Net unrealized appreciation on forward foreign currency contracts.......... 7,454,029
Variation margin (Note 6).................................................. 865,829
--------------
TOTAL ASSETS........................................................ 1,816,020,113
--------------
LIABILITIES:
Payables:
Investment securities purchased........................................... 57,288,883
Fund shares redeemed...................................................... 149,723
Accrued expenses.......................................................... 17,145
Other liabilities............................................................ 54,896
--------------
TOTAL LIABILITIES.................................................. 57,510,647
--------------
NET ASSETS:
Applicable to 130,464,603 shares; no par value, unlimited
shares authorized......................................................... $1,758,509,466
==============
Net asset value, offering price and redemption
price per share ($1,758,509,466 divided by 130,464,603 shares)............ $ 13.4788
==============
NET ASSETS CONSIST OF:
Paid in capital.............................................................. $1,426,759,908
Accumulated net investment income............................................ 86,276,085
Accumulated net realized gain................................................ 120,672,565
Net unrealized appreciation.................................................. 124,800,908
--------------
NET ASSETS......................................................... $1,758,509,466
==============
</TABLE>
See accompanying notes to financial statements.
17
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
===============================================================================
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest ................................................................................ $ 43,202,635
Dividends (net of $756,092 for foreign taxes withheld)................................... 12,586,409
--------------
TOTAL INCOME................................................................... 55,789,044
--------------
EXPENSES:
Accounting............................................................................... 238,941
Administration........................................................................... 143,641
Custodian................................................................................ 92,578
Professional............................................................................. 92,578
Other.................................................................................... 63,215
--------------
TOTAL EXPENSES................................................................. 630,953
--------------
NET INVESTMENT INCOME.......................................................... 55,158,091
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments.......................................................................... 60,461,668
Futures contracts.................................................................... (3,734,231)
Foreign currency transactions........................................................ 20,636,191
--------------
Net realized gain................................................................ 77,363,628
--------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency..................................................... 48,558,992
Futures contracts.................................................................... (2,058,972)
Forward contracts.................................................................... 7,147,029
Translation of other assets and liabilities denominated in foreign currency.......... (41,121)
--------------
Change in net unrealized appreciation or depreciation............................ 53,605,928
--------------
Net realized and unrealized gain......................................................... 130,969,556
--------------
Net increase in net assets resulting from operations..................................... $ 186,127,647
==============
</TABLE>
See accompanying notes to financial statements.
18
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995*
----------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income................................................. $ 55,158,091 $ 31,117,994
Net realized gain..................................................... 77,363,628 43,308,937
Change in net unrealized appreciation or depreciation................. 53,605,928 71,194,980
---------------- ---------------------
Net increase in net assets resulting from operations.................. 186,127,647 145,621,911
---------------- ---------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold........................................................... 866,421,331 1,065,237,178
Shares redeemed....................................................... (261,593,988) (243,304,623)
---------------- ---------------------
Net increase in net assets
resulting from capital share transactions (a)...................... 604,827,343 821,932,555
---------------- ---------------------
TOTAL INCREASE IN NET ASSETS................................. 790,954,990 967,554,466
NET ASSETS:
Beginning of period................................................... 967,554,476 10
---------------- ---------------------
End of period (including accumulated net investment
income of $86,276,085 and $31,117,994, respectively)............... $ 1,758,509,466 $ 967,554,476
================ =====================
(a) A summary of capital share transactions follows:
SHARES SHARES
---------------- ---------------------
Shares sold........................................................... 69,041,410 105,297,553
Shares redeemed....................................................... (21,146,225) (22,728,136)
---------------- ---------------------
Net increase in shares outstanding................................ 47,895,185 82,569,417
================ =====================
</TABLE>
* The Fund commenced operations April 28, 1995
See accompanying notes to financial statements.
19
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL HIGHLIGHTS
===============================================================================
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995*
----------------- -------------------
<S> <C> <C>
Net asset value, beginning of period............................. $ 11.7181 $ 10.0000
------------- -------------------
Income from investment operations:
Net investment income......................................... 0.2844 0.3769
Net realized and unrealized gain.............................. 1.4763 1.3412
------------- -------------------
Total income from investment operations.................. 1.7607 1.7181
------------- -------------------
Net asset value, end of period................................... $ 13.4788 $ 11.7181
============= ===================
Total return..................................................... 15.03% 17.18%
Ratios/Supplemental data
Net assets, end of period (in 000s)........................... $ 1,758,509 967,554
Ratio of expenses to average net assets:
Before expense reimbursement............................. 0.05% 0.14% **
After expense reimbursement.............................. N/A 0.05% **
Ratio of net investment income to average net assets:
Before expense reimbursement............................. 4.36% 4.95% **
After expense reimbursement.............................. N/A 5.04% **
Portfolio turnover rate....................................... 155% 158%
Average commission rate paid per share........................ $ 0.0298 $ 0.0307
</TABLE>
* The Fund commenced operations April 28, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
20
<PAGE>
BRINSON SHORT-TERM FUND
================================================================================
The Brinson Short-Term Fund provides an effective means for short-term
investment of assets designated for near-term disbursement or set aside as
future buying reserves. Investment emphasis within the Fund is on high-quality,
short-term money market instruments with a high degree of marketability and
liquidity. Brinson Partners, Inc.'s investment staff is guided by two basic
objectives when investing the Fund's assets. The first is to provide for safety
of principal, and the second is to earn a rate of return that is competitive
with alternative short-term investment vehicles.
Since its inception on June 30, 1996, the Brinson Short-Term Fund has had an
unannualized total return of 3.06%, compared to the 2.82% return from the
benchmark of a rolling portfolio of thirty-day U.S. Libor. U.S. short-term
interest rates were unusually stable during 1996. Federal Reserve interest rate
policy changed only once during the year when the overnight funds target was
reduced from 5.50% to 5.25% at the end of January. Three-month Treasury bills
traded in a narrow range from 4.90% to 5.35% during the year, while interbank
rates began and ended the year at nearly identical levels.
The Brinson Short-Term Fund derives its investment performance record from an
investment process which emphasizes portfolio maturity structure, credit risk
management, sector and issue selection and competitive execution. The Fund does
not utilize derivative securities with leveraged structures or other high risk
devices to enhance yield at the risk of safety of principal.
21
<PAGE>
BRINSON SHORT-TERM FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
----------- ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 105.37%
COMMERCIAL PAPER - 105.37%
AT&T Capital Corp., 5.700%, due 01/24/97................................ $ 2,939,000 $ 2,928,297
Columbia/HCA Healthcare Corp., 5.600%, due 01/08/97.................... 3,000,000 2,996,733
Crown Cork & Seal Co., Inc., 5.620%, due 01/10/97...................... 3,489,000 3,484,098
ITT Corp., 5.630%, due 01/17/97......................................... 2,514,000 2,507,710
US West Capital Funding, Inc.
5.610%, due 01/07/97.................................................. 1,940,000 1,938,186
5.650%, due 01/17/97.................................................. 4,024,000 4,013,895
Viacom, Inc., 6.500%, due 01/03/97...................................... 5,006,000 5,004,192
------------
TOTAL INVESTMENTS
(COST $22,873,111) - 105.37%........................................ 22,873,111
------------
LIABILITIES, LESS CASH AND OTHER ASSETS - (5.37%)...................... (1,165,744)
------------
NET ASSETS - 100%....................................................... $ 21,707,367
============
</TABLE>
See accompanying notes to financial statements.
22
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $22,873,111) (Note 1)................. $ 22,873,111
Cash ............................................................. 589
Due from Advisor (Note 2)......................................... 87,465
-------------
TOTAL ASSETS............................................ 22,961,165
-------------
LIABILITIES:
Payables:
Fund shares redeemed........................................... 1,218,519
Accrued expenses............................................... 35,279
-------------
TOTAL LIABILITIES....................................... 1,253,798
-------------
NET ASSETS:
Applicable to 2,106,298 shares; no par value;
unlimited shares authorized.................................... $ 21,707,367
=============
Net asset value, offering price and redemption
price per share ($21,707,367 divided by 2,106,298 shares) ..... $ 10.3059
=============
NET ASSETS CONSIST OF:
Paid in capital................................................... $ 21,146,228
Accumulated net investment income................................. 561,241
Accumulated net realized loss..................................... (102)
-------------
NET ASSETS.............................................. $ 21,707,367
=============
</TABLE>
See accompanying notes to financial statements.
23
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 28, 1996* TO DECEMBER 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................ $ 566,081
-----------
TOTAL INCOME.............................................. 566,081
-----------
EXPENSES:
Accounting.......................................................... 33,534
Professional........................................................ 27,359
Transfer agent...................................................... 16,530
Administration...................................................... 6,999
Custodian........................................................... 5,865
Other............................................................... 2,018
-----------
TOTAL EXPENSES............................................ 92,305
Expenses reimbursed by Advisor (Note 2)................... (87,465)
-----------
NET EXPENSES.............................................. 4,840
-----------
NET INVESTMENT INCOME..................................... 561,241
-----------
NET REALIZED LOSS:
Net realized loss................................................... (102)
-----------
Net increase in net assets resulting from operations................ $ 561,139
===========
</TABLE>
* Commencement of operations
See accompanying notes to financial statements.
24
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD JUNE 28, 1996* TO DECEMBER 31, 1996
<TABLE>
<S> <C>
OPERATIONS:
Net investment income................................................................. $ 561,241
Net realized loss..................................................................... (102)
-----------
Net increase in net assets resulting from operations.................................. 561,139
-----------
CAPITAL SHARE TRANSACTIONS:
Shares sold........................................................................... 38,354,747
Shares redeemed....................................................................... (17,218,519)
-----------
Net increase in net assets resulting from capital share transactions (a).............. 21,136,228
-----------
TOTAL INCREASE IN NET ASSETS................................................. 21,697,367
-----------
NET ASSETS:
Beginning of period................................................................... 10,000
-----------
End of period (including accumulated net investment income of $561,241) .............. $21,707,367
===========
(a) A summary of capital share transactions follows: Shares
-----------
Shares sold....................................................................... 3,789,397
Shares redeemed................................................................... (1,684,099)
-----------
Net increase in shares outstanding............................................ 2,105,298
===========
</TABLE>
* Commencement of operations
See accompanying notes to financial statements.
25
<PAGE>
BRINSON SHORT-TERM 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, 1996*
-----------------
<S> <C>
Net asset value, beginning of period..................... $ 10.0000
--------------
Income from investment operations:
Net investment income.................................. 0.3060 ***
Net realized loss...................................... (0.0001)
--------------
Total income from investment operations.............. 0.3059
--------------
Net asset value, end of period........................... $ 10.3059
==============
Total return............................................. 3.06%
Ratios/Supplemental data
Net assets, end of period (in 000s).................... $ 21,707
Ratio of expenses to average net assets:
Before expense reimbursement......................... 0.94% **
After expense reimbursement.......................... 0.05% **
Ratio of net investment income to average net assets:
Before expense reimbursement......................... 4.84% **
After expense reimbursement.......................... 5.73% **
</TABLE>
* The Fund commenced operations June 28, 1996
** Annualized
*** The net investment income per share data was determined by using average
shares outstanding during the period
Total return has not been annualized
See accompanying notes to financial statements.
26
<PAGE>
BRINSON POST-VENTURE FUND
================================================================================
The Brinson Post-Venture Fund invests in common stocks of companies with market
capitalizations between $50 and $515 million, which represent the lower 7.5% of
value of the Wilshire 5000 Equity Index. We define this equity sector as the
"minicap" sector. The Fund's emphasis is on companies that developed with the
assistance of professional venture capitalists since, we believe, venture-backed
companies have stronger management and are better positioned for growth in the
future.
The Brinson Post-Venture Fund has achieved a 28.68% annualized return since its
inception on April 30, 1995, versus a 23.47% return for the Wilshire Small Stock
Index, a market capitalization weighted index of roughly 3,100 minicap
companies. The Brinson Post-Venture Fund had a 27.16% total return during 1996,
compared to an 18.46% return for the Wilshire Small Stock Index.
The Brinson Post-Venture Fund's 1996 performance benefited from good stock
selection in the technology, finance, consumer durables, and consumer non-
durables sectors. Specific stocks that enhanced performance included American
Travellers, an underwriter of long-term care insurance policies; Coachmen
Industries, a manufacturer of recreational vehicles and modular housing;
Claire's Stores, a retailer of inexpensive women's jewelry; Helen of Troy, a
leader in the sale of hairstyling and beauty care appliances; and Computer Task
Group, a provider of computer professional services to commercial clients. The
Brinson Post-Venture Fund also benefited from its overweight in the finance
sector.
The strategy of the Brinson Post-Venture 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 on-site visits,
discussions with investment banking firms and venture capitalists, and intensive
valuation techniques. Investments in 21 new companies were made in 1996 using
this process, while 20 companies were removed. 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 1997, we are particularly encouraged by the relative total return
potential of our larger Fund holdings. These holdings include: Carmike Cinemas,
the second largest motion picture exhibitor in the U.S.; Silicon Valley
Bancshares, a regional bank headquartered in Northern California that
specializes in lending to technology oriented and venture-backed companies; and
Kellwood Company, an international merchandiser and maker of moderately priced
women's apparel.
27
<PAGE>
BRINSON POST-VENTURE FUND
================================================================================
Total Return
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 04/30/95*
12/31/96 12/31/96 to 12/31/96
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
BRINSON POST-VENTURE FUND 12.93% 27.16% 28.68%
- ---------------------------------------------------------------------------------------------------------
Wilshire Small Stock Index 1.68% 18.46% 23.47%
- ---------------------------------------------------------------------------------------------------------
</TABLE>
* Performance inception date of the Brinson Post-Venture Fund.
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
<TABLE>
<CAPTION>
Brinson Post-Venture Wilshire Small
Fund Stock Index
<S> <C> <C>
04/30/95 100,000 100,000
05/31/95 100,802 102,030
06/30/95 105,306 107,958
07/31/95 109,310 114,392
08/31/95 113,508 117,835
09/30/95 113,864 120,475
10/31/95 112,673 114,391
11/30/95 117,557 117,308
12/31/95 119,936 119,959
01/31/96 118,542 120,835
02/29/96 121,360 124,279
03/31/96 125,800 127,895
04/30/96 134,578 137,283
05/31/96 141,097 146,233
06/30/96 135,051 139,755
07/31/96 126,673 126,283
08/31/96 135,902 132,155
09/30/96 140,758 136,477
10/31/96 142,806 134,334
11/30/96 148,199 138,203
12/31/96 152,509 142,100
</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.
28
<PAGE>
BRINSON POST-VENTURE FUND
================================================================================
TOP TEN U.S. EQUITY HOLDINGS INDUSTRY DIVERSIFICATION
As of December 31, 1996 As a Percent of Net Assets
As of December 31, 1996
<TABLE>
<CAPTION>
PERCENT OF U.S. EQUITIES
NET ASSETS Capital Investment
- ------------------------------------------------------------
<S> <C> <C>
1. Applied Power, Inc. Class A 3.37% Capital Goods .................... 4.94%
2. Financial Security Assurance Holdings Ltd. 2.33 Technology ....................... 16.52
------
3. Silicon Valley Bancshares 2.26 21.46
4. Nichols Research Corp. 2.08 Consumer
5. Helen of Troy Ltd. 2.05 Durables ......................... 5.75
6. RFS Hotel Investors, Inc. 2.03 Non-Durables ..................... 15.80
------
7. CWM Mortgage Holdings, Inc. 1.95 21.55
8. North Fork Bancorporation, Inc. 1.87
9. American Business Products, Inc. 1.73 Energy ........................... 2.60
10. Carmike Cinemas, Inc. Class A 1.73
Finance .......................... 20.85
Materials & Services ............. 18.14
Transportation ................... 2.51
Utilities ........................ 2.69
------
Total U.S. Equities .............. 89.80
------
SHORT-TERM INVESTMENTS ........... 8.96
------
TOTAL INVESTMENTS ........ 98.76
CASH AND OTHER ASSETS,
LESS LIABILITIES ......... 1.24
------
NET ASSETS ............... 100.00%
======
</TABLE>
29
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
==============================================================================
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
U.S. EQUITIES - 89.80%
AFC Cable Systems, Inc. (b) ...................... 80,250 $ 1,915,969
Align-Rite International, Inc. (b) ............... 74,100 815,100
Allied Capital Corp. II .......................... 45,900 975,375
Allied Holdings, Inc. (b) ........................ 133,400 1,067,200
Allied Life Financial Corp. ...................... 112,725 1,972,687
Alpharma, Inc, Class A ........................... 123,300 1,757,025
Ambassador Apartments, Inc. ...................... 109,800 2,594,025
American Business Products, Inc. ................. 206,370 5,185,046
American Classic Voyages Company ................. 111,200 1,459,500
American Software, Inc. Class A .................. 262,400 1,672,800
AMRE, Inc. (b) ................................... 187,894 305,328
Applied Power, Inc. Class A ...................... 254,000 10,064,750
Atmos Energy Corp. ............................... 134,250 3,205,219
Bacou USA, Inc. (b) .............................. 93,800 1,559,425
BEI Electronics, Inc. ............................ 182,300 1,914,150
Benchmark Electronics, Inc. (b) .................. 39,700 1,195,963
Bon-Ton Stores, Inc. (b) ......................... 274,819 1,683,266
Brewer (C.) Homes, Inc. Class A (b) .............. 124,195 263,914
Cadmus Communications Corp. ...................... 118,900 1,842,950
Carmike Cinemas, Inc. Class A (b) ................ 204,000 5,176,500
CenterPoint Properties Corp. ..................... 153,600 5,030,400
CFM Technologies, Inc. (b) ....................... 9,900 205,425
Chandler Insurance Co. Ltd. (b) .................. 200,300 1,176,763
Chico's FAS, Inc. (b) ............................ 148,300 630,275
Cinergi Pictures Entertainment, Inc. (b) ......... 109,900 216,360
Clean Harbors, Inc. (b) .......................... 271,500 610,875
Coachmen Industries, Inc. ........................ 111,800 3,172,325
Communications Central, Inc. (b) ................. 148,300 1,149,325
Computer Task Group, Inc. ........................ 71,100 3,066,187
Connecticut Energy Corp. ......................... 187,600 3,986,500
Coventry Corp. (b) ............................... 346,495 3,210,484
CPI Corp. ........................................ 41,400 693,450
Crown Crafts, Inc. ............................... 111,700 1,117,000
CWM Mortgage Holdings, Inc. ...................... 270,700 5,820,050
Data Translation II, Inc. (b) .................... 36,700 146,800
Davco Restaurants, Inc. (b) ...................... 127,500 1,147,500
Dayton Superior Corp. (b) ........................ 145,000 1,903,125
Delphi Information Systems, Inc. (b) ............. 500,000 625,000
Department 56, Inc. (b) .......................... 113,400 2,806,650
DH Technology, Inc. (b) .......................... 173,275 4,158,600
Dorsey Trailers, Inc. (b) ........................ 57,700 187,525
Dress Barn, Inc. (b) ............................. 248,450 3,726,750
Drug Emporium, Inc. (b) .......................... 102,600 436,050
El Chico Restaurants, Inc. (b) ................... 68,100 536,288
Electromagnetic Sciences, Inc. (b) ............... 158,200 3,045,350
Eskimo Pie Corp. ................................. 68,200 758,725
Evans & Sutherland Computer Corp. (b) ............ 149,800 3,745,000
Exabyte Corp. (b) ................................ 122,300 1,635,763
FBL Financial Group, Inc. Class A ................ 51,900 1,291,013
Financial Security Assurance Holdings Ltd. ....... 211,473 6,952,175
Fortress Group, Inc. (b) ......................... 92,600 555,600
Fred's, Inc. ..................................... 126,200 1,088,475
General Physics Corp. ............................ 186,800 747,200
Gradall Industries, Inc. (b) ..................... 78,200 967,725
Granite Broadcasting Corp. (b) ................... 84,400 896,750
Granite Broadcasting Corp. Preferred ............. 31,100 1,757,150
Hadco Corp. (b) .................................. 15,600 764,400
Haggar Corp. ..................................... 122,900 1,951,037
Harborside Healthcare Corp. (b) .................. 74,700 887,063
Hartmarx Corp. (b) ............................... 382,500 2,151,562
Helen of Troy Ltd. (b) ........................... 278,700 6,131,400
Huffy Corp. ...................................... 236,850 3,404,719
Hycor Biomedical, Inc. (b) ....................... 187,700 563,100
</TABLE>
30
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------------- ---------------
<S> <C> <C>
Information Resources, Inc. (b) ..................................... 234,100 $ 3,277,400
Insilco Corp. (b) ................................................... 38,400 1,478,400
Integrated Circuit Systems, Inc. (b) ................................ 129,700 1,767,163
InterTan, Inc. (b) .................................................. 224,800 1,095,900
Kellwood Co. ........................................................ 248,375 4,967,500
Kent Electronics Corp. (b) .......................................... 160,100 4,122,575
KLLM Transport Services, Inc. (b) ................................... 128,065 1,248,634
Landstar System, Inc. (b) ........................................... 100,800 2,343,600
Logicon, Inc. ....................................................... 48,300 1,762,950
Longhorn Steaks, Inc. (b) ........................................... 120,161 2,268,039
LTC Properties, Inc. ................................................ 278,500 5,152,250
M/A/R/C, Inc. ....................................................... 109,580 2,397,062
M.S. Carriers, Inc. (b) ............................................. 126,100 2,017,600
MacNeal-Schwendler Corp. (b) ........................................ 333,420 2,625,682
Media 100, Inc. (b) ................................................. 150,500 1,335,688
Methode Electronics, Inc. Class A ................................... 178,780 3,620,295
Michael Anthony Jewelers, Inc. (b) .................................. 253,235 775,532
Microsemi Corp. (b) ................................................. 114,300 1,628,775
National Computer Systems, Inc. ..................................... 140,420 3,580,710
National Insurance Group (b) ........................................ 148,150 648,156
Newport Corp. ....................................................... 191,680 1,701,160
Nichols Research Corp. (b) .......................................... 243,754 6,215,727
North Fork Bancorporation, Inc. ..................................... 156,600 5,578,875
Norton McNaughton, Inc. (b) ......................................... 148,700 1,263,950
Pharmaceutical Resources, Inc. (b) .................................. 97,800 342,300
Piccadilly Cafeterias, Inc. ......................................... 173,900 1,608,575
Pool Energy Services Co. (b) ........................................ 332,600 5,113,725
Premier Financial Bancorp, Inc. ..................................... 80,800 1,131,200
Pride Petroleum Services, Inc. (b) .................................. 104,900 2,438,925
ProCyte Corp. (b) ................................................... 384,000 864,000
QLogic Corporation (b) .............................................. 52,500 1,351,875
Quixote Corp. ....................................................... 179,100 1,723,837
Rainbow Technologies, Inc. (b) ...................................... 34,900 650,013
Ramsay Health Care, Inc. (b) ........................................ 233,000 684,438
Regal Beloit Corp. .................................................. 149,820 2,940,217
Regency Health Services, Inc. (b) ................................... 178,699 1,719,978
RFS Hotel Investors, Inc. ........................................... 307,400 6,071,150
Rhodes, Inc. (b) .................................................... 232,200 1,799,550
Safeguard Health Enterprises, Inc. (b) .............................. 122,100 2,136,750
Sanfilippo (John B.) & Son, Inc. (b) ................................ 221,400 1,107,000
Scotsman Industries, Inc. ........................................... 187,100 4,420,237
Shelby Williams Industries, Inc. .................................... 157,700 1,931,825
Shelter Components Corp. ............................................ 116,325 1,424,981
ShoLodge, Inc. (b) .................................................. 168,200 2,270,700
Shorewood Packaging Corp. (b) ....................................... 192,000 3,744,000
Silicon Valley Bancshares (b) ....................................... 209,090 6,743,152
SkyWest, Inc. ....................................................... 71,958 998,417
Southern Pacific Funding Corp. (b) .................................. 95,100 2,959,987
Stanley Furniture Co., Inc. (b) ..................................... 145,060 2,883,067
Stevens International, Inc. Series A (b) ............................ 124,100 186,150
Storage USA, Inc. ................................................... 112,000 4,214,000
Stratasys, Inc. (b) ................................................. 26,400 524,700
Sun Healthcare Group, Inc. (b) ...................................... 143,180 1,932,930
Team, Inc. (b) ...................................................... 140,680 219,813
Teltrend, Inc. (b) .................................................. 62,700 1,739,925
Ticketmaster Group, Inc. (b) ........................................ 69,900 847,538
Triad Systems Corp. (b) ............................................. 36,621 336,455
Triumph Group, Inc. (b) ............................................. 2,800 66,850
Tuesday Morning Corp. (b) ........................................... 51,420 1,099,103
Versa Technologies, Inc. ............................................ 174,700 2,271,100
York Group, Inc. .................................................... 73,200 1,427,400
---------------
Total U.S. Equities (COST $223,496,196).............................. 268,479,592
---------------
</TABLE>
31
<PAGE>
BRINSON POST-VENTURE SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
----------- ---------------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 8.96%
U.S. GOVERNMENT OBLIGATIONS - 0.19%
U.S. Treasury Bills
4.990%, due 05/01/97 ......................................... $ 25,000 $ 24,584
5.063%, due 05/01/97 ......................................... 545,000 535,803
---------------
560,387
---------------
COMMERCIAL PAPER - 8.77%
Case Credit Corp., 5.510%, due 01/07/97 .......................... 1,500,000 1,498,623
Cincinnati Bell, Inc., 7.250%, due 01/02/97 ...................... 2,000,000 1,999,597
Columbia/HCA Healthcare Corp., 5.700%, due 02/11/97 .............. 1,000,000 993,508
Crown Cork & Seal Co., Inc.
5.520%, due 01/10/97 ......................................... 1,000,000 998,620
5.580%, due 01/29/97 ......................................... 1,000,000 995,660
5.580%, due 01/31/97 ......................................... 1,000,000 995,350
CSX Corp., 5.520%, due 01/15/97 .................................. 1,000,000 997,853
Excel Paralubes Funding Corp., 6.350%, due 01/10/97 .............. 2,000,000 1,996,825
Harris Corp., 5.600%, due 01/07/97 ............................... 1,500,000 1,498,600
Lockheed Martin Corp., 6.970%, due 01/02/97 ...................... 1,993,000 1,992,614
Rite Aid Corp.
5.750%, due 01/06/97 ......................................... 1,000,000 999,201
5.550%, due 01/08/97 ......................................... 1,000,000 998,921
5.550%, due 02/18/97 ......................................... 1,000,000 992,600
Sundstrand Corp., 5.500%, due 01/09/97 ........................... 500,000 499,389
Supervalu, Inc., 6.250%, due 01/21/97 ............................ 1,100,000 1,096,181
Tenneco, Inc., 6.000%, due 01/16/97 .............................. 2,000,000 1,995,000
Texas Utilities Co., 7.250%, due 01/02/97 ........................ 2,000,000 1,999,597
Tyson Foods, Inc.
5.580%, due 01/06/97 ......................................... 700,000 699,458
5.750%, due 01/09/97 ......................................... 995,000 993,729
Vastar Resources, Inc., 6.020%, due 01/03/97 ..................... 1,000,000 999,666
Whirlpool Financial Corp., 6.000%, due 01/02/97 .................. 1,000,000 999,833
---------------
26,240,825
---------------
TOTAL SHORT-TERM INVESTMENTS
(COST $26,801,212) ........................................... 26,801,212
---------------
TOTAL INVESTMENTS
(C0ST $250,297,408) - 98.76% (A) ............................. 295,280,804
---------------
CASH AND OTHER ASSETS, LESS LIABILITIES - 1.24% .................. 3,697,444
---------------
NET ASSETS - 100% ................................................ $ 298,978,248
===============
</TABLE>
See accompanying notes to Schedule of Investments.
32
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $250,297,408; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 61,863,762
Gross unrealized depreciation..................... (16,880,366)
-------------
Net unrealized appreciation.................. $ 44,983,396
=============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS (NOTE 6)
The Brinson Post-Venture Fund had the following open index futures contracts as
of December 31, 1996:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE LOSS
---------- ---- ------- ----------
<S> <C> <C> <C> <C>
INDEX FUTURES BUY CONTRACTS
Standard & Poor's 500, 45 contracts March 1997 $ 16,962,800 $16,751,250 $(211,550)
</TABLE>
The market value of investments pledged to cover margin requirements for the
open futures positions at December 31, 1996 was $560,387.
See accompanying notes to financial statements.
33
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
==============================================================================
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $250,297,408) (Note 1)............................... $295,280,804
Receivables:
Investment securities sold.................................................... 1,386,474
Fund shares sold.............................................................. 2,981,606
Dividends..................................................................... 284,807
Due from Advisor (Note 2)........................................................ 107,091
------------
TOTAL ASSETS........................................................... 300,040,782
------------
LIABILITIES:
Payables:
Investment securities purchased.............................................. 587,022
Due to custodian bank........................................................ 89,271
Variation margin (Note 6).................................................... 279,150
Accrued expenses............................................................. 107,091
------------
TOTAL LIABILITIES..................................................... 1,062,534
------------
NET ASSETS:
Applicable to 19,604,032 shares; no par value, unlimited shares authorized......... 298,978,248
============
Net asset value per share
($298,978,248 divided by 19,604,032 shares).................................. $ 15.2509
============
NET ASSETS CONSIST OF:
Paid in capital................................................................. $189,933,762
Accumulated net investment income............................................... 8,384,809
Accumulated net realized gain................................................... 55,887,831
Net unrealized appreciation..................................................... 44,771,846
------------
NET ASSETS............................................................ $298,978,248
============
</TABLE>
See accompanying notes to financial statements.
34
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends.................................................................... $ 3,750,043
Interest..................................................................... 1,080,433
-----------------
TOTAL INCOME....................................................... 4,830,476
-----------------
EXPENSES:
Accounting................................................................... 117,865
Professional................................................................. 41,524
Administration............................................................... 38,276
Custodian.................................................................... 37,368
Other........................................................................ 11,444
-----------------
TOTAL EXPENSES..................................................... 246,477
-----------------
Expenses reimbursed by Advisor (Note 2)............................ (246,477)
-----------------
NET EXPENSES....................................................... 0
-----------------
NET INVESTMENT INCOME.............................................. 4,830,476
-----------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments.............................................................. 36,332,460
Futures contracts........................................................ 1,363,541
-----------------
Net realized gain................................................. 37,696,001
-----------------
Change in net unrealized appreciation or depreciation on:
Investments.............................................................. 19,227,851
Futures contracts........................................................ (164,150)
-----------------
Change in net unrealized appreciation or depreciation................ 19,063,701
-----------------
Net realized and unrealized gain............................................. 56,759,702
-----------------
Net increase in net assets resulting from operations......................... $ 61,590,178
=================
</TABLE>
See accompanying notes to financial statements.
35
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995*
----------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................. $ 4,830,476 $ 3,554,333
Net realized gain...................................................... 37,696,001 18,191,830
Change in net unrealized appreciation or depreciation.................. 19,063,701 25,708,145
---------------- ----------------
Net increase in net assets resulting from operations................... 61,590,178 47,454,308
---------------- ----------------
CAPITAL SHARE TRANSACTIONS:
Shares sold............................................................ 247,887,694 265,433,355
Shares redeemed........................................................ (267,309,948) (56,077,349)
---------------- ----------------
Net increase (decrease) in net assets
resulting from capital share transactions (a)....................... (19,422,254) 209,356,006
----------------- ------------------
TOTAL INCREASE IN NET ASSETS.................................. 42,167,924 256,810,314
----------------- ------------------
NET ASSETS:
Beginning of period.................................................... 256,810,324 10
----------------- ------------------
End of period (including accumulated net investment
income of $8,384,809 and $3,554,333, respectively).................. $ 298,978,248 $ 256,810,324
================= ==================
(a) A summary of capital share transactions follows:
SHARES SHARES
----------------- ------------------
Shares sold............................................................ 16,920,464 26,449,077
Shares redeemed........................................................ (18,728,639) (5,036,871)
----------------- ------------------
Net increase (decrease) in shares outstanding...................... (1,808,175) 21,412,206
================= ==================
</TABLE>
* The Fund commenced operations April 28, 1995
See accompanying notes to financial statements.
36
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL HIGHLIGHTS
================================================================================
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995*
----------------- -----------------
<S> <C> <C>
Net asset value, beginning of period............................... $ 11.9936 $ 10.0000
----------------- -----------------
Income from investment operations:
Net investment income........................................... 0.2617 0.1660
Net realized and unrealized gain................................ 2.9956 1.8276
----------------- -----------------
Total income from investment operations.................... 3.2573 1.9936
----------------- -----------------
Net asset value, end of period..................................... $ 15.2509 $ 11.9936
================= =================
Total return....................................................... 27.16% 19.94%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $ 298,978 $ 256,810
Ratio of expenses to average net assets:
Before expense reimbursement............................. 0.09% 0.17% **
After expense reimbursement.............................. 0.00% 0.00% **
Ratio of net investment income to average net assets:
Before expense reimbursement............................. 1.78% 1.85% **
After expense reimbursement.............................. 1.87% 2.02% **
Portfolio turnover rate......................................... 39% 25%
Average commission rate paid per share.......................... $ 0.0359 $ 0.0255
</TABLE>
* The Fund commenced operations April 28, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
37
<PAGE>
BRINSON HIGH YIELD FUND
================================================================================
The Brinson High Yield Fund is an actively managed bond portfolio that invests
primarily in the below-investment grade U.S. fixed income market. This can be
an attractive asset class for those who wish to take advantage of the higher
expected returns in the higher risk segments of the fixed income market.
Diversification and intensive credit analysis are emphasized as a means of
managing credit risk.
The Brinson High Yield Fund has provided an annualized total return of 13.26%
since its inception on April 30, 1995, versus 13.39% for its benchmark, the
First Boston High Yield Bond Index. In 1996, the Brinson High Yield Fund
achieved a total return of 14.73%, exceeding the benchmark return of 12.42%.
This relative performance advantage was due to our focus on the middle quality
tier of the market, well-positioned industry weights and good individual credit
selection.
During 1996, the best performing quality tier of the index was the middle tier
which gained 15.45%. Our middle tier overweight (63.70% versus 52.70%)
benefited performance. The upper tier lagged with a 10.72% total return, due
primarily to its greater sensitivity to interest rate movements. Our upper tier
underweight (19.50% versus 41.50%) enhanced our relative returns. The lower tier
significantly underperformed with a -1.26% total return. Our lower tier
underweight (0.00% versus 3.70%) was a positive contributor. The Fund also has
an overweight (15.00% versus 2.10%) in the not-rated sector and a 1.80% cash
hedge. We believe that the upper and middle tiers offer similar risk and reward
trade-offs and that attractive total return opportunities in the lower tier are
beginning to appear.
The best performing industries in 1996 were technology, consumer manufacturing
and general industrial. Consumer manufacturing is the Fund's largest overweight.
We are neutrally weighted versus the index in both technology and general
industrial. The worst performing industries in 1996 were entertainment,
airlines and cable television. Our overweight in entertainment detracted from
performance, but our underweights in airlines and cable television were positive
contributors. Our largest industry overweights are consumer manufacturing,
entertainment and conglomerates. Our largest industry underweights are a
response to weak fundamental outlooks and include gaming, supermarkets/drug
stores, food and beverage and cable television.
We purchased 31 new credits for the Fund in 1996. We sold, redeemed or tendered
27 issues. The Fund holds nearly 60 credits. Individual credit selection
benefited performance. During 1996, 80% of the new credits added to the Fund
were selected from the new issue market. The large number of holdings in the
Fund results in significant diversification by industry, quality, coupon,
maturity and security type.
The major focus of high yield investors in 1996 was the new issue market. New
issues in 1996 totaled a record $73.2 billion and were dominated by media and
telecommunications issues. Record inflows of $15.7 billion into high yield
mutual funds helped to fuel the demand. The strong appetite for high yield
bonds narrowed the average spread to U.S. Treasuries from 484 to 355 basis
points, generating a total return that exceeded U.S. Treasury returns, but
lagged domestic equity returns. The average yield of the index declined from
10.24% to 9.71% during the year. We believe the current economic climate is
favorable for high yield bonds, default rates are likely to remain low and
interest rates can decline further, but an equity market correction could have
adverse consequences for high yield investors.
38
<PAGE>
BRINSON HIGH YIELD FUND
================================================================================
TOTAL RETURN
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 04/30/95*
12/31/96 12/31/96 to 12/31/96
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------
Brinson High Yield Fund 9.04% 14.73% 13.26%
- ---------------------------------------------------------------------------------------------
First Boston High Yield Bond Index 8.33% 12.42% 13.39%
- ---------------------------------------------------------------------------------------------
</TABLE>
* Performance inception date of the Brinson High Yield Fund.
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 First Boston 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. FIRST BOSTON HIGH YIELD BOND INDEX
<TABLE>
<CAPTION>
First Boston
Brinson High Yield High Yield
Fund Bond Index
<S> <C> <C>
04/30/95 100,000 100,000
05/31/95 100,662 102,820
06/30/95 100,553 103,499
07/31/95 101,729 105,103
08/31/95 102,291 105,397
09/30/95 103,491 106,609
10/31/95 104,956 107,793
11/30/95 105,941 108,299
12/31/95 107,361 109,675
01/31/96 108,820 111,758
02/29/96 110,836 112,351
03/31/96 110,503 112,047
04/30/96 111,210 112,652
05/31/96 112,623 113,565
06/30/96 112,963 113,815
07/31/96 113,584 114,839
08/31/96 115,713 116,091
09/30/96 119,121 118,088
10/31/96 119,625 119,080
11/30/96 121,423 120,937
12/31/96 123,175 123,295
</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.
39
<PAGE>
BRINSON HIGH YIELD FUND
================================================================================
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of December 31, 1996
<TABLE>
<CAPTION>
U.S. BONDS
<S> <C>
Corporate Bonds
Consumer ................................... 31.20%
Energy ..................................... 2.21
Financial .................................. 1.05
Industrial ................................. 40.01
Telecommunications ......................... 11.86
-------
Total U.S. Corporate Bonds ............... 86.33
-------
International Dollar Bonds ................... 1.88
-------
Total U.S. Bonds ................ ........ 88.21
-------
U.S. EQUITIES
Common Stock ................................. 0.60
Preferred Stock .............................. 6.39
Warrants ..................................... 1.21
-------
Total U.S. Equities ...................... 8.20
-------
SHORT-TERM INVESTMENTS ......................... 3.12
-------
TOTAL INVESTMENTS ........................ 99.53
CASH AND OTHER ASSETS,
LESS LIABILITIES ......................... 0.47
-------
NET ASSETS ............................... 100.00%
=======
</TABLE>
40
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
-------------- --------------
<S> <C> <C>
U.S. Bonds - 88.21%
U.S. Corporate Bonds - 86.33%
Acetex Corp., 9.750%, due 10/01/03 .............................................. $ 2,500,000 $ 2,475,000
Adams Outdoor Advertising, 10.750%, due 03/15/06 ................................ 3,000,000 3,202,500
Allied Waste Industries N.A., Inc. 144A, 10.250%, due 12/01/06 .................. 1,000,000 1,050,000
American Communication Services, 0.000%, due 11/01/05 (c) ....................... 5,000,000 3,012,500
American Radio Systems, 9.000%, due 02/01/06 .................................... 3,000,000 2,943,750
Arch Communications Group, 0.000%, due 03/15/08 (d) ............................. 6,000,000 3,435,000
Big 5 Holdings, Inc., 13.625%, due 09/15/02 ..................................... 2,000,000 2,100,000
California Energy Co., Inc.
0.000%, due 01/15/04 (e) .................................................... 2,000,000 2,110,000
9.500%, due 09/15/06 ........................................................ 1,500,000 1,541,250
Clark USA, Inc., 10.875%, due 12/01/05 .......................................... 3,500,000 3,596,250
Cobblestone Golf Group, Inc., 11.500%, due 06/01/03 ............................. 3,000,000 3,123,750
Coinmach Corp., 11.750%, due 11/15/05 ........................................... 3,500,000 3,771,250
Corporate Express, Inc., 9.125%, due 03/15/04 ................................... 3,000,000 3,060,000
Dade International, Inc., 11.125%, due 05/01/06 ................................. 750,000 811,875
Dominick's Finer Foods, 10.875%, due 05/01/05 ................................... 2,000,000 2,210,000
E&S Holdings Corp. 144A, 10.375%, due 10/01/06 .................................. 3,000,000 3,142,500
Florist Transworld Delivery, 14.000%, due 12/15/01 .............................. 2,000,000 1,900,000
Fortress Group, Inc., 13.750%, due 05/15/03 ..................................... 3,500,000 3,692,500
Fundy Cable Ltd., 11.000%, due 11/15/05 ......................................... 3,000,000 3,180,000
Gaylord Container Corp., 12.750%, due 05/15/05 .................................. 2,750,000 3,045,625
Hines Horticulture, 11.750%, due 10/15/05 ....................................... 4,000,000 4,240,000
Icon Fitness Corp. 144A, 0.000%, due 11/15/06 (f) ............................... 7,000,000 3,736,250
Icon Health & Fitness Capital, Inc., 13.000%, due 07/15/02 ...................... 4,000,000 4,525,000
Lear Seating Corp., 8.250%, due 02/01/02 ........................................ 3,000,000 3,022,500
Mail-Well, Inc., 10.500%, due 02/15/04 .......................................... 1,000,000 1,005,000
Mesa Operating Co., 0.000%, due 07/01/06 (g) .................................... 5,000,000 3,462,500
Monarch Marking Systems, Inc., 12.500%, due 07/01/03 ............................ 3,500,000 4,095,000
Nextel Communications, Inc., 0.000%, due 08/15/04 (h) ........................... 6,000,000 4,087,500
Nextlink Communications, 12.500%, due 04/15/06 .................................. 3,000,000 3,225,000
Norcal Waste Systems, 13.000%, due 11/15/05 ..................................... 2,500,000 2,775,000
Ocwen Financial Corp., 11.875%, due 10/01/03 .................................... 1,600,000 1,728,000
Plantronics, Inc., 10.000%, due 01/15/01 ........................................ 1,500,000 1,571,250
Plastic Containers, Inc. 144A, 10.000%, due 12/15/06 ............................ 3,000,000 3,097,500
Premier Parks, 12.000%, due 08/15/03 ............................................ 3,500,000 3,823,750
Remington Product Co. LLC, 11.000%, due 05/15/06 ................................ 3,500,000 2,975,000
Renaissance Cosmetics, Inc. 144A, 13.750%, due 08/15/01 ......................... 1,000,000 1,145,000
Riverwood International Corp., 10.875%, due 04/01/08 ............................ 3,000,000 2,775,000
Ryerson Tull, Inc., 9.125%, due 07/15/06 ........................................ 3,000,000 3,150,000
Scotsman Holdings PIK, 11.000%, due 03/01/04 .................................... 4,797,137 5,084,965
Sealy Corp., 9.500%, due 05/01/03 ............................................... 1,500,000 1,507,500
Tanger Properties Ltd., 8.750%, due 03/11/01 .................................... 3,000,000 3,029,880
Tenet Healthcare, 10.125%, due 03/01/05 ......................................... 3,000,000 3,315,000
Triangle Pacific Corp., 10.500%, due 08/01/03 ................................... 2,450,000 2,612,312
Trism, Inc., 10.750%, due 12/15/00 .............................................. 1,000,000 960,000
Tultex Corp., 10.625%, due 03/15/05 ............................................. 3,300,000 3,580,500
Unifrax Investment Corp., 10.500%, due 11/01/03 ................................. 2,000,000 2,040,000
Victory Markets, Inc., 12.500%, due 03/15/00 (j) ................................ 2,000,000 40,000
William Carter Co. 144A, 10.375%, due 12/01/06 .................................. 2,750,000 2,887,500
Wireless One, Inc., 0.000%, due 08/01/06 (i) .................................... 7,000,000 3,395,000
Wright Medical Technology, 10.750%, due 07/01/00 ................................ 3,250,000 3,282,500
Young Broadcasting Corp., 9.000%, due 01/15/06 .................................. 3,000,000 2,910,000
--------------
142,488,157
--------------
INTERNATIONAL DOLLAR BONDS - 1.88%
Euramax International Ltd. 144A, 11.250%, due 10/01/06 .......................... 3,000,000 3,105,000
--------------
TOTAL U.S. BONDS (COST $141,397,308) ............................................ 145,593,157
--------------
</TABLE>
41
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------------------- -----------------
<S> <C> <C>
U.S. EQUITIES - 8.20%
American Communication Services Warrants (b) ............................. 6,000 $ 510,000
Cablevision Systems Preferred 11.125% (b) ................................ 38,092 3,418,757
F.T.D. Class B (b) ....................................................... 40,625 81,250
Icon Health & Fitness Capital, Inc. Warrants (b) ......................... 4,000 240,500
Nextel Communications, Inc. Warrants (b) ................................. 2,315 46
Renaissance Cosmetics, Inc. Preferred (b) ................................ 5,175 4,631,625
Renaissance Cosmetics, Inc. Warrants "01" (b) ............................ 4,000 252,000
Renaissance Cosmetics, Inc. Warrants "06" (b) ............................ 5,000 650,000
S.D. Warren Co. Preferred 14.000% (b) .................................... 70,000 2,485,000
S.D. Warren Co. Warrants (b) ............................................. 60,000 270,000
Scotsman Holdings (b) .................................................... 29,992 899,760
Town & Country Corp. Convertible Preferred 6.000% (b) .................... 19,657 12,286
Wright Medical Technology Warrants (b) ................................... 618 80,325
-----------------
Total U.S. Equities (Cost $11,812,078) ................................... 13,531,549
-----------------
<CAPTION>
FACE
SHORT-TERM INVESTMENTS - 3.12% AMOUNT VALUE
------------------- -----------------
<S> <C> <C>
COMMERCIAL PAPER - 3.12%
Cincinnati Bell, Inc., 7.250%, due 01/02/97 .............................. $ 900,000 899,818
Lockheed Martin Corp., 6.970%, due 01/02/97 .............................. 853,000 852,835
Supervalu, Inc., 6.250%, due 01/21/97 .................................... 500,000 498,264
Tenneco, Inc., 6.000%, due 01/16/97 ...................................... 1,000,000 997,500
Texas Utilities Co., 7.250%, due 01/02/97 ................................ 900,000 899,819
Tyson Foods, Inc., 5.580%, due 01/06/97 .................................. 1,000,000 999,225
-----------------
TOTAL SHORT-TERM INVESTMENTS
(COST $5,147,461) .................................................... 5,147,461
-----------------
TOTAL INVESTMENTS
(COST $158,356,847) - 99.53% (a) ..................................... 164,272,167
-----------------
CASH AND OTHER ASSETS, LESS LIABILITIES - 0.47% .......................... 777,874
-----------------
NET ASSETS - 100% ........................................................ $ 165,050,041
=================
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $158,356,847; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation....................... $8,599,004
Gross unrealized depreciation....................... (2,683,684)
-----------------
Net unrealized appreciation............... $5,915,320
=================
</TABLE>
(b) Non-income producing security.
(c) Interest rate 0.000% until 11/01/00, then 13.000% to maturity.
(d) Interest rate 0.000% until 03/15/01, then 10.875% to maturity.
(e) Interest rate 0.000% until 01/15/97, then 10.250% to maturity.
(f) Interest rate 0.000% until 11/15/01, then 14.000% to maturity.
(g) Interest rate 0.000% until 07/01/01, then 11.625% to maturity.
(h) Interest rate 0.000% until 02/15/99, then 9.750% to maturity.
(i) Interest rate 0.000% until 08/01/01, then 13.500% to maturity.
(j) Security in default as to payment of interest.
144A: Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At December 31,
1996, the value of these securities amounted to $18,163,750 or 11.00% of
net assets.
PIK: Payment in kind bond - Interest is paid in additional bonds.
See accompanying notes to financial statements.
42
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $158,356,847) (Note 1)........................................ $ 164,272,167
Cash...................................................................................... 245,669
Receivables:
Investment securities sold............................................................. 516,042
Interest............................................................................... 3,016,163
Due from Advisor (Note 2)................................................................. 73,141
--------------
TOTAL ASSETS.................................................................... 168,123,182
--------------
LIABILITIES:
Payables:
Fund shares redeemed................................................................... 3,000,000
Accrued expenses....................................................................... 73,141
-------------
TOTAL LIABILITIES............................................................... 3,073,141
-------------
NET ASSETS:
Applicable to 13,399,664 shares; no par value, unlimited shares authorized................ 165,050,041
=============
Net asset value, offering price and redemption
price per share ($165,050,041 divided by 13,399,664 shares)............................ $ 12.3175
=============
NET ASSETS CONSIST OF:
Paid in capital........................................................................... $ 139,665,538
Accumulated net investment income......................................................... 18,020,454
Accumulated net realized gain............................................................. 1,448,729
Net unrealized appreciation............................................................... 5,915,320
-------------
NET ASSETS...................................................................... $ 165,050,041
=============
</TABLE>
See accompanying notes to financial statements.
43
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................ $ 12,492,995
Dividends........................................................... 89,900
--------------
TOTAL INCOME.............................................. 12,582,895
--------------
EXPENSES:
Accounting.......................................................... 99,588
Professional........................................................ 35,054
Administration...................................................... 20,513
Pricing............................................................. 11,260
Custodian........................................................... 6,850
Other............................................................... 11,224
--------------
TOTAL EXPENSES............................................ 184,489
--------------
Expenses reimbursed by Advisor (Note 2)................... (184,489)
--------------
NET EXPENSES.............................................. 0
--------------
NET INVESTMENT INCOME..................................... 12,582,895
--------------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain................................................... 2,690,004
Change in net unrealized appreciation or depreciation............... 3,781,750
--------------
Net realized and unrealized gain.................................... 6,471,754
--------------
Net increase in net assets resulting from operations................ $ 19,054,649
==============
</TABLE>
See accompanying notes to financial statements.
44
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995*
----------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income................................................... $ 12,582,895 $ 5,437,559
Net realized gain (loss)................................................ 2,690,004 (1,241,275)
Change in net unrealized appreciation or depreciation................... 3,781,750 2,133,570
----------------- ------------------
Net increase in net assets resulting from operations.................... 19,054,649 6,329,854
----------------- ------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold............................................................. 118,474,046 122,069,499
Shares redeemed......................................................... (80,431,576) (20,446,441)
----------------- ------------------
Net increase in net assets
resulting from capital share transactions (a)........................ 38,042,470 101,623,058
----------------- ------------------
TOTAL INCREASE IN NET ASSETS................................... 57,097,119 107,952,912
----------------- ------------------
NET ASSETS:
Beginning of period..................................................... 107,952,922 10
----------------- ------------------
End of period (including accumulated net investment
income of $18,020,454 and $5,437,559, respectively).................. $ 165,050,041 $ 107,952,922
================= ==================
(a) A summary of capital share transactions follows:
SHARES SHARES
----------------- ------------------
Shares sold............................................................. 10,044,820 12,072,988
Shares redeemed......................................................... (6,700,270) (2,017,875)
----------------- ------------------
Net increase in shares outstanding.................................. 3,344,550 10,055,113
================= ==================
</TABLE>
* The Fund commenced operations April 28, 1995
See accompanying notes to financial statements.
45
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL HIGHLIGHTS
================================================================================
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995*
----------------- ------------------
<S> <C> <C>
Net asset value, beginning of period...................................... $ 10.7361 $ 10.0000
----------------- ------------------
Income from investment operations:
Net investment income.................................................. 0.8041 0.5408
Net realized and unrealized gain....................................... 0.7773 0.1953
----------------- ------------------
Total income from investment operations........................... 1.5814 0.7361
----------------- ------------------
Net asset value, end of period............................................ $ 12.3175 $ 10.7361
================= ==================
Total return.............................................................. 14.73% 7.36%
Ratios/Supplemental data
Net assets, end of period (in 000s).................................... $ 165,050 $ 107,953
Ratio of expenses to average net assets:
Before expense reimbursement...................................... 0.14% 0.33% **
After expense reimbursement....................................... 0.00% 0.00% **
Ratio of net investment income to average net assets:
Before expense reimbursement...................................... 9.17% 9.33% **
After expense reimbursement....................................... 9.31% 9.66% **
Portfolio turnover rate................................................ 45% 25%
</TABLE>
* The Fund commenced operations April 28, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
46
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
================================================================================
The Brinson Emerging Markets Equity Fund invests in the common stocks of less
developed countries and also considers those not covered in our developed
markets portfolios. We continually examine newly emerging markets in
anticipation of gaining broad diversification benefits and identifying
discrepancies between prices and fundamental values across markets.
We believe that the country allocation decision dominates performance in an
emerging markets investment program. Due to the lack of forward currency markets
in which to hedge, currency decisions are embedded in our market evaluations.
Our emerging markets team in Chicago works closely with our investment teams in
Basel and Singapore to assess fundamental value and macroeconomic trends and to
determine market strategies.
On June 30, 1995, Brinson Partners, Inc. introduced its Brinson Emerging Markets
Equity Fund. Since July 31, 1995, the first month-end after the Fund became
fully invested, the Fund has earned a total return of 1.69%. This compares to
the 1.69% for the Brinson Emerging Markets Normal Index, its benchmark. The
Normal Index is constructed to minimize country specific risk while providing
broad exposure to the growth opportunities in the emerging markets. The
International Finance Corporation's Investable Index (IFCI), a published market
capitalization-weighted benchmark, returned 3.27%.
For 1996, the Brinson Emerging Markets Equity Fund returned 9.34% compared to a
10.31% return for the Normal Index and an 9.38% return for the IFCI. This is the
third consecutive year of below-normal returns for the IFCI. The IFCI had a
total return of -8.40% in 1995 and -12.60% in 1994.
Market and currency allocation, which combines the impact from both local equity
returns and currency returns, made a positive contribution to 1996 performance.
Overweight allocations to Poland, the Czech Republic and Turkey, during the
first nine months, contributed positively to performance. These contributions
were somewhat offset by an overweight in India, which experienced a flat return
for the year, and an underweight in Brazil, which had a strong year, up over
30%.
Stock selection was a negative contributor to 1996 returns. Opportunity costs
were the most significant detractor early in the year, as strong markets created
difficulties in entering them, causing us to have a higher cash position than
desired. Specific stock selection was also hurt in Chile, Taiwan and India,
where access to the direct market is restricted to closed-end funds or local-
index swaps.
At present the Fund is fully invested. There are overweight positions in Chile,
Indonesia, Taiwan, Thailand, Greece, Portugal, Russia and India. These
overweight positions are offset by underweight positions in Brazil, Korea,
Malaysia, South Africa and Turkey.
47
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
================================================================================
TOTAL RETURN
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 06/30/95*
12/31/96 12/31/96 to 12/31/96
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Brinson Emerging Markets Equity Fund(1) -3.63% 9.34% 1.23%
- --------------------------------------------------------------------------------------------------
Brinson Emerging Markets Equity Fund(2) -6.50% 6.08% 0.22%
- --------------------------------------------------------------------------------------------------
Brinson Emerging Markets Normal Index -3.86% 10.31% 3.51%
- --------------------------------------------------------------------------------------------------
IFC Investable Index -2.51% 9.38% 5.26%
- --------------------------------------------------------------------------------------------------
</TABLE>
* Inception date of the Brinson Emerging Markets Equity Fund.
(1) Total return based on NAV - Does not include the payment of a 1.50%
transaction charge on Fund share purchases and redemptions.
(2) Standardized total return - Includes the payment of a 1.50% transaction
charge on Fund share purchases and redemptions in each period presented
where applicable.
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
<TABLE>
<CAPTION>
Brinson Emerging IFC Investible Brinson Emerging
Markets Equity Fund Index Markets Normal Index
<S> <C> <C> <C>
06/30/95 100,000 100,000 100,000
07/31/95 99,469 103,182 102,846
08/31/95 94,941 100,416 98,380
09/30/95 95,041 99,655 97,952
10/31/95 92,298 95,895 94,968
11/30/95 90,060 95,416 92,628
12/31/95 93,164 98,736 95,466
01/31/96 99,521 107,008 103,741
02/29/96 99,709 104,632 103,127
03/31/96 100,005 106,160 103,399
04/30/96 104,747 110,442 108,202
05/31/96 103,691 109,471 107,412
06/30/96 105,701 110,772 109,536
07/31/96 98,860 103,494 102,864
08/31/96 100,824 106,703 105,105
09/30/96 101,719 108,279 106,494
10/31/96 98,597 105,951 102,987
11/30/96 100,788 107,518 104,879
12/31/96 100,334 107,994 105,309
</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.
48
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
================================================================================
TOP TEN NON-U.S. EQUITY HOLDINGS MARKET ALLOCATION
As of December 31, 1996 As of December 31, 1996
<TABLE>
<CAPTION>
Percent of Market Normal
Net Assets Allocation Policy
- ----------------------------------------------------------------------------- ------------------------------------------
<S> <C> <C> <C> <C>
1. Telekomunikasi Indonesia 1.77 % Argentina 5.9 % 5.9 %
2. Perez Companc S.A. 1.46 Brazil 5.1 5.9
3. YPF Sociedad Anonima S.A. Class D 1.31 Chile 7.9 5.9
4. Hellenic Telecommunication Organization S.A. 1.30 Mexico 5.9 5.9
5. Telecomunicacoes Brasileiras S.A. Preferred 1.24 Indonesia 6.4 5.9
6. Alpha Credit Bank 1.17 Korea 4.9 5.9
7. Gudang Garam 1.09 Malaysia 3.9 5.9
8. Philippine Long Distance Telephone Co. 1.04 Philippines 5.9 5.9
9. Portugal Telecom S.A. 0.89 Taiwan 6.4 5.9
10. Ergo Bank S.A. 0.84 Thailand 6.9 5.9
Greece 6.9 5.9
Israel 5.9 5.9
Portugal 6.4 5.9
South Africa 4.6 5.9
Turkey 4.9 5.9
China 3.0 3.0
India 4.0 3.0
Peru 3.0 3.0
Poland 2.0 3.0
Russia 0.5 0.0
Cash 0.0 0.0
------------------------------------------
100.0 % 100.0 %
Totals may not add due to rounding.
</TABLE>
49
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
-------------- -------------
<S> <C> <C>
Equities - 79.64%
Argentina - 6.08%
Astra Cia Argentina de Petroleo S.A. ............................................. 318,179 $ 607,843
Banco de Galicia y Buenos Aires S.A. Class B ..................................... 165,225 993,201
Banco Frances del Rio de la Plata S.A. ........................................... 75,825 709,105
Buenos Aires Embotelladora S.A. Class B (b) ...................................... 80 15,203
Celulosa Argentina S.A. (b) ...................................................... 80,000 21,204
Disco S.A. ADR (b,c) ............................................................. 13,700 383,600
Inversiones y Representaciones S.A. .............................................. 165,000 529,756
Juan Minetti S.A. ................................................................ 28,065 116,774
Molinos Rio de la Plata S.A. ..................................................... 18,958 67,504
Perez Companc S.A. ............................................................... 372,250 2,617,441
Siderar S.A.I.C. S.A. Class A (b) ................................................ 11,600 33,415
Siderca S.A. Class A ............................................................. 290,000 529,356
Telecom Argentina S.A. Class B ................................................... 140,000 576,915
Telefonica de Argentina S.A. Class B ............................................. 400,000 1,048,210
Transportadora de Gas del Sur S.A. Class B ....................................... 122,000 300,180
YPF Sociedad Anonima S.A. Class D ................................................ 93,000 2,348,720
-------------
10,898,427
-------------
Brazil - 5.33%
Aracruz Celulose S.A. Preferred B ................................................ 102,000 165,910
Banco Bradesco S.A. Preferred .................................................... 18,950,000 137,338
Banco Itau S.A. Preferred ........................................................ 160,000 69,297
Brazil Fund, Inc. (c) ............................................................ 20,266 450,919
Brazil Realty S.A. GDR (b,c) ..................................................... 2,000 38,000
Centrais Electricas Brasileiras S.A. ............................................. 2,490,000 891,511
Centrais Electricas Brasileiras S.A. Preferred B ................................. 985,000 365,938
Centrais Electricas de Santa Catarina S.A. Preferred B (b) ....................... 320,000 298,749
Cia Cervejaria Brahma ............................................................ 117,800 68,027
Cia Cervejaria Brahma Preferred .................................................. 576,000 314,887
Cia Energetica de Minas Gerais ADR (c) ........................................... 3,100 106,175
Cia Energetica de Minas Gerais Preferred ......................................... 10,930,000 372,398
Cia Energetica de Sao Paulo Preferred (b) ........................................ 3,000,000 116,968
Cia Paranaense de Energia ........................................................ 26,020,000 275,476
Cia Paulista de Forca e Luz (b) .................................................. 2,220,000 262,811
Cia Siderurgica Nacional ......................................................... 3,610,000 102,498
Cia Suzano de Papel e Celulose Preferred ......................................... 14,000 36,381
Cia Vale do Rio Doce Preferred.................................................... 20,746 399,346
Industrias Klabin de Papel e Celulose S.A. Preferred ............................. 56,000 51,742
Itausa Investimentos Itau S.A. Preferred ......................................... 102,000 76,574
Light Participacoes S.A. ......................................................... 310,000 10,443
Light Participacoes S.A. (b) ..................................................... 140,000 33,956
Perdigao S.A. Comercio e Industria Preferred (b) ................................. 6,500,000 12,512
Petroleo Brasileiro S.A. Preferred ............................................... 5,650,000 899,976
Souza Cruz S.A. .................................................................. 10,000 65,640
Telecomunicacoes Brasileiras S.A. ................................................ 5,220,000 374,293
Telecomunicacoes Brasileiras S.A. ADR (c) ........................................ 1,000 76,500
Telecomunicacoes Brasileiras S.A. Preferred ...................................... 28,830,000 2,219,826
Telecomunicacoes de Brasilia S.A. Preferred ...................................... 150,000 54,859
Telecomunicacoes de Minas Gerais Preferred B ..................................... 680,000 84,100
Telecomunicacoes de Sao Paulo S.A. ............................................... 1,950,000 421,549
Telecomunicacoes de Sao Paulo S.A. Preferred ..................................... 1,790,000 387,632
Telecomunicacoes do Parana S.A. Preferred ........................................ 60,000 33,557
Telecomunicacoes do Rio Janeiro S.A. Preferred (b) ............................... 700,000 88,588
Usinas Siderurgicas de Minas Gerais Preferred .................................... 197,200,000 201,184
-------------
9,565,560
-------------
Chile - 6.68%
Banco O'Higgins ADR (c) .......................................................... 2,000 46,000
Banco Santander Chile ADR (c) .................................................... 7,000 105,000
Chile Fund, Inc (c) .............................................................. 451,000 9,414,625
Chilectra S.A. ADR (c) ........................................................... 2,000 108,250
Chilgener S.A. ADR (c) ........................................................... 6,700 139,863
Chilquinta S.A. ADR (c) .......................................................... 12,000 168,720
Cia de Telecomunicaciones de Chile S.A. ADR (c) .................................. 3,000 303,375
</TABLE>
50
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DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
-------------- ------------
<S> <C> <C>
CHILE - (continued)
Embotelladora Andina S.A. ADR (c) ................................................ 3,200 $ 97,600
Empresa Nacional Electricidad Chile S.A. ADR (c) ................................. 11,100 172,050
Enersis S.A. ADR (c) ............................................................. 10,700 296,925
Laboratorio Chile ADR (c) ........................................................ 16,000 264,000
Madeco S.A. ADR (c) .............................................................. 8,400 203,700
Maderas y Sinteticos Sociedad Anonima S.A. ADR (c) ............................... 14,000 196,000
Quimica y Minera Chile S.A. ADR (c) .............................................. 5,100 276,037
Santa Isabel S.A. ADR (c) ........................................................ 3,800 85,975
Vina Concha y Toro S.A. ADR (c) .................................................. 4,300 101,050
-----------
11,979,170
-----------
CHINA - 3.06%
China Resources Enterprises Ltd. (d) ............................................. 266,000 598,379
Guangdong Electric Power Development Co. Ltd. Class B (d) ........................ 490,000 433,309
Guangdong Investments (d) ........................................................ 84,000 80,906
Guangdong Tannery Ltd. (b,d) ..................................................... 26,705 6,732
Guangshen Railway Co. Ltd. ADR (b,c) ............................................. 19,000 391,875
Maanshan Iron & Steel Co. (d) .................................................... 2,020,000 433,516
NG Fung Hong Ltd. (d) ............................................................ 580,000 521,144
Qingling Motors Co. (b,d) ........................................................ 1,310,000 724,024
Shandong Huaneng Power Co. Ltd. ADR (c) .......................................... 32,000 312,000
Shanghai Chlor-Alkali Chemical Co. Class B (c) ................................... 365,000 101,470
Shanghai Diesel Engine Co. Ltd. Class B (b,c) .................................... 624,000 295,776
Shanghai Industrial Holdings Ltd. (b,d) .......................................... 55,000 200,520
Shanghai Petrochemical Co. Ltd. (d) .............................................. 2,210,000 671,437
Shanghai Refrigerator Compressor Co. Ltd. Class B (c) ............................ 590,000 320,960
Shanghai Tyre & Rubber Co. Ltd. Class B (b,c) .................................... 170,000 72,080
Tsingtao Brewery Co. Ltd. (d) .................................................... 274,000 104,500
Yizheng Chemical Fibre Co. Ltd. (d) .............................................. 900,000 218,749
-----------
5,487,377
-----------
GREECE - 5.87%
AEGEK ............................................................................ 30,000 110,656
Aktor S.A. ....................................................................... 7,000 81,999
Alfa-Beta Vassilopoulos S.A. ..................................................... 19,090 239,873
Alfa-Beta Vassilopoulos S.A. Preferred ........................................... 7,200 84,926
Alpha Credit Bank ................................................................ 32,963 2,097,681
Aluminum of Greece S.A. .......................................................... 5,700 212,442
Athens Medical Center S.A. ....................................................... 19,500 136,739
Elais Co. S.A. ................................................................... 6,550 187,040
Ergo Bank S.A. ................................................................... 29,720 1,506,418
ETBA Leasing S.A. ................................................................ 8,300 95,714
Goody's S.A. ..................................................................... 2,700 48,154
Hellas Can Packaging S.A. ........................................................ 19,900 278,685
Hellenic Bottling Co. S.A. ....................................................... 10,220 327,466
Hellenic Telecommunication Organization S.A. ..................................... 136,320 2,329,004
Heracles General Cement Co. S.A. ................................................. 54,450 675,355
Intracom S.A. .................................................................... 20,400 458,919
Michaniki S.A. ................................................................... 5,800 44,903
National Bank of Greece S.A. ..................................................... 10,500 668,193
Silver & Baryte Ores Mining ...................................................... 2,700 45,035
Titan Cement Co. S.A. ............................................................ 16,350 889,040
-----------
10,518,242
----------
INDIA - 3.36%
Bajaj Auto Ltd. .................................................................. 7,500 178,838
Bharat Heavy Electricals Ltd. .................................................... 15,000 87,090
Bombay Dyeing GDR (b,c) .......................................................... 20,000 45,000
EIH Ltd. ......................................................................... 12,000 131,640
EIH Ltd. GDR (c) ................................................................. 2,700 62,438
Glaxo India Ltd. ................................................................. 17,000 118,632
Grasim Industries Ltd. ........................................................... 8,000 93,398
Gujarat Ambuja Cements Ltd. ...................................................... 15,000 101,535
Hindalco Industries Ltd. ......................................................... 5,000 91,626
</TABLE>
51
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============================================================
December 31, 1996
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
India - (continued)
Hindustan Petroleum Corp. Ltd. .......................................... 21,000 $ 194,613
India Cements Ltd. ...................................................... 37,500 94,208
Indian Aluminum Co. Ltd. GDR (c) ........................................ 5,700 27,788
Indian Hotels Co. Ltd. GDR (c) .......................................... 8,300 172,225
Indian Petrochemicals Corp. Ltd. GDR (c) ................................ 20,000 200,000
Larsen & Toubro Ltd. .................................................... 10,000 61,061
Madras Cements Ltd. ..................................................... 900 200,977
Mahanagar Telephone Nigam Ltd. .......................................... 51,000 337,390
Mahindra & Mahindra Ltd. ................................................ 11,000 101,710
Morgan Stanley India Investment Fund, Inc. (b,c) ................ 231,600 2,200,200
Pfizer Ltd. ............................................................. 14,100 81,471
Ranbaxy Laboratories Ltd. ............................................... 12,000 181,214
Raymond Ltd. GDR (b,c) .................................................. 4,650 27,900
Reliance Industries Ltd. GDR (b,c) ...................................... 8,000 86,960
SKF Bearings India Ltd. ................................................. 530 36,989
State Bank of India GDR (b,c) ........................................... 25,000 437,500
Steel Authority of India Ltd. GDR (c) ................................... 27,700 266,266
Tata Engineering and Locomotive Co. Ltd. ................................ 16,000 150,509
Tata Engineering and Locomotive Co. Ltd. GDR (c) ........................ 11,300 97,406
Tata Power Co. Ltd. ..................................................... 20,000 68,667
Tata Tea Ltd. ........................................................... 17,000 92,415
-------------
6,027,666
-------------
Indonesia - 6.28%
Bank Bali Foreign ....................................................... 16,000 39,958
Bank Dagang Nasional Indonesia .......................................... 188,875 191,873
Bank Internasional Indonesia ............................................ 267,194 262,953
Ciputra Development ..................................................... 356,000 369,185
Gadjah Tunggal .......................................................... 482,000 209,122
Gudang Garam ............................................................ 454,500 1,962,285
Hanjaya Mandala Sampoerna ............................................... 124,000 661,333
Indah Kiat Pulp & Paper Corp. ........................................... 169,804 123,984
Indah Kiat Pulp & Paper Corp. Warrants (b) .............................. 6,990 1,923
Indocement Tunggal Prakarsa ............................................. 608,000 926,476
Indofood Sukses Makmur .................................................. 239,000 475,471
Indosat ................................................................. 224,000 616,296
Inti Indorayon Utama .................................................... 479,500 350,111
Kalbe Farma ............................................................. 157,000 179,428
Lippo Bank .............................................................. 449,000 437,121
Mayora Indah ............................................................ 296,000 137,820
Semen Gresik ............................................................ 259,500 834,794
Telekomunikasi Indonesia ................................................ 1,836,000 3,166,857
Unilever Indonesia ...................................................... 3,000 50,794
United Tractors ......................................................... 128,500 269,238
-------------
11,267,022
-------------
Israel - 4.56%
American Israeli Paper Mills Ltd. ....................................... 1,800 73,969
Bank Hapoalim Ltd. (b) .................................................. 669,000 1,059,516
Bank Leumi Le-Israel (b) ................................................ 200,000 274,842
Bezeq Israeli Telecommunications Corp. Ltd. ............................. 223,200 541,237
Blue Square Chain Stores Properties & Investments (b) ................... 13,300 104,089
Clal Electronics Industries Ltd. ........................................ 1,700 161,122
Clal Industries Ltd. .................................................... 59,807 285,813
Clal Israel Ltd. (b) .................................................... 12,000 312,322
Dead Sea Bromine ........................................................ 41,100 206,671
Dead Sea Works Ltd. ..................................................... 124,489 319,517
Elbit Ltd. .............................................................. 2,700 17,430
Elbit Medical Imaging Ltd. .............................................. 2,700 11,231
Elbit Systems Ltd. (b) .................................................. 2,700 20,648
First International Bank of Israel Ltd. ................................. 3,750 415,706
IDB Development Corp. Ltd. .............................................. 16,800 305,977
IDB Holding Corp. Ltd. .................................................. 63,500 234,395
Industrial Buildings Corp. (b) .......................................... 116,000 119,735
</TABLE>
52
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================================================================================
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------------ ------------
<S> <C> <C>
ISRAEL - (continued)
Israel Chemicals Ltd. (b) .................................................... 971,000 $ 837,714
Koor Industries Ltd. ......................................................... 6,550 570,499
Makhteshim Chemical Works Ltd. (b) ........................................... 43,000 270,944
Supersol Ltd. ................................................................ 24,600 602,134
Tadiran Ltd. ................................................................. 56,900 258,597
Teva Pharmaceutical Industries Ltd. .......................................... 2,332 1,167,530
-------------
8,171,638
-------------
KOREA - 4.07%
Anam Electronics Co. (b) ..................................................... 3,400 32,733
Cho Hung Bank Co. Ltd. ....................................................... 20,450 162,826
Commercial Bank of Korea ..................................................... 36,000 235,032
Daelim Industrial Co. ........................................................ 15,908 150,519
Daewoo Corp. ................................................................. 18,700 142,655
Daewoo Electronics Co. ....................................................... 39,200 280,497
Daewoo Heavy Industries ...................................................... 2,500 15,435
Daewoo Securities Co. Ltd. Preferred ......................................... 6,700 48,338
Daewoo Telecom Co. (b) ....................................................... 23,100 224,033
Dong-A Pharmaceutical Co. Ltd. ............................................... 3,800 73,258
Hanil Bank ................................................................... 43,100 295,659
Hanshin Construction Co. (b) ................................................. 3,500 19,290
Hanwha Machinery Co. Ltd. (b) ................................................ 25,945 254,694
Housing & Commercial Bank, Korea (b) ......................................... 10,710 167,408
Hyundai Engineering & Construction Co. (b) ................................... 7,998 185,406
Hyundai Motor Co. Ltd. ....................................................... 10,380 270,089
Hyundai Securities Co. (b) ................................................... 18,922 226,035
Jinro General Foods Co. (b) .................................................. 4,600 36,833
Jinro Ltd. (b) ............................................................... 11,500 239,385
Keum Kang Development Ind. Co. ............................................... 11,800 193,992
Keum Kang Ltd. ............................................................... 850 38,705
Kookmin Bank ................................................................. 7,760 124,564
Korea Electric Power Corp. ................................................... 44,260 1,287,754
Korea Mobile Telecommunications Corp. ........................................ 340 339,236
Kumho Construction & Engineering Co. Ltd. .................................... 29,100 220,272
Kumho Merchant Bank (b) ...................................................... 25,000 310,467
Kun Young Construction Corp. (b) ............................................. 7,000 22,850
LG Cable & Machinery ......................................................... 5,761 72,907
LG Information & Communication Ltd. .......................................... 4,976 317,805
LG Insurance Co. Ltd. ........................................................ 370 19,649
Orion Electric Co. ........................................................... 4,500 55,884
Pohang Iron & Steel Co. Ltd. ................................................. 1,000 56,984
Poongsan Corp. (b) ........................................................... 6,800 79,621
Samsung Display Devices Co. .................................................. 900 52,442
Samsung Electronics Co. ...................................................... 5,089 298,508
Samsung Heavy Industries ..................................................... 4,000 41,396
Seoul City Gas Co. Ltd. (b) .................................................. 1,900 119,101
Shinhan Bank ................................................................. 5,480 87,207
Ssangyong Investment & Securities Co. Ltd. (b) ............................... 3,900 37,270
Ssangyong Oil Refining Co. Ltd. .............................................. 12,200 266,943
STC Corp. .................................................................... 800 14,193
Young Jin Pharmaceutical Industry Co. ........................................ 20,000 187,108
-------------
7,304,983
-------------
MALAYSIA - 3.69%
Genting Bhd .................................................................. 28,000 192,912
Hume Industries (Malaysia) Bhd ............................................... 70,000 440,705
Kuala Lumpur Kepong Bhd ...................................................... 193,500 490,358
Land & General Holdings Bhd .................................................. 157,000 376,104
Malayan Banking Bhd .......................................................... 66,000 731,736
Malaysia International Shipping Bhd (Frgn.) .................................. 94,000 279,153
Nestle (Malaysia) Bhd ........................................................ 38,000 305,444
Public Bank Bhd (Frgn.) ...................................................... 262,333 555,724
Resorts World Bhd ............................................................ 59,000 268,660
Sime Darby Bhd ............................................................... 223,000 878,579
</TABLE>
53
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BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
============================================================
December 31, 1996
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
Malaysia - (continued)
Telekom Malaysia Bhd ................................................ 109,000 $ 971,095
Tenaga Nasional Bhd ................................................. 195,000 934,270
YTL Corp. Bhd ....................................................... 36,000 193,863
------------
6,618,603
------------
Mexico - 3.99%
Alfa S.A. Series A .................................................. 185,226 851,776
Altos Hornos de Mexico S.A. (b) ..................................... 125,000 246,125
Apasco S.A. ......................................................... 58,500 401,296
Carso Global Telecom Series A-1 (b) ................................. 65,276 149,259
Cemex S.A. Series A ................................................. 46,744 167,749
Cemex S.A. Series B ................................................. 95,487 371,177
Cifra S.A. Series A (b) ............................................. 42,000 52,607
Cifra S.A. Series B (b) ............................................. 49,000 59,881
Desc S.A. Series C (b) .............................................. 40,000 217,988
El Puerto de Liverpool S.A. Series 1 ................................ 25,000 22,358
El Puerto de Liverpool S.A. Series C-1 .............................. 1,250 1,111
Empresas ICA Sociedad Controladora S.A. (b) ......................... 9,551 139,892
Empresas La Moderna S.A. Series A ................................... 95,106 463,328
Fomento Economico Mexicano S.A. Series B ............................ 113,011 384,743
Grupo Carso S.A. Series A1 .......................................... 65,276 339,979
Grupo Casa Autrey S.A. ADR (c) ...................................... 9,100 177,450
Grupo Elektra S.A. Series CPO ....................................... 5,300 41,676
Grupo Financiero Banamex Accival S.A. Series B ...................... 27,000 56,456
Grupo Financiero Banamex Accival S.A. Series L (b) .................. 510 969
Grupo Financiero Bancomer S.A. Series B (b) ......................... 60,000 24,009
Grupo Financiero Inbursa S.A. Series B .............................. 2,276 7,777
Grupo Imsa S.A. ADR (b,c) ........................................... 17,500 332,500
Grupo Industrial Bimbo S.A. Series A ................................ 13,000 74,314
Grupo Mexico S.A. Series B (b) ...................................... 34,000 108,841
Grupo Televisa S.A. Series CPO (b) .................................. 13,994 179,725
Hylsamex S.A. Series BCP ............................................ 36,000 141,997
Industrias Penoles S.A. ............................................. 13,500 47,847
Kimberly-Clark de Mexico S.A. Series A .............................. 40,404 784,265
Kimberly-Clark de Mexico S.A. Series B .............................. 4,117 79,756
Telefonos de Mexico S.A. Series L ................................... 547,850 901,948
Tubos de Acero de Mexico S.A. ....................................... 21,000 332,126
------------
7,160,925
------------
Peru - 2.59%
Banco Wiese ......................................................... 54,000 81,094
Banco Wiese ADR (c) ................................................. 8,500 49,937
Cementos Lima S.A. .................................................. 15,470 227,553
Cia de Minas Buenaventura S.A. ADR (c) .............................. 5,700 97,613
Cia de Minas Buenaventura S.A. A Shares ............................. 16,136 118,053
Cia de Minas Buenaventura S.A. B Shares ............................. 3,450 28,628
Cia de Minas Buenaventura S.A. Trabajo Shares ....................... 2,178 15,935
Cia Minera Milpo S.A. Trabajo Shares ................................ 3,363 16,834
Cia Nacional de Cerveza (b) ......................................... 21,000 116,442
Credicorp Ltd. (c) .................................................. 56,005 1,036,092
Ferreyros S.A. ...................................................... 63,183 60,823
Minsur S.A. Trabajo Shares .......................................... 4,911 17,114
Southern Peru Copper Corp. (c) ...................................... 27,675 404,747
Telefonica del Peru S.A. ADR (c) .................................... 52,800 996,600
Telefonica del Peru S.A. B Shares ................................... 739,115 1,383,172
------------
4,650,637
------------
Philippines - 5.25%
Ayala Corp. Class B ................................................. 955,100 1,034,994
Ayala Land, Inc. Class B ............................................ 419,800 478,859
Engineering & Equipment Corp. ....................................... 710,000 46,973
JG Summit Holding, Inc. Class B ..................................... 1,154,000 324,700
Manila Electric Co. Class B ......................................... 113,050 924,173
Metropolitan Bank & Trust Co. ....................................... 31,706 783,608
Petron Corp. ........................................................ 1,973,000 667,669
</TABLE>
54
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BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
Shares Value
----------- --------------
<S> <C> <C>
Philippines - (continued)
Philippine Commercial International Bank .................................... 54,900 $ 720,171
Philippine Long Distance Telephone Co. ...................................... 33,950 1,865,314
San Miguel Corp. Class B .................................................... 240,280 1,059,790
SM Prime Holdings, Inc. ..................................................... 3,560,400 920,560
Union Bank of Philippines (b) ............................................... 205,600 214,981
Universal Robina Corp. ...................................................... 664,000 372,396
--------------
9,414,188
--------------
Poland - 0.62%
Agros Holdings S.A. Class C (b) ............................................. 3,300 87,100
Bank Inicjatyw Gospodarczych S.A. ........................................... 145,000 202,762
Bank Slaski S.A. ............................................................ 1,750 178,640
ComputerLand Poland S.A. (b) ................................................ 2,200 54,606
DROSED S.A. (b) ............................................................. 3,300 66,911
Elektrim Spolka Akcyjna S.A. ................................................ 10,000 90,893
Exbud S.A. (b) .............................................................. 8,500 78,745
Krosnienskie Huty Szkla Kros S.A. ........................................... 3,400 65,373
Przedsiebiorstwo Farmaceutyczne JELFA S.A. (b) .............................. 6,100 97,029
Sokolowskie Zaklady Miesne S.A. (b) ......................................... 53,000 74,113
Vistula S.A. ................................................................ 12,000 39,224
Zaklady Przemyslu Cukierniczego Jutrzenka S.A. .............................. 3,500 67,908
--------------
1,103,304
--------------
Portugal - 5.66%
Banco Comercial Portugues S.A. .............................................. 72,120 949,986
Banco Espirito Santo e Comercial de Lisboa S.A. (b) ......................... 44,100 774,910
Banco Totta & Acores S.A. ................................................... 25,354 477,521
Cimentos de Portugal S.A. ................................................... 33,950 729,952
Corticeira Amorim S.A. ...................................................... 29,800 327,272
Engil-SGPS .................................................................. 18,000 206,609
Estabelecimentos Jeronimo Martins & Filho-SGPS S.A. ......................... 17,200 885,980
Estabelecimentos Jeronimo Martins & Filho-SGPS S.A. New Shares .............. 8,600 443,156
Lusotur-Sociedade Financiera de Turismo S.A. (b) ............................ 7,500 115,942
Modelo Continente-SGPS S.A. ................................................. 16,500 552,551
Portucel Industrial-Empresa Produtora de Celulosa S.A. ...................... 36,600 212,174
Portugal Telecom S.A. ....................................................... 55,900 1,591,485
Portugal Telecom S.A. ADR (c) ............................................... 2,300 64,975
Semapa-Sociedade de Investimento e Gestao-SGPS S.A. ......................... 24,000 430,531
Somague-SGPS S.A. (b) ....................................................... 27,000 280,348
Sonae Investimentos-SGPS S.A. ............................................... 38,000 1,201,804
Soporcel-Sociedade Portuguesa de Celulose S.A. .............................. 26,000 693,333
Telecel-Commincacaoes Pessoais S.A. (b) ..................................... 3,200 204,058
--------------
10,142,587
--------------
Russia - 0.13%
Vimpel-Communications ADR (b,c) ............................................. 10,000 236,250
--------------
South Africa - 4.60%
AECI Ltd. ................................................................... 16,000 88,938
Alpha Ltd. .................................................................. 2,700 41,562
Amalgamated Banks of South Africa ........................................... 65,215 334,622
Anglo American Coal Corp. Ltd. .............................................. 4,878 370,225
Anglo American Corp. of South Africa Ltd. ................................... 5,850 322,054
Anglo American Industrial Corp. Ltd. ........................................ 14,099 510,921
Anglovaal Ltd. .............................................................. 6,868 202,630
Barlow Ltd. ................................................................. 8,600 76,303
De Beers Centenary AG ....................................................... 34,433 988,291
Edgars Stores Ltd. .......................................................... 1,200 26,938
Energy Africa Ltd. (b) ...................................................... 45,000 164,514
Engen Ltd. .................................................................. 9,000 48,104
Fedsure Holdings Ltd. ....................................................... 18,700 113,941
Free State Consolidated Gold Mines Ltd. ..................................... 31,300 229,192
Impala Platinum Holdings Ltd. ............................................... 17,822 178,129
Investec Bank Ltd. .......................................................... 5,500 134,637
Iscor Ltd. .................................................................. 388,061 277,103
</TABLE>
55
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
SOUTH AFRICA - (CONTINUED)
Johnnies Industrial Corp. Ltd. ................................................... 14,100 $ 153,739
Kloof Gold Mining Co. Ltd. ....................................................... 20,178 164,361
Liberty Life Association of Africa Ltd. .......................................... 18,700 468,759
Metro Cash & Carry Ltd. .......................................................... 18,000 59,649
Murray & Roberts Holdings Ltd. ................................................... 91,100 204,505
Nampak Ltd. ...................................................................... 15,700 62,432
Nasionale Pers Beperk N Shares ................................................... 7,400 68,425
Nedcor Ltd. ...................................................................... 24,268 332,055
Pepkor Ltd. (b) .................................................................. 23,236 71,287
Pick'n Pay Stores Ltd. ........................................................... 12,900 12,824
Pick'n Pay Stores Ltd. N Shares .................................................. 25,800 23,167
Rembrandt Group Ltd. ............................................................. 59,619 532,153
Rustenburg Platinum Holdings Ltd. ................................................ 5,704 78,047
Sappi Ltd. ....................................................................... 12,749 114,478
Sasol Ltd. ....................................................................... 49,712 589,861
South African Breweries Ltd. ..................................................... 19,700 499,091
Sun International (South Africa) Ltd. ............................................ 107,000 85,785
Tongaat-Hulett Group Ltd. ........................................................ 15,500 188,059
Vaal Reefs Exploration & Mining Co. Ltd. ......................................... 3,700 237,311
Western Deep Levels Ltd. ......................................................... 6,400 196,006
-------------
8,250,098
-------------
TAIWAN - 0.47%
Taiwan Fund, Inc. (c) ............................................................ 38,000 845,500
-------------
THAILAND - 5.58%
Advanced Info Service PLC ........................................................ 44,800 380,905
Asia Credit PLC .................................................................. 26,500 102,837
Bangkok Bank PLC ................................................................. 128,600 1,243,869
Bangkok Expressway PLC (b) ....................................................... 552,000 618,955
Bank of Ayudhya PLC .............................................................. 96,000 226,521
Electricity Generating PLC ....................................................... 257,000 701,638
Finance One PLC .................................................................. 30,000 60,843
Italian-Thai Development PLC ..................................................... 81,300 520,015
Jasmine International PLC ........................................................ 149,500 228,856
Land & House PLC ................................................................. 63,300 461,665
PTT Exploration & Production PLC ................................................. 49,800 718,643
Shinawatra Computer Co. PLC ...................................................... 34,600 418,331
Shinawatra Satellite PLC ......................................................... 251,100 284,005
Siam Cement PLC .................................................................. 26,000 815,289
Siam City Cement PLC ............................................................. 21,700 113,409
TelecomAsia Corp. PLC (b) ........................................................ 623,000 1,299,942
Thai Farmers Bank PLC ............................................................ 76,000 474,259
Thai Petrochemical Industry PLC .................................................. 229,625 232,849
Thai Telephone & Communication PLC (b) ........................................... 425,000 352,233
Thai Telephone & Communication PLC Foreign (b) ................................... 178,400 160,031
TPI Polene PLC ................................................................... 110,500 204,709
United Communication Industry PLC ................................................ 7,000 47,504
United Communication Industry PLC Foreign ........................................ 32,100 345,538
-------------
10,012,846
-------------
TURKEY - 1.69%
Adana Cimento Sanayii Class A .................................................... 1,200,000 63,798
Akbank T.A.S. .................................................................... 3,300,000 446,171
Akcansa Cimento A.S. ............................................................. 1,400,000 128,328
Aksa Akrilik Kimya Sanayii A.S. .................................................. 250,000 33,801
Arcelik A.S. ..................................................................... 2,000,000 201,659
Aygaz A.S. ....................................................................... 800,000 115,496
Brisa Bridgestone Sabanci Lastik Sanayii Ve Ticaret A.S. ......................... 80,000 35,565
Cukurova Elektrik A.S. ........................................................... 30,000 35,749
Ege Biracilik Ve Malt Sanayii A.S. ............................................... 571,064 121,703
Enka Holding Yatirim A.S. ........................................................ 52,000 10,010
Erciyas Biracilik Ve Malt Sanayii ................................................ 932,000 100,380
Eregli Demir Ve Celik Fabrikalari T.A.S. ......................................... 350,000 41,707
Guney Biracilik Ve Malt Sanayii .................................................. 40,250 2,546
</TABLE>
56
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
-------------- --------------
<S> <C> <C>
TURKEY - (CONTINUED)
Izmir Demir Celik Sanayii A.S. (b) .......................................... 5,126,816 $ 42,765
Kartonsan Karton Sanayii Ve Ticaret A.S. .................................... 300,000 28,874
Koc Holding A.S. (b) ........................................................ 1,183,333 206,089
Koc Yatirim Ve Sanayii Mamulleri Pazarlama S.A. ............................. 5,000 951
Migros Turk T.A.S. .......................................................... 240,000 291,489
Netas-Northern Elektrik Telekomunikasyon A.S. ............................... 100,000 22,457
Petrol Ofisi A.S. ........................................................... 100,000 26,582
Tat Konserve Sanayii A.S. ................................................... 29,999 4,468
Tupras-Turkiye Petrol Rafinerileri A.S. (b) ................................. 300,000 74,247
Turcas Petroculuk A.S. (b) .................................................. 1,270,000 104,771
Turk Hava Yollari A.O. (b) .................................................. 350,000 76,997
Turk Sise Ve Cam Fabrikalari A.S. (b) ....................................... 2,100,000 221,367
Turkiye Garanti Bankasi A.S. ................................................ 1,600,000 71,864
Turkiye Is Bankasi Class C .................................................. 1,700,000 261,011
Yapi Ve Kredi Bankasi A.S. ................................................. 10,300,000 254,916
--------------
3,025,761
--------------
VENEZUELA - 0.08%
Cia Anonima Nacional Telefonos de Venezuela ADR (b,c) ....................... 5,000 140,625
--------------
TOTAL EQUITIES
(Cost $141,829,796) ...................................................... 142,821,409
--------------
<CAPTION>
FACE
SHORT-TERM INVESTMENTS - 20.14% AMOUNT VALUE
-------------- --------------
<S> <C> <C>
COMMERCIAL PAPER - 20.14%
Burlington Northern Santa Fe, 5.650%, due 01/17/97 .......................... $ 2,500,000 2,493,722
Case Credit Corp., 5.510%, due 01/07/97 ..................................... 2,500,000 2,497,704
Cincinnati Bell, Inc., 7.250%, due 01/02/97 ................................. 800,000 799,839
Columbia/HCA Healthcare Corp., 5.700%, due 02/11/97 ......................... 2,000,000 1,987,017
Crown Cork & Seal Co., Inc.
5.520%, due 01/10/97 .................................................... 1,000,000 998,620
5.580%, due 01/29/97 .................................................... 2,000,000 1,991,320
5.580%, due 01/31/97 .................................................... 800,000 796,280
CSX Corp., 5.520%, due 01/15/97 ............................................. 2,000,000 1,995,707
Harris Corp., 5.600%, due 01/07/97 .......................................... 2,500,000 2,497,667
PS Colorado Credit Corp., 5.580%, due 02/12/97 .............................. 2,000,000 1,986,980
Ralston Purina Co., 5.500%, due 01/06/97 .................................... 1,000,000 999,236
Rite Aid Corp.
5.750%, due 01/06/97 .................................................... 2,300,000 2,298,163
5.550%, due 01/08/97 .................................................... 2,000,000 1,997,842
5.550%, due 02/18/97 .................................................... 2,000,000 1,985,200
Reynolds Metals Co., 5.770%, due 01/17/97 ................................... 1,227,000 1,223,853
Sundstrand Corp., 5.500%, due 01/09/97 ...................................... 500,000 499,389
Texas Utilities Co., 7.250%, due 01/02/97 ................................... 792,000 791,840
Textron, Inc., 5.620%, due 01/10/97 ......................................... 2,000,000 1,997,190
Tyson Foods, Inc.
5.580%, due 01/06/97 .................................................... 800,000 799,380
5.750%, due 01/09/97 .................................................... 1,000,000 998,722
US West Capital Funding, Inc., 5.630%, due 02/05/97 ......................... 2,000,000 1,989,053
Vastar Resources, Inc., 6.020%, due 01/03/97 ................................ 2,000,000 1,999,331
Whirlpool Financial Corp., 6.000%, due 01/02/97 ............................. 500,000 499,917
--------------
TOTAL SHORT-TERM INVESTMENTS
(COST $36,123,972) ...................................................... 36,123,972
--------------
TOTAL INVESTMENTS
(COST $177,953,768) - 99.78% (A) ......................................... 178,945,381
--------------
CASH AND OTHER ASSETS, LESS LIABILITIES - 0.22% ............................. 392,794
--------------
NET ASSETS - 100% ........................................................... $ 179,338,175
==============
</TABLE>
See accompanying notes to Schedule of Investments.
57
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $177,953,768; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation . . . . . . . . . . . . . . $ 9,485,919
Gross unrealized depreciation . . . . . . . . . . . . . . (8,494,306)
-----------
Net unrealized appreciation . . . . . . . . . . . . $ 991,613
===========
</TABLE>
(b) Non-income producing security.
(c) Denominated in U.S. dollars.
(d) Denominated in Hong Kong dollars.
EQUITY SWAP CONTRACTS (NOTE 4)
The Brinson Emerging Markets Equity Fund has entered into equity swap contracts
as of December 31, 1996. These swaps serve to reduce the Fund's exposure to
short-term investments, as a percentage of net assets, from 20.14% to 4.64% and
increase the Fund's exposure to various countries. The following reflects the
open swap positions as of December 31, 1996, aggregated by country exposure:
<TABLE>
<CAPTION>
NET UNREALIZED
NOTIONAL AMOUNTS MATURITY DATES COUNTRY GAIN/(LOSS) EXPOSURE
- ---------------- -------------- -------- --------------- ----------
<S> <C> <C> <C> <C>
$ 821,887 02/28/97 India $ 49,825 0.49%
2,414,484 12/11/97 Israel 64,018 1.38
2,200,000 10/15/97-11/14/97 Mexico (37,760) 1.20
940,874 05/27/97 Philippines 27,592 0.54
2,514,056 12/11/97 Poland 69,125 1.44
1,456,690 10/15/97 Portugal 100,031 0.87
9,685,505 03/04/97-12/15/97 Taiwan 842,843 5.87
1,700,000 10/15/97 Thailand (446,522) 0.70
5,299,036 10/15/97-12/15/97 Turkey 91,771 3.01
- -------------- ----------- -----
$ 27,032,532 $ 760,923 15.50%
============== =========== =====
</TABLE>
See accompanying notes to financial statements.
58
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $177,953,768) (Note 1).............................. $ 178,945,381
Cash............................................................................ 3,862,727
Foreign currency, at value (Cost $2,203,660).................................... 2,192,916
Receivables:
Investment securities sold................................................... 236,480
Net unrealized gain on open equity swap contracts (Note 4)................... 1,106,385
Dividends.................................................................... 422,863
Other assets.................................................................... 7,163
--------------------
TOTAL ASSETS.......................................................... 186,773,915
--------------------
LIABILITIES:
Payables:
Investment securities purchased.............................................. 6,902,380
Equity swap contracts closed................................................. 70,620
Net unrealized loss on open equity swap contracts (Note 4)................... 345,462
Accrued expenses............................................................. 117,278
--------------------
TOTAL LIABILITIES..................................................... 7,435,740
--------------------
NET ASSETS:
Applicable to 17,606,002 shares; no par value, unlimited shares authorized...... $ 179,338,175
====================
Net asset value per share
($179,338,175 / 17,606,002 shares)........................................... $ 10.1862
====================
Maximum offering price per share (net asset value,
plus 1.52% of net asset value, or 1.50% of offering price) (Note 7)........... $ 10.3413
====================
Redemption price per share (net asset value,
less 1.50% of net asset value, or 1.52% of redemption value) (Note 7)......... $ 10.0334
====================
NET ASSETS CONSIST OF:
Paid in capital................................................................. $ 174,975,422
Accumulated net investment income............................................... 4,997,026
Accumulated net realized loss................................................... (2,383,228)
Net unrealized appreciation..................................................... 1,748,955
--------------------
NET ASSETS............................................................ $ 179,338,175
====================
</TABLE>
See accompanying notes to financial statements.
59
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
===============================================================================
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.......................................................................... $ 2,846,784
Dividends (net of $109,739 for foreign taxes withheld)............................ 1,689,944
-------------
TOTAL INCOME............................................................ 4,536,728
-------------
EXPENSES:
Custodian......................................................................... 277,166
Accounting........................................................................ 114,889
Professional...................................................................... 80,551
Other............................................................................. 61,785
-------------
TOTAL EXPENSES.......................................................... 534,391
-------------
NET INVESTMENT INCOME................................................... 4,002,337
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................................... (1,310,465)
Equity swap contracts......................................................... 68,325
Foreign currency transactions................................................. (240,688)
-------------
Net realized loss......................................................... (1,482,828)
-------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency.............................................. 5,415,658
Translation of other assets and liabilities denominated in foreign currency... (3,876)
-------------
Change in net unrealized appreciation or depreciation..................... 5,411,782
-------------
Net realized and unrealized gain.................................................. 3,928,954
-------------
Net increase in net assets resulting from operations.............................. $ 7,931,291
=============
</TABLE>
See accompanying notes to financial statements.
60
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995*
----------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................... $ 4,002,337 $ 994,689
Net realized loss........................................... (1,482,828) (900,400)
Change in net unrealized appreciation or depreciation....... 5,411,782 (3,662,827)
----------------- ------------------
Net increase (decrease) in net assets
resulting from operations................................ 7,931,291 (3,568,538)
----------------- ------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold (Note 7)........................................ 130,419,803 93,700,000
Shares redeemed............................................. (49,141,891) (2,500)
----------------- ------------------
Net increase in net assets
resulting from capital share transactions (a)............ 81,277,912 93,697,500
----------------- ------------------
TOTAL INCREASE IN NET ASSETS....................... 89,209,203 90,128,962
----------------- ------------------
NET ASSETS:
Beginning of period......................................... 90,128,972 10
----------------- ------------------
End of period (including accumulated net investment
income of $4,997,026 and $994,689, respectively)......... $ 179,338,175 $ 90,128,972
================= ==================
</TABLE>
(a) A summary of capital share transactions follows:
<TABLE>
<CAPTION>
SHARES SHARES
----------------- ------------------
<S> <C> <C>
Shares sold................................................. 12,742,970 9,674,521
Shares redeemed............................................. (4,811,226) (264)
----------------- ------------------
Net increase in shares outstanding...................... 7,931,744 9,674,257
================= ==================
</TABLE>
* The Fund commenced operations June 30, 1995
See accompanying notes to financial statements.
61
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL HIGHLIGHTS
================================================================================
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995*
----------------- ------------------
<S> <C> <C>
Net asset value, beginning of period........................... $ 9.3164 $ 10.0000
----------------- ------------------
Income from investment operations:
Net investment income....................................... 0.1810 0.1028
Net realized and unrealized gain (loss)..................... 0.6888 (0.7864)
----------------- ------------------
Total income (loss) from investment operations......... 0.8698 (0.6836)
----------------- ------------------
Net asset value, end of period................................. $ 10.1862 $ 9.3164
================= ==================
Total return................................................... 9.34% (6.84%)
Ratios/Supplemental data
Net assets, end of period (in 000s)......................... $ 179,338 $ 90,129
Ratio of expenses to average net assets..................... 0.46% 0.50%**
Ratio of net investment income to average net assets........ 3.42% 3.86%**
Portfolio turnover rate..................................... 25% 2%
Average commission rate paid per share...................... $ 0.0016 $ 0.0016
</TABLE>
* The Fund commenced operations June 30, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
62
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
================================================================================
The Brinson Emerging Markets Debt Fund is an actively managed diversified
portfolio of fixed income securities issued by sovereign, agency and corporate
borrowers domiciled in countries typically excluded from the definition of
"developed" markets. Our goal is to achieve a return exceeding that of an
appropriate benchmark through active management. Fundamental economic and
political analyses are the key elements of the process. Relative value analysis
drives our duration, country allocation and security selection strategies.
On June 30th, 1995, Brinson Partners, Inc. introduced its Brinson Emerging
Markets Debt Fund. Since July 31, 1995, the first month-end after the Fund
became fully invested, the Fund has earned an annualized return of 45.75%,
compared to the 40.91% return of its benchmark, the J.P. Morgan Emerging Markets
Bond Index Plus (EMBI+). The EMBI+ comprises 71% Brady bonds, 13% loans, 10%
Eurobonds and 6% domestic issues as of year-end 1996. For the year 1996, the
Fund returned 45.03% versus 39.31% for the benchmark.
The emerging debt market enjoyed exceptional returns in 1996 and was the top
performing asset class in U.S. dollar terms. Moreover, the market radically
outperformed equivalent-duration U.S. Treasury bonds, which returned 2.73% for
1996. This exceptionally large incremental return of the EMBI+ over equivalent
duration U.S. Treasury securities, 36.58%, was due to incremental yield and to
principal gains resulting from credit spreads narrowing approximately by 2.65%.
In addition, prices on the loans of Russia, Panama and Peru appreciated sharply
as restructuring agreements were finalized.
This outstanding performance relative to other U.S. dollar-denominated bonds
surprised many observers because it was considered unlikely that the emerging
markets' sovereign credit spreads could decline significantly in the face of
rising U.S. interest rates (10-year U.S. Treasury rates rose about 0.85% in
1996). As we discussed this time last year, the abnormal pricing of sovereign
risk in 1995 provided ample room for spreads to decline. The Mexican devaluation
of late 1994 and attendant economic repercussions caused investors to
incorporate abnormally high default probabilities into their early 1995
valuations. Now that sovereign credit spreads have reapproached long-term
equilibrium levels, large declines in spreads are less likely, as are the
exceptional returns of 1996.
Both market/country allocation strategies and security selection improved Fund
results. The most notable country strategies were timely overweights in Russia,
Venezuela, Panama and Nigeria. Our aggressive U.S. interest rate duration
strategy had no net impact upon performance (other than creating modest inter-
month swings). This duration strategy, 1.3 times the benchmark, continues to
reflect a firm-wide view that U.S. interest rates will decline in 1997.
The only notable country strategies are slight overweights in Venezuela, Panama
and Morocco, which are offset by underweights in Bulgaria, the Philippines, Peru
and Ecuador. Our Brazilian securities are especially sensitive to spread
changes.
63
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
================================================================================
TOTAL RETURN
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 06/30/95*
12/31/96 12/31/96 to 12/31/96
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Brinson Emerging Markets Debt Fund/1/ 23.78% 45.03% 41.55%
- ----------------------------------------------------------------------------------------------------------------------------
Brinson Emerging Markets Debt Fund/2/ 23.16% 44.30% 41.55%
- ----------------------------------------------------------------------------------------------------------------------------
JP Morgan EMBI+ 20.65% 39.31% 38.32%
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Inception date of the Brinson Emerging Markets Debt Fund.
/1/ Total return based on NAV - Does not include the payment of a 0.50%
transaction charge on Fund share purchases.
/2/ Standardized total return - Includes the payment of a 0.50% transaction
charge on Fund share purchases in each period presented where applicable.
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+
Brinson Emerging JP Morgan
Markets Debt Fund EMBI+
06/30/95 100,000 100,000
07/31/95 98,952 100,074
08/31/95 101,671 102,435
09/30/95 105,713 105,964
10/31/95 104,843 104,876
11/30/95 108,802 108,546
12/31/95 116,401 116,772
01/31/96 127,448 125,646
02/29/96 118,868 118,715
03/31/96 121,904 121,419
04/30/96 129,544 128,043
05/31/96 132,236 130,259
06/30/96 136,384 134,838
07/31/96 139,238 137,656
08/31/96 145,236 142,712
09/30/96 156,324 151,916
10/31/96 158,248 153,109
11/30/96 167,000 160,744
12/31/96 168,816 162,676
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.
64
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
================================================================================
MARKET ALLOCATION
As of December 31, 1996
<TABLE>
<CAPTION>
MARKET
ALLOCATION INDEX
- -----------------------------------------------
<S> <C> <C>
Argentina 18.3 % 20.0 %
Brazil 22.8 26.5
Bulgaria 0.0 1.6
Ecuador 0.0 2.5
Mexico 17.8 18.5
Morocco 5.2 1.3
Nigeria 0.0 0.9
Panama 3.5 1.5
Peru 0.0 1.4
Philippines 0.0 1.6
Poland 1.3 3.9
Qatar 2.7 0.0
Russia 10.8 11.0
South Africa 0.0 0.5
Venezuela 10.5 8.8
Cash 7.0 0.0
- -----------------------------------------------
100.0 % 100.0 %
</TABLE>
Totals may not add due to rounding.
65
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
------------- -------------
<S> <C> <C>
BONDS - 91.31%
INTERNATIONAL DOLLAR BONDS - 80.53%
Argentina - FRN, 6.625%, due 03/31/05................................... $ 20,580,000 $ 17,866,012
Argentina - Global Bond, 11.000%, due 10/09/06.......................... 2,000,000 2,095,000
Argentina - Par Series L, 5.250%, due 03/31/23.......................... 32,500,000 20,475,000
Brazil - C Bond, 4.500%, due 04/15/14................................... 38,933,430 28,689,071
Brazil - DCB L FRN, 6.562%, due 04/15/12................................ 15,750,000 11,930,625
Brazil - Disc. Series ZL FRN, 6.500%, due 04/15/24...................... 6,500,000 4,988,750
Brazil New Money Bond L FRN, 6.562%, due 04/15/09....................... 4,000,000 3,260,000
Mexico - Disc. Series B FRN, 6.375%, due 12/31/19....................... 10,000,000 8,600,000
Mexico - Disc. Series C FRN, 6.375%, due 12/31/19....................... 4,000,000 3,440,000
Mexico - Disc. Series D FRN, 6.351%, due 12/31/19....................... 5,000,000 4,300,000
Mexico - Global Bond, 11.500%, due 05/15/26............................. 2,500,000 2,637,500
Mexico - Par Series A, 6.250%, due 12/31/19............................. 5,750,000 4,204,687
Mexico - Par Series B, 6.250%, due 12/31/19............................. 21,000,000 15,356,250
Morocco - Loan Tranche A FRN, 6.375%, due 01/01/09...................... 14,000,000 11,567,500
Panama - IRB 144A, 3.500%, due 07/17/14................................. 7,000,000 4,856,250
Panama - IRB, 3.500%, due 07/17/14...................................... 4,000,000 2,775,000
Poland - Disc. FRN, 6.500%, due 10/27/24................................ 3,000,000 2,913,750
Ras Laffan Liquefied Natural Gas Co. Ltd. 144A, 8.294%, due 03/15/14.... 6,000,000 6,100,248
Venezuela - DCB Series DL FRN, 6.500%, due 12/18/07..................... 6,750,000 5,940,000
Venezuela - Disc. Series W-A FRN, 6.437%, due 03/31/20.................. 6,000,000 4,965,000
Venezuela - FLIRB Series B VAR, 6.437%, due 03/31/07.................... 3,250,000 2,896,563
Venezuela - Par Series B, 6.750%, due 03/31/20.......................... 7,750,000 5,928,750
Venezuela - Par Series W-A, 6.750%, due 03/31/20........................ 4,500,000 3,442,500
-------------
179,228,456
-------------
LOAN PARTICIPATION CERTIFICATE - 10.78%
Vneshekonom Bank Loan Participation, due 01/01/00 (b)................... 30,000,000 24,000,000
-------------
TOTAL BONDS
(COST $172,721,240)................................................. 203,228,456
-------------
SHORT TERM INVESTMENTS - 7.53%
U.S. GOVERNMENT OBLIGATIONS - .09%
U.S. Treasury Bills, 5.063%, due 05/01/97............................... 200,000 196,625
-------------
COMMERCIAL PAPER - 7.44%
Case Credit Corp., 5.510%, due 01/07/97................................. 1,000,000 999,082
Cincinnati Bell, Inc., 7.250%, due 01/02/97............................. 1,580,000 1,579,682
Columbia/HCA Healthcare Corp., 5.700%, due 02/11/97..................... 1,000,000 993,508
Crown Cork & Seal Co., Inc.
5.520%, due 01/10/97................................................ 1,000,000 998,620
5.580%, due 01/29/97................................................ 1,000,000 995,660
Excel Paralubes Funding Corp., 6.350%, due 01/10/97..................... 2,000,000 1,996,825
Lockheed Martin Corp., 6.970%, due 01/02/97............................. 1,500,000 1,499,709
Ralston Purina Co., 5.500%, due 01/06/97................................ 525,000 524,599
Rite Aid Corp., 5.550%, due 02/18/97.................................... 1,000,000 992,600
Supervalu, Inc., 6.250%, due 01/21/97................................... 1,000,000 996,528
Tenneco, Inc., 6.000%, due 01/16/97..................................... 1,000,000 997,500
Texas Utilities Co., 7.250%, due 01/02/97............................... 1,500,000 1,499,698
Textron, Inc., 5.620%, due 01/10/97..................................... 1,000,000 998,595
US West Capital Funding, Inc., 5.630%, due 02/05/97..................... 1,000,000 994,526
Whirlpool Financial Corp., 6.000%, due 01/02/97......................... 500,000 499,917
-------------
16,567,049
-------------
TOTAL SHORT-TERM INVESTMENTS
(COST $16,763,674).................................................. 16,763,674
-------------
TOTAL INVESTMENTS
(COST $189,484,914) - 98.84% (a).................................... 219,992,130
-------------
CASH AND OTHER ASSETS, LESS LIABILITIES - 1.16%........................ 2,578,438
-------------
NET ASSETS - 100%....................................................... $ 222,570,568
=============
</TABLE>
SEE ACCOMPANYING NOTES TO SCHEDULE OF INVESTMENTS.
66
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
================================================================================
December 31, 1996
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $189,484,914; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............................ $ 30,517,853
Gross unrealized depreciation............................ (10,637)
------------
Net unrealized appreciation........................ $ 30,507,216
============
</TABLE>
(b) No stated interest rate.
FRN: Floating rate note - The rate disclosed is that in effect at December 31,
1996.
DCB: Debt conversion bond.
IRB: Interest reduction bond.
FLIRB: Front loaded interest reduction bond.
FUTURES CONTRACTS (NOTE 6)
The Brinson Emerging Markets Debt Fund had the following open futures contracts
as of December 31, 1996:
<TABLE>
<CAPTION>
SETTLEMENT CURRENT UNREALIZED
DATE COST VALUE LOSS
---------- ---- ----------- ----------
<S> <C> <C> <C> <C>
INTEREST RATE FUTURES BUY CONTRACTS
10 year U.S. Treasury Notes, 60 contracts.......... March 1997 $ 6,675,000 $ 6,547,500 $ (127,500)
30 year U.S. Treasury Bonds, 51 contracts.......... March 1997 5,880,937 5,743,875 (137,062)
----------
Total $ (264,562)
==========
</TABLE>
The market value of investments pledged to cover margin requirements for the
open futures positions at December 31, 1996 was $196,625.
See accompanying notes to financial statements.
67
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $189,484,914) (Note 1)............................... $ 219,992,130
Cash............................................................................. 10,237
Interest receivable ............................................................. 2,743,189
--------------
TOTAL ASSETS........................................................... 222,745,556
--------------
LIABILITIES:
Payables:
Variation margin (Note 6)..................................................... 110,625
Accrued expenses.............................................................. 64,363
--------------
TOTAL LIABILITIES...................................................... 174,988
--------------
NET ASSETS:
Applicable to 13,184,226 shares; no par value, unlimited shares authorized....... $ 222,570,568
==============
Net asset value and redemption
price per share ($222,570,568 / 13,184,226 shares)............................ $ 16.8816
==============
Maximum offering price per share (net asset value,
plus 0.50% of net asset value, or 0.50% of offering price) (Note 7)........... $ 16.9664
==============
NET ASSETS CONSIST OF:
Paid in capital.................................................................. $ 149,101,121
Accumulated net investment income................................................ 24,214,478
Accumulated net realized gain.................................................... 19,012,315
Net unrealized appreciation...................................................... 30,242,654
--------------
NET ASSETS............................................................. $ 222,570,568
==============
</TABLE>
See accompanying notes to financial statements.
68
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.................................................................... $ 19,893,017
--------------
TOTAL INCOME...................................................... 19,893,017
--------------
EXPENSES:
Accounting.................................................................. 122,091
Professional................................................................ 69,724
Custodian................................................................... 39,818
Pricing..................................................................... 25,257
Administration.............................................................. 20,664
Other....................................................................... 10,947
--------------
TOTAL EXPENSES.................................................... 288,501
--------------
NET INVESTMENT INCOME............................................. 19,604,516
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments............................................................. 16,419,992
Futures contracts....................................................... 1,750,085
--------------
Net realized gain................................................ 18,170,077
--------------
Change in net unrealized appreciation or depreciation on:
Investments............................................................. 24,231,983
Futures contracts....................................................... (93,812)
--------------
Change in net unrealized appreciation or depreciation............ 24,138,171
--------------
Net realized and unrealized gain............................................ 42,308,248
--------------
Net increase in net assets resulting from operations........................ $ 61,912,764
==============
</TABLE>
See accompanying notes to financial statements.
69
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995*
------------------ -------------------
<S> <C> <C>
OPERATIONS:
Net investment income............................................ $ 19,604,516 $ 4,609,962
Net realized gain................................................ 18,170,077 842,238
Change in net unrealized appreciation or depreciation............ 24,138,171 6,104,483
------------------ -------------------
Net increase in net assets resulting from operations............. 61,912,764 11,556,683
------------------ -------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold (Note 7)............................................. 152,532,783 108,100,000
Shares redeemed.................................................. (111,529,172) (2,500)
------------------ -------------------
Net increase in net assets
resulting from capital share transactions (a)................. 41,003,611 108,097,500
------------------ -------------------
TOTAL INCREASE IN NET ASSETS............................ 102,916,375 119,654,183
------------------ -------------------
NET ASSETS:
Beginning of period.............................................. 119,654,193 10
------------------ -------------------
End of period (including accumulated net investment
income of $24,214,478 and $4,609,962, respectively)........... $ 222,570,568 $ 119,654,193
================== ===================
(a) A summary of capital share transactions follows:
SHARES SHARES
------------------ -------------------
Shares sold...................................................... 9,793,589 10,279,700
Shares redeemed.................................................. (6,888,826) (238)
------------------ -------------------
Net increase in shares outstanding........................... 2,904,763 10,279,462
================== ===================
</TABLE>
* The Fund commenced operations June 30, 1995
See accompanying notes to financial statements.
70
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL HIGHLIGHTS
================================================================================
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995*
----------------- ------------------
<S> <C> <C>
Net asset value, beginning of period............................... $ 11.6401 $ 10.0000
----------------- ------------------
Income from investment operations:
Net investment income........................................... 1.3882 0.4485
Net realized and unrealized gain................................ 3.8533 1.1916
----------------- ------------------
Total income from investment operations.................... 5.2415 1.6401
----------------- ------------------
Net asset value, end of period..................................... $ 16.8816 $ 11.6401
================= ==================
Total return....................................................... 45.03% 16.40%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $ 222,571 $ 119,654
Ratio of expenses to average net assets......................... 0.18% 0.50% **
Ratio of net investment income to average net assets............ 11.89% 12.95% **
Portfolio turnover rate......................................... 71% 29%
</TABLE>
* The Fund commenced operations June 30, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
71
<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
following is a summary of significant accounting policies followed by the Funds
in the preparation of their financial statements.
A. INVESTMENT VALUATION: Securities for which market quotations are readily
available are valued at the last available sales price on the exchange or market
on which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which such securities are
principally traded. U.S. equity securities traded over-the-counter are valued at
the most recent bid price. Equity securities traded in certain emerging market
countries may be subject to a foreign premium and are valued accordingly.
Investments in affiliated investment companies are valued each day based on the
closing net asset value of the respective Fund. Debt securities are valued at
the most recent bid price by using market quotations or independent services.
Securities for which market quotations are not readily available, including
restricted securities which are subject to limitations on their sale, are valued
at fair value as determined in good faith by or under the direction of the
Trust's Board of Trustees.
Futures contracts are valued at the settlement price established each day on the
exchange on which they are traded. Forward foreign currency contracts are valued
daily using the mean between the bid and asked forward points added to the
current 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: Investment securities and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
using the WM/Reuters closing spot rates as of 4:00 p.m. London time. Purchases
and sales of portfolio securities, commitments under forward foreign currency
contracts and income receipts 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 securities sold are determined on an
identified cost basis.
D. INVESTMENT INCOME: Interest income, which includes amortization of premiums
and discounts, is recorded on the accrual basis. Dividend income is recorded on
the ex-dividend date, except that certain dividends from foreign securities are
recorded as soon 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. The Funds do not intend to make any distributions to
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 Amended and Restated 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.
72
<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 the
Brinson Global Securities Fund and Brinson Short-Term Fund to the extent that
total operating expenses exceed 0.05% of average daily net assets. The Advisor
has agreed to reimburse the 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. Trustees' fees
paid to unaffiliated trustees were $15,433, $1,839, $6,162, $4,827, $5,476 and
$5,862 for the 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, respectively.
During the year ended December 31, 1996, the Brinson Global Securities Fund
began investing in shares of certain affiliated investment companies also
sponsored by Brinson Partners, Inc. These investments represent 8.76% of the
Fund's total net assets. Activity for the year ended December 31, 1996 is
summarized as follows:
<TABLE>
<CAPTION>
Purchases Sales Realized Unrealized
Affiliates Cost Proceeds Gains Gains/Losses
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Post-Venture Fund $ 43,189,857 $ 0 $ 0 $ 1,257,626
Brinson High Yield Fund 20,311,623 0 0 1,176,537
Brinson Emerging Markets Equity Fund 34,926,438 0 0 (120,438)
Brinson Emerging Markets Debt Fund 52,836,466 1,600,000 20,642 1,986,445
--------------------------------------------------------------------------------------
$151,264,384 $ 1,600,000 $ 20,642 $ 4,300,170
======================================================================================
</TABLE>
3. INVESTMENT TRANSACTIONS
Investment transactions for the year ended December 31, 1996, excluding short-
term investments, were as follows:
<TABLE>
<CAPTION>
Purchases Proceeds from Sales
-------------- -------------------
<S> <C> <C>
Brinson Global Securities Fund............ $2,581,760,729 $1,865,714,255
Brinson Post-Venture Fund................. 93,147,197 107,648,245
Brinson High Yield Fund................... 115,306,848 64,474,077
Brinson Emerging Markets Equity Fund...... 129,434,998 18,071,780
Brinson Emerging Markets Debt Fund........ 148,059,799 108,570,194
</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, 1996, the Brinson Emerging Markets Equity Fund had open equity
swap contracts with international dealers, including the Fund's custodian. The
Fund had short-term investments segregated with its custodian equal to, or in
excess of, the notional amount of its open equity swap contracts.
73
<PAGE>
THE BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
================================================================================
5. FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Global Securities Fund may engage in portfolio hedging with respect
to changes in currency exchange rates by entering into forward foreign currency
contracts to purchase or sell currencies. Forward foreign currency contracts are
also used to achieve currency allocation strategies. A forward foreign currency
contract is a commitment to purchase or sell a foreign currency at a future date
at a negotiated forward rate. Risks associated with such contracts include
movement in the value of the foreign currency relative to the U.S. dollar and
the ability of the counterparty to perform. The unrealized gain, if any,
represents the credit risk to the Fund on a forward foreign currency contract.
Fluctuations in the value of forward foreign currency contracts are recorded
daily as net unrealized gains or losses. The 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 during the year ended December 31, 1996 was
the Fund's custodian.
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 or that a change in the value
of the contract may not correlate with changes in the value of the underlying
securities. Upon entering into a futures contract, the Funds are required to
deposit either cash or securities (initial margin). Subsequent payments
(variation margin) are made or received by the Funds, generally on a daily
basis. The variation margin payments are equal to the daily changes in the
contract value and are recorded as unrealized gains or losses. The Funds
recognize a realized gain or loss when the contract is closed or expires. The
statement of operations reflects net realized and net unrealized gains and
losses on these contracts.
7. TRANSACTION CHARGES
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, of the Fund's offering price 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 a 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. Effective February
20, 1996, investors in the Brinson Emerging Markets Equity Fund are also subject
to a transaction charge equal to 1.50% of the Fund's offering price on Fund
share redemptions. Transaction charges received by the Brinson Emerging Markets
Equity Fund and the Brinson Emerging Markets Debt Fund were $1,218,204 and
$244,549, respectively, for the year ended December 31, 1996, and are included
in shares sold on the statements of changes in net assets.
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.
74
<PAGE>
AUDIT. LTR
THE BRINSON RELATIONSHIP FUNDS - REPORT OF INDEPENDENT AUDITORS
================================================================================
The Board of Trustees and Shareholders of
The Brinson Relationship Funds-
Brinson Global Securities Fund
Brinson Short-Term 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 assets and liabilities, including
the schedules of investments, of The Brinson Relationship Funds - 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 as of December 31, 1996, 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 confirmation of securities owned as of
December 31, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
Brinson Relationship Funds - 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 at December 31, 1996,
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 11, 1997
75
